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These are hypothetical performance results that have certain inherent limitations. Learn more

Equity Trend
(81877382)

Started: 07/2013
Stocks
Last trade: 2 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 $149.00 per month.

34.4%
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.

(29.2%)
Max Drawdown
1179
Num Trades
36.7%
Win Trades
1.6 : 1
Profit Factor
61.2%
Win Months
Hypothetical Monthly Returns (includes system fee and Interactive Brokers commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2013                                          +11.5%(2.6%)+18.1%+7.7%+2.1%+1.9%+43.7%
2014+17.8%(1.7%)+1.1%(2.1%)+0.8%+6.2%(6%)+5.0%(7.3%)(3.1%)+3.3%+2.9%+15.6%
2015(4%)+0.2%(8.6%)+2.3%+13.7%+13.7%+15.8%(6.7%)+7.2%(4.5%)(1.2%)+0.9%+28.2%
2016+2.0%(0.3%)(0.2%)(1.5%)(2.1%)(2.4%)+7.2%(1.9%)(2%)+2.0%+30.8%(7.3%)+21.8%
2017+4.7%+11.7%+2.1%+1.2%+6.4%(2.8%)+1.6%+9.1%+5.3%+3.8%+4.5%+5.2%+66.3%
2018+8.2%(0.1%)+0.9%(0.3%)+10.2%+3.4%(1.9%)+8.0%+2.5%(10.1%)(1.4%)+1.2%+20.8%
2019(1.2%)                                                                  (1.2%)

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 24 hours.

Trading Record

This strategy has placed 2,268 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
1/10/19 9:30 TTGT TECHTARGET SHORT 928 12.04 1/14 9:30 12.83 0.15%
Trade id #121893707
Max drawdown($798)
Time1/11/19 12:51
Quant open-928
Worst price12.90
Drawdown as % of equity-0.15%
($742)
Includes Typical Broker Commissions trade costs of $9.28
1/4/19 9:30 OLED UNIVERSAL DISPLAY CORPORATION SHORT 93 80.73 1/11 9:30 92.70 0.24%
Trade id #121781439
Max drawdown($1,248)
Time1/10/19 11:39
Quant open-93
Worst price94.16
Drawdown as % of equity-0.24%
($1,115)
Includes Typical Broker Commissions trade costs of $2.00
12/20/18 9:30 DIA SPDR DOW JONES INDUSTRIAL AVER LONG 96 232.52 1/11/19 9:30 238.87 0.28%
Trade id #121591810
Max drawdown($1,504)
Time12/24/18 13:14
Quant open96
Worst price216.85
Drawdown as % of equity-0.28%
$608
Includes Typical Broker Commissions trade costs of $2.00
11/5/18 9:30 KHC THE KRAFT HEINZ COMPANY COMMON STOCK SHORT 279 51.05 1/11/19 9:30 45.62 n/a $1,512
Includes Typical Broker Commissions trade costs of $2.80
1/7/19 9:30 MTLS MATERIALISE NV AMERICAN DEPOSI LONG 407 20.50 1/11 9:30 18.55 0.33%
Trade id #121814928
Max drawdown($1,729)
Time1/10/19 10:19
Quant open407
Worst price16.25
Drawdown as % of equity-0.33%
($798)
Includes Typical Broker Commissions trade costs of $4.08
12/13/18 9:30 MD MEDNAX SHORT 491 38.29 1/10/19 9:30 34.82 n/a $1,699
Includes Typical Broker Commissions trade costs of $4.92
11/19/18 9:30 OMI OWENS & MINOR SHORT 658 8.60 1/10/19 9:30 7.05 n/a $1,013
Includes Typical Broker Commissions trade costs of $6.58
12/17/18 9:30 UWT VELOCITY SHS 3X LONG CRUDE OIL TO S&P/GSCI INDEX SHORT 255 13.65 1/9/19 9:30 12.29 0%
Trade id #121525273
Max drawdown($25)
Time12/17/18 9:35
Quant open-255
Worst price13.75
Drawdown as % of equity-0.00%
$344
Includes Typical Broker Commissions trade costs of $2.56
11/26/18 9:30 AMID AMERICAN MIDSTREAM SHORT 2,193 5.16 1/9/19 9:30 4.05 n/a $2,412
Includes Typical Broker Commissions trade costs of $21.92
11/13/18 9:30 YRCW YRC WORLDWIDE SHORT 938 5.99 1/8/19 9:30 3.98 n/a $1,876
Includes Typical Broker Commissions trade costs of $9.38
1/3/19 9:30 SNV SYNOVUS FINANCIAL SHORT 437 0.00 1/8 9:30 33.50 2.78%
Trade id #121830105
Max drawdown($14,737)
Time1/7/19 14:24
Quant open-437
Worst price33.73
Drawdown as % of equity-2.78%
($14,644)
Includes Typical Broker Commissions trade costs of $4.38
12/10/18 9:30 CFX COLFAX SHORT 425 22.93 1/8/19 9:30 21.96 0.02%
Trade id #121421851
Max drawdown($119)
Time12/11/18 9:31
Quant open-425
Worst price23.21
Drawdown as % of equity-0.02%
$408
Includes Typical Broker Commissions trade costs of $4.24
11/26/18 9:30 CNDT CONDUENT INC SHORT 665 13.44 1/8/19 9:30 11.45 n/a $1,316
Includes Typical Broker Commissions trade costs of $6.66
11/26/18 9:30 HAIN HAIN CELESTIAL GROUP SHORT 611 22.61 1/8/19 9:30 17.60 n/a $3,055
Includes Typical Broker Commissions trade costs of $6.12
1/2/19 9:30 ADT ADT INC SHORT 1,433 5.90 1/7 9:30 6.73 0.23%
Trade id #121742904
Max drawdown($1,231)
Time1/4/19 13:32
Quant open-1,433
Worst price6.76
Drawdown as % of equity-0.23%
($1,202)
Includes Typical Broker Commissions trade costs of $14.34
12/31/18 9:30 TAP MOLSON COORS BREWING SHORT 263 55.87 1/7/19 9:30 59.33 0.21%
Trade id #121719462
Max drawdown($1,107)
Time1/4/19 10:32
Quant open-263
Worst price60.08
Drawdown as % of equity-0.21%
($913)
Includes Typical Broker Commissions trade costs of $2.62
12/24/18 9:30 GMS GMS INC SHORT 477 14.46 1/7/19 9:30 16.65 0.2%
Trade id #121641521
Max drawdown($1,045)
Time1/7/19 9:30
Quant open0
Worst price16.65
Drawdown as % of equity-0.20%
($1,050)
Includes Typical Broker Commissions trade costs of $4.78
12/17/18 9:30 SPB SPECTRUM BRANDS HOLDINGS SHORT 220 45.09 1/7/19 9:30 46.95 0.08%
Trade id #121525259
Max drawdown($442)
Time1/4/19 11:14
Quant open-220
Worst price47.10
Drawdown as % of equity-0.08%
($411)
Includes Typical Broker Commissions trade costs of $2.20
11/12/18 9:30 SLB SCHLUMBERGER SHORT 329 50.95 1/7/19 9:30 39.17 n/a $3,873
Includes Typical Broker Commissions trade costs of $3.30
12/3/18 9:30 COTY COTY INC SHORT 1,174 8.44 1/7/19 9:30 7.14 n/a $1,514
Includes Typical Broker Commissions trade costs of $11.74
11/26/18 9:30 MDR MCDERMOTT INTERNATIONAL SHORT 588 7.88 1/4/19 9:30 7.49 0.05%
Trade id #121164025
Max drawdown($246)
Time12/6/18 4:01
Quant open-588
Worst price8.30
Drawdown as % of equity-0.05%
$223
Includes Typical Broker Commissions trade costs of $5.88
12/27/18 9:30 DECK DECKERS OUTDOOR CORP LONG 96 128.58 1/4/19 9:30 127.37 0.07%
Trade id #121675889
Max drawdown($396)
Time1/2/19 9:36
Quant open96
Worst price124.45
Drawdown as % of equity-0.07%
($118)
Includes Typical Broker Commissions trade costs of $2.00
11/28/18 9:30 CDK CDK GLOBAL INC. COMMON STOCK SHORT 375 49.09 1/3/19 9:30 47.86 0.16%
Trade id #121213706
Max drawdown($858)
Time12/4/18 9:35
Quant open-375
Worst price51.38
Drawdown as % of equity-0.16%
$457
Includes Typical Broker Commissions trade costs of $3.76
12/6/18 9:30 OZK BANK OZK COMMON STOCK SHORT 455 23.77 1/3/19 9:30 23.16 0.09%
Trade id #121373761
Max drawdown($477)
Time12/7/18 9:43
Quant open-455
Worst price24.82
Drawdown as % of equity-0.09%
$273
Includes Typical Broker Commissions trade costs of $4.54
12/6/18 9:31 FCB FCB FINANCIAL HOLDINGS INC SHORT 414 36.28 1/3/19 9:30 0.00 0.1%
Trade id #121373779
Max drawdown($521)
Time12/7/18 11:02
Quant open-414
Worst price37.54
Drawdown as % of equity-0.10%
$15,016
Includes Typical Broker Commissions trade costs of $4.14
12/17/18 9:30 KO COCA-COLA LONG 613 49.34 1/2/19 9:30 47.00 0.42%
Trade id #121525286
Max drawdown($2,255)
Time12/26/18 10:55
Quant open613
Worst price45.66
Drawdown as % of equity-0.42%
($1,440)
Includes Typical Broker Commissions trade costs of $6.12
12/18/18 9:30 ELLI ELLIE MAE SHORT 168 62.78 12/31 9:30 64.78 0.07%
Trade id #121548715
Max drawdown($388)
Time12/28/18 15:02
Quant open-168
Worst price65.09
Drawdown as % of equity-0.07%
($338)
Includes Typical Broker Commissions trade costs of $2.00
12/10/18 9:30 SNAP SNAP INC SHORT 1,389 5.77 12/31 9:30 5.76 0.09%
Trade id #121421849
Max drawdown($500)
Time12/12/18 11:01
Quant open-1,389
Worst price6.13
Drawdown as % of equity-0.09%
$0
Includes Typical Broker Commissions trade costs of $13.90
12/21/18 9:30 EVTC EVERTEC INC LONG 498 27.71 12/26 9:30 26.68 0.14%
Trade id #121615737
Max drawdown($745)
Time12/24/18 9:48
Quant open498
Worst price26.21
Drawdown as % of equity-0.14%
($514)
Includes Typical Broker Commissions trade costs of $4.98
12/20/18 9:30 GG GOLDCORP SHORT 1,225 9.50 12/26 9:30 9.81 0.07%
Trade id #121591909
Max drawdown($382)
Time12/26/18 9:30
Quant open0
Worst price9.81
Drawdown as % of equity-0.07%
($394)
Includes Typical Broker Commissions trade costs of $12.24

Statistics

  • Strategy began
    7/7/2013
  • Suggested Minimum Cap
    $35,000
  • Strategy Age (days)
    2021.85
  • Age
    67 months ago
  • What it trades
    Stocks
  • # Trades
    1179
  • # Profitable
    433
  • % Profitable
    36.70%
  • Avg trade duration
    28.9 days
  • Max peak-to-valley drawdown
    29.2%
  • drawdown period
    Sept 08, 2014 - March 26, 2015
  • Annual Return (Compounded)
    33.9%
  • Avg win
    $2,611
  • Avg loss
    $974.61
  • Model Account Values (Raw)
  • Cash
    $174,441
  • Margin Used
    $121,566
  • Buying Power
    $66,287
  • Ratios
  • W:L ratio
    1.65:1
  • Sharpe Ratio
    1.342
  • Sortino Ratio
    1.987
  • Calmar Ratio
    1.625
  • CORRELATION STATISTICS
  • Correlation to SP500
    0.14300
  • Return Statistics
  • Ann Return (w trading costs)
    33.9%
  • Ann Return (Compnd, No Fees)
    35.2%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    47.00%
  • Chance of 20% account loss
    18.50%
  • Chance of 30% account loss
    6.50%
  • Chance of 40% account loss
    n/a
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    943
  • Popularity (Last 6 weeks)
    982
  • C2 Score
    48.0
  • 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
    $975
  • Avg Win
    $2,611
  • # Winners
    433
  • # Losers
    746
  • % Winners
    36.7%
  • Frequency
  • Avg Position Time (mins)
    41547.30
  • Avg Position Time (hrs)
    692.46
  • Avg Trade Length
    28.9 days
  • Last Trade Ago
    1
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.31034
  • SD
    0.22396
  • Sharpe ratio (Glass type estimate)
    1.38567
  • Sharpe ratio (Hedges UMVUE)
    1.36937
  • df
    64.00000
  • t
    3.22497
  • p
    0.00099
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.50512
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.25621
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.49446
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.24428
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.10435
  • Upside Potential Ratio
    4.51166
  • Upside part of mean
    0.45102
  • Downside part of mean
    -0.14069
  • Upside SD
    0.21776
  • Downside SD
    0.09997
  • N nonnegative terms
    42.00000
  • N negative terms
    23.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    65.00000
  • Mean of predictor
    0.05699
  • Mean of criterion
    0.31034
  • SD of predictor
    0.11324
  • SD of criterion
    0.22396
  • Covariance
    0.00762
  • r
    0.30042
  • b (slope, estimate of beta)
    0.59413
  • a (intercept, estimate of alpha)
    0.27648
  • Mean Square Error
    0.04636
  • DF error
    63.00000
  • t(b)
    2.49997
  • p(b)
    0.00752
  • t(a)
    2.95707
  • p(a)
    0.00218
  • Lowerbound of 95% confidence interval for beta
    0.11922
  • Upperbound of 95% confidence interval for beta
    1.06904
  • Lowerbound of 95% confidence interval for alpha
    0.08964
  • Upperbound of 95% confidence interval for alpha
    0.46331
  • Treynor index (mean / b)
    0.52234
  • Jensen alpha (a)
    0.27648
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.28270
  • SD
    0.21540
  • Sharpe ratio (Glass type estimate)
    1.31244
  • Sharpe ratio (Hedges UMVUE)
    1.29700
  • df
    64.00000
  • t
    3.05455
  • p
    0.00164
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.43549
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.17985
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.42541
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.16860
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.68940
  • Upside Potential Ratio
    4.07541
  • Upside part of mean
    0.42840
  • Downside part of mean
    -0.14569
  • Upside SD
    0.20321
  • Downside SD
    0.10512
  • N nonnegative terms
    42.00000
  • N negative terms
    23.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    65.00000
  • Mean of predictor
    0.05038
  • Mean of criterion
    0.28270
  • SD of predictor
    0.11413
  • SD of criterion
    0.21540
  • Covariance
    0.00765
  • r
    0.31107
  • b (slope, estimate of beta)
    0.58712
  • a (intercept, estimate of alpha)
    0.25312
  • Mean Square Error
    0.04257
  • DF error
    63.00000
  • t(b)
    2.59794
  • p(b)
    0.00583
  • t(a)
    2.83190
  • p(a)
    0.00310
  • Lowerbound of 95% confidence interval for beta
    0.13551
  • Upperbound of 95% confidence interval for beta
    1.03873
  • Lowerbound of 95% confidence interval for alpha
    0.07451
  • Upperbound of 95% confidence interval for alpha
    0.43174
  • Treynor index (mean / b)
    0.48151
  • Jensen alpha (a)
    0.25312
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.07570
  • Expected Shortfall on VaR
    0.09917
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02087
  • Expected Shortfall on VaR
    0.04657
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    65.00000
  • Minimum
    0.86117
  • Quartile 1
    0.99329
  • Median
    1.01840
  • Quartile 3
    1.05698
  • Maximum
    1.23937
  • Mean of quarter 1
    0.95888
  • Mean of quarter 2
    1.00634
  • Mean of quarter 3
    1.03933
  • Mean of quarter 4
    1.11255
  • Inter Quartile Range
    0.06368
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.01538
  • Mean of outliers low
    0.86117
  • Number of outliers high
    4.00000
  • Percentage of outliers high
    0.06154
  • Mean of outliers high
    1.18775
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.12881
  • VaR(95%) (moments method)
    0.02515
  • Expected Shortfall (moments method)
    0.03985
  • Extreme Value Index (regression method)
    -0.02573
  • VaR(95%) (regression method)
    0.04396
  • Expected Shortfall (regression method)
    0.06565
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    11.00000
  • Minimum
    0.00618
  • Quartile 1
    0.02030
  • Median
    0.03106
  • Quartile 3
    0.06891
  • Maximum
    0.19334
  • Mean of quarter 1
    0.00980
  • Mean of quarter 2
    0.02895
  • Mean of quarter 3
    0.05330
  • Mean of quarter 4
    0.12887
  • Inter Quartile Range
    0.04860
  • 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
    0.09091
  • Mean of outliers high
    0.19334
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -1.95293
  • VaR(95%) (moments method)
    0.14842
  • Expected Shortfall (moments method)
    0.15248
  • Extreme Value Index (regression method)
    0.08536
  • VaR(95%) (regression method)
    0.20113
  • Expected Shortfall (regression method)
    0.29051
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.80839
  • Compounded annual return (geometric extrapolation)
    0.36426
  • Calmar ratio (compounded annual return / max draw down)
    1.88399
  • Compounded annual return / average of 25% largest draw downs
    2.82646
  • Compounded annual return / Expected Shortfall lognormal
    3.67303
  • 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
    0.30334
  • SD
    0.22586
  • Sharpe ratio (Glass type estimate)
    1.34308
  • Sharpe ratio (Hedges UMVUE)
    1.34238
  • df
    1431.00000
  • t
    3.13995
  • p
    0.44740
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.50306
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.18265
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.50258
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.18217
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.98688
  • Upside Potential Ratio
    8.82666
  • Upside part of mean
    1.34760
  • Downside part of mean
    -1.04426
  • Upside SD
    0.16739
  • Downside SD
    0.15267
  • N nonnegative terms
    803.00000
  • N negative terms
    629.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1432.00000
  • Mean of predictor
    0.06989
  • Mean of criterion
    0.30334
  • SD of predictor
    0.13120
  • SD of criterion
    0.22586
  • Covariance
    0.00421
  • r
    0.14198
  • b (slope, estimate of beta)
    0.24442
  • a (intercept, estimate of alpha)
    0.28600
  • Mean Square Error
    0.05002
  • DF error
    1430.00000
  • t(b)
    5.42406
  • p(b)
    0.42901
  • t(a)
    2.99078
  • p(a)
    0.46058
  • Lowerbound of 95% confidence interval for beta
    0.15602
  • Upperbound of 95% confidence interval for beta
    0.33281
  • Lowerbound of 95% confidence interval for alpha
    0.09851
  • Upperbound of 95% confidence interval for alpha
    0.47402
  • Treynor index (mean / b)
    1.24110
  • Jensen alpha (a)
    0.28626
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.27766
  • SD
    0.22594
  • Sharpe ratio (Glass type estimate)
    1.22890
  • Sharpe ratio (Hedges UMVUE)
    1.22826
  • df
    1431.00000
  • t
    2.87301
  • p
    0.45183
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.38914
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.06826
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.38870
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.06782
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.78295
  • Upside Potential Ratio
    8.56457
  • Upside part of mean
    1.33377
  • Downside part of mean
    -1.05611
  • Upside SD
    0.16449
  • Downside SD
    0.15573
  • N nonnegative terms
    803.00000
  • N negative terms
    629.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1432.00000
  • Mean of predictor
    0.06126
  • Mean of criterion
    0.27766
  • SD of predictor
    0.13138
  • SD of criterion
    0.22594
  • Covariance
    0.00422
  • r
    0.14231
  • b (slope, estimate of beta)
    0.24473
  • a (intercept, estimate of alpha)
    0.26267
  • Mean Square Error
    0.05005
  • DF error
    1430.00000
  • t(b)
    5.43671
  • p(b)
    0.42885
  • t(a)
    2.74373
  • p(a)
    0.46382
  • Lowerbound of 95% confidence interval for beta
    0.15643
  • Upperbound of 95% confidence interval for beta
    0.33303
  • Lowerbound of 95% confidence interval for alpha
    0.07487
  • Upperbound of 95% confidence interval for alpha
    0.45046
  • Treynor index (mean / b)
    1.13456
  • Jensen alpha (a)
    0.26267
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02166
  • Expected Shortfall on VaR
    0.02734
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00831
  • Expected Shortfall on VaR
    0.01764
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    1432.00000
  • Minimum
    0.90511
  • Quartile 1
    0.99580
  • Median
    1.00102
  • Quartile 3
    1.00689
  • Maximum
    1.09206
  • Mean of quarter 1
    0.98555
  • Mean of quarter 2
    0.99883
  • Mean of quarter 3
    1.00371
  • Mean of quarter 4
    1.01697
  • Inter Quartile Range
    0.01109
  • Number outliers low
    63.00000
  • Percentage of outliers low
    0.04399
  • Mean of outliers low
    0.96535
  • Number of outliers high
    70.00000
  • Percentage of outliers high
    0.04888
  • Mean of outliers high
    1.03448
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.24875
  • VaR(95%) (moments method)
    0.01263
  • Expected Shortfall (moments method)
    0.02107
  • Extreme Value Index (regression method)
    0.17191
  • VaR(95%) (regression method)
    0.01316
  • Expected Shortfall (regression method)
    0.02083
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    55.00000
  • Minimum
    0.00002
  • Quartile 1
    0.00808
  • Median
    0.03090
  • Quartile 3
    0.06871
  • Maximum
    0.21989
  • Mean of quarter 1
    0.00372
  • Mean of quarter 2
    0.01814
  • Mean of quarter 3
    0.04551
  • Mean of quarter 4
    0.10572
  • Inter Quartile Range
    0.06063
  • 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
    0.01818
  • Mean of outliers high
    0.21989
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.11220
  • VaR(95%) (moments method)
    0.11575
  • Expected Shortfall (moments method)
    0.15191
  • Extreme Value Index (regression method)
    0.25122
  • VaR(95%) (regression method)
    0.10979
  • Expected Shortfall (regression method)
    0.14994
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.78909
  • Compounded annual return (geometric extrapolation)
    0.35740
  • Calmar ratio (compounded annual return / max draw down)
    1.62534
  • Compounded annual return / average of 25% largest draw downs
    3.38057
  • Compounded annual return / Expected Shortfall lognormal
    13.07270
  • 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
    -0.13558
  • SD
    0.12568
  • Sharpe ratio (Glass type estimate)
    -1.07875
  • Sharpe ratio (Hedges UMVUE)
    -1.07251
  • df
    130.00000
  • t
    -0.76279
  • p
    0.53338
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.85160
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.69821
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.84738
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.70236
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.29359
  • Upside Potential Ratio
    5.54871
  • Upside part of mean
    0.58155
  • Downside part of mean
    -0.71713
  • Upside SD
    0.06900
  • Downside SD
    0.10481
  • N nonnegative terms
    64.00000
  • N negative terms
    67.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.11177
  • Mean of criterion
    -0.13558
  • SD of predictor
    0.18773
  • SD of criterion
    0.12568
  • Covariance
    0.00087
  • r
    0.03679
  • b (slope, estimate of beta)
    0.02463
  • a (intercept, estimate of alpha)
    -0.13283
  • Mean Square Error
    0.01590
  • DF error
    129.00000
  • t(b)
    0.41809
  • p(b)
    0.47659
  • t(a)
    -0.74442
  • p(a)
    0.54161
  • Lowerbound of 95% confidence interval for beta
    -0.09192
  • Upperbound of 95% confidence interval for beta
    0.14117
  • Lowerbound of 95% confidence interval for alpha
    -0.48585
  • Upperbound of 95% confidence interval for alpha
    0.22020
  • Treynor index (mean / b)
    -5.50515
  • Jensen alpha (a)
    -0.13283
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.14352
  • SD
    0.12664
  • Sharpe ratio (Glass type estimate)
    -1.13325
  • Sharpe ratio (Hedges UMVUE)
    -1.12670
  • df
    130.00000
  • t
    -0.80133
  • p
    0.53505
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.90630
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.64403
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.90188
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.64849
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.35105
  • Upside Potential Ratio
    5.45172
  • Upside part of mean
    0.57912
  • Downside part of mean
    -0.72264
  • Upside SD
    0.06863
  • Downside SD
    0.10623
  • N nonnegative terms
    64.00000
  • N negative terms
    67.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.12927
  • Mean of criterion
    -0.14352
  • SD of predictor
    0.18772
  • SD of criterion
    0.12664
  • Covariance
    0.00088
  • r
    0.03722
  • b (slope, estimate of beta)
    0.02511
  • a (intercept, estimate of alpha)
    -0.14027
  • Mean Square Error
    0.01614
  • DF error
    129.00000
  • t(b)
    0.42298
  • p(b)
    0.47631
  • t(a)
    -0.78002
  • p(a)
    0.54358
  • Lowerbound of 95% confidence interval for beta
    -0.09233
  • Upperbound of 95% confidence interval for beta
    0.14255
  • Lowerbound of 95% confidence interval for alpha
    -0.49608
  • Upperbound of 95% confidence interval for alpha
    0.21553
  • Treynor index (mean / b)
    -5.71627
  • Jensen alpha (a)
    -0.14027
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01333
  • Expected Shortfall on VaR
    0.01654
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00632
  • Expected Shortfall on VaR
    0.01312
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.95552
  • Quartile 1
    0.99739
  • Median
    1.00007
  • Quartile 3
    1.00352
  • Maximum
    1.01668
  • Mean of quarter 1
    0.99034
  • Mean of quarter 2
    0.99901
  • Mean of quarter 3
    1.00139
  • Mean of quarter 4
    1.00768
  • Inter Quartile Range
    0.00613
  • Number outliers low
    8.00000
  • Percentage of outliers low
    0.06107
  • Mean of outliers low
    0.97865
  • Number of outliers high
    3.00000
  • Percentage of outliers high
    0.02290
  • Mean of outliers high
    1.01520
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.02633
  • VaR(95%) (moments method)
    0.00733
  • Expected Shortfall (moments method)
    0.01042
  • Extreme Value Index (regression method)
    0.36705
  • VaR(95%) (regression method)
    0.00914
  • Expected Shortfall (regression method)
    0.01758
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    5.00000
  • Minimum
    0.00054
  • Quartile 1
    0.00098
  • Median
    0.01360
  • Quartile 3
    0.06090
  • Maximum
    0.13971
  • Mean of quarter 1
    0.00076
  • Mean of quarter 2
    0.01360
  • Mean of quarter 3
    0.06090
  • Mean of quarter 4
    0.13971
  • Inter Quartile Range
    0.05992
  • 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)
    -0.11233
  • Compounded annual return (geometric extrapolation)
    -0.10918
  • Calmar ratio (compounded annual return / max draw down)
    -0.78148
  • Compounded annual return / average of 25% largest draw downs
    -0.78148
  • Compounded annual return / Expected Shortfall lognormal
    -6.59931

Strategy Description

Summary Statistics

Includes fees & commissions
Strategy began
2013-07-07
Suggested Minimum Capital
$35,000
# Trades
1179
# Profitable
433
% Profitable
36.7%
Net Dividends
Correlation S&P500
0.143
Sharpe Ratio
1.342

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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Suggested Minimum Capital

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.