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VIXTrader Day Trading
(120721348)

Created by: Robert_Peterson Robert_Peterson
Started: 11/2018
Stocks
Last trade: Yesterday
Trading style: Equity Trend-following Momentum

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 $199.00 per month.

Trading Category: Equity
Trend-following
Category: Equity

Trend-following

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

Momentum

Aims to capitalize on the continuance of existing trends in the market. Trader takes a long position in an asset in an upward trend, and short-sells a security that has been in a downward trend. While similar to Trend-following, tends to be more forward-looking (predicting oncoming trend), while Momentum is more backward-looking (observing already-established price direction).
13.2%
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.

(17.6%)
Max Drawdown
102
Num Trades
47.1%
Win Trades
1.5 : 1
Profit Factor
28.6%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2018                                                                      +9.2%+15.1%+25.7%
2019(1.8%)(1.9%)(0.8%)(2%)(3.9%)                                          (9.9%)

Model Account Details

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

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

System developer has asked us to delay this information by 24 hours.

Trading Record

This strategy has placed 133 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
5/22/19 10:00 VXX IPATH SER B S&P 500 VIX SHORT-TERM FUTURES ETN SHORT 1,154 27.27 5/22 15:59 27.24 1.43%
Trade id #123767813
Max drawdown($435)
Time5/22/19 12:50
Quant open-1,026
Worst price27.69
Drawdown as % of equity-1.43%
$29
Includes Typical Broker Commissions trade costs of $3.78
5/21/19 10:43 VXX IPATH SER B S&P 500 VIX SHORT-TERM FUTURES ETN SHORT 505 27.70 5/21 15:59 27.54 0.37%
Trade id #123753360
Max drawdown($113)
Time5/21/19 11:55
Quant open-505
Worst price27.93
Drawdown as % of equity-0.37%
$76
Includes Typical Broker Commissions trade costs of $5.00
5/20/19 11:36 VXX IPATH SER B S&P 500 VIX SHORT-TERM FUTURES ETN LONG 481 29.06 5/21 9:30 28.00 1.84%
Trade id #123739219
Max drawdown($567)
Time5/21/19 9:01
Quant open481
Worst price27.88
Drawdown as % of equity-1.84%
($520)
Includes Typical Broker Commissions trade costs of $9.62
5/17/19 10:01 VXX IPATH SER B S&P 500 VIX SHORT-TERM FUTURES ETN SHORT 492 28.42 5/17 15:41 28.58 0.54%
Trade id #123710197
Max drawdown($167)
Time5/17/19 10:15
Quant open-492
Worst price28.76
Drawdown as % of equity-0.54%
($89)
Includes Typical Broker Commissions trade costs of $9.84
5/16/19 10:10 VXX IPATH SER B S&P 500 VIX SHORT-TERM FUTURES ETN SHORT 495 28.26 5/16 15:41 28.34 0.19%
Trade id #123694733
Max drawdown($60)
Time5/16/19 13:51
Quant open-495
Worst price28.38
Drawdown as % of equity-0.19%
($51)
Includes Typical Broker Commissions trade costs of $9.90
5/15/19 10:30 VXX IPATH SER B S&P 500 VIX SHORT-TERM FUTURES ETN SHORT 464 30.16 5/15 15:03 29.58 0.33%
Trade id #123680128
Max drawdown($102)
Time5/15/19 11:06
Quant open-464
Worst price30.38
Drawdown as % of equity-0.33%
$260
Includes Typical Broker Commissions trade costs of $9.28
5/14/19 11:23 VXX IPATH SER B S&P 500 VIX SHORT-TERM FUTURES ETN SHORT 456 30.71 5/14 14:07 30.60 0.1%
Trade id #123664843
Max drawdown($31)
Time5/14/19 11:31
Quant open-456
Worst price30.78
Drawdown as % of equity-0.10%
$41
Includes Typical Broker Commissions trade costs of $9.12
5/13/19 14:53 VXX IPATH SER B S&P 500 VIX SHORT-TERM FUTURES ETN SHORT 448 31.21 5/13 15:31 31.80 0.86%
Trade id #123651276
Max drawdown($264)
Time5/13/19 15:31
Quant open336
Worst price32.01
Drawdown as % of equity-0.86%
($273)
Includes Typical Broker Commissions trade costs of $8.96
5/13/19 10:01 VXX IPATH SER B S&P 500 VIX SHORT-TERM FUTURES ETN LONG 440 31.86 5/13 14:53 31.21 0.91%
Trade id #123643123
Max drawdown($285)
Time5/13/19 14:53
Quant open112
Worst price31.21
Drawdown as % of equity-0.91%
($294)
Includes Typical Broker Commissions trade costs of $8.80
5/10/19 12:33 VXX IPATH SER B S&P 500 VIX SHORT-TERM FUTURES ETN SHORT 463 30.17 5/10 15:59 28.43 0.24%
Trade id #123623587
Max drawdown($74)
Time5/10/19 12:42
Quant open-463
Worst price30.33
Drawdown as % of equity-0.24%
$797
Includes Typical Broker Commissions trade costs of $9.26
5/9/19 12:31 VXX IPATH SER B S&P 500 VIX SHORT-TERM FUTURES ETN SHORT 446 31.39 5/9 15:01 31.37 n/a $1
Includes Typical Broker Commissions trade costs of $8.92
5/9/19 10:25 VXX IPATH SER B S&P 500 VIX SHORT-TERM FUTURES ETN LONG 846 33.12 5/9 12:31 31.78 3.7%
Trade id #123590237
Max drawdown($1,134)
Time5/9/19 12:31
Quant open422
Worst price31.39
Drawdown as % of equity-3.70%
($1,151)
Includes Typical Broker Commissions trade costs of $16.92
5/7/19 10:00 VXX IPATH SER B S&P 500 VIX SHORT-TERM FUTURES ETN LONG 486 28.88 5/7 13:40 30.86 n/a $952
Includes Typical Broker Commissions trade costs of $9.72
5/1/19 14:05 VXXB IPATH SER B S&P 500 VIX SHOR SHORT 1,100 25.33 5/1 15:32 25.97 2.25%
Trade id #123495415
Max drawdown($704)
Time5/1/19 15:32
Quant open0
Worst price25.97
Drawdown as % of equity-2.25%
($709)
Includes Typical Broker Commissions trade costs of $5.00
4/23/19 15:30 VXXB IPATH SER B S&P 500 VIX SHOR LONG 1,110 25.00 4/23 15:30 25.00 n/a ($5)
Includes Typical Broker Commissions trade costs of $5.00
4/23/19 15:30 VXXB IPATH SER B S&P 500 VIX SHOR SHORT 1,110 24.99 4/23 15:30 25.00 0.04%
Trade id #123405288
Max drawdown($11)
Time4/23/19 15:30
Quant open0
Worst price25.00
Drawdown as % of equity-0.04%
($16)
Includes Typical Broker Commissions trade costs of $5.00
4/23/19 15:30 VXXB IPATH SER B S&P 500 VIX SHOR LONG 1,110 25.00 4/23 15:30 24.99 0.04%
Trade id #123405285
Max drawdown($11)
Time4/23/19 15:30
Quant open0
Worst price24.99
Drawdown as % of equity-0.04%
($16)
Includes Typical Broker Commissions trade costs of $5.00
4/23/19 15:30 VXXB IPATH SER B S&P 500 VIX SHOR SHORT 1,110 24.99 4/23 15:30 25.00 0.04%
Trade id #123405282
Max drawdown($11)
Time4/23/19 15:30
Quant open0
Worst price25.00
Drawdown as % of equity-0.04%
($16)
Includes Typical Broker Commissions trade costs of $5.00
4/23/19 15:30 VXXB IPATH SER B S&P 500 VIX SHOR LONG 1,110 25.01 4/23 15:30 25.00 0.04%
Trade id #123405278
Max drawdown($11)
Time4/23/19 15:30
Quant open0
Worst price25.00
Drawdown as % of equity-0.04%
($16)
Includes Typical Broker Commissions trade costs of $5.00
4/23/19 15:30 VXXB IPATH SER B S&P 500 VIX SHOR SHORT 1,110 25.00 4/23 15:30 25.01 0.04%
Trade id #123405275
Max drawdown($11)
Time4/23/19 15:30
Quant open0
Worst price25.01
Drawdown as % of equity-0.04%
($16)
Includes Typical Broker Commissions trade costs of $5.00
4/23/19 15:30 VXXB IPATH SER B S&P 500 VIX SHOR LONG 1,110 25.01 4/23 15:30 25.00 0.04%
Trade id #123405270
Max drawdown($11)
Time4/23/19 15:30
Quant open0
Worst price25.00
Drawdown as % of equity-0.04%
($19)
Includes Typical Broker Commissions trade costs of $7.50
4/23/19 15:30 VXXB IPATH SER B S&P 500 VIX SHOR SHORT 555 25.00 4/23 15:30 25.01 0.02%
Trade id #123405267
Max drawdown($6)
Time4/23/19 15:30
Quant open0
Worst price25.01
Drawdown as % of equity-0.02%
($11)
Includes Typical Broker Commissions trade costs of $5.00
4/23/19 15:30 VXXB IPATH SER B S&P 500 VIX SHOR LONG 555 25.01 4/23 15:30 25.00 0.02%
Trade id #123405264
Max drawdown($6)
Time4/23/19 15:30
Quant open0
Worst price25.00
Drawdown as % of equity-0.02%
($11)
Includes Typical Broker Commissions trade costs of $5.00
4/23/19 9:30 VXXB IPATH SER B S&P 500 VIX SHOR SHORT 555 25.19 4/23 15:30 25.01 0.07%
Trade id #123398941
Max drawdown($22)
Time4/23/19 9:33
Quant open-555
Worst price25.23
Drawdown as % of equity-0.07%
$95
Includes Typical Broker Commissions trade costs of $5.00
4/16/19 10:31 VXXB IPATH SER B S&P 500 VIX SHOR SHORT 1,917 25.57 4/16 14:08 25.68 0.65%
Trade id #123328009
Max drawdown($203)
Time4/16/19 14:08
Quant open1,507
Worst price25.74
Drawdown as % of equity-0.65%
($220)
Includes Typical Broker Commissions trade costs of $16.83
4/15/19 10:30 VXXB IPATH SER B S&P 500 VIX SHOR LONG 529 26.52 4/15 15:59 25.90 1.12%
Trade id #123314331
Max drawdown($354)
Time4/15/19 15:09
Quant open529
Worst price25.85
Drawdown as % of equity-1.12%
($333)
Includes Typical Broker Commissions trade costs of $5.00
4/12/19 12:50 VXXB IPATH SER B S&P 500 VIX SHOR SHORT 526 26.60 4/12 15:25 26.44 0.08%
Trade id #123298682
Max drawdown($26)
Time4/12/19 13:49
Quant open-526
Worst price26.65
Drawdown as % of equity-0.08%
$79
Includes Typical Broker Commissions trade costs of $5.00
4/11/19 10:09 VXXB IPATH SER B S&P 500 VIX SHOR SHORT 1,018 27.54 4/11 15:59 27.48 0.95%
Trade id #123281580
Max drawdown($300)
Time4/11/19 11:41
Quant open-1,018
Worst price27.84
Drawdown as % of equity-0.95%
$59
Includes Typical Broker Commissions trade costs of $7.50
4/4/19 9:30 VXXB IPATH SER B S&P 500 VIX SHOR SHORT 732 28.68 4/4 15:59 28.60 0.88%
Trade id #123198933
Max drawdown($278)
Time4/4/19 12:18
Quant open-732
Worst price29.06
Drawdown as % of equity-0.88%
$49
Includes Typical Broker Commissions trade costs of $9.82
3/29/19 9:30 VXXB IPATH SER B S&P 500 VIX SHOR SHORT 464 29.58 3/29 15:31 29.43 0.34%
Trade id #123125036
Max drawdown($106)
Time3/29/19 13:21
Quant open-464
Worst price29.81
Drawdown as % of equity-0.34%
$62
Includes Typical Broker Commissions trade costs of $9.28

Statistics

  • Strategy began
    11/5/2018
  • Suggested Minimum Cap
    $35,000
  • Strategy Age (days)
    199.46
  • Age
    7 months ago
  • What it trades
    Stocks
  • # Trades
    102
  • # Profitable
    48
  • % Profitable
    47.10%
  • Avg trade duration
    3.5 hours
  • Max peak-to-valley drawdown
    17.62%
  • drawdown period
    Jan 15, 2019 - May 22, 2019
  • Cumul. Return
    13.2%
  • Avg win
    $359.21
  • Avg loss
    $217.91
  • Model Account Values (Raw)
  • Cash
    $30,475
  • Margin Used
    $0
  • Buying Power
    $30,475
  • Ratios
  • W:L ratio
    1.47:1
  • Sharpe Ratio
    1.27
  • Sortino Ratio
    2.42
  • Calmar Ratio
    3.854
  • CORRELATION STATISTICS
  • Correlation to SP500
    0.07180
  • Return Statistics
  • Ann Return (w trading costs)
    25.1%
  • Ann Return (Compnd, No Fees)
    43.4%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    n/a
  • 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)
    889
  • Trades-Own-System Certification
  • Trades Own System?
    0
  • TOS percent
    n/a
  • Subscription Price
  • Billing Period (days)
    30
  • Trial Days
    0
  • Win / Loss
  • Avg Loss
    $218
  • Avg Win
    $359
  • # Winners
    48
  • # Losers
    54
  • % Winners
    47.1%
  • Frequency
  • Avg Position Time (mins)
    210.08
  • Avg Position Time (hrs)
    3.50
  • Avg Trade Length
    0.1 days
  • Last Trade Ago
    0
  • Unknown
  • Alpha
    0.06
  • Beta
    0.06
  • Treynor Index
    1.01
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.48132
  • SD
    0.34556
  • Sharpe ratio (Glass type estimate)
    1.39288
  • Sharpe ratio (Hedges UMVUE)
    1.17106
  • df
    5.00000
  • t
    0.98491
  • p
    0.18495
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.56474
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.22766
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.69420
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.03632
  • Statistics related to Sortino ratio
  • Sortino ratio
    6.04753
  • Upside Potential Ratio
    8.29274
  • Upside part of mean
    0.66002
  • Downside part of mean
    -0.17870
  • Upside SD
    0.33538
  • Downside SD
    0.07959
  • N nonnegative terms
    3.00000
  • N negative terms
    3.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    6.00000
  • Mean of predictor
    0.10195
  • Mean of criterion
    0.48132
  • SD of predictor
    0.13112
  • SD of criterion
    0.34556
  • Covariance
    -0.03233
  • r
    -0.71347
  • b (slope, estimate of beta)
    -1.88037
  • a (intercept, estimate of alpha)
    0.67302
  • Mean Square Error
    0.07328
  • DF error
    4.00000
  • t(b)
    -2.03649
  • p(b)
    0.94431
  • t(a)
    1.70712
  • p(a)
    0.08149
  • Lowerbound of 95% confidence interval for beta
    -4.44448
  • Upperbound of 95% confidence interval for beta
    0.68374
  • Lowerbound of 95% confidence interval for alpha
    -0.42179
  • Upperbound of 95% confidence interval for alpha
    1.76783
  • Treynor index (mean / b)
    -0.25597
  • Jensen alpha (a)
    0.67302
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.42769
  • SD
    0.32260
  • Sharpe ratio (Glass type estimate)
    1.32578
  • Sharpe ratio (Hedges UMVUE)
    1.11465
  • df
    5.00000
  • t
    0.93747
  • p
    0.19578
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.61789
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.15155
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.74195
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.97125
  • Statistics related to Sortino ratio
  • Sortino ratio
    5.26305
  • Upside Potential Ratio
    7.50211
  • Upside part of mean
    0.60964
  • Downside part of mean
    -0.18195
  • Upside SD
    0.30881
  • Downside SD
    0.08126
  • N nonnegative terms
    3.00000
  • N negative terms
    3.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    6.00000
  • Mean of predictor
    0.09444
  • Mean of criterion
    0.42769
  • SD of predictor
    0.13043
  • SD of criterion
    0.32260
  • Covariance
    -0.03038
  • r
    -0.72198
  • b (slope, estimate of beta)
    -1.78575
  • a (intercept, estimate of alpha)
    0.59634
  • Mean Square Error
    0.06228
  • DF error
    4.00000
  • t(b)
    -2.08693
  • p(b)
    0.94740
  • t(a)
    1.64711
  • p(a)
    0.08744
  • Lowerbound of 95% confidence interval for beta
    -4.16198
  • Upperbound of 95% confidence interval for beta
    0.59048
  • Lowerbound of 95% confidence interval for alpha
    -0.40908
  • Upperbound of 95% confidence interval for alpha
    1.60177
  • Treynor index (mean / b)
    -0.23950
  • Jensen alpha (a)
    0.59634
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.11089
  • Expected Shortfall on VaR
    0.14432
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.03479
  • Expected Shortfall on VaR
    0.05524
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    6.00000
  • Minimum
    0.95187
  • Quartile 1
    0.97896
  • Median
    0.99092
  • Quartile 3
    1.09806
  • Maximum
    1.19820
  • Mean of quarter 1
    0.96520
  • Mean of quarter 2
    0.98025
  • Mean of quarter 3
    1.00160
  • Mean of quarter 4
    1.16421
  • Inter Quartile Range
    0.11910
  • 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
    0.08550
  • Quartile 1
    0.08550
  • Median
    0.08550
  • Quartile 3
    0.08550
  • Maximum
    0.08550
  • 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)
    0.47686
  • Compounded annual return (geometric extrapolation)
    0.53371
  • Calmar ratio (compounded annual return / max draw down)
    6.24218
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    3.69807
  • 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
    0.38185
  • SD
    0.15224
  • Sharpe ratio (Glass type estimate)
    2.50823
  • Sharpe ratio (Hedges UMVUE)
    2.49477
  • df
    140.00000
  • t
    1.84004
  • p
    0.42317
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.18387
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.19164
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.19287
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.18241
  • Statistics related to Sortino ratio
  • Sortino ratio
    5.25199
  • Upside Potential Ratio
    12.65540
  • Upside part of mean
    0.92013
  • Downside part of mean
    -0.53828
  • Upside SD
    0.13522
  • Downside SD
    0.07271
  • N nonnegative terms
    89.00000
  • N negative terms
    52.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    141.00000
  • Mean of predictor
    0.06172
  • Mean of criterion
    0.38185
  • SD of predictor
    0.17380
  • SD of criterion
    0.15224
  • Covariance
    0.00139
  • r
    0.05244
  • b (slope, estimate of beta)
    0.04594
  • a (intercept, estimate of alpha)
    0.37900
  • Mean Square Error
    0.02328
  • DF error
    139.00000
  • t(b)
    0.61911
  • p(b)
    0.46663
  • t(a)
    1.82191
  • p(a)
    0.40315
  • Lowerbound of 95% confidence interval for beta
    -0.10076
  • Upperbound of 95% confidence interval for beta
    0.19263
  • Lowerbound of 95% confidence interval for alpha
    -0.03230
  • Upperbound of 95% confidence interval for alpha
    0.79034
  • Treynor index (mean / b)
    8.31288
  • Jensen alpha (a)
    0.37902
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.37023
  • SD
    0.15074
  • Sharpe ratio (Glass type estimate)
    2.45614
  • Sharpe ratio (Hedges UMVUE)
    2.44295
  • df
    140.00000
  • t
    1.80182
  • p
    0.42473
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.23530
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.13901
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.24403
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.12994
  • Statistics related to Sortino ratio
  • Sortino ratio
    5.05939
  • Upside Potential Ratio
    12.45160
  • Upside part of mean
    0.91118
  • Downside part of mean
    -0.54095
  • Upside SD
    0.13315
  • Downside SD
    0.07318
  • N nonnegative terms
    89.00000
  • N negative terms
    52.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    141.00000
  • Mean of predictor
    0.04674
  • Mean of criterion
    0.37023
  • SD of predictor
    0.17362
  • SD of criterion
    0.15074
  • Covariance
    0.00125
  • r
    0.04768
  • b (slope, estimate of beta)
    0.04140
  • a (intercept, estimate of alpha)
    0.36830
  • Mean Square Error
    0.02283
  • DF error
    139.00000
  • t(b)
    0.56276
  • p(b)
    0.46966
  • t(a)
    1.78778
  • p(a)
    0.40492
  • Lowerbound of 95% confidence interval for beta
    -0.10404
  • Upperbound of 95% confidence interval for beta
    0.18683
  • Lowerbound of 95% confidence interval for alpha
    -0.03902
  • Upperbound of 95% confidence interval for alpha
    0.77561
  • Treynor index (mean / b)
    8.94376
  • Jensen alpha (a)
    0.36830
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01381
  • Expected Shortfall on VaR
    0.01763
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00383
  • Expected Shortfall on VaR
    0.00812
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    141.00000
  • Minimum
    0.97872
  • Quartile 1
    0.99792
  • Median
    1.00000
  • Quartile 3
    1.00336
  • Maximum
    1.05601
  • Mean of quarter 1
    0.99235
  • Mean of quarter 2
    0.99960
  • Mean of quarter 3
    1.00108
  • Mean of quarter 4
    1.01307
  • Inter Quartile Range
    0.00543
  • Number outliers low
    7.00000
  • Percentage of outliers low
    0.04965
  • Mean of outliers low
    0.98516
  • Number of outliers high
    13.00000
  • Percentage of outliers high
    0.09220
  • Mean of outliers high
    1.02352
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.46810
  • VaR(95%) (moments method)
    0.00610
  • Expected Shortfall (moments method)
    0.00724
  • Extreme Value Index (regression method)
    -0.25128
  • VaR(95%) (regression method)
    0.00779
  • Expected Shortfall (regression method)
    0.01007
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    4.00000
  • Minimum
    0.00708
  • Quartile 1
    0.00771
  • Median
    0.01572
  • Quartile 3
    0.04670
  • Maximum
    0.11627
  • Mean of quarter 1
    0.00708
  • Mean of quarter 2
    0.00793
  • Mean of quarter 3
    0.02351
  • Mean of quarter 4
    0.11627
  • Inter Quartile Range
    0.03898
  • 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
    0.25000
  • Mean of outliers high
    0.11627
  • 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)
    0.40969
  • Compounded annual return (geometric extrapolation)
    0.44807
  • Calmar ratio (compounded annual return / max draw down)
    3.85363
  • Compounded annual return / average of 25% largest draw downs
    3.85363
  • Compounded annual return / Expected Shortfall lognormal
    25.41120
  • 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
    0.31285
  • SD
    0.15448
  • Sharpe ratio (Glass type estimate)
    2.02515
  • Sharpe ratio (Hedges UMVUE)
    2.01344
  • df
    130.00000
  • t
    1.43200
  • p
    0.43769
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.76132
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.80399
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.76914
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.79603
  • Statistics related to Sortino ratio
  • Sortino ratio
    4.14751
  • Upside Potential Ratio
    11.82830
  • Upside part of mean
    0.89222
  • Downside part of mean
    -0.57937
  • Upside SD
    0.13552
  • Downside SD
    0.07543
  • N nonnegative terms
    79.00000
  • N negative terms
    52.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.10006
  • Mean of criterion
    0.31285
  • SD of predictor
    0.17217
  • SD of criterion
    0.15448
  • Covariance
    0.00122
  • r
    0.04580
  • b (slope, estimate of beta)
    0.04109
  • a (intercept, estimate of alpha)
    0.30874
  • Mean Square Error
    0.02400
  • DF error
    129.00000
  • t(b)
    0.52068
  • p(b)
    0.47086
  • t(a)
    1.40830
  • p(a)
    0.42186
  • Lowerbound of 95% confidence interval for beta
    -0.11505
  • Upperbound of 95% confidence interval for beta
    0.19723
  • Lowerbound of 95% confidence interval for alpha
    -0.12501
  • Upperbound of 95% confidence interval for alpha
    0.74248
  • Treynor index (mean / b)
    7.61350
  • Jensen alpha (a)
    0.30874
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.30099
  • SD
    0.15292
  • Sharpe ratio (Glass type estimate)
    1.96824
  • Sharpe ratio (Hedges UMVUE)
    1.95687
  • df
    130.00000
  • t
    1.39176
  • p
    0.43942
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.81750
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.74660
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.82513
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.73886
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.96462
  • Upside Potential Ratio
    11.63380
  • Upside part of mean
    0.88323
  • Downside part of mean
    -0.58224
  • Upside SD
    0.13338
  • Downside SD
    0.07592
  • N nonnegative terms
    79.00000
  • N negative terms
    52.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.08536
  • Mean of criterion
    0.30099
  • SD of predictor
    0.17196
  • SD of criterion
    0.15292
  • Covariance
    0.00107
  • r
    0.04077
  • b (slope, estimate of beta)
    0.03626
  • a (intercept, estimate of alpha)
    0.29790
  • Mean Square Error
    0.02353
  • DF error
    129.00000
  • t(b)
    0.46349
  • p(b)
    0.47405
  • t(a)
    1.37263
  • p(a)
    0.42380
  • Lowerbound of 95% confidence interval for beta
    -0.11852
  • Upperbound of 95% confidence interval for beta
    0.19104
  • Lowerbound of 95% confidence interval for alpha
    -0.13149
  • Upperbound of 95% confidence interval for alpha
    0.72728
  • Treynor index (mean / b)
    8.30094
  • Jensen alpha (a)
    0.29790
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01429
  • Expected Shortfall on VaR
    0.01817
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00437
  • Expected Shortfall on VaR
    0.00898
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.97872
  • Quartile 1
    0.99754
  • Median
    1.00000
  • Quartile 3
    1.00325
  • Maximum
    1.05601
  • Mean of quarter 1
    0.99185
  • Mean of quarter 2
    0.99937
  • Mean of quarter 3
    1.00096
  • Mean of quarter 4
    1.01259
  • Inter Quartile Range
    0.00571
  • Number outliers low
    5.00000
  • Percentage of outliers low
    0.03817
  • Mean of outliers low
    0.98335
  • Number of outliers high
    12.00000
  • Percentage of outliers high
    0.09160
  • Mean of outliers high
    1.02390
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.91127
  • VaR(95%) (moments method)
    0.00683
  • Expected Shortfall (moments method)
    0.00747
  • Extreme Value Index (regression method)
    -0.29116
  • VaR(95%) (regression method)
    0.00825
  • Expected Shortfall (regression method)
    0.01042
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    4.00000
  • Minimum
    0.00708
  • Quartile 1
    0.00771
  • Median
    0.01572
  • Quartile 3
    0.04670
  • Maximum
    0.11627
  • Mean of quarter 1
    0.00708
  • Mean of quarter 2
    0.00793
  • Mean of quarter 3
    0.02351
  • Mean of quarter 4
    0.11627
  • Inter Quartile Range
    0.03898
  • 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
    0.25000
  • Mean of outliers high
    0.11627
  • 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)
    0.32482
  • Compounded annual return (geometric extrapolation)
    0.35120
  • Calmar ratio (compounded annual return / max draw down)
    3.02046
  • Compounded annual return / average of 25% largest draw downs
    3.02046
  • Compounded annual return / Expected Shortfall lognormal
    19.33290

Strategy Description

Day trading strategy. More info could be found here https://forums.collective2.com/t/day-trading-yes/12475/44
or email me at robertpeterson.p@gmail.com
Robert

Summary Statistics

Strategy began
2018-11-05
Suggested Minimum Capital
$35,000
# Trades
102
# Profitable
48
% Profitable
47.1%
Correlation S&P500
0.072
Sharpe Ratio
1.27
Sortino Ratio
2.42
Beta
0.06
Alpha
0.06

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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