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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.

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.

33.1%
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
1390
Num Trades
37.2%
Win Trades
1.6 : 1
Profit Factor
61.6%
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(0.4%)+4.0%(0.8%)(2.2%)+1.4%+0.9%+4.8%                              +7.8%

Model Account Details

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

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

System developer has asked us to delay this information by 24 hours.

Trading Record

This strategy has placed 2,660 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
6/20/19 9:36 PALL ABERDEEN STD PHYS PALLADIUM SHARES ETF LONG 195 143.79 7/17 9:30 145.65 0.18%
Trade id #124160435
Max drawdown($979)
Time6/20/19 9:36
Quant open195
Worst price138.77
Drawdown as % of equity-0.18%
$360
Includes Typical Broker Commissions trade costs of $2.00
5/15/19 9:30 BND VANGUARD TOTAL BOND MARKET ETF LONG 1,483 81.34 7/15 9:30 82.59 0.09%
Trade id #123677666
Max drawdown($430)
Time5/15/19 9:30
Quant open1,483
Worst price81.05
Drawdown as % of equity-0.09%
$1,839
Includes Typical Broker Commissions trade costs of $14.84
6/26/19 9:30 TLYS TILLY'S SHORT 1,517 7.67 7/15 9:30 8.27 0.19%
Trade id #124236704
Max drawdown($996)
Time6/26/19 9:30
Quant open1,517
Worst price8.33
Drawdown as % of equity-0.19%
($919)
Includes Typical Broker Commissions trade costs of $15.16
4/4/19 9:30 REI RING ENERGY INC. SHORT 1,895 5.45 7/11 9:30 3.44 0.18%
Trade id #123198936
Max drawdown($954)
Time4/4/19 9:30
Quant open1,895
Worst price5.95
Drawdown as % of equity-0.18%
$3,783
Includes Typical Broker Commissions trade costs of $18.94
7/2/19 9:30 BIO BIO-RAD LABORATORIES LONG 189 314.95 7/10 9:30 305.84 0.4%
Trade id #124305952
Max drawdown($2,103)
Time7/2/19 9:30
Quant open189
Worst price303.82
Drawdown as % of equity-0.40%
($1,724)
Includes Typical Broker Commissions trade costs of $2.00
5/30/19 9:30 ENR ENERGIZER HOLDINGS INC SHORT 366 42.33 7/9 9:30 40.10 0.15%
Trade id #123872372
Max drawdown($750)
Time5/30/19 9:30
Quant open366
Worst price44.38
Drawdown as % of equity-0.15%
$812
Includes Typical Broker Commissions trade costs of $3.66
7/1/19 9:30 RETA REATA PHARMACEUTICALS INC. CLASS A COMMON STOCK LONG 123 96.75 7/9 9:30 87.64 0.23%
Trade id #124286902
Max drawdown($1,214)
Time7/1/19 9:30
Quant open123
Worst price86.88
Drawdown as % of equity-0.23%
($1,123)
Includes Typical Broker Commissions trade costs of $2.00
7/8/19 9:30 CYBR CYBERARK SOFTWARE LTD. ORDINAR LONG 116 127.24 7/9 9:30 125.38 0.05%
Trade id #124370092
Max drawdown($257)
Time7/8/19 9:30
Quant open116
Worst price125.02
Drawdown as % of equity-0.05%
($218)
Includes Typical Broker Commissions trade costs of $2.00
7/3/19 9:30 GUSH DIREXION DAILY S&P OIL GAS EXPL PROD BUL SHORT 1,777 6.33 7/8 9:30 6.35 0.05%
Trade id #124323583
Max drawdown($242)
Time7/3/19 9:30
Quant open1,777
Worst price6.47
Drawdown as % of equity-0.05%
($55)
Includes Typical Broker Commissions trade costs of $17.76
5/20/19 9:30 TLT ISHARES 20+ YEAR TREASURY BOND LONG 1,264 128.46 7/5 9:38 132.41 0.1%
Trade id #123736136
Max drawdown($518)
Time5/20/19 9:30
Quant open632
Worst price125.30
Drawdown as % of equity-0.10%
$4,982
Includes Typical Broker Commissions trade costs of $12.64
5/23/19 9:30 ECA ENCANA SHORT 1,947 6.30 7/2 9:30 5.12 n/a $2,278
Includes Typical Broker Commissions trade costs of $19.46
6/6/19 9:30 CRZO CARRIZO OIL & GAS SHORT 709 10.00 7/2 9:30 10.30 0.11%
Trade id #123961585
Max drawdown($574)
Time6/6/19 9:30
Quant open709
Worst price10.81
Drawdown as % of equity-0.11%
($220)
Includes Typical Broker Commissions trade costs of $7.08
6/17/19 9:30 TUSK MAMMOTH ENERGY SERVICES INC. COMMON STOCK SHORT 646 5.77 7/2 9:30 7.47 0.21%
Trade id #124106849
Max drawdown($1,095)
Time7/2/19 9:30
Quant open646
Worst price7.47
Drawdown as % of equity-0.21%
($1,101)
Includes Typical Broker Commissions trade costs of $6.46
6/6/19 9:30 SLDB SOLID BIOSCIENCES INC. COMMON STOCK SHORT 936 5.00 7/1 9:30 5.67 0.17%
Trade id #123961613
Max drawdown($898)
Time6/6/19 9:30
Quant open936
Worst price5.96
Drawdown as % of equity-0.17%
($636)
Includes Typical Broker Commissions trade costs of $9.36
4/23/19 9:30 ADS ALLIANCE DATA SYSTEMS SHORT 109 161.16 7/1 9:30 143.18 0.1%
Trade id #123398894
Max drawdown($540)
Time4/23/19 9:30
Quant open109
Worst price166.12
Drawdown as % of equity-0.10%
$1,958
Includes Typical Broker Commissions trade costs of $2.00
6/17/19 9:30 TEN TENNECO SHORT 673 10.04 7/1 9:30 11.36 0.17%
Trade id #124106839
Max drawdown($888)
Time7/1/19 9:30
Quant open673
Worst price11.36
Drawdown as % of equity-0.17%
($895)
Includes Typical Broker Commissions trade costs of $6.74
6/12/19 9:30 CAMP CALAMP SHORT 1,217 10.35 7/1 9:30 12.03 0.44%
Trade id #124048419
Max drawdown($2,262)
Time6/12/19 9:30
Quant open1,217
Worst price12.21
Drawdown as % of equity-0.44%
($2,055)
Includes Typical Broker Commissions trade costs of $12.16
5/20/19 9:30 GASL DIREXION DAILY NAT GAS RLTD BU SHORT 42 154.25 7/1 9:30 23.20 n/a $5,502
Includes Typical Broker Commissions trade costs of $2.00
6/25/19 9:30 LGND LIGAND PHARMACEUTICALS SHORT 132 109.91 6/28 9:30 114.29 0.11%
Trade id #124217740
Max drawdown($581)
Time6/25/19 9:30
Quant open132
Worst price114.31
Drawdown as % of equity-0.11%
($580)
Includes Typical Broker Commissions trade costs of $2.00
6/20/19 9:30 AMRN AMARIN LONG 636 19.52 6/27 9:30 18.28 0.2%
Trade id #124160042
Max drawdown($1,062)
Time6/20/19 9:30
Quant open636
Worst price17.85
Drawdown as % of equity-0.20%
($795)
Includes Typical Broker Commissions trade costs of $6.36
6/19/19 9:30 OMCL OMNICELL LONG 226 85.05 6/27 9:30 83.78 0.09%
Trade id #124142251
Max drawdown($461)
Time6/19/19 9:30
Quant open226
Worst price83.01
Drawdown as % of equity-0.09%
($289)
Includes Typical Broker Commissions trade costs of $2.26
5/28/19 9:30 GH GUARDANT HEALTH INC LONG 107 77.18 6/27 9:30 83.16 0.04%
Trade id #123842200
Max drawdown($205)
Time5/28/19 9:30
Quant open107
Worst price75.26
Drawdown as % of equity-0.04%
$638
Includes Typical Broker Commissions trade costs of $2.00
5/15/19 9:30 ROKU ROKU INC. CLASS A COMMON STOCK LONG 119 82.65 6/26 9:30 92.27 0.05%
Trade id #123677675
Max drawdown($243)
Time5/15/19 9:30
Quant open119
Worst price80.61
Drawdown as % of equity-0.05%
$1,143
Includes Typical Broker Commissions trade costs of $2.00
6/20/19 9:30 MDB MONGODB INC. CLASS A COMMON STOCK LONG 63 176.83 6/26 9:30 160.50 0.25%
Trade id #124160031
Max drawdown($1,334)
Time6/20/19 9:30
Quant open63
Worst price155.64
Drawdown as % of equity-0.25%
($1,031)
Includes Typical Broker Commissions trade costs of $2.00
6/20/19 9:30 PEGA PEGASYSTEMS LONG 309 74.37 6/26 9:30 70.53 0.23%
Trade id #124160092
Max drawdown($1,212)
Time6/20/19 9:30
Quant open309
Worst price70.44
Drawdown as % of equity-0.23%
($1,188)
Includes Typical Broker Commissions trade costs of $3.08
6/18/19 9:30 QURE UNIQURE N.V. ORDINARY SHARES LONG 217 79.48 6/25 9:30 74.80 0.19%
Trade id #124123802
Max drawdown($1,015)
Time6/25/19 9:30
Quant open217
Worst price74.80
Drawdown as % of equity-0.19%
($1,018)
Includes Typical Broker Commissions trade costs of $3.08
6/19/19 9:30 PHAS PHASEBIO PHARMACEUTICALS INC. COMMON STOCK LONG 501 13.70 6/25 9:30 11.59 0.21%
Trade id #124142303
Max drawdown($1,117)
Time6/19/19 9:30
Quant open501
Worst price11.47
Drawdown as % of equity-0.21%
($1,062)
Includes Typical Broker Commissions trade costs of $5.00
6/20/19 9:30 ASND ASCENDIS PHARMA A/S AMERICAN D LONG 103 127.57 6/24 9:30 120.00 0.18%
Trade id #124160081
Max drawdown($971)
Time6/20/19 9:30
Quant open103
Worst price118.14
Drawdown as % of equity-0.18%
($782)
Includes Typical Broker Commissions trade costs of $2.00
5/6/19 9:30 GUSH DIREXION DAILY S&P OIL GAS EXPL PROD BUL SHORT 2,064 7.00 6/21 9:30 6.77 0.13%
Trade id #123540115
Max drawdown($686)
Time5/6/19 9:30
Quant open592
Worst price10.25
Drawdown as % of equity-0.13%
$455
Includes Typical Broker Commissions trade costs of $20.64
5/2/19 9:30 NOV NATIONAL OILWELL VARCO SHORT 450 24.75 6/21 9:30 21.80 0.1%
Trade id #123503690
Max drawdown($490)
Time5/2/19 9:30
Quant open450
Worst price25.84
Drawdown as % of equity-0.10%
$1,324
Includes Typical Broker Commissions trade costs of $4.50

Statistics

  • Strategy began
    7/7/2013
  • Suggested Minimum Cap
    $35,000
  • Strategy Age (days)
    2202.57
  • Age
    73 months ago
  • What it trades
    Stocks
  • # Trades
    1390
  • # Profitable
    517
  • % Profitable
    37.20%
  • Avg trade duration
    28.6 days
  • Max peak-to-valley drawdown
    29.2%
  • drawdown period
    Sept 08, 2014 - March 26, 2015
  • Annual Return (Compounded)
    32.7%
  • Avg win
    $2,512
  • Avg loss
    $978.51
  • Model Account Values (Raw)
  • Cash
    $203,394
  • Margin Used
    $231,553
  • Buying Power
    $31,726
  • Ratios
  • W:L ratio
    1.56:1
  • Sharpe Ratio
    1.01
  • Sortino Ratio
    1.51
  • Calmar Ratio
    1.559
  • CORRELATION STATISTICS
  • Correlation to SP500
    0.14090
  • Return Statistics
  • Ann Return (w trading costs)
    32.7%
  • Ann Return (Compnd, No Fees)
    33.8%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    45.00%
  • Chance of 20% account loss
    16.00%
  • Chance of 30% account loss
    7.00%
  • Chance of 40% account loss
    3.50%
  • Chance of 50% account loss
    1.00%
  • Popularity
  • Popularity (Today)
    851
  • Popularity (Last 6 weeks)
    964
  • C2 Score
    95.6
  • 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
    $979
  • Avg Win
    $2,513
  • # Winners
    517
  • # Losers
    873
  • % Winners
    37.2%
  • Frequency
  • Avg Position Time (mins)
    41229.90
  • Avg Position Time (hrs)
    687.16
  • Avg Trade Length
    28.6 days
  • Last Trade Ago
    0
  • Leverage
  • Daily leverage (average)
    1.60
  • Daily leverage (max)
    4.08
  • Unknown
  • Alpha
    0.07
  • Beta
    0.26
  • Treynor Index
    0.31
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.28896
  • SD
    0.21659
  • Sharpe ratio (Glass type estimate)
    1.33414
  • Sharpe ratio (Hedges UMVUE)
    1.31979
  • df
    70.00000
  • t
    3.24518
  • p
    0.00090
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.49429
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.16514
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.48489
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.15469
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.97362
  • Upside Potential Ratio
    4.38631
  • Upside part of mean
    0.42623
  • Downside part of mean
    -0.13728
  • Upside SD
    0.20920
  • Downside SD
    0.09717
  • N nonnegative terms
    46.00000
  • N negative terms
    25.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    71.00000
  • Mean of predictor
    0.08159
  • Mean of criterion
    0.28896
  • SD of predictor
    0.12141
  • SD of criterion
    0.21659
  • Covariance
    0.00647
  • r
    0.24586
  • b (slope, estimate of beta)
    0.43861
  • a (intercept, estimate of alpha)
    0.25317
  • Mean Square Error
    0.04471
  • DF error
    69.00000
  • t(b)
    2.10694
  • p(b)
    0.01938
  • t(a)
    2.85827
  • p(a)
    0.00281
  • Lowerbound of 95% confidence interval for beta
    0.02332
  • Upperbound of 95% confidence interval for beta
    0.85390
  • Lowerbound of 95% confidence interval for alpha
    0.07647
  • Upperbound of 95% confidence interval for alpha
    0.42988
  • Treynor index (mean / b)
    0.65880
  • Jensen alpha (a)
    0.25317
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.26332
  • SD
    0.20833
  • Sharpe ratio (Glass type estimate)
    1.26401
  • Sharpe ratio (Hedges UMVUE)
    1.25042
  • df
    70.00000
  • t
    3.07460
  • p
    0.00150
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.42735
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.09223
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.41846
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.08238
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.57965
  • Upside Potential Ratio
    3.97065
  • Upside part of mean
    0.40532
  • Downside part of mean
    -0.14199
  • Upside SD
    0.19531
  • Downside SD
    0.10208
  • N nonnegative terms
    46.00000
  • N negative terms
    25.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    71.00000
  • Mean of predictor
    0.07388
  • Mean of criterion
    0.26332
  • SD of predictor
    0.12168
  • SD of criterion
    0.20833
  • Covariance
    0.00654
  • r
    0.25815
  • b (slope, estimate of beta)
    0.44199
  • a (intercept, estimate of alpha)
    0.23067
  • Mean Square Error
    0.04109
  • DF error
    69.00000
  • t(b)
    2.21960
  • p(b)
    0.01487
  • t(a)
    2.72570
  • p(a)
    0.00406
  • Lowerbound of 95% confidence interval for beta
    0.04473
  • Upperbound of 95% confidence interval for beta
    0.83924
  • Lowerbound of 95% confidence interval for alpha
    0.06184
  • Upperbound of 95% confidence interval for alpha
    0.39950
  • Treynor index (mean / b)
    0.59578
  • Jensen alpha (a)
    0.23067
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.07409
  • Expected Shortfall on VaR
    0.09684
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02030
  • Expected Shortfall on VaR
    0.04529
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    71.00000
  • Minimum
    0.86117
  • Quartile 1
    0.99301
  • Median
    1.01840
  • Quartile 3
    1.05352
  • Maximum
    1.23937
  • Mean of quarter 1
    0.95901
  • Mean of quarter 2
    1.00544
  • Mean of quarter 3
    1.03539
  • Mean of quarter 4
    1.10629
  • Inter Quartile Range
    0.06051
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.01408
  • Mean of outliers low
    0.86117
  • Number of outliers high
    4.00000
  • Percentage of outliers high
    0.05634
  • Mean of outliers high
    1.18775
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.12618
  • VaR(95%) (moments method)
    0.02598
  • Expected Shortfall (moments method)
    0.04104
  • Extreme Value Index (regression method)
    0.01899
  • VaR(95%) (regression method)
    0.04039
  • Expected Shortfall (regression method)
    0.06169
  • 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)
    0.77780
  • Compounded annual return (geometric extrapolation)
    0.33808
  • Calmar ratio (compounded annual return / max draw down)
    1.74858
  • Compounded annual return / average of 25% largest draw downs
    2.62332
  • Compounded annual return / Expected Shortfall lognormal
    3.49101
  • 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
    0.29080
  • SD
    0.21839
  • Sharpe ratio (Glass type estimate)
    1.33155
  • Sharpe ratio (Hedges UMVUE)
    1.33091
  • df
    1561.00000
  • t
    3.25124
  • p
    0.44785
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.52729
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.13542
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.52685
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.13498
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.96741
  • Upside Potential Ratio
    8.76985
  • Upside part of mean
    1.29627
  • Downside part of mean
    -1.00547
  • Upside SD
    0.16168
  • Downside SD
    0.14781
  • N nonnegative terms
    880.00000
  • N negative terms
    682.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1562.00000
  • Mean of predictor
    0.08147
  • Mean of criterion
    0.29080
  • SD of predictor
    0.12941
  • SD of criterion
    0.21839
  • Covariance
    0.00422
  • r
    0.14919
  • b (slope, estimate of beta)
    0.25177
  • a (intercept, estimate of alpha)
    0.27000
  • Mean Square Error
    0.04666
  • DF error
    1560.00000
  • t(b)
    5.95940
  • p(b)
    0.42540
  • t(a)
    3.05282
  • p(a)
    0.46147
  • Lowerbound of 95% confidence interval for beta
    0.16890
  • Upperbound of 95% confidence interval for beta
    0.33464
  • Lowerbound of 95% confidence interval for alpha
    0.09662
  • Upperbound of 95% confidence interval for alpha
    0.44395
  • Treynor index (mean / b)
    1.15501
  • Jensen alpha (a)
    0.27029
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.26679
  • SD
    0.21848
  • Sharpe ratio (Glass type estimate)
    1.22113
  • Sharpe ratio (Hedges UMVUE)
    1.22055
  • df
    1561.00000
  • t
    2.98163
  • p
    0.45214
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.41710
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.02480
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.41670
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.02440
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.77003
  • Upside Potential Ratio
    8.51453
  • Upside part of mean
    1.28336
  • Downside part of mean
    -1.01657
  • Upside SD
    0.15892
  • Downside SD
    0.15073
  • N nonnegative terms
    880.00000
  • N negative terms
    682.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1562.00000
  • Mean of predictor
    0.07307
  • Mean of criterion
    0.26679
  • SD of predictor
    0.12959
  • SD of criterion
    0.21848
  • Covariance
    0.00423
  • r
    0.14955
  • b (slope, estimate of beta)
    0.25214
  • a (intercept, estimate of alpha)
    0.24837
  • Mean Square Error
    0.04669
  • DF error
    1560.00000
  • t(b)
    5.97409
  • p(b)
    0.42522
  • t(a)
    2.80469
  • p(a)
    0.46458
  • Lowerbound of 95% confidence interval for beta
    0.16935
  • Upperbound of 95% confidence interval for beta
    0.33492
  • Lowerbound of 95% confidence interval for alpha
    0.07467
  • Upperbound of 95% confidence interval for alpha
    0.42206
  • Treynor index (mean / b)
    1.05811
  • Jensen alpha (a)
    0.24837
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02096
  • Expected Shortfall on VaR
    0.02645
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00796
  • Expected Shortfall on VaR
    0.01695
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    1562.00000
  • Minimum
    0.90511
  • Quartile 1
    0.99595
  • Median
    1.00102
  • Quartile 3
    1.00665
  • Maximum
    1.09206
  • Mean of quarter 1
    0.98608
  • Mean of quarter 2
    0.99891
  • Mean of quarter 3
    1.00362
  • Mean of quarter 4
    1.01626
  • Inter Quartile Range
    0.01070
  • Number outliers low
    69.00000
  • Percentage of outliers low
    0.04417
  • Mean of outliers low
    0.96659
  • Number of outliers high
    75.00000
  • Percentage of outliers high
    0.04802
  • Mean of outliers high
    1.03372
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.25356
  • VaR(95%) (moments method)
    0.01217
  • Expected Shortfall (moments method)
    0.02040
  • Extreme Value Index (regression method)
    0.18483
  • VaR(95%) (regression method)
    0.01247
  • Expected Shortfall (regression method)
    0.01987
  • 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
    0.10611
  • 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)
    0.11861
  • VaR(95%) (moments method)
    0.11634
  • Expected Shortfall (moments method)
    0.15341
  • Extreme Value Index (regression method)
    0.18845
  • VaR(95%) (regression method)
    0.10889
  • Expected Shortfall (regression method)
    0.14341
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.80422
  • Compounded annual return (geometric extrapolation)
    0.34272
  • Calmar ratio (compounded annual return / max draw down)
    1.55858
  • Compounded annual return / average of 25% largest draw downs
    3.22975
  • Compounded annual return / Expected Shortfall lognormal
    12.95500
  • 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
    0.15199
  • SD
    0.10542
  • Sharpe ratio (Glass type estimate)
    1.44182
  • Sharpe ratio (Hedges UMVUE)
    1.43349
  • df
    130.00000
  • t
    1.01952
  • p
    0.45547
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.33818
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.21651
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.34379
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.21076
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.01268
  • Upside Potential Ratio
    9.61039
  • Upside part of mean
    0.72576
  • Downside part of mean
    -0.57377
  • Upside SD
    0.07358
  • Downside SD
    0.07552
  • N nonnegative terms
    78.00000
  • N negative terms
    53.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.23357
  • Mean of criterion
    0.15199
  • SD of predictor
    0.10887
  • SD of criterion
    0.10542
  • Covariance
    0.00438
  • r
    0.38207
  • b (slope, estimate of beta)
    0.36997
  • a (intercept, estimate of alpha)
    0.06558
  • Mean Square Error
    0.00956
  • DF error
    129.00000
  • t(b)
    4.69573
  • p(b)
    0.26282
  • t(a)
    0.47003
  • p(a)
    0.47368
  • Lowerbound of 95% confidence interval for beta
    0.21408
  • Upperbound of 95% confidence interval for beta
    0.52585
  • Lowerbound of 95% confidence interval for alpha
    -0.21047
  • Upperbound of 95% confidence interval for alpha
    0.34164
  • Treynor index (mean / b)
    0.41083
  • Jensen alpha (a)
    0.06558
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.14641
  • SD
    0.10556
  • Sharpe ratio (Glass type estimate)
    1.38705
  • Sharpe ratio (Hedges UMVUE)
    1.37903
  • df
    130.00000
  • t
    0.98079
  • p
    0.45715
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.39242
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.16132
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.39784
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.15590
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.92647
  • Upside Potential Ratio
    9.51299
  • Upside part of mean
    0.72299
  • Downside part of mean
    -0.57658
  • Upside SD
    0.07323
  • Downside SD
    0.07600
  • N nonnegative terms
    78.00000
  • N negative terms
    53.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.22756
  • Mean of criterion
    0.14641
  • SD of predictor
    0.10893
  • SD of criterion
    0.10556
  • Covariance
    0.00440
  • r
    0.38259
  • b (slope, estimate of beta)
    0.37075
  • a (intercept, estimate of alpha)
    0.06205
  • Mean Square Error
    0.00959
  • DF error
    129.00000
  • t(b)
    4.70328
  • p(b)
    0.26251
  • t(a)
    0.44441
  • p(a)
    0.47512
  • Lowerbound of 95% confidence interval for beta
    0.21479
  • Upperbound of 95% confidence interval for beta
    0.52671
  • Lowerbound of 95% confidence interval for alpha
    -0.21418
  • Upperbound of 95% confidence interval for alpha
    0.33827
  • Treynor index (mean / b)
    0.39491
  • Jensen alpha (a)
    0.06205
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01012
  • Expected Shortfall on VaR
    0.01281
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00437
  • Expected Shortfall on VaR
    0.00901
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.97975
  • Quartile 1
    0.99773
  • Median
    1.00090
  • Quartile 3
    1.00503
  • Maximum
    1.01616
  • Mean of quarter 1
    0.99216
  • Mean of quarter 2
    0.99950
  • Mean of quarter 3
    1.00295
  • Mean of quarter 4
    1.00821
  • Inter Quartile Range
    0.00730
  • Number outliers low
    5.00000
  • Percentage of outliers low
    0.03817
  • Mean of outliers low
    0.98368
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.00763
  • Mean of outliers high
    1.01616
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.01179
  • VaR(95%) (moments method)
    0.00620
  • Expected Shortfall (moments method)
    0.00862
  • Extreme Value Index (regression method)
    0.02351
  • VaR(95%) (regression method)
    0.00709
  • Expected Shortfall (regression method)
    0.01021
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    8.00000
  • Minimum
    0.00007
  • Quartile 1
    0.00290
  • Median
    0.00425
  • Quartile 3
    0.00969
  • Maximum
    0.08583
  • Mean of quarter 1
    0.00126
  • Mean of quarter 2
    0.00348
  • Mean of quarter 3
    0.00519
  • Mean of quarter 4
    0.05362
  • Inter Quartile Range
    0.00679
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.25000
  • Mean of outliers high
    0.05362
  • 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)
    0.18214
  • Compounded annual return (geometric extrapolation)
    0.19044
  • Calmar ratio (compounded annual return / max draw down)
    2.21875
  • Compounded annual return / average of 25% largest draw downs
    3.55176
  • Compounded annual return / Expected Shortfall lognormal
    14.86950

Strategy Description

Summary Statistics

Includes fees & commissions
Strategy began
2013-07-07
Suggested Minimum Capital
$35,000
# Trades
1390
# Profitable
517
% Profitable
37.2%
Net Dividends
Correlation S&P500
0.141
Sharpe Ratio
1.01
Sortino Ratio
1.51
Beta
0.26
Alpha
0.07
Leverage
1.60 Average
4.08 Maximum
Summary
Higher leverage = greater risk.

More information about leverage

RandBots calculates the maximum leverage used by a strategy in each day. We then display the average of these measurements (i.e. the average daily maximum leverage) and the greatest of these measurements (maximum daily leverage).

Leverage is the ratio of total notional value controlled by a strategy divided by its Model Account equity. Generally higher leverage implies greater risk.

Example of calculation:
The Strategy buys 100 shares of stock at $12 per share.
The Model Account equity during that day is $5,000.
The leverage is: $1200 / $5,000 = 0.24

This is a useful measurement, but it should be considered in context. This measurement doesn't take into account important factors, such as when multiple positions are held that are inversely correlated. Nor does the measurement take into account the volatility of the instruments being held.

In addition, certain asset classes are inherently more leveraged than others. For example, futures contracts are highly leveraged. Forex positions are often even more leveraged than futures.

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.