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QuantAlphaMR
(68456563)

Created by: TimSimons TimSimons
Started: 11/2011
Stocks
Last trade: 9 days ago

Subscriptions not available

No subscriptions are currently available for this strategy because the strategy manager has capped the maximum number of subscribers.

Subscription terms. Subscriptions to this system cost $39.00 per month.

8.8%
Annual Return (Compounded)

Rate of Return Calculations

Overview

To comply with NFA regulations, we display Cumulative Rate of Return for strategies with a track record of less than one year. For strategies with longer track records, we display Annualized (Compounded) Rate of Return.

How Annualized (Compounded) Rate of Return is calculated

= ((Ending_equity / Starting_equity) ^ (1 / age_in_years)) - 1

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

All results are hypothetical.

(12.2%)
Max Drawdown
4756
Num Trades
69.2%
Win Trades
1.7 : 1
Profit Factor
69.7%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2011                                                                        -  +0.9%+0.9%
2012(0.9%)+1.3%+3.3%+2.2%(5.5%)+4.7%+3.6%(0.2%)+0.1%+2.0%+3.2%+2.5%+17.1%
2013+2.5%+0.7%(0.2%)+6.0%(2.1%)+3.0%+0.5%+0.6%+2.6%+2.6%+1.0%+2.1%+20.8%
2014(0.7%)+1.2%+1.3%+2.5%+0.6%+0.8%(1.8%)+2.9%(1%)(3.2%)  -  +3.5%+5.9%
2015+2.6%+1.1%+1.9%(0.8%)+1.5%+0.6%+0.5%(0.3%)+1.5%(1.5%)+1.1%+1.5%+10.0%
2016  -  +1.4%(1.4%)+0.4%+2.1%+1.0%+0.4%(0.4%)+2.2%(1.1%)+0.6%(0.6%)+4.5%
2017+1.3%+0.6%+0.7%+0.9%+0.7%  -  +0.1%+0.6%+0.5%+0.2%+0.9%+0.9%+7.6%
2018+1.0%+1.3%(0.9%)(0.1%)+0.5%(1.2%)+2.4%+1.3%+1.2%(4.6%)+1.7%(1.3%)+1.1%
2019(2.5%)  -  +0.7%                                                      (1.8%)

Model Account Details

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

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

System developer has asked us to delay this information by 168 hours.

Trading Record

This strategy has placed 3,929 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
3/6/19 9:30 AON AON LONG 18 166.37 3/15 9:31 168.72 0.06%
Trade id #122802267
Max drawdown($109)
Time3/8/19 10:26
Quant open18
Worst price160.29
Drawdown as % of equity-0.06%
$42
Includes Typical Broker Commissions trade costs of $0.36
3/8/19 9:30 CFG CITIZENS FINANCIAL GROUP INC LONG 83 34.53 3/15 9:30 35.68 0%
Trade id #122833816
Max drawdown($2)
Time3/8/19 9:35
Quant open83
Worst price34.50
Drawdown as % of equity-0.00%
$93
Includes Typical Broker Commissions trade costs of $1.66
3/8/19 9:30 LRCX LAM RESEARCH LONG 17 164.70 3/15 9:30 181.00 0%
Trade id #122833746
Max drawdown($4)
Time3/8/19 9:32
Quant open17
Worst price164.44
Drawdown as % of equity-0.00%
$277
Includes Typical Broker Commissions trade costs of $0.34
3/12/19 9:30 GWW W.W. GRAINGER LONG 9 295.71 3/14 9:30 299.67 0.01%
Trade id #122876746
Max drawdown($23)
Time3/12/19 10:11
Quant open9
Worst price293.10
Drawdown as % of equity-0.01%
$36
Includes Typical Broker Commissions trade costs of $0.18
3/8/19 9:30 BK BANK OF NEW YORK MELLON LONG 56 50.83 3/14 9:30 52.34 0%
Trade id #122833832
Max drawdown($6)
Time3/8/19 9:32
Quant open56
Worst price50.72
Drawdown as % of equity-0.00%
$84
Includes Typical Broker Commissions trade costs of $1.12
3/11/19 9:30 REG REGENCY CENTERS LONG 45 63.89 3/13 9:30 64.95 0%
Trade id #122862085
Max drawdown($7)
Time3/11/19 11:19
Quant open45
Worst price63.73
Drawdown as % of equity-0.00%
$47
Includes Typical Broker Commissions trade costs of $0.90
3/7/19 9:30 NEM NEWMONT MINING LONG 87 33.07 3/13 9:30 34.88 0.03%
Trade id #122817235
Max drawdown($53)
Time3/11/19 10:47
Quant open87
Worst price32.46
Drawdown as % of equity-0.03%
$155
Includes Typical Broker Commissions trade costs of $1.74
3/7/19 9:30 AMD ADVANCED MICRO DEVICES INC. C LONG 129 22.33 3/13 9:30 23.67 0.08%
Trade id #122817223
Max drawdown($167)
Time3/8/19 9:32
Quant open129
Worst price21.04
Drawdown as % of equity-0.08%
$169
Includes Typical Broker Commissions trade costs of $2.58
3/6/19 9:30 NSC NORFOLK SOUTHERN LONG 16 178.29 3/12 9:30 181.11 0.03%
Trade id #122802179
Max drawdown($64)
Time3/8/19 13:01
Quant open16
Worst price174.23
Drawdown as % of equity-0.03%
$45
Includes Typical Broker Commissions trade costs of $0.32
3/7/19 15:59 IWM ISHARES RUSSELL 2000 INDEX LONG 202 151.71 3/12 9:30 154.40 0.11%
Trade id #122826329
Max drawdown($221)
Time3/8/19 9:32
Quant open202
Worst price150.61
Drawdown as % of equity-0.11%
$540
Includes Typical Broker Commissions trade costs of $4.04
3/7/19 9:30 LEN LENNAR LONG 63 46.04 3/12 9:30 48.60 0.01%
Trade id #122817234
Max drawdown($13)
Time3/7/19 9:54
Quant open63
Worst price45.82
Drawdown as % of equity-0.01%
$160
Includes Typical Broker Commissions trade costs of $1.26
3/11/19 9:30 MDLZ MONDELEZ INTERNATIONAL LONG 62 46.61 3/12 9:30 47.14 0%
Trade id #122862096
Max drawdown($5)
Time3/11/19 9:43
Quant open62
Worst price46.52
Drawdown as % of equity-0.00%
$32
Includes Typical Broker Commissions trade costs of $1.24
3/8/19 9:30 SYMC SYMANTEC LONG 132 21.63 3/12 9:30 22.36 0.01%
Trade id #122833855
Max drawdown($17)
Time3/8/19 9:49
Quant open132
Worst price21.50
Drawdown as % of equity-0.01%
$93
Includes Typical Broker Commissions trade costs of $2.64
3/7/19 15:59 SPY SPDR S&P 500 LONG 275 273.98 3/12 9:30 279.09 0.22%
Trade id #122826333
Max drawdown($429)
Time3/8/19 10:07
Quant open275
Worst price272.42
Drawdown as % of equity-0.22%
$1,399
Includes Typical Broker Commissions trade costs of $5.50
2/20/19 9:30 SPY SPDR S&P 500 SHORT 135 277.85 2/25 9:51 281.03 0.22%
Trade id #122599795
Max drawdown($429)
Time2/25/19 9:51
Quant open0
Worst price281.03
Drawdown as % of equity-0.22%
($432)
Includes Typical Broker Commissions trade costs of $2.70
2/13/19 9:30 SPY SPDR S&P 500 SHORT 138 275.06 2/19 14:54 278.52 0.28%
Trade id #122499671
Max drawdown($552)
Time2/15/19 16:18
Quant open-138
Worst price279.06
Drawdown as % of equity-0.28%
($480)
Includes Typical Broker Commissions trade costs of $2.76
2/6/19 15:59 QQQ POWERSHARES QQQ SHORT 122 170.46 2/8 9:30 166.73 0.01%
Trade id #122403015
Max drawdown($19)
Time2/6/19 16:01
Quant open-122
Worst price170.62
Drawdown as % of equity-0.01%
$453
Includes Typical Broker Commissions trade costs of $2.44
2/6/19 9:30 IWM ISHARES RUSSELL 2000 INDEX SHORT 159 151.02 2/8 9:30 149.03 0.03%
Trade id #122389201
Max drawdown($55)
Time2/6/19 9:34
Quant open-159
Worst price151.37
Drawdown as % of equity-0.03%
$313
Includes Typical Broker Commissions trade costs of $3.18
1/7/19 9:30 SPY SPDR S&P 500 SHORT 834 260.62 2/8 9:30 264.20 1.97%
Trade id #121814864
Max drawdown($3,884)
Time2/5/19 15:41
Quant open-303
Worst price273.44
Drawdown as % of equity-1.97%
($3,006)
Includes Typical Broker Commissions trade costs of $16.68
1/22/19 9:30 QQQ POWERSHARES QQQ SHORT 104 164.06 2/4 13:45 169.18 0.27%
Trade id #122105211
Max drawdown($532)
Time2/4/19 13:45
Quant open0
Worst price169.18
Drawdown as % of equity-0.27%
($534)
Includes Typical Broker Commissions trade costs of $2.08
1/9/19 9:59 IWM ISHARES RUSSELL 2000 INDEX SHORT 103 142.51 2/4 11:52 150.27 0.4%
Trade id #121868745
Max drawdown($799)
Time2/4/19 11:52
Quant open0
Worst price150.27
Drawdown as % of equity-0.40%
($801)
Includes Typical Broker Commissions trade costs of $2.06
1/9/19 9:59 QQQ POWERSHARES QQQ SHORT 81 160.53 1/15 9:30 160.00 0.04%
Trade id #121868750
Max drawdown($80)
Time1/9/19 14:10
Quant open-81
Worst price161.52
Drawdown as % of equity-0.04%
$41
Includes Typical Broker Commissions trade costs of $1.62
12/26/18 9:30 PNW PINNACLE WEST CAPITAL LONG 34 85.00 1/9/19 9:30 85.37 0.04%
Trade id #121660530
Max drawdown($88)
Time1/2/19 15:41
Quant open34
Worst price82.41
Drawdown as % of equity-0.04%
$12
Includes Typical Broker Commissions trade costs of $0.68
12/26/18 9:30 O REALTY INCOME LONG 48 60.42 1/9/19 9:30 63.07 0.01%
Trade id #121660517
Max drawdown($15)
Time12/26/18 10:55
Quant open48
Worst price60.10
Drawdown as % of equity-0.01%
$126
Includes Typical Broker Commissions trade costs of $0.96
12/24/18 9:30 VTR VENTAS LONG 48 60.23 1/9/19 9:30 58.50 0.09%
Trade id #121641519
Max drawdown($178)
Time1/2/19 15:49
Quant open48
Worst price56.52
Drawdown as % of equity-0.09%
($84)
Includes Typical Broker Commissions trade costs of $0.96
12/24/18 9:30 EQR EQUITY RESIDENTIAL LONG 43 67.33 1/9/19 9:30 66.49 0.09%
Trade id #121641490
Max drawdown($178)
Time12/26/18 10:55
Quant open43
Worst price63.17
Drawdown as % of equity-0.09%
($37)
Includes Typical Broker Commissions trade costs of $0.86
12/20/18 9:30 MKC MCCORMICK LONG 20 141.39 1/9/19 9:30 140.07 0.08%
Trade id #121591807
Max drawdown($147)
Time12/26/18 10:55
Quant open20
Worst price134.02
Drawdown as % of equity-0.08%
($26)
Includes Typical Broker Commissions trade costs of $0.40
12/31/18 15:59 IWM ISHARES RUSSELL 2000 INDEX SHORT 58 133.66 1/8/19 13:55 141.59 0.23%
Trade id #121727320
Max drawdown($460)
Time1/8/19 13:55
Quant open0
Worst price141.59
Drawdown as % of equity-0.23%
($461)
Includes Typical Broker Commissions trade costs of $1.16
12/18/18 9:30 CAG CONAGRA BRANDS INC LONG 99 29.04 1/7/19 9:30 21.79 0.44%
Trade id #121548739
Max drawdown($873)
Time12/26/18 10:55
Quant open99
Worst price20.22
Drawdown as % of equity-0.44%
($720)
Includes Typical Broker Commissions trade costs of $1.98
12/18/18 9:30 TRIP TRIPADVISOR LONG 80 58.36 1/7/19 9:30 53.74 0.29%
Trade id #121548692
Max drawdown($588)
Time1/3/19 14:27
Quant open80
Worst price51.01
Drawdown as % of equity-0.29%
($372)
Includes Typical Broker Commissions trade costs of $1.60

Statistics

  • Strategy began
    11/30/2011
  • Suggested Minimum Cap
    $35,000
  • Strategy Age (days)
    2670.41
  • Age
    89 months ago
  • What it trades
    Stocks
  • # Trades
    4756
  • # Profitable
    3289
  • % Profitable
    69.20%
  • Avg trade duration
    9.6 days
  • Max peak-to-valley drawdown
    12.25%
  • drawdown period
    Sept 19, 2014 - Oct 15, 2014
  • Annual Return (Compounded)
    8.8%
  • Avg win
    $72.09
  • Avg loss
    $98.25
  • Model Account Values (Raw)
  • Cash
    $180,501
  • Margin Used
    $0
  • Buying Power
    $178,307
  • Ratios
  • W:L ratio
    1.74:1
  • Sharpe Ratio
    0.939
  • Sortino Ratio
    1.444
  • Calmar Ratio
    0.999
  • CORRELATION STATISTICS
  • Correlation to SP500
    0.40800
  • Return Statistics
  • Ann Return (w trading costs)
    8.8%
  • Ann Return (Compnd, No Fees)
    9.9%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    6.50%
  • 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)
    421
  • Popularity (Last 6 weeks)
    756
  • 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
    $98
  • Avg Win
    $72
  • # Winners
    3289
  • # Losers
    1467
  • % Winners
    69.2%
  • Frequency
  • Avg Position Time (mins)
    13758.00
  • Avg Position Time (hrs)
    229.30
  • Avg Trade Length
    9.6 days
  • Last Trade Ago
    2
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.07034
  • SD
    0.07188
  • Sharpe ratio (Glass type estimate)
    0.97856
  • Sharpe ratio (Hedges UMVUE)
    0.96990
  • df
    85.00000
  • t
    2.61967
  • p
    0.00521
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.22909
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.72251
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.22339
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.71641
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.66176
  • Upside Potential Ratio
    2.97232
  • Upside part of mean
    0.12582
  • Downside part of mean
    -0.05547
  • Upside SD
    0.06105
  • Downside SD
    0.04233
  • N nonnegative terms
    55.00000
  • N negative terms
    31.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    86.00000
  • Mean of predictor
    0.09260
  • Mean of criterion
    0.07034
  • SD of predictor
    0.11815
  • SD of criterion
    0.07188
  • Covariance
    0.00341
  • r
    0.40151
  • b (slope, estimate of beta)
    0.24427
  • a (intercept, estimate of alpha)
    0.04772
  • Mean Square Error
    0.00439
  • DF error
    84.00000
  • t(b)
    4.01796
  • p(b)
    0.00006
  • t(a)
    1.88101
  • p(a)
    0.03172
  • Lowerbound of 95% confidence interval for beta
    0.12337
  • Upperbound of 95% confidence interval for beta
    0.36517
  • Lowerbound of 95% confidence interval for alpha
    -0.00273
  • Upperbound of 95% confidence interval for alpha
    0.09817
  • Treynor index (mean / b)
    0.28796
  • Jensen alpha (a)
    0.04772
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.06745
  • SD
    0.07159
  • Sharpe ratio (Glass type estimate)
    0.94216
  • Sharpe ratio (Hedges UMVUE)
    0.93382
  • df
    85.00000
  • t
    2.52223
  • p
    0.00676
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.19383
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.68516
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.18836
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.67929
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.55837
  • Upside Potential Ratio
    2.85841
  • Upside part of mean
    0.12372
  • Downside part of mean
    -0.05627
  • Upside SD
    0.05976
  • Downside SD
    0.04328
  • N nonnegative terms
    55.00000
  • N negative terms
    31.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    86.00000
  • Mean of predictor
    0.08515
  • Mean of criterion
    0.06745
  • SD of predictor
    0.11854
  • SD of criterion
    0.07159
  • Covariance
    0.00351
  • r
    0.41323
  • b (slope, estimate of beta)
    0.24955
  • a (intercept, estimate of alpha)
    0.04620
  • Mean Square Error
    0.00430
  • DF error
    84.00000
  • t(b)
    4.15897
  • p(b)
    0.00004
  • t(a)
    1.84626
  • p(a)
    0.03419
  • Lowerbound of 95% confidence interval for beta
    0.13023
  • Upperbound of 95% confidence interval for beta
    0.36887
  • Lowerbound of 95% confidence interval for alpha
    -0.00356
  • Upperbound of 95% confidence interval for alpha
    0.09596
  • Treynor index (mean / b)
    0.27028
  • Jensen alpha (a)
    0.04620
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02797
  • Expected Shortfall on VaR
    0.03630
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00827
  • Expected Shortfall on VaR
    0.01879
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    86.00000
  • Minimum
    0.93499
  • Quartile 1
    0.99868
  • Median
    1.00675
  • Quartile 3
    1.01743
  • Maximum
    1.06396
  • Mean of quarter 1
    0.98476
  • Mean of quarter 2
    1.00352
  • Mean of quarter 3
    1.01077
  • Mean of quarter 4
    1.03361
  • Inter Quartile Range
    0.01875
  • Number outliers low
    3.00000
  • Percentage of outliers low
    0.03488
  • Mean of outliers low
    0.94726
  • Number of outliers high
    4.00000
  • Percentage of outliers high
    0.04651
  • Mean of outliers high
    1.05483
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.56068
  • VaR(95%) (moments method)
    0.00980
  • Expected Shortfall (moments method)
    0.02706
  • Extreme Value Index (regression method)
    0.48710
  • VaR(95%) (regression method)
    0.01536
  • Expected Shortfall (regression method)
    0.03890
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    16.00000
  • Minimum
    0.00183
  • Quartile 1
    0.00380
  • Median
    0.00822
  • Quartile 3
    0.02817
  • Maximum
    0.06501
  • Mean of quarter 1
    0.00260
  • Mean of quarter 2
    0.00507
  • Mean of quarter 3
    0.01722
  • Mean of quarter 4
    0.04902
  • Inter Quartile Range
    0.02437
  • 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
    0.06250
  • Mean of outliers high
    0.06501
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -0.50803
  • VaR(95%) (moments method)
    0.05508
  • Expected Shortfall (moments method)
    0.06113
  • Extreme Value Index (regression method)
    0.23351
  • VaR(95%) (regression method)
    0.05876
  • Expected Shortfall (regression method)
    0.07972
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.13682
  • Compounded annual return (geometric extrapolation)
    0.10005
  • Calmar ratio (compounded annual return / max draw down)
    1.53896
  • Compounded annual return / average of 25% largest draw downs
    2.04078
  • Compounded annual return / Expected Shortfall lognormal
    2.75601
  • 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
    0.07075
  • SD
    0.07528
  • Sharpe ratio (Glass type estimate)
    0.93980
  • Sharpe ratio (Hedges UMVUE)
    0.93943
  • df
    1892.00000
  • t
    2.52616
  • p
    0.47101
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.20993
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.66948
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.20965
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.66920
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.44402
  • Upside Potential Ratio
    6.77193
  • Upside part of mean
    0.33179
  • Downside part of mean
    -0.26104
  • Upside SD
    0.05730
  • Downside SD
    0.04899
  • N nonnegative terms
    896.00000
  • N negative terms
    997.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1893.00000
  • Mean of predictor
    0.09261
  • Mean of criterion
    0.07075
  • SD of predictor
    0.13037
  • SD of criterion
    0.07528
  • Covariance
    0.00404
  • r
    0.41131
  • b (slope, estimate of beta)
    0.23750
  • a (intercept, estimate of alpha)
    0.04900
  • Mean Square Error
    0.00471
  • DF error
    1891.00000
  • t(b)
    19.62280
  • p(b)
    0.24574
  • t(a)
    1.90746
  • p(a)
    0.47211
  • Lowerbound of 95% confidence interval for beta
    0.21376
  • Upperbound of 95% confidence interval for beta
    0.26124
  • Lowerbound of 95% confidence interval for alpha
    -0.00137
  • Upperbound of 95% confidence interval for alpha
    0.09888
  • Treynor index (mean / b)
    0.29789
  • Jensen alpha (a)
    0.04875
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.06790
  • SD
    0.07527
  • Sharpe ratio (Glass type estimate)
    0.90212
  • Sharpe ratio (Hedges UMVUE)
    0.90176
  • df
    1892.00000
  • t
    2.42486
  • p
    0.47217
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.17229
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.63174
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.17203
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.63148
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.37117
  • Upside Potential Ratio
    6.66650
  • Upside part of mean
    0.33013
  • Downside part of mean
    -0.26223
  • Upside SD
    0.05681
  • Downside SD
    0.04952
  • N nonnegative terms
    896.00000
  • N negative terms
    997.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1893.00000
  • Mean of predictor
    0.08409
  • Mean of criterion
    0.06790
  • SD of predictor
    0.13050
  • SD of criterion
    0.07527
  • Covariance
    0.00405
  • r
    0.41215
  • b (slope, estimate of beta)
    0.23771
  • a (intercept, estimate of alpha)
    0.04791
  • Mean Square Error
    0.00471
  • DF error
    1891.00000
  • t(b)
    19.67130
  • p(b)
    0.24524
  • t(a)
    1.87600
  • p(a)
    0.47257
  • Lowerbound of 95% confidence interval for beta
    0.21401
  • Upperbound of 95% confidence interval for beta
    0.26141
  • Lowerbound of 95% confidence interval for alpha
    -0.00218
  • Upperbound of 95% confidence interval for alpha
    0.09800
  • Treynor index (mean / b)
    0.28564
  • Jensen alpha (a)
    0.04791
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00736
  • Expected Shortfall on VaR
    0.00929
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00231
  • Expected Shortfall on VaR
    0.00511
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    1893.00000
  • Minimum
    0.95130
  • Quartile 1
    0.99939
  • Median
    1.00006
  • Quartile 3
    1.00098
  • Maximum
    1.03451
  • Mean of quarter 1
    0.99644
  • Mean of quarter 2
    0.99980
  • Mean of quarter 3
    1.00040
  • Mean of quarter 4
    1.00487
  • Inter Quartile Range
    0.00159
  • Number outliers low
    155.00000
  • Percentage of outliers low
    0.08188
  • Mean of outliers low
    0.99209
  • Number of outliers high
    207.00000
  • Percentage of outliers high
    0.10935
  • Mean of outliers high
    1.00875
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.67889
  • VaR(95%) (moments method)
    0.00344
  • Expected Shortfall (moments method)
    0.01194
  • Extreme Value Index (regression method)
    0.34474
  • VaR(95%) (regression method)
    0.00294
  • Expected Shortfall (regression method)
    0.00565
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    152.00000
  • Minimum
    0.00000
  • Quartile 1
    0.00059
  • Median
    0.00257
  • Quartile 3
    0.00792
  • Maximum
    0.10060
  • Mean of quarter 1
    0.00024
  • Mean of quarter 2
    0.00146
  • Mean of quarter 3
    0.00447
  • Mean of quarter 4
    0.02480
  • Inter Quartile Range
    0.00733
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    17.00000
  • Percentage of outliers high
    0.11184
  • Mean of outliers high
    0.04097
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.56376
  • VaR(95%) (moments method)
    0.02600
  • Expected Shortfall (moments method)
    0.06535
  • Extreme Value Index (regression method)
    0.49200
  • VaR(95%) (regression method)
    0.02559
  • Expected Shortfall (regression method)
    0.05675
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.13815
  • Compounded annual return (geometric extrapolation)
    0.10055
  • Calmar ratio (compounded annual return / max draw down)
    0.99943
  • Compounded annual return / average of 25% largest draw downs
    4.05372
  • Compounded annual return / Expected Shortfall lognormal
    10.82580
  • 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
    -0.11963
  • SD
    0.09747
  • Sharpe ratio (Glass type estimate)
    -1.22729
  • Sharpe ratio (Hedges UMVUE)
    -1.22020
  • df
    130.00000
  • t
    -0.86783
  • p
    0.53795
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -4.00082
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.55082
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.99597
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.55557
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.60823
  • Upside Potential Ratio
    4.69707
  • Upside part of mean
    0.34939
  • Downside part of mean
    -0.46902
  • Upside SD
    0.06285
  • Downside SD
    0.07438
  • N nonnegative terms
    47.00000
  • N negative terms
    84.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.08173
  • Mean of criterion
    -0.11963
  • SD of predictor
    0.19473
  • SD of criterion
    0.09747
  • Covariance
    0.00648
  • r
    0.34133
  • b (slope, estimate of beta)
    0.17085
  • a (intercept, estimate of alpha)
    -0.10566
  • Mean Square Error
    0.00846
  • DF error
    129.00000
  • t(b)
    4.12443
  • p(b)
    0.28700
  • t(a)
    -0.81209
  • p(a)
    0.54536
  • Lowerbound of 95% confidence interval for beta
    0.08889
  • Upperbound of 95% confidence interval for beta
    0.25281
  • Lowerbound of 95% confidence interval for alpha
    -0.36310
  • Upperbound of 95% confidence interval for alpha
    0.15177
  • Treynor index (mean / b)
    -0.70020
  • Jensen alpha (a)
    -0.10566
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.12437
  • SD
    0.09772
  • Sharpe ratio (Glass type estimate)
    -1.27277
  • Sharpe ratio (Hedges UMVUE)
    -1.26542
  • df
    130.00000
  • t
    -0.89999
  • p
    0.53934
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -4.04648
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.50577
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -4.04149
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.51066
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.65427
  • Upside Potential Ratio
    4.62072
  • Upside part of mean
    0.34740
  • Downside part of mean
    -0.47177
  • Upside SD
    0.06231
  • Downside SD
    0.07518
  • N nonnegative terms
    47.00000
  • N negative terms
    84.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.10055
  • Mean of criterion
    -0.12437
  • SD of predictor
    0.19473
  • SD of criterion
    0.09772
  • Covariance
    0.00655
  • r
    0.34417
  • b (slope, estimate of beta)
    0.17271
  • a (intercept, estimate of alpha)
    -0.10701
  • Mean Square Error
    0.00848
  • DF error
    129.00000
  • t(b)
    4.16331
  • p(b)
    0.28530
  • t(a)
    -0.82110
  • p(a)
    0.54586
  • Lowerbound of 95% confidence interval for beta
    0.09063
  • Upperbound of 95% confidence interval for beta
    0.25478
  • Lowerbound of 95% confidence interval for alpha
    -0.36485
  • Upperbound of 95% confidence interval for alpha
    0.15084
  • Treynor index (mean / b)
    -0.72014
  • Jensen alpha (a)
    -0.10701
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01035
  • Expected Shortfall on VaR
    0.01284
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00476
  • Expected Shortfall on VaR
    0.00986
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.96637
  • Quartile 1
    0.99868
  • Median
    0.99982
  • Quartile 3
    1.00079
  • Maximum
    1.02430
  • Mean of quarter 1
    0.99386
  • Mean of quarter 2
    0.99932
  • Mean of quarter 3
    1.00016
  • Mean of quarter 4
    1.00527
  • Inter Quartile Range
    0.00212
  • Number outliers low
    14.00000
  • Percentage of outliers low
    0.10687
  • Mean of outliers low
    0.98866
  • Number of outliers high
    12.00000
  • Percentage of outliers high
    0.09160
  • Mean of outliers high
    1.01102
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.74555
  • VaR(95%) (moments method)
    0.00600
  • Expected Shortfall (moments method)
    0.02568
  • Extreme Value Index (regression method)
    0.69556
  • VaR(95%) (regression method)
    0.00601
  • Expected Shortfall (regression method)
    0.02184
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    2.00000
  • Minimum
    0.00388
  • Quartile 1
    0.02054
  • Median
    0.03719
  • Quartile 3
    0.05384
  • Maximum
    0.07050
  • Mean of quarter 1
    0.00388
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.07050
  • Inter Quartile Range
    0.03331
  • 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)
    -0.09418
  • Compounded annual return (geometric extrapolation)
    -0.09196
  • Calmar ratio (compounded annual return / max draw down)
    -1.30443
  • Compounded annual return / average of 25% largest draw downs
    -1.30443
  • Compounded annual return / Expected Shortfall lognormal
    -7.16098

Strategy Description

https://docs.google.com/file/d/0Byt-k9n1svqgaGNoeV9XZ3ZFVnM/edit?usp=sharing

Summary Statistics

Strategy began
2011-11-30
Suggested Minimum Capital
$35,000
# Trades
4756
# Profitable
3289
% Profitable
69.2%
Net Dividends
Correlation S&P500
0.408
Sharpe Ratio
0.939

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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This is our estimate of the minimum amount of capital to follow a strategy, assuming you use the smallest reasonable AutoTrade Scaling % for the strategy.