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QuantAlphaMR
(68456563)

Created by: TimSimons TimSimons
Started: 11/2011
Stocks
Last trade: 7 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.

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.

8.6%
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.

(14.7%)
Max Drawdown
5001
Num Trades
69.1%
Win Trades
1.7 : 1
Profit Factor
70.2%
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%)  -  +1.3%+0.7%(10.2%)+8.7%+1.4%+1.3%                        (0.2%)

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 4,418 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
8/2/19 9:30 AON AON LONG 15 190.25 8/14 9:33 188.12 0.07%
Trade id #124736188
Max drawdown($125)
Time8/2/19 9:30
Quant open15
Worst price181.89
Drawdown as % of equity-0.07%
($32)
Includes Typical Broker Commissions trade costs of $0.30
8/5/19 9:30 FB FACEBOOK LONG 15 184.69 8/14 9:30 185.71 0.04%
Trade id #124765939
Max drawdown($80)
Time8/5/19 9:30
Quant open15
Worst price179.34
Drawdown as % of equity-0.04%
$15
Includes Typical Broker Commissions trade costs of $0.30
8/1/19 9:30 SPY SPDR S&P 500 LONG 419 292.61 8/14 9:30 289.73 2.19%
Trade id #124714110
Max drawdown($4,078)
Time8/1/19 9:30
Quant open308
Worst price281.72
Drawdown as % of equity-2.19%
($1,212)
Includes Typical Broker Commissions trade costs of $8.38
8/6/19 9:30 UNH UNITEDHEALTH GROUP LONG 11 245.93 8/14 9:30 246.73 0.03%
Trade id #124788550
Max drawdown($51)
Time8/6/19 9:30
Quant open11
Worst price241.26
Drawdown as % of equity-0.03%
$9
Includes Typical Broker Commissions trade costs of $0.22
8/1/19 9:30 EXPE EXPEDIA LONG 43 129.14 8/14 9:30 128.91 0.09%
Trade id #124714102
Max drawdown($172)
Time8/1/19 9:30
Quant open21
Worst price124.70
Drawdown as % of equity-0.09%
($11)
Includes Typical Broker Commissions trade costs of $0.86
8/5/19 9:30 CDNS CADENCE DESIGN SYSTEMS LONG 81 68.87 8/14 9:30 69.42 0.05%
Trade id #124765934
Max drawdown($100)
Time8/5/19 9:30
Quant open40
Worst price66.98
Drawdown as % of equity-0.05%
$43
Includes Typical Broker Commissions trade costs of $1.62
8/6/19 9:30 NWSA NEWS CORPORATION LONG 227 12.84 8/12 9:30 13.75 0.04%
Trade id #124788506
Max drawdown($80)
Time8/6/19 9:30
Quant open227
Worst price12.48
Drawdown as % of equity-0.04%
$202
Includes Typical Broker Commissions trade costs of $4.54
8/7/19 9:30 VRSN VERISIGN LONG 14 202.04 8/9 9:30 210.30 0.01%
Trade id #124810572
Max drawdown($9)
Time8/7/19 9:30
Quant open14
Worst price201.33
Drawdown as % of equity-0.01%
$116
Includes Typical Broker Commissions trade costs of $0.28
8/1/19 9:30 ADI ANALOG DEVICES LONG 24 117.42 8/9 9:30 111.23 0.15%
Trade id #124714099
Max drawdown($270)
Time8/1/19 9:30
Quant open24
Worst price106.14
Drawdown as % of equity-0.15%
($149)
Includes Typical Broker Commissions trade costs of $0.48
8/5/19 9:30 ANSS ANSYS LONG 14 190.59 8/9 9:30 210.15 0.03%
Trade id #124765938
Max drawdown($52)
Time8/5/19 9:30
Quant open14
Worst price186.81
Drawdown as % of equity-0.03%
$274
Includes Typical Broker Commissions trade costs of $0.28
7/31/19 9:30 AFL AFLAC LONG 54 52.81 8/9 9:30 52.90 0.05%
Trade id #124693537
Max drawdown($100)
Time7/31/19 9:30
Quant open54
Worst price50.94
Drawdown as % of equity-0.05%
$4
Includes Typical Broker Commissions trade costs of $1.08
8/5/19 9:30 ADBE ADOBE INC LONG 9 285.04 8/9 9:30 296.14 0.04%
Trade id #124765945
Max drawdown($74)
Time8/5/19 9:30
Quant open9
Worst price276.78
Drawdown as % of equity-0.04%
$100
Includes Typical Broker Commissions trade costs of $0.18
8/1/19 9:30 BR BROADRIDGE LONG 22 126.36 8/9 9:30 125.72 0.07%
Trade id #124714113
Max drawdown($133)
Time8/1/19 9:30
Quant open22
Worst price120.28
Drawdown as % of equity-0.07%
($14)
Includes Typical Broker Commissions trade costs of $0.44
7/12/19 9:30 SJM J.M. SMUCKER LONG 25 114.61 8/9 9:30 113.83 0.08%
Trade id #124434350
Max drawdown($140)
Time7/12/19 9:30
Quant open25
Worst price109.01
Drawdown as % of equity-0.08%
($21)
Includes Typical Broker Commissions trade costs of $0.50
8/6/19 9:30 PSX PHILLIPS 66 LONG 30 96.69 8/9 9:30 100.53 0.03%
Trade id #124788496
Max drawdown($48)
Time8/6/19 9:30
Quant open30
Worst price95.06
Drawdown as % of equity-0.03%
$114
Includes Typical Broker Commissions trade costs of $0.60
8/6/19 9:30 EBAY EBAY LONG 74 39.21 8/9 9:30 41.00 0.01%
Trade id #124788431
Max drawdown($26)
Time8/6/19 9:30
Quant open74
Worst price38.85
Drawdown as % of equity-0.01%
$131
Includes Typical Broker Commissions trade costs of $1.48
7/23/19 9:30 DG DOLLAR GENERAL LONG 42 135.21 8/9 9:30 137.69 0.08%
Trade id #124576201
Max drawdown($143)
Time7/23/19 9:30
Quant open21
Worst price131.03
Drawdown as % of equity-0.08%
$103
Includes Typical Broker Commissions trade costs of $0.84
8/6/19 9:30 IQV IQVIA HOLDINGS INC LONG 19 152.60 8/9 9:30 156.71 0.01%
Trade id #124788482
Max drawdown($25)
Time8/6/19 9:30
Quant open19
Worst price151.27
Drawdown as % of equity-0.01%
$78
Includes Typical Broker Commissions trade costs of $0.38
8/5/19 9:59 IWM ISHARES RUSSELL 2000 INDEX LONG 164 149.00 8/9 9:30 152.09 0.25%
Trade id #124767386
Max drawdown($458)
Time8/5/19 9:59
Quant open164
Worst price146.21
Drawdown as % of equity-0.25%
$504
Includes Typical Broker Commissions trade costs of $3.28
8/6/19 9:59 QQQ POWERSHARES QQQ LONG 127 182.92 8/9 9:30 187.32 0.21%
Trade id #124790048
Max drawdown($384)
Time8/6/19 9:59
Quant open127
Worst price179.89
Drawdown as % of equity-0.21%
$556
Includes Typical Broker Commissions trade costs of $2.54
8/6/19 9:30 INFO IHS MARKIT LTD. COMMON SHARES LONG 92 62.48 8/9 9:30 64.33 0.02%
Trade id #124788499
Max drawdown($40)
Time8/6/19 9:30
Quant open92
Worst price62.04
Drawdown as % of equity-0.02%
$168
Includes Typical Broker Commissions trade costs of $1.84
8/5/19 9:30 AMD ADVANCED MICRO DEVICES INC. C LONG 201 28.57 8/9 9:30 33.45 0.03%
Trade id #124765949
Max drawdown($59)
Time8/5/19 9:30
Quant open98
Worst price27.65
Drawdown as % of equity-0.03%
$977
Includes Typical Broker Commissions trade costs of $4.02
8/6/19 9:30 PG PROCTER & GAMBLE LONG 25 113.50 8/9 9:30 117.69 0.01%
Trade id #124788536
Max drawdown($20)
Time8/6/19 9:30
Quant open25
Worst price112.68
Drawdown as % of equity-0.01%
$105
Includes Typical Broker Commissions trade costs of $0.50
8/6/19 9:30 NDAQ NASDAQ INC COMMON STOCK LONG 60 95.01 8/9 9:30 97.92 0.05%
Trade id #124788549
Max drawdown($93)
Time8/6/19 9:30
Quant open60
Worst price93.46
Drawdown as % of equity-0.05%
$174
Includes Typical Broker Commissions trade costs of $1.20
8/6/19 9:30 CTAS CINTAS LONG 11 252.00 8/9 9:30 266.56 0%
Trade id #124788542
Max drawdown($0)
Time8/6/19 9:30
Quant open11
Worst price251.97
Drawdown as % of equity-0.00%
$160
Includes Typical Broker Commissions trade costs of $0.22
8/2/19 9:30 HAS HASBRO LONG 25 114.41 8/9 9:30 115.11 0.06%
Trade id #124736175
Max drawdown($115)
Time8/2/19 9:30
Quant open25
Worst price109.79
Drawdown as % of equity-0.06%
$18
Includes Typical Broker Commissions trade costs of $0.50
8/2/19 9:30 AIG AMERICAN INTERNATIONAL LONG 53 54.55 8/9 9:30 56.50 0.06%
Trade id #124736183
Max drawdown($119)
Time8/2/19 9:30
Quant open53
Worst price52.29
Drawdown as % of equity-0.06%
$102
Includes Typical Broker Commissions trade costs of $1.06
8/1/19 9:30 SNPS SYNOPSYS LONG 43 129.72 8/9 9:30 131.05 0.13%
Trade id #124714109
Max drawdown($241)
Time8/1/19 9:30
Quant open43
Worst price124.10
Drawdown as % of equity-0.13%
$56
Includes Typical Broker Commissions trade costs of $0.86
8/6/19 9:30 EL ESTEE LAUDER COS LONG 16 176.46 8/9 9:30 186.35 0.01%
Trade id #124788474
Max drawdown($10)
Time8/6/19 9:30
Quant open16
Worst price175.81
Drawdown as % of equity-0.01%
$158
Includes Typical Broker Commissions trade costs of $0.32
8/2/19 9:30 SRE SEMPRA ENERGY LONG 21 135.12 8/9 9:30 136.99 0.04%
Trade id #124736173
Max drawdown($79)
Time8/2/19 9:30
Quant open21
Worst price131.32
Drawdown as % of equity-0.04%
$39
Includes Typical Broker Commissions trade costs of $0.42

Statistics

  • Strategy began
    11/30/2011
  • Suggested Minimum Cap
    $35,000
  • Strategy Age (days)
    2822.12
  • Age
    94 months ago
  • What it trades
    Stocks
  • # Trades
    5001
  • # Profitable
    3454
  • % Profitable
    69.10%
  • Avg trade duration
    9.7 days
  • Max peak-to-valley drawdown
    14.69%
  • drawdown period
    Oct 01, 2018 - May 31, 2019
  • Annual Return (Compounded)
    8.6%
  • Avg win
    $74.72
  • Avg loss
    $104.68
  • Model Account Values (Raw)
  • Cash
    $176,176
  • Margin Used
    $0
  • Buying Power
    $174,671
  • Ratios
  • W:L ratio
    1.68:1
  • Sharpe Ratio
    0.66
  • Sortino Ratio
    1
  • Calmar Ratio
    0.758
  • CORRELATION STATISTICS
  • Correlation to SP500
    0.42510
  • Return Statistics
  • Ann Return (w trading costs)
    8.6%
  • Ann Return (Compnd, No Fees)
    9.6%
  • 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)
    0
  • Popularity (Last 6 weeks)
    705
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $105
  • Avg Win
    $75
  • # Winners
    3454
  • # Losers
    1547
  • % Winners
    69.1%
  • Frequency
  • Avg Position Time (mins)
    13963.60
  • Avg Position Time (hrs)
    232.73
  • Avg Trade Length
    9.7 days
  • Last Trade Ago
    1
  • Regression
  • Alpha
    0.01
  • Beta
    0.27
  • Treynor Index
    0.07
  • Maximum Adverse Excursion (MAE)
  • Avg(MAE) / Avg(PL) - All trades
    6.516
  • Avg(MAE) / Avg(PL) - Winning trades
    0.860
  • Avg(MAE) / Avg(PL) - Losing trades
    -2.016
  • Hold-and-Hope Ratio
    0.157
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.06352
  • SD
    0.07789
  • Sharpe ratio (Glass type estimate)
    0.81547
  • Sharpe ratio (Hedges UMVUE)
    0.80865
  • df
    90.00000
  • t
    2.24562
  • p
    0.01359
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.09166
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.53488
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.08718
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.53012
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.30268
  • Upside Potential Ratio
    2.62673
  • Upside part of mean
    0.12807
  • Downside part of mean
    -0.06456
  • Upside SD
    0.06292
  • Downside SD
    0.04876
  • N nonnegative terms
    58.00000
  • N negative terms
    33.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    91.00000
  • Mean of predictor
    0.08854
  • Mean of criterion
    0.06352
  • SD of predictor
    0.12047
  • SD of criterion
    0.07789
  • Covariance
    0.00436
  • r
    0.46476
  • b (slope, estimate of beta)
    0.30049
  • a (intercept, estimate of alpha)
    0.03691
  • Mean Square Error
    0.00481
  • DF error
    89.00000
  • t(b)
    4.95184
  • p(b)
    0.00000
  • t(a)
    1.43340
  • p(a)
    0.07762
  • Lowerbound of 95% confidence interval for beta
    0.17992
  • Upperbound of 95% confidence interval for beta
    0.42107
  • Lowerbound of 95% confidence interval for alpha
    -0.01426
  • Upperbound of 95% confidence interval for alpha
    0.08808
  • Treynor index (mean / b)
    0.21137
  • Jensen alpha (a)
    0.03691
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.06022
  • SD
    0.07777
  • Sharpe ratio (Glass type estimate)
    0.77440
  • Sharpe ratio (Hedges UMVUE)
    0.76793
  • df
    90.00000
  • t
    2.13254
  • p
    0.01784
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.05166
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.49296
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.04741
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.48845
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.20527
  • Upside Potential Ratio
    2.51883
  • Upside part of mean
    0.12586
  • Downside part of mean
    -0.06563
  • Upside SD
    0.06154
  • Downside SD
    0.04997
  • N nonnegative terms
    58.00000
  • N negative terms
    33.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    91.00000
  • Mean of predictor
    0.08085
  • Mean of criterion
    0.06022
  • SD of predictor
    0.12080
  • SD of criterion
    0.07777
  • Covariance
    0.00445
  • r
    0.47371
  • b (slope, estimate of beta)
    0.30497
  • a (intercept, estimate of alpha)
    0.03557
  • Mean Square Error
    0.00474
  • DF error
    89.00000
  • t(b)
    5.07443
  • p(b)
    0.00000
  • t(a)
    1.39596
  • p(a)
    0.08310
  • Lowerbound of 95% confidence interval for beta
    0.18555
  • Upperbound of 95% confidence interval for beta
    0.42438
  • Lowerbound of 95% confidence interval for alpha
    -0.01506
  • Upperbound of 95% confidence interval for alpha
    0.08619
  • Treynor index (mean / b)
    0.19748
  • Jensen alpha (a)
    0.03557
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.03140
  • Expected Shortfall on VaR
    0.04041
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00968
  • Expected Shortfall on VaR
    0.02191
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    91.00000
  • Minimum
    0.93447
  • Quartile 1
    0.99791
  • Median
    1.00662
  • Quartile 3
    1.01708
  • Maximum
    1.06396
  • Mean of quarter 1
    0.98171
  • Mean of quarter 2
    1.00325
  • Mean of quarter 3
    1.01098
  • Mean of quarter 4
    1.03469
  • Inter Quartile Range
    0.01917
  • Number outliers low
    4.00000
  • Percentage of outliers low
    0.04396
  • Mean of outliers low
    0.94406
  • Number of outliers high
    5.00000
  • Percentage of outliers high
    0.05495
  • Mean of outliers high
    1.05553
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.63977
  • VaR(95%) (moments method)
    0.01281
  • Expected Shortfall (moments method)
    0.04208
  • Extreme Value Index (regression method)
    0.04816
  • VaR(95%) (regression method)
    0.01689
  • Expected Shortfall (regression method)
    0.02676
  • 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
    0.10035
  • Mean of quarter 1
    0.00260
  • Mean of quarter 2
    0.00507
  • Mean of quarter 3
    0.01722
  • Mean of quarter 4
    0.05786
  • 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
    0.10035
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.23413
  • VaR(95%) (moments method)
    0.06472
  • Expected Shortfall (moments method)
    0.09556
  • Extreme Value Index (regression method)
    1.53875
  • VaR(95%) (regression method)
    0.07794
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.12540
  • Compounded annual return (geometric extrapolation)
    0.09213
  • Calmar ratio (compounded annual return / max draw down)
    0.91811
  • Compounded annual return / average of 25% largest draw downs
    1.59233
  • Compounded annual return / Expected Shortfall lognormal
    2.27965
  • 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
    0.06798
  • SD
    0.07871
  • Sharpe ratio (Glass type estimate)
    0.86366
  • Sharpe ratio (Hedges UMVUE)
    0.86333
  • df
    1999.00000
  • t
    2.38620
  • p
    0.46609
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.15367
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.57346
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.15344
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.57323
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.31593
  • Upside Potential Ratio
    6.60153
  • Upside part of mean
    0.34102
  • Downside part of mean
    -0.27304
  • Upside SD
    0.05951
  • Downside SD
    0.05166
  • N nonnegative terms
    954.00000
  • N negative terms
    1046.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    2000.00000
  • Mean of predictor
    0.09224
  • Mean of criterion
    0.06798
  • SD of predictor
    0.13054
  • SD of criterion
    0.07871
  • Covariance
    0.00440
  • r
    0.42849
  • b (slope, estimate of beta)
    0.25836
  • a (intercept, estimate of alpha)
    0.04400
  • Mean Square Error
    0.00506
  • DF error
    1998.00000
  • t(b)
    21.19750
  • p(b)
    0.28576
  • t(a)
    1.71299
  • p(a)
    0.48085
  • Lowerbound of 95% confidence interval for beta
    0.23446
  • Upperbound of 95% confidence interval for beta
    0.28227
  • Lowerbound of 95% confidence interval for alpha
    -0.00640
  • Upperbound of 95% confidence interval for alpha
    0.09469
  • Treynor index (mean / b)
    0.26311
  • Jensen alpha (a)
    0.04415
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.06487
  • SD
    0.07868
  • Sharpe ratio (Glass type estimate)
    0.82446
  • Sharpe ratio (Hedges UMVUE)
    0.82415
  • df
    1999.00000
  • t
    2.27790
  • p
    0.46762
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.11452
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.53421
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.11431
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.53400
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.24245
  • Upside Potential Ratio
    6.49749
  • Upside part of mean
    0.33923
  • Downside part of mean
    -0.27437
  • Upside SD
    0.05897
  • Downside SD
    0.05221
  • N nonnegative terms
    954.00000
  • N negative terms
    1046.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    2000.00000
  • Mean of predictor
    0.08369
  • Mean of criterion
    0.06487
  • SD of predictor
    0.13068
  • SD of criterion
    0.07868
  • Covariance
    0.00442
  • r
    0.42942
  • b (slope, estimate of beta)
    0.25854
  • a (intercept, estimate of alpha)
    0.04323
  • Mean Square Error
    0.00505
  • DF error
    1998.00000
  • t(b)
    21.25400
  • p(b)
    0.28529
  • t(a)
    1.67924
  • p(a)
    0.48123
  • Lowerbound of 95% confidence interval for beta
    0.23468
  • Upperbound of 95% confidence interval for beta
    0.28239
  • Lowerbound of 95% confidence interval for alpha
    -0.00726
  • Upperbound of 95% confidence interval for alpha
    0.09372
  • Treynor index (mean / b)
    0.25090
  • Jensen alpha (a)
    0.04323
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00772
  • Expected Shortfall on VaR
    0.00973
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00240
  • Expected Shortfall on VaR
    0.00533
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    2000.00000
  • Minimum
    0.95130
  • Quartile 1
    0.99939
  • Median
    1.00007
  • Quartile 3
    1.00100
  • Maximum
    1.03451
  • Mean of quarter 1
    0.99624
  • Mean of quarter 2
    0.99981
  • Mean of quarter 3
    1.00042
  • Mean of quarter 4
    1.00500
  • Inter Quartile Range
    0.00161
  • Number outliers low
    170.00000
  • Percentage of outliers low
    0.08500
  • Mean of outliers low
    0.99176
  • Number of outliers high
    221.00000
  • Percentage of outliers high
    0.11050
  • Mean of outliers high
    1.00890
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.70605
  • VaR(95%) (moments method)
    0.00357
  • Expected Shortfall (moments method)
    0.01355
  • Extreme Value Index (regression method)
    0.38483
  • VaR(95%) (regression method)
    0.00299
  • Expected Shortfall (regression method)
    0.00603
  • 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
    0.12818
  • Mean of quarter 1
    0.00024
  • Mean of quarter 2
    0.00146
  • Mean of quarter 3
    0.00447
  • Mean of quarter 4
    0.02632
  • 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
    0.04437
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.63220
  • VaR(95%) (moments method)
    0.02751
  • Expected Shortfall (moments method)
    0.08048
  • Extreme Value Index (regression method)
    0.61162
  • VaR(95%) (regression method)
    0.02631
  • Expected Shortfall (regression method)
    0.07237
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.13498
  • Compounded annual return (geometric extrapolation)
    0.09721
  • Calmar ratio (compounded annual return / max draw down)
    0.75845
  • Compounded annual return / average of 25% largest draw downs
    3.69333
  • Compounded annual return / Expected Shortfall lognormal
    9.99163
  • 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
    0.02230
  • SD
    0.11437
  • Sharpe ratio (Glass type estimate)
    0.19501
  • Sharpe ratio (Hedges UMVUE)
    0.19389
  • df
    130.00000
  • t
    0.13790
  • p
    0.49395
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.57726
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.96656
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.57802
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.96579
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.28503
  • Upside Potential Ratio
    5.72874
  • Upside part of mean
    0.44828
  • Downside part of mean
    -0.42598
  • Upside SD
    0.08282
  • Downside SD
    0.07825
  • N nonnegative terms
    65.00000
  • N negative terms
    66.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.08390
  • Mean of criterion
    0.02230
  • SD of predictor
    0.12937
  • SD of criterion
    0.11437
  • Covariance
    0.00945
  • r
    0.63855
  • b (slope, estimate of beta)
    0.56450
  • a (intercept, estimate of alpha)
    -0.02506
  • Mean Square Error
    0.00781
  • DF error
    129.00000
  • t(b)
    9.42401
  • p(b)
    0.12311
  • t(a)
    -0.20039
  • p(a)
    0.51123
  • Lowerbound of 95% confidence interval for beta
    0.44599
  • Upperbound of 95% confidence interval for beta
    0.68302
  • Lowerbound of 95% confidence interval for alpha
    -0.27249
  • Upperbound of 95% confidence interval for alpha
    0.22237
  • Treynor index (mean / b)
    0.03951
  • Jensen alpha (a)
    -0.02506
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.01583
  • SD
    0.11416
  • Sharpe ratio (Glass type estimate)
    0.13865
  • Sharpe ratio (Hedges UMVUE)
    0.13784
  • df
    130.00000
  • t
    0.09804
  • p
    0.49570
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.63345
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.91026
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.63401
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.90970
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.20020
  • Upside Potential Ratio
    5.62697
  • Upside part of mean
    0.44487
  • Downside part of mean
    -0.42904
  • Upside SD
    0.08175
  • Downside SD
    0.07906
  • N nonnegative terms
    65.00000
  • N negative terms
    66.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.07555
  • Mean of criterion
    0.01583
  • SD of predictor
    0.12977
  • SD of criterion
    0.11416
  • Covariance
    0.00948
  • r
    0.63960
  • b (slope, estimate of beta)
    0.56264
  • a (intercept, estimate of alpha)
    -0.02668
  • Mean Square Error
    0.00776
  • DF error
    129.00000
  • t(b)
    9.45018
  • p(b)
    0.12260
  • t(a)
    -0.21399
  • p(a)
    0.51199
  • Lowerbound of 95% confidence interval for beta
    0.44485
  • Upperbound of 95% confidence interval for beta
    0.68044
  • Lowerbound of 95% confidence interval for alpha
    -0.27333
  • Upperbound of 95% confidence interval for alpha
    0.21998
  • Treynor index (mean / b)
    0.02813
  • Jensen alpha (a)
    -0.02668
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01147
  • Expected Shortfall on VaR
    0.01438
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00366
  • Expected Shortfall on VaR
    0.00811
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.97005
  • Quartile 1
    0.99940
  • Median
    1.00010
  • Quartile 3
    1.00145
  • Maximum
    1.03381
  • Mean of quarter 1
    0.99385
  • Mean of quarter 2
    0.99991
  • Mean of quarter 3
    1.00062
  • Mean of quarter 4
    1.00640
  • Inter Quartile Range
    0.00205
  • Number outliers low
    16.00000
  • Percentage of outliers low
    0.12214
  • Mean of outliers low
    0.98868
  • Number of outliers high
    12.00000
  • Percentage of outliers high
    0.09160
  • Mean of outliers high
    1.01292
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.72074
  • VaR(95%) (moments method)
    0.00443
  • Expected Shortfall (moments method)
    0.01905
  • Extreme Value Index (regression method)
    0.61930
  • VaR(95%) (regression method)
    0.00461
  • Expected Shortfall (regression method)
    0.01507
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    8.00000
  • Minimum
    0.00001
  • Quartile 1
    0.00111
  • Median
    0.00657
  • Quartile 3
    0.01037
  • Maximum
    0.09424
  • Mean of quarter 1
    0.00006
  • Mean of quarter 2
    0.00243
  • Mean of quarter 3
    0.00973
  • Mean of quarter 4
    0.05325
  • Inter Quartile Range
    0.00926
  • 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
    0.12500
  • Mean of outliers high
    0.09424
  • 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)
    0.04422
  • Compounded annual return (geometric extrapolation)
    0.04471
  • Calmar ratio (compounded annual return / max draw down)
    0.47440
  • Compounded annual return / average of 25% largest draw downs
    0.83951
  • Compounded annual return / Expected Shortfall lognormal
    3.10892

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
5001
# Profitable
3454
% Profitable
69.1%
Net Dividends
Correlation S&P500
0.425
Sharpe Ratio
0.66
Sortino Ratio
1.00
Beta
0.27
Alpha
0.01

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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