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VIXTrader Day Trading
(120721348)

Created by: Robert_Peterson Robert_Peterson
Started: 11/2018
Stocks
Last trade: 8 days ago
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.

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: 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).
8.4%
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.

(23.4%)
Max Drawdown
125
Num Trades
46.4%
Win Trades
1.4 : 1
Profit Factor
30.0%
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%)(5.4%)(1.5%)+0.5%(1.7%)                        (13.8%)

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.

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
8/14/19 11:30 VXX IPATH SER B S&P 500 VIX SHORT-TERM FUTURES ETN LONG 443 29.36 8/14 15:59 30.37 0.52%
Trade id #124932025
Max drawdown($138)
Time8/14/19 11:30
Quant open443
Worst price29.05
Drawdown as % of equity-0.52%
$438
Includes Typical Broker Commissions trade costs of $8.86
8/13/19 10:16 VXX IPATH SER B S&P 500 VIX SHORT-TERM FUTURES ETN SHORT 478 27.18 8/13 14:48 26.89 0.9%
Trade id #124906847
Max drawdown($239)
Time8/13/19 10:16
Quant open478
Worst price27.68
Drawdown as % of equity-0.90%
$129
Includes Typical Broker Commissions trade costs of $9.56
8/9/19 10:01 VXX IPATH SER B S&P 500 VIX SHORT-TERM FUTURES ETN LONG 961 27.04 8/12 9:31 26.94 1.89%
Trade id #124855770
Max drawdown($503)
Time8/9/19 10:01
Quant open961
Worst price26.52
Drawdown as % of equity-1.89%
($117)
Includes Typical Broker Commissions trade costs of $19.22
8/1/19 10:30 VXX IPATH SER B S&P 500 VIX SHORT-TERM FUTURES ETN SHORT 1,141 22.77 8/1 13:30 23.40 2.69%
Trade id #124716948
Max drawdown($724)
Time8/1/19 13:30
Quant open567
Worst price23.56
Drawdown as % of equity-2.69%
($734)
Includes Typical Broker Commissions trade costs of $10.00
7/31/19 12:12 VXX IPATH SER B S&P 500 VIX SHORT-TERM FUTURES ETN SHORT 590 22.08 7/31 14:40 22.60 1.18%
Trade id #124698229
Max drawdown($330)
Time7/31/19 12:12
Quant open590
Worst price22.64
Drawdown as % of equity-1.18%
($312)
Includes Typical Broker Commissions trade costs of $5.00
7/29/19 11:30 VXX IPATH SER B S&P 500 VIX SHORT-TERM FUTURES ETN SHORT 601 21.62 7/29 15:59 21.78 0.43%
Trade id #124659532
Max drawdown($120)
Time7/29/19 11:30
Quant open601
Worst price21.82
Drawdown as % of equity-0.43%
($101)
Includes Typical Broker Commissions trade costs of $5.00
7/26/19 10:18 VXX IPATH SER B S&P 500 VIX SHORT-TERM FUTURES ETN SHORT 602 21.58 7/26 15:45 21.60 0.28%
Trade id #124631939
Max drawdown($77)
Time7/26/19 10:18
Quant open602
Worst price21.71
Drawdown as % of equity-0.28%
($17)
Includes Typical Broker Commissions trade costs of $5.00
7/24/19 10:11 VXX IPATH SER B S&P 500 VIX SHORT-TERM FUTURES ETN SHORT 1,184 21.94 7/25 9:30 21.66 2.82%
Trade id #124592855
Max drawdown($781)
Time7/24/19 10:11
Quant open1,184
Worst price22.60
Drawdown as % of equity-2.82%
$324
Includes Typical Broker Commissions trade costs of $7.50
7/23/19 13:42 VXX IPATH SER B S&P 500 VIX SHORT-TERM FUTURES ETN SHORT 580 22.42 7/23 15:59 22.13 0.11%
Trade id #124582274
Max drawdown($29)
Time7/23/19 13:42
Quant open580
Worst price22.47
Drawdown as % of equity-0.11%
$163
Includes Typical Broker Commissions trade costs of $5.00
7/22/19 12:38 VXX IPATH SER B S&P 500 VIX SHORT-TERM FUTURES ETN SHORT 565 23.02 7/22 15:59 22.90 0.17%
Trade id #124566757
Max drawdown($48)
Time7/22/19 12:38
Quant open565
Worst price23.11
Drawdown as % of equity-0.17%
$63
Includes Typical Broker Commissions trade costs of $5.00
7/12/19 9:30 VXX IPATH SER B S&P 500 VIX SHORT-TERM FUTURES ETN SHORT 1,122 23.04 7/12 15:59 22.96 0.37%
Trade id #124434308
Max drawdown($100)
Time7/12/19 9:30
Quant open1,122
Worst price23.13
Drawdown as % of equity-0.37%
$77
Includes Typical Broker Commissions trade costs of $7.50
7/10/19 12:33 VXX IPATH SER B S&P 500 VIX SHORT-TERM FUTURES ETN SHORT 551 23.61 7/11 9:30 23.23 0.18%
Trade id #124406099
Max drawdown($49)
Time7/10/19 12:33
Quant open551
Worst price23.70
Drawdown as % of equity-0.18%
$204
Includes Typical Broker Commissions trade costs of $5.00
7/5/19 13:30 VXX IPATH SER B S&P 500 VIX SHORT-TERM FUTURES ETN SHORT 550 23.65 7/5 15:59 23.69 0.28%
Trade id #124351425
Max drawdown($77)
Time7/5/19 13:30
Quant open550
Worst price23.79
Drawdown as % of equity-0.28%
($27)
Includes Typical Broker Commissions trade costs of $5.00
7/5/19 10:39 VXX IPATH SER B S&P 500 VIX SHORT-TERM FUTURES ETN LONG 539 24.62 7/5 10:41 24.62 0.06%
Trade id #124347518
Max drawdown($16)
Time7/5/19 10:39
Quant open539
Worst price24.59
Drawdown as % of equity-0.06%
($5)
Includes Typical Broker Commissions trade costs of $5.00
7/2/19 9:37 VXX IPATH SER B S&P 500 VIX SHORT-TERM FUTURES ETN SHORT 530 24.50 7/2 12:33 24.53 0.06%
Trade id #124306741
Max drawdown($16)
Time7/2/19 12:33
Quant open530
Worst price24.53
Drawdown as % of equity-0.06%
($21)
Includes Typical Broker Commissions trade costs of $5.00
6/28/19 12:20 VXX IPATH SER B S&P 500 VIX SHORT-TERM FUTURES ETN SHORT 500 26.02 6/28 15:59 25.95 0.28%
Trade id #124269819
Max drawdown($77)
Time6/28/19 12:20
Quant open500
Worst price26.18
Drawdown as % of equity-0.28%
$25
Includes Typical Broker Commissions trade costs of $10.00
6/11/19 9:33 VXX IPATH SER B S&P 500 VIX SHORT-TERM FUTURES ETN SHORT 504 27.37 6/11 12:15 28.28 1.52%
Trade id #124026650
Max drawdown($459)
Time6/11/19 12:15
Quant open0
Worst price28.28
Drawdown as % of equity-1.52%
($464)
Includes Typical Broker Commissions trade costs of $5.00
6/6/19 11:31 VXX IPATH SER B S&P 500 VIX SHORT-TERM FUTURES ETN SHORT 500 28.03 6/6 14:01 28.19 0.52%
Trade id #123964228
Max drawdown($158)
Time6/6/19 11:50
Quant open-500
Worst price28.35
Drawdown as % of equity-0.52%
($89)
Includes Typical Broker Commissions trade costs of $10.00
6/5/19 11:37 VXX IPATH SER B S&P 500 VIX SHORT-TERM FUTURES ETN SHORT 485 28.82 6/5 15:59 28.41 0.34%
Trade id #123950139
Max drawdown($101)
Time6/5/19 12:34
Quant open-485
Worst price29.03
Drawdown as % of equity-0.34%
$189
Includes Typical Broker Commissions trade costs of $9.70
6/5/19 10:49 VXX IPATH SER B S&P 500 VIX SHORT-TERM FUTURES ETN LONG 479 29.25 6/5 11:30 28.85 0.68%
Trade id #123948948
Max drawdown($205)
Time6/5/19 11:29
Quant open479
Worst price28.82
Drawdown as % of equity-0.68%
($202)
Includes Typical Broker Commissions trade costs of $9.58
6/4/19 10:34 VXX IPATH SER B S&P 500 VIX SHORT-TERM FUTURES ETN SHORT 949 29.48 6/5 9:46 29.14 0.28%
Trade id #123932446
Max drawdown($84)
Time6/4/19 10:47
Quant open-472
Worst price29.80
Drawdown as % of equity-0.28%
$311
Includes Typical Broker Commissions trade costs of $15.57
5/31/19 11:03 VXX IPATH SER B S&P 500 VIX SHORT-TERM FUTURES ETN SHORT 464 30.15 5/31 15:59 30.49 0.85%
Trade id #123890136
Max drawdown($255)
Time5/31/19 14:37
Quant open-464
Worst price30.70
Drawdown as % of equity-0.85%
($167)
Includes Typical Broker Commissions trade costs of $9.28
5/29/19 11:41 VXX IPATH SER B S&P 500 VIX SHORT-TERM FUTURES ETN LONG 462 30.28 5/29 13:10 29.71 0.86%
Trade id #123861705
Max drawdown($263)
Time5/29/19 12:28
Quant open462
Worst price29.71
Drawdown as % of equity-0.86%
($272)
Includes Typical Broker Commissions trade costs of $9.24
5/23/19 10:07 VXX IPATH SER B S&P 500 VIX SHORT-TERM FUTURES ETN LONG 486 28.70 5/23 15:34 28.70 0.64%
Trade id #123794855
Max drawdown($194)
Time5/23/19 10:56
Quant open486
Worst price28.30
Drawdown as % of equity-0.64%
($10)
Includes Typical Broker Commissions trade costs of $9.72
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%
$22
Includes Typical Broker Commissions trade costs of $11.34
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

Statistics

  • Strategy began
    11/5/2018
  • Suggested Minimum Cap
    $35,000
  • Strategy Age (days)
    290.45
  • Age
    10 months ago
  • What it trades
    Stocks
  • # Trades
    125
  • # Profitable
    58
  • % Profitable
    46.40%
  • Avg trade duration
    4.5 hours
  • Max peak-to-valley drawdown
    23.38%
  • drawdown period
    Jan 15, 2019 - Aug 09, 2019
  • Cumul. Return
    8.4%
  • Avg win
    $331.88
  • Avg loss
    $211.84
  • Model Account Values (Raw)
  • Cash
    $30,056
  • Margin Used
    $0
  • Buying Power
    $30,056
  • Ratios
  • W:L ratio
    1.36:1
  • Sharpe Ratio
    0.62
  • Sortino Ratio
    1.07
  • Calmar Ratio
    1.808
  • CORRELATION STATISTICS
  • Correlation to SP500
    0.09320
  • Return Statistics
  • Ann Return (w trading costs)
    10.5%
  • Ann Return (Compnd, No Fees)
    26.0%
  • 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)
    823
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $212
  • Avg Win
    $332
  • # Winners
    58
  • # Losers
    67
  • % Winners
    46.4%
  • Frequency
  • Avg Position Time (mins)
    268.00
  • Avg Position Time (hrs)
    4.47
  • Avg Trade Length
    0.2 days
  • Last Trade Ago
    8
  • Regression
  • Alpha
    0.03
  • Beta
    0.08
  • Treynor Index
    0.36
  • Maximum Adverse Excursion (MAE)
  • Avg(MAE) / Avg(PL) - All trades
    7.311
  • Avg(MAE) / Avg(PL) - Winning trades
    0.480
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.165
  • Hold-and-Hope Ratio
    0.135
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.23274
  • SD
    0.29174
  • Sharpe ratio (Glass type estimate)
    0.79775
  • Sharpe ratio (Hedges UMVUE)
    0.72013
  • df
    8.00000
  • t
    0.69087
  • p
    0.25460
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.52153
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.06964
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.57038
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.01065
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.74548
  • Upside Potential Ratio
    5.15983
  • Upside part of mean
    0.43740
  • Downside part of mean
    -0.20467
  • Upside SD
    0.27015
  • Downside SD
    0.08477
  • N nonnegative terms
    3.00000
  • N negative terms
    6.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    9.00000
  • Mean of predictor
    0.06758
  • Mean of criterion
    0.23274
  • SD of predictor
    0.12272
  • SD of criterion
    0.29174
  • Covariance
    -0.01848
  • r
    -0.51628
  • b (slope, estimate of beta)
    -1.22731
  • a (intercept, estimate of alpha)
    0.31568
  • Mean Square Error
    0.07135
  • DF error
    7.00000
  • t(b)
    -1.59494
  • p(b)
    0.92262
  • t(a)
    1.00927
  • p(a)
    0.17323
  • Lowerbound of 95% confidence interval for beta
    -3.04689
  • Upperbound of 95% confidence interval for beta
    0.59228
  • Lowerbound of 95% confidence interval for alpha
    -0.42393
  • Upperbound of 95% confidence interval for alpha
    1.05529
  • Treynor index (mean / b)
    -0.18963
  • Jensen alpha (a)
    0.31568
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.19594
  • SD
    0.27244
  • Sharpe ratio (Glass type estimate)
    0.71919
  • Sharpe ratio (Hedges UMVUE)
    0.64921
  • df
    8.00000
  • t
    0.62284
  • p
    0.27537
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.59189
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.98719
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.63620
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.93463
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.27036
  • Upside Potential Ratio
    4.67890
  • Upside part of mean
    0.40380
  • Downside part of mean
    -0.20786
  • Upside SD
    0.24846
  • Downside SD
    0.08630
  • N nonnegative terms
    3.00000
  • N negative terms
    6.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    9.00000
  • Mean of predictor
    0.06063
  • Mean of criterion
    0.19594
  • SD of predictor
    0.12194
  • SD of criterion
    0.27244
  • Covariance
    -0.01733
  • r
    -0.52168
  • b (slope, estimate of beta)
    -1.16556
  • a (intercept, estimate of alpha)
    0.26661
  • Mean Square Error
    0.06174
  • DF error
    7.00000
  • t(b)
    -1.61783
  • p(b)
    0.92513
  • t(a)
    0.91862
  • p(a)
    0.19443
  • Lowerbound of 95% confidence interval for beta
    -2.86915
  • Upperbound of 95% confidence interval for beta
    0.53804
  • Lowerbound of 95% confidence interval for alpha
    -0.41968
  • Upperbound of 95% confidence interval for alpha
    0.95290
  • Treynor index (mean / b)
    -0.16811
  • Jensen alpha (a)
    0.26661
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.10688
  • Expected Shortfall on VaR
    0.13539
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.04453
  • Expected Shortfall on VaR
    0.06286
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    9.00000
  • Minimum
    0.95187
  • Quartile 1
    0.97853
  • Median
    0.98403
  • Quartile 3
    1.00663
  • Maximum
    1.19820
  • Mean of quarter 1
    0.96486
  • Mean of quarter 2
    0.98214
  • Mean of quarter 3
    1.00411
  • Mean of quarter 4
    1.16421
  • Inter Quartile Range
    0.02810
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.22222
  • Mean of outliers high
    1.16421
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -8.80003
  • VaR(95%) (moments method)
    0.03723
  • Expected Shortfall (moments method)
    0.03723
  • Extreme Value Index (regression method)
    -1.22016
  • VaR(95%) (regression method)
    0.05570
  • Expected Shortfall (regression method)
    0.05808
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    1.00000
  • Minimum
    0.12658
  • Quartile 1
    0.12658
  • Median
    0.12658
  • Quartile 3
    0.12658
  • Maximum
    0.12658
  • 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)
    0.24373
  • Compounded annual return (geometric extrapolation)
    0.25088
  • Calmar ratio (compounded annual return / max draw down)
    1.98196
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    1.85298
  • 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
    0.21766
  • SD
    0.13364
  • Sharpe ratio (Glass type estimate)
    1.62873
  • Sharpe ratio (Hedges UMVUE)
    1.62271
  • df
    203.00000
  • t
    1.43719
  • p
    0.07610
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.60003
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.85361
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.60407
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.84949
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.12787
  • Upside Potential Ratio
    10.32190
  • Upside part of mean
    0.71829
  • Downside part of mean
    -0.50062
  • Upside SD
    0.11450
  • Downside SD
    0.06959
  • N nonnegative terms
    75.00000
  • N negative terms
    129.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    204.00000
  • Mean of predictor
    0.07218
  • Mean of criterion
    0.21766
  • SD of predictor
    0.16606
  • SD of criterion
    0.13364
  • Covariance
    0.00173
  • r
    0.07781
  • b (slope, estimate of beta)
    0.06262
  • a (intercept, estimate of alpha)
    0.21300
  • Mean Square Error
    0.01784
  • DF error
    202.00000
  • t(b)
    1.10927
  • p(b)
    0.13432
  • t(a)
    1.40763
  • p(a)
    0.08039
  • Lowerbound of 95% confidence interval for beta
    -0.04869
  • Upperbound of 95% confidence interval for beta
    0.17393
  • Lowerbound of 95% confidence interval for alpha
    -0.08542
  • Upperbound of 95% confidence interval for alpha
    0.51171
  • Treynor index (mean / b)
    3.47589
  • Jensen alpha (a)
    0.21314
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.20877
  • SD
    0.13247
  • Sharpe ratio (Glass type estimate)
    1.57601
  • Sharpe ratio (Hedges UMVUE)
    1.57018
  • df
    203.00000
  • t
    1.39067
  • p
    0.08292
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.65231
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.80061
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.65624
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.79661
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.98098
  • Upside Potential Ratio
    10.16320
  • Upside part of mean
    0.71179
  • Downside part of mean
    -0.50301
  • Upside SD
    0.11280
  • Downside SD
    0.07004
  • N nonnegative terms
    75.00000
  • N negative terms
    129.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    204.00000
  • Mean of predictor
    0.05845
  • Mean of criterion
    0.20877
  • SD of predictor
    0.16606
  • SD of criterion
    0.13247
  • Covariance
    0.00163
  • r
    0.07406
  • b (slope, estimate of beta)
    0.05908
  • a (intercept, estimate of alpha)
    0.20532
  • Mean Square Error
    0.01754
  • DF error
    202.00000
  • t(b)
    1.05549
  • p(b)
    0.14623
  • t(a)
    1.36773
  • p(a)
    0.08646
  • Lowerbound of 95% confidence interval for beta
    -0.05129
  • Upperbound of 95% confidence interval for beta
    0.16945
  • Lowerbound of 95% confidence interval for alpha
    -0.09068
  • Upperbound of 95% confidence interval for alpha
    0.50132
  • Treynor index (mean / b)
    3.53371
  • Jensen alpha (a)
    0.20532
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01258
  • Expected Shortfall on VaR
    0.01595
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00506
  • Expected Shortfall on VaR
    0.01003
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    204.00000
  • Minimum
    0.97872
  • Quartile 1
    0.99845
  • Median
    1.00000
  • Quartile 3
    1.00255
  • Maximum
    1.05601
  • Mean of quarter 1
    0.99293
  • Mean of quarter 2
    0.99970
  • Mean of quarter 3
    1.00055
  • Mean of quarter 4
    1.01058
  • Inter Quartile Range
    0.00411
  • Number outliers low
    19.00000
  • Percentage of outliers low
    0.09314
  • Mean of outliers low
    0.98796
  • Number of outliers high
    22.00000
  • Percentage of outliers high
    0.10784
  • Mean of outliers high
    1.01807
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.20637
  • VaR(95%) (moments method)
    0.00593
  • Expected Shortfall (moments method)
    0.00965
  • Extreme Value Index (regression method)
    0.00296
  • VaR(95%) (regression method)
    0.00677
  • Expected Shortfall (regression method)
    0.00981
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    4.00000
  • Minimum
    0.00708
  • Quartile 1
    0.00771
  • Median
    0.01572
  • Quartile 3
    0.05455
  • Maximum
    0.14769
  • Mean of quarter 1
    0.00708
  • Mean of quarter 2
    0.00793
  • Mean of quarter 3
    0.02351
  • Mean of quarter 4
    0.14769
  • Inter Quartile Range
    0.04684
  • 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
    0.14769
  • 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)
    0.25989
  • Compounded annual return (geometric extrapolation)
    0.26704
  • Calmar ratio (compounded annual return / max draw down)
    1.80807
  • Compounded annual return / average of 25% largest draw downs
    1.80807
  • Compounded annual return / Expected Shortfall lognormal
    16.74090
  • 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
    -0.12139
  • SD
    0.08632
  • Sharpe ratio (Glass type estimate)
    -1.40625
  • Sharpe ratio (Hedges UMVUE)
    -1.39812
  • df
    130.00000
  • t
    -0.99437
  • p
    0.54344
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -4.18066
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.37349
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -4.17513
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.37889
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.83778
  • Upside Potential Ratio
    5.38347
  • Upside part of mean
    0.35560
  • Downside part of mean
    -0.47699
  • Upside SD
    0.05557
  • Downside SD
    0.06605
  • N nonnegative terms
    38.00000
  • N negative terms
    93.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.08802
  • Mean of criterion
    -0.12139
  • SD of predictor
    0.13048
  • SD of criterion
    0.08632
  • Covariance
    0.00057
  • r
    0.05076
  • b (slope, estimate of beta)
    0.03358
  • a (intercept, estimate of alpha)
    -0.12435
  • Mean Square Error
    0.00749
  • DF error
    129.00000
  • t(b)
    0.57729
  • p(b)
    0.46770
  • t(a)
    -1.01508
  • p(a)
    0.55660
  • Lowerbound of 95% confidence interval for beta
    -0.08151
  • Upperbound of 95% confidence interval for beta
    0.14868
  • Lowerbound of 95% confidence interval for alpha
    -0.36672
  • Upperbound of 95% confidence interval for alpha
    0.11802
  • Treynor index (mean / b)
    -3.61477
  • Jensen alpha (a)
    -0.12435
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.12511
  • SD
    0.08641
  • Sharpe ratio (Glass type estimate)
    -1.44789
  • Sharpe ratio (Hedges UMVUE)
    -1.43953
  • df
    130.00000
  • t
    -1.02382
  • p
    0.54472
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -4.22250
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.33215
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -4.21685
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.33780
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.88238
  • Upside Potential Ratio
    5.32663
  • Upside part of mean
    0.35403
  • Downside part of mean
    -0.47914
  • Upside SD
    0.05524
  • Downside SD
    0.06646
  • N nonnegative terms
    38.00000
  • N negative terms
    93.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.07952
  • Mean of criterion
    -0.12511
  • SD of predictor
    0.13090
  • SD of criterion
    0.08641
  • Covariance
    0.00056
  • r
    0.04934
  • b (slope, estimate of beta)
    0.03257
  • a (intercept, estimate of alpha)
    -0.12770
  • Mean Square Error
    0.00751
  • DF error
    129.00000
  • t(b)
    0.56109
  • p(b)
    0.46860
  • t(a)
    -1.04151
  • p(a)
    0.55805
  • Lowerbound of 95% confidence interval for beta
    -0.08228
  • Upperbound of 95% confidence interval for beta
    0.14742
  • Lowerbound of 95% confidence interval for alpha
    -0.37029
  • Upperbound of 95% confidence interval for alpha
    0.11489
  • Treynor index (mean / b)
    -3.84132
  • Jensen alpha (a)
    -0.12770
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00922
  • Expected Shortfall on VaR
    0.01142
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00517
  • Expected Shortfall on VaR
    0.01011
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.98164
  • Quartile 1
    0.99832
  • Median
    1.00000
  • Quartile 3
    1.00092
  • Maximum
    1.01703
  • Mean of quarter 1
    0.99348
  • Mean of quarter 2
    0.99960
  • Mean of quarter 3
    1.00008
  • Mean of quarter 4
    1.00543
  • Inter Quartile Range
    0.00260
  • Number outliers low
    14.00000
  • Percentage of outliers low
    0.10687
  • Mean of outliers low
    0.98892
  • Number of outliers high
    13.00000
  • Percentage of outliers high
    0.09924
  • Mean of outliers high
    1.00961
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.42581
  • VaR(95%) (moments method)
    0.00632
  • Expected Shortfall (moments method)
    0.01296
  • Extreme Value Index (regression method)
    0.07575
  • VaR(95%) (regression method)
    0.00679
  • Expected Shortfall (regression method)
    0.01026
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    6.00000
  • Minimum
    0.00092
  • Quartile 1
    0.00243
  • Median
    0.00453
  • Quartile 3
    0.00914
  • Maximum
    0.09446
  • Mean of quarter 1
    0.00166
  • Mean of quarter 2
    0.00249
  • Mean of quarter 3
    0.00656
  • Mean of quarter 4
    0.05223
  • Inter Quartile Range
    0.00671
  • 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
    0.16667
  • Mean of outliers high
    0.09446
  • 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)
    -0.09488
  • Compounded annual return (geometric extrapolation)
    -0.09263
  • Calmar ratio (compounded annual return / max draw down)
    -0.98059
  • Compounded annual return / average of 25% largest draw downs
    -1.77350
  • Compounded annual return / Expected Shortfall lognormal
    -8.11017

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
125
# Profitable
58
% Profitable
46.4%
Correlation S&P500
0.093
Sharpe Ratio
0.62
Sortino Ratio
1.07
Beta
0.08
Alpha
0.03

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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