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Trades-Own-Strategy Certification

This system has earned Trades-Own-Strategy (TOS) Certification. This means that the manager of this system trades his own strategy in a real-life, funded brokerage account.

Trades-Own-Strategy (TOS) Certification Details
Certification process started 03/14/2017
Most recent certification approved 3/14/17 10:06 ET
Trades at broker Interactive Brokers (Server 6)
Scaling percentage used 100%
# trading signals issued by system since certification 512
# trading signals executed in manager's Interactive Brokers (Server 6) account 512
Percent signals followed since 03/14/2017 100%
This information was last updated 7/21/17 22:28 ET

Warning: System trading results are still hypothetical.

Even though the system developer is currently trading his own system in a real-life brokerage account, the trading results presented on this Web site must still be regarded as purely hypothetical results. This is because (among other reasons) the system developer may not have traded all signals, particularly those that occurred before 03/14/2017, and the system developer's results may not match the system results presented here. In addition, not all subscribers have received the same trades or prices as the system manager has. For these reasons, and others, it is extremely important you remember the following:

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.

You may be interested to learn more technical details about how RandBots calculates the hypothetical results you see on this web site.

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

R Future (110087588)

Started: 03/2017
Futures
Last trade: Yesterday

Subscriptions not available

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

Subscription terms. There is a free trial period of 7 days. After that, subscriptions cost $99.00 per month.

Try AutoTrade for free. We'll give you $100,000 in a Simulated Broker Account to AutoTrade R Future.

Free AutoTrade

-2.7%
Cumul. Return
11.3%
Max Drawdown
179
Num Trades
69.8%
Win Trades
1.1 : 1
Profit Factor
60.0%
Win Months
Hypothetical Monthly Returns (includes system fee and Interactive Brokers commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2017              (1.6%)+0.5%+1.2%+3.9%(6.4%)                              (2.7%)

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 512 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
7/20/17 9:35 @NQU7 E-MINI NASDAQ 100 STK IDX LONG 2 5923.00 7/20 10:15 5915.12 n/a ($331)
Includes Typical Broker Commissions trade costs of $16.00
7/19/17 11:02 @NQU7 E-MINI NASDAQ 100 STK IDX LONG 1 5907.75 7/19 11:35 5914.50 0.19%
Trade id #112682420
Max drawdown($50)
Time7/19/17 11:21
Quant open1
Worst price5905.25
Drawdown as % of equity-0.19%
$127
Includes Typical Broker Commissions trade costs of $8.00
7/19/17 10:34 @NQU7 E-MINI NASDAQ 100 STK IDX LONG 2 5903.00 7/19 10:57 5903.00 0.69%
Trade id #112681681
Max drawdown($180)
Time7/19/17 10:40
Quant open1
Worst price5896.50
Drawdown as % of equity-0.69%
($16)
Includes Typical Broker Commissions trade costs of $16.00
7/19/17 10:16 @NQU7 E-MINI NASDAQ 100 STK IDX LONG 1 5902.75 7/19 10:32 5902.75 0.4%
Trade id #112681124
Max drawdown($105)
Time7/19/17 10:18
Quant open1
Worst price5897.50
Drawdown as % of equity-0.40%
($8)
Includes Typical Broker Commissions trade costs of $8.00
7/17/17 10:42 @NQU7 E-MINI NASDAQ 100 STK IDX LONG 1 5846.00 7/17 10:57 5843.25 0.25%
Trade id #112639786
Max drawdown($65)
Time7/17/17 10:57
Quant open1
Worst price5842.75
Drawdown as % of equity-0.25%
($63)
Includes Typical Broker Commissions trade costs of $8.00
7/13/17 10:45 @NQU7 E-MINI NASDAQ 100 STK IDX LONG 1 5782.75 7/13 10:46 5787.50 n/a $87
Includes Typical Broker Commissions trade costs of $8.00
7/13/17 10:37 @NQU7 E-MINI NASDAQ 100 STK IDX LONG 2 5781.12 7/13 10:41 5784.25 0.12%
Trade id #112581256
Max drawdown($30)
Time7/13/17 10:39
Quant open1
Worst price5778.50
Drawdown as % of equity-0.12%
$109
Includes Typical Broker Commissions trade costs of $16.00
7/13/17 10:33 @NQU7 E-MINI NASDAQ 100 STK IDX LONG 2 5787.88 7/13 10:35 5788.38 0.21%
Trade id #112581060
Max drawdown($55)
Time7/13/17 10:35
Quant open2
Worst price5786.50
Drawdown as % of equity-0.21%
$4
Includes Typical Broker Commissions trade costs of $16.00
7/13/17 10:20 @ESU7 E-MINI S&P 500 SHORT 3 2441.75 7/13 10:30 2440.83 0.09%
Trade id #112580427
Max drawdown($25)
Time7/13/17 10:23
Quant open-1
Worst price2443.25
Drawdown as % of equity-0.09%
$114
Includes Typical Broker Commissions trade costs of $24.00
7/13/17 9:59 @NQU7 E-MINI NASDAQ 100 STK IDX LONG 5 5800.80 7/13 10:29 5785.35 5.95%
Trade id #112579644
Max drawdown($1,545)
Time7/13/17 10:29
Quant open4
Worst price5782.50
Drawdown as % of equity-5.95%
($1,585)
Includes Typical Broker Commissions trade costs of $40.00
7/13/17 10:16 @ESU7 E-MINI S&P 500 SHORT 1 2442.50 7/13 10:19 2443.00 0.14%
Trade id #112580257
Max drawdown($37)
Time7/13/17 10:18
Quant open-1
Worst price2443.25
Drawdown as % of equity-0.14%
($33)
Includes Typical Broker Commissions trade costs of $8.00
7/13/17 9:44 @NQU7 E-MINI NASDAQ 100 STK IDX LONG 1 5791.50 7/13 9:45 5794.00 n/a $42
Includes Typical Broker Commissions trade costs of $8.00
7/12/17 9:48 @ESU7 E-MINI S&P 500 LONG 2 2440.12 7/12 10:27 2441.38 0.18%
Trade id #112548549
Max drawdown($50)
Time7/12/17 9:54
Quant open1
Worst price2439.00
Drawdown as % of equity-0.18%
$109
Includes Typical Broker Commissions trade costs of $16.00
7/12/17 10:06 QCLQ7 CRUDE OIL LONG 1 46.12 7/12 10:08 46.21 0.07%
Trade id #112549426
Max drawdown($20)
Time7/12/17 10:08
Quant open1
Worst price46.10
Drawdown as % of equity-0.07%
$82
Includes Typical Broker Commissions trade costs of $8.00
7/11/17 11:06 @NQU7 E-MINI NASDAQ 100 STK IDX LONG 1 5711.25 7/11 11:07 5712.25 n/a $12
Includes Typical Broker Commissions trade costs of $8.00
7/11/17 10:28 @NQU7 E-MINI NASDAQ 100 STK IDX LONG 1 5713.75 7/11 10:34 5714.25 0.06%
Trade id #112519715
Max drawdown($15)
Time7/11/17 10:31
Quant open1
Worst price5713.00
Drawdown as % of equity-0.06%
$2
Includes Typical Broker Commissions trade costs of $8.00
7/11/17 10:00 @NQU7 E-MINI NASDAQ 100 STK IDX SHORT 1 5696.00 7/11 10:02 5694.00 0.06%
Trade id #112518579
Max drawdown($15)
Time7/11/17 10:02
Quant open-1
Worst price5696.75
Drawdown as % of equity-0.06%
$32
Includes Typical Broker Commissions trade costs of $8.00
7/11/17 9:44 @NQU7 E-MINI NASDAQ 100 STK IDX LONG 1 5689.75 7/11 9:49 5690.25 0.2%
Trade id #112517926
Max drawdown($55)
Time7/11/17 9:46
Quant open1
Worst price5687.00
Drawdown as % of equity-0.20%
$2
Includes Typical Broker Commissions trade costs of $8.00
7/11/17 9:36 @NQU7 E-MINI NASDAQ 100 STK IDX LONG 1 5684.75 7/11 9:40 5685.50 0.28%
Trade id #112517615
Max drawdown($75)
Time7/11/17 9:39
Quant open1
Worst price5681.00
Drawdown as % of equity-0.28%
$7
Includes Typical Broker Commissions trade costs of $8.00
7/11/17 9:30 @NQU7 E-MINI NASDAQ 100 STK IDX LONG 1 5686.75 7/11 9:31 5689.50 n/a $47
Includes Typical Broker Commissions trade costs of $8.00
7/10/17 15:35 @NQU7 E-MINI NASDAQ 100 STK IDX LONG 1 5703.00 7/10 15:37 5706.25 0.02%
Trade id #112503794
Max drawdown($5)
Time7/10/17 15:37
Quant open1
Worst price5702.75
Drawdown as % of equity-0.02%
$57
Includes Typical Broker Commissions trade costs of $8.00
7/10/17 15:30 @NQU7 E-MINI NASDAQ 100 STK IDX LONG 1 5701.50 7/10 15:33 5702.00 0.02%
Trade id #112503638
Max drawdown($5)
Time7/10/17 15:32
Quant open1
Worst price5701.25
Drawdown as % of equity-0.02%
$2
Includes Typical Broker Commissions trade costs of $8.00
7/10/17 15:22 @ESU7 E-MINI S&P 500 SHORT 1 2427.00 7/10 15:30 2427.50 0.09%
Trade id #112503395
Max drawdown($25)
Time7/10/17 15:29
Quant open-1
Worst price2427.50
Drawdown as % of equity-0.09%
($33)
Includes Typical Broker Commissions trade costs of $8.00
7/10/17 15:23 @NQU7 E-MINI NASDAQ 100 STK IDX SHORT 1 5697.25 7/10 15:30 5701.50 0.35%
Trade id #112503411
Max drawdown($95)
Time7/10/17 15:29
Quant open-1
Worst price5702.00
Drawdown as % of equity-0.35%
($93)
Includes Typical Broker Commissions trade costs of $8.00
7/10/17 10:51 @NQU7 E-MINI NASDAQ 100 STK IDX LONG 1 5678.00 7/10 10:52 5680.00 n/a $32
Includes Typical Broker Commissions trade costs of $8.00
7/10/17 10:03 @ESU7 E-MINI S&P 500 LONG 1 2422.75 7/10 10:27 2423.25 0.19%
Trade id #112494742
Max drawdown($50)
Time7/10/17 10:16
Quant open1
Worst price2421.75
Drawdown as % of equity-0.19%
$17
Includes Typical Broker Commissions trade costs of $8.00
7/6/17 15:40 @NQU7 E-MINI NASDAQ 100 STK IDX SHORT 1 5597.50 7/6 15:40 5595.50 n/a $32
Includes Typical Broker Commissions trade costs of $8.00
7/6/17 15:30 @NQU7 E-MINI NASDAQ 100 STK IDX SHORT 1 5598.75 7/6 15:32 5598.25 0.07%
Trade id #112451466
Max drawdown($20)
Time7/6/17 15:32
Quant open-1
Worst price5599.75
Drawdown as % of equity-0.07%
$2
Includes Typical Broker Commissions trade costs of $8.00
7/6/17 15:14 @NQU7 E-MINI NASDAQ 100 STK IDX SHORT 3 5602.42 7/6 15:27 5601.25 0.82%
Trade id #112450796
Max drawdown($220)
Time7/6/17 15:20
Quant open-2
Worst price5607.25
Drawdown as % of equity-0.82%
$46
Includes Typical Broker Commissions trade costs of $24.00
7/6/17 14:55 @NQU7 E-MINI NASDAQ 100 STK IDX LONG 2 5607.75 7/6 15:14 5600.38 1.1%
Trade id #112450365
Max drawdown($295)
Time7/6/17 15:14
Quant open1
Worst price5600.00
Drawdown as % of equity-1.10%
($311)
Includes Typical Broker Commissions trade costs of $16.00

Statistics

  • Strategy began
    3/7/2017
  • Starting Unit Size
    $25,000
  • Strategy Age (days)
    136.25
  • Age
    136 days ago
  • What it trades
    Futures
  • # Trades
    179
  • # Profitable
    125
  • % Profitable
    69.80%
  • Avg trade duration
    47.0 minutes
  • Max peak-to-valley drawdown
    11.31%
  • drawdown period
    April 11, 2017 - July 21, 2017
  • Cumul. Return
    -8.3%
  • Avg win
    $76.68
  • Avg loss
    $156.80
  • Model Account Values (Raw)
  • Cash
    $26,108
  • Margin Used
    $0
  • Buying Power
    $26,108
  • Ratios
  • W:L ratio
    1.13:1
  • Sharpe Ratio
    0.811
  • Sortino Ratio
    1.038
  • Calmar Ratio
    2.389
  • CORRELATION STATISTICS
  • Correlation to SP500
    -0.12000
  • Return Statistics
  • Ann Return (w trading costs)
    -20.3%
  • Ann Return (Compnd, No Fees)
    12.2%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    9.00%
  • 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)
    287
  • Popularity (Last 6 weeks)
    805
  • C2 Score
    34.4
  • Trades-Own-System Certification
  • Trades Own System?
    183900
  • TOS percent
    100%
  • Subscription Price
  • Billing Period (days)
    30
  • Trial Days
    7
  • Win / Loss
  • Avg Loss
    $157
  • Avg Win
    $77
  • # Winners
    125
  • # Losers
    54
  • % Winners
    69.8%
  • Frequency
  • Avg Position Time (mins)
    46.98
  • Avg Position Time (hrs)
    0.78
  • Avg Trade Length
    0.0 days
  • Last Trade Ago
    0
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.21610
  • SD
    0.07725
  • Sharpe ratio (Glass type estimate)
    2.79727
  • Sharpe ratio (Hedges UMVUE)
    2.02411
  • df
    3.00000
  • t
    1.61501
  • p
    0.10236
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.35948
  • Upperbound of 95% confidence interval for Sharpe Ratio
    6.65721
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.73720
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.78542
  • Statistics related to Sortino ratio
  • Sortino ratio
    8.68010
  • Upside Potential Ratio
    10.41220
  • Upside part of mean
    0.25922
  • Downside part of mean
    -0.04312
  • Upside SD
    0.08802
  • Downside SD
    0.02490
  • N nonnegative terms
    3.00000
  • N negative terms
    1.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    4.00000
  • Mean of predictor
    0.02493
  • Mean of criterion
    0.21610
  • SD of predictor
    0.04689
  • SD of criterion
    0.07725
  • Covariance
    -0.00299
  • r
    -0.82598
  • b (slope, estimate of beta)
    -1.36087
  • a (intercept, estimate of alpha)
    0.25003
  • Mean Square Error
    0.00284
  • DF error
    2.00000
  • t(b)
    -2.07221
  • p(b)
    0.91299
  • t(a)
    2.66501
  • p(a)
    0.05833
  • Lowerbound of 95% confidence interval for beta
    -4.18653
  • Upperbound of 95% confidence interval for beta
    1.46478
  • Lowerbound of 95% confidence interval for alpha
    -0.15364
  • Upperbound of 95% confidence interval for alpha
    0.65370
  • Treynor index (mean / b)
    -0.15880
  • Jensen alpha (a)
    0.25003
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.21151
  • SD
    0.07642
  • Sharpe ratio (Glass type estimate)
    2.76780
  • Sharpe ratio (Hedges UMVUE)
    2.00279
  • df
    3.00000
  • t
    1.59799
  • p
    0.10417
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.37661
  • Upperbound of 95% confidence interval for Sharpe Ratio
    6.61636
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.75121
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.75678
  • Statistics related to Sortino ratio
  • Sortino ratio
    8.45422
  • Upside Potential Ratio
    10.18630
  • Upside part of mean
    0.25484
  • Downside part of mean
    -0.04333
  • Upside SD
    0.08650
  • Downside SD
    0.02502
  • N nonnegative terms
    3.00000
  • N negative terms
    1.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    4.00000
  • Mean of predictor
    0.02403
  • Mean of criterion
    0.21151
  • SD of predictor
    0.04669
  • SD of criterion
    0.07642
  • Covariance
    -0.00293
  • r
    -0.82249
  • b (slope, estimate of beta)
    -1.34605
  • a (intercept, estimate of alpha)
    0.24385
  • Mean Square Error
    0.00283
  • DF error
    2.00000
  • t(b)
    -2.04507
  • p(b)
    0.91125
  • t(a)
    2.60673
  • p(a)
    0.06051
  • Lowerbound of 95% confidence interval for beta
    -4.17802
  • Upperbound of 95% confidence interval for beta
    1.48592
  • Lowerbound of 95% confidence interval for alpha
    -0.15865
  • Upperbound of 95% confidence interval for alpha
    0.64636
  • Treynor index (mean / b)
    -0.15713
  • Jensen alpha (a)
    0.24385
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01849
  • Expected Shortfall on VaR
    0.02746
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00510
  • Expected Shortfall on VaR
    0.01125
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    4.00000
  • Minimum
    0.98795
  • Quartile 1
    1.01454
  • Median
    1.02848
  • Quartile 3
    1.03428
  • Maximum
    1.03644
  • Mean of quarter 1
    0.98795
  • Mean of quarter 2
    1.02340
  • Mean of quarter 3
    1.03356
  • Mean of quarter 4
    1.03644
  • Inter Quartile Range
    0.01974
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    1.00000
  • Minimum
    0.01205
  • Quartile 1
    0.01205
  • Median
    0.01205
  • Quartile 3
    0.01205
  • Maximum
    0.01205
  • Mean of quarter 1
    0.00000
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.00000
  • Inter Quartile Range
    0.00000
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.24923
  • Compounded annual return (geometric extrapolation)
    0.27051
  • Calmar ratio (compounded annual return / max draw down)
    22.45700
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    9.85099
  • 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
    0.08494
  • SD
    0.10393
  • Sharpe ratio (Glass type estimate)
    0.81727
  • Sharpe ratio (Hedges UMVUE)
    0.81094
  • df
    97.00000
  • t
    0.49984
  • p
    0.30916
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.39149
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.02193
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.39578
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.01766
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.03827
  • Upside Potential Ratio
    7.17806
  • Upside part of mean
    0.58725
  • Downside part of mean
    -0.50231
  • Upside SD
    0.06345
  • Downside SD
    0.08181
  • N nonnegative terms
    52.00000
  • N negative terms
    46.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    98.00000
  • Mean of predictor
    0.08972
  • Mean of criterion
    0.08494
  • SD of predictor
    0.07167
  • SD of criterion
    0.10393
  • Covariance
    -0.00110
  • r
    -0.14749
  • b (slope, estimate of beta)
    -0.21388
  • a (intercept, estimate of alpha)
    0.10400
  • Mean Square Error
    0.01068
  • DF error
    96.00000
  • t(b)
    -1.46106
  • p(b)
    0.92637
  • t(a)
    0.61447
  • p(a)
    0.27018
  • Lowerbound of 95% confidence interval for beta
    -0.50446
  • Upperbound of 95% confidence interval for beta
    0.07670
  • Lowerbound of 95% confidence interval for alpha
    -0.23225
  • Upperbound of 95% confidence interval for alpha
    0.44052
  • Treynor index (mean / b)
    -0.39715
  • Jensen alpha (a)
    0.10413
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.07955
  • SD
    0.10434
  • Sharpe ratio (Glass type estimate)
    0.76243
  • Sharpe ratio (Hedges UMVUE)
    0.75652
  • df
    97.00000
  • t
    0.46630
  • p
    0.32103
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.44599
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.96697
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.44994
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.96297
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.96394
  • Upside Potential Ratio
    7.09116
  • Upside part of mean
    0.58519
  • Downside part of mean
    -0.50564
  • Upside SD
    0.06316
  • Downside SD
    0.08252
  • N nonnegative terms
    52.00000
  • N negative terms
    46.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    98.00000
  • Mean of predictor
    0.08715
  • Mean of criterion
    0.07955
  • SD of predictor
    0.07176
  • SD of criterion
    0.10434
  • Covariance
    -0.00111
  • r
    -0.14771
  • b (slope, estimate of beta)
    -0.21476
  • a (intercept, estimate of alpha)
    0.09826
  • Mean Square Error
    0.01076
  • DF error
    96.00000
  • t(b)
    -1.46326
  • p(b)
    0.92667
  • t(a)
    0.57774
  • p(a)
    0.28240
  • Lowerbound of 95% confidence interval for beta
    -0.50609
  • Upperbound of 95% confidence interval for beta
    0.07657
  • Lowerbound of 95% confidence interval for alpha
    -0.23935
  • Upperbound of 95% confidence interval for alpha
    0.43588
  • Treynor index (mean / b)
    -0.37041
  • Jensen alpha (a)
    0.09826
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01025
  • Expected Shortfall on VaR
    0.01291
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00414
  • Expected Shortfall on VaR
    0.00901
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    98.00000
  • Minimum
    0.97708
  • Quartile 1
    0.99944
  • Median
    1.00083
  • Quartile 3
    1.00377
  • Maximum
    1.01685
  • Mean of quarter 1
    0.99270
  • Mean of quarter 2
    1.00006
  • Mean of quarter 3
    1.00201
  • Mean of quarter 4
    1.00700
  • Inter Quartile Range
    0.00433
  • Number outliers low
    10.00000
  • Percentage of outliers low
    0.10204
  • Mean of outliers low
    0.98589
  • Number of outliers high
    3.00000
  • Percentage of outliers high
    0.03061
  • Mean of outliers high
    1.01301
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.20218
  • VaR(95%) (moments method)
    0.00345
  • Expected Shortfall (moments method)
    0.00599
  • Extreme Value Index (regression method)
    -0.23614
  • VaR(95%) (regression method)
    0.00684
  • Expected Shortfall (regression method)
    0.00942
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    5.00000
  • Minimum
    0.00037
  • Quartile 1
    0.00605
  • Median
    0.02848
  • Quartile 3
    0.04280
  • Maximum
    0.04749
  • Mean of quarter 1
    0.00321
  • Mean of quarter 2
    0.02848
  • Mean of quarter 3
    0.04280
  • Mean of quarter 4
    0.04749
  • Inter Quartile Range
    0.03675
  • 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)
    0.10964
  • Compounded annual return (geometric extrapolation)
    0.11344
  • Calmar ratio (compounded annual return / max draw down)
    2.38878
  • Compounded annual return / average of 25% largest draw downs
    2.38878
  • Compounded annual return / Expected Shortfall lognormal
    8.79013

Strategy Description

The goal of "R Future" is to generate approximately 33% every year.

The Strategy is managed by Mario Randholm, CEO of Randholm & Co., an investment management company dedicated to managing capital for its clients and employees by adhering to mathematical and statistical methods.

Summary Statistics

Includes fees & commissions
Strategy began
2017-03-07
Minimum Capital Required
$25,000
# Trades
179
# Profitable
125
% Profitable
69.8%
Correlation S&P500
-0.120
Sharpe Ratio
0.811

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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