Welcome to RandBots

Follow these tips for a better experience

Ok, let's start

Close
Add to Watch List Create new Watch List
Add
Enter a name for your Watch List.
Watch List name must be less than 60 characters.
You have reached the maximum number of custom Watch Lists.
You have reached the maximum number of strategies in this Watch List.
Strategy added to Watch List. Go to Watch List

Sim is unavailable for this strategy, because you've recently "Simmed" it.

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.

33.0%
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
1275
Num Trades
36.7%
Win Trades
1.6 : 1
Profit Factor
60.0%
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%)(2.1%)                                                +0.6%

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 2,453 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
4/22/19 9:30 FET FORUM ENERGY TECHNOLOGIES SHORT 1,507 5.31 4/24 9:30 5.74 0.14%
Trade id #123383993
Max drawdown($798)
Time4/24/19 9:29
Quant open-1,507
Worst price5.84
Drawdown as % of equity-0.14%
($665)
Includes Typical Broker Commissions trade costs of $15.08
4/12/19 9:30 AA ALCOA SHORT 593 28.90 4/24 9:30 28.49 0.03%
Trade id #123293734
Max drawdown($177)
Time4/12/19 9:49
Quant open-593
Worst price29.20
Drawdown as % of equity-0.03%
$237
Includes Typical Broker Commissions trade costs of $5.92
3/26/19 9:30 ORLY O'REILLY AUTOMOTIVE LONG 127 387.11 4/23 9:30 393.12 0.12%
Trade id #123073581
Max drawdown($651)
Time3/27/19 11:46
Quant open127
Worst price381.98
Drawdown as % of equity-0.12%
$761
Includes Typical Broker Commissions trade costs of $2.00
2/5/19 9:30 MRK MERCK LONG 313 77.44 4/22 9:30 73.05 0.3%
Trade id #122362884
Max drawdown($1,630)
Time4/18/19 10:42
Quant open313
Worst price72.23
Drawdown as % of equity-0.30%
($1,377)
Includes Typical Broker Commissions trade costs of $3.12
1/14/19 9:30 CYBR CYBERARK SOFTWARE LTD. ORDINAR LONG 155 77.55 4/22 9:30 117.80 n/a $6,237
Includes Typical Broker Commissions trade costs of $2.00
3/27/19 9:30 MELI MERCADOLIBRE LONG 72 503.92 4/22 9:30 490.80 0.36%
Trade id #123094774
Max drawdown($1,936)
Time4/18/19 10:46
Quant open72
Worst price477.03
Drawdown as % of equity-0.36%
($948)
Includes Typical Broker Commissions trade costs of $3.00
4/1/19 9:30 ACIA ACACIA COMMUNICATIONS INC. COMMON STOCK LONG 238 58.08 4/22 9:30 57.80 0.07%
Trade id #123150324
Max drawdown($357)
Time4/18/19 10:01
Quant open238
Worst price56.58
Drawdown as % of equity-0.07%
($69)
Includes Typical Broker Commissions trade costs of $2.38
2/19/19 9:30 NVTA INVITAE CORP LONG 879 17.46 4/18 9:30 22.47 0.02%
Trade id #122583571
Max drawdown($109)
Time2/19/19 9:33
Quant open577
Worst price15.92
Drawdown as % of equity-0.02%
$4,398
Includes Typical Broker Commissions trade costs of $8.80
4/8/19 9:30 IRDM IRIDIUM COMMUNICATIONS LONG 545 27.73 4/18 9:30 26.03 0.21%
Trade id #123237394
Max drawdown($1,171)
Time4/18/19 8:01
Quant open545
Worst price25.58
Drawdown as % of equity-0.21%
($932)
Includes Typical Broker Commissions trade costs of $5.46
4/5/19 9:30 EHTH EHEALTH LONG 478 66.66 4/18 9:30 55.01 1.53%
Trade id #123217612
Max drawdown($8,348)
Time4/17/19 13:29
Quant open478
Worst price49.19
Drawdown as % of equity-1.53%
($5,571)
Includes Typical Broker Commissions trade costs of $4.79
4/1/19 9:30 WK WORKIVA INC LONG 635 51.12 4/18 9:30 50.02 0.24%
Trade id #123150307
Max drawdown($1,285)
Time4/4/19 12:32
Quant open635
Worst price49.10
Drawdown as % of equity-0.24%
($707)
Includes Typical Broker Commissions trade costs of $6.36
4/1/19 9:30 CDAY CERIDIAN HCM HOLDINGS INC LONG 407 51.95 4/18 9:30 50.03 0.18%
Trade id #123150233
Max drawdown($997)
Time4/17/19 12:21
Quant open407
Worst price49.50
Drawdown as % of equity-0.18%
($785)
Includes Typical Broker Commissions trade costs of $4.08
4/12/19 9:30 BIO BIO-RAD LABORATORIES LONG 93 308.06 4/17 9:30 301.96 0.12%
Trade id #123293841
Max drawdown($689)
Time4/16/19 15:44
Quant open93
Worst price300.65
Drawdown as % of equity-0.12%
($569)
Includes Typical Broker Commissions trade costs of $2.00
2/20/19 9:30 OMCL OMNICELL LONG 173 82.96 4/17 9:30 77.64 0.17%
Trade id #122599826
Max drawdown($956)
Time4/16/19 15:57
Quant open173
Worst price77.43
Drawdown as % of equity-0.17%
($922)
Includes Typical Broker Commissions trade costs of $2.00
1/14/19 9:30 AGG ISHARES CORE US AGGREGATE BOND LONG 916 106.57 4/17 9:30 108.09 n/a $1,383
Includes Typical Broker Commissions trade costs of $9.16
3/11/19 9:30 LQD ISHARES IBOXX $ INVEST GRADE C LONG 698 116.39 4/16 9:30 118.79 n/a $1,668
Includes Typical Broker Commissions trade costs of $6.98
4/8/19 9:30 ARWR ARROWHEAD PHARMACEUTICALS INC. LONG 662 19.92 4/15 9:30 18.47 0.22%
Trade id #123237407
Max drawdown($1,197)
Time4/12/19 15:37
Quant open662
Worst price18.11
Drawdown as % of equity-0.22%
($970)
Includes Typical Broker Commissions trade costs of $6.62
4/2/19 9:30 ETSY ETSY INC. COMMON STOCK LONG 196 68.50 4/15 9:30 65.38 0.12%
Trade id #123165913
Max drawdown($674)
Time4/12/19 15:39
Quant open196
Worst price65.06
Drawdown as % of equity-0.12%
($614)
Includes Typical Broker Commissions trade costs of $2.00
4/4/19 9:30 GKOS GLAUKOS CORPORATION LONG 339 78.85 4/12 9:30 75.73 0.25%
Trade id #123198992
Max drawdown($1,369)
Time4/11/19 9:57
Quant open339
Worst price74.81
Drawdown as % of equity-0.25%
($1,061)
Includes Typical Broker Commissions trade costs of $3.40
10/15/18 9:30 SHV ISHARES BARCLAYS SHORT TREASUR LONG 1,029 110.35 4/11/19 9:30 110.43 0%
Trade id #120349473
Max drawdown$0
Time4/1/19 9:33
Quant open1,029
Worst price110.35
Drawdown as % of equity0.00%
$72
Includes Typical Broker Commissions trade costs of $10.30
3/29/19 9:30 COLM COLUMBIA SPORTSWEAR LONG 247 104.86 4/9 9:30 102.50 0.11%
Trade id #123125088
Max drawdown($583)
Time4/9/19 9:30
Quant open0
Worst price102.50
Drawdown as % of equity-0.11%
($585)
Includes Typical Broker Commissions trade costs of $2.48
3/13/19 9:30 LPSN LIVEPERSON LONG 591 28.53 4/5 9:30 28.67 0.07%
Trade id #122891544
Max drawdown($399)
Time4/4/19 12:48
Quant open591
Worst price27.86
Drawdown as % of equity-0.07%
$76
Includes Typical Broker Commissions trade costs of $5.92
4/3/19 9:30 MIME MIMECAST LIMITED ORDINARY SHARES LONG 315 50.19 4/5 9:30 46.52 0.22%
Trade id #123183091
Max drawdown($1,205)
Time4/4/19 13:45
Quant open315
Worst price46.36
Drawdown as % of equity-0.22%
($1,159)
Includes Typical Broker Commissions trade costs of $3.14
3/27/19 9:30 SHOP SHOPIFY INC LONG 83 205.72 4/5 9:30 195.96 0.24%
Trade id #123094843
Max drawdown($1,273)
Time4/4/19 12:47
Quant open83
Worst price190.38
Drawdown as % of equity-0.24%
($812)
Includes Typical Broker Commissions trade costs of $2.00
3/18/19 9:30 SE SEA LTD ADS LONG 474 23.56 4/5 9:30 22.23 0.15%
Trade id #122950251
Max drawdown($820)
Time4/4/19 12:41
Quant open474
Worst price21.83
Drawdown as % of equity-0.15%
($635)
Includes Typical Broker Commissions trade costs of $4.74
2/28/19 9:30 ZS ZSCALER INC. COMMON STOCK LONG 327 51.00 4/5 9:30 63.37 n/a $4,042
Includes Typical Broker Commissions trade costs of $3.28
3/18/19 9:30 CAMP CALAMP SHORT 1,553 12.69 4/4 9:30 13.07 0.12%
Trade id #122950299
Max drawdown($652)
Time4/3/19 12:08
Quant open-1,553
Worst price13.11
Drawdown as % of equity-0.12%
($598)
Includes Typical Broker Commissions trade costs of $15.54
3/11/19 9:30 EXPO EXPONENT LONG 420 56.11 4/3 9:30 57.04 0.03%
Trade id #122862127
Max drawdown($143)
Time3/11/19 9:33
Quant open420
Worst price55.77
Drawdown as % of equity-0.03%
$387
Includes Typical Broker Commissions trade costs of $4.20
3/25/19 9:31 ENR ENERGIZER HOLDINGS INC SHORT 502 44.72 4/2 9:30 47.89 0.3%
Trade id #123056392
Max drawdown($1,641)
Time4/1/19 13:16
Quant open-502
Worst price47.99
Drawdown as % of equity-0.30%
($1,596)
Includes Typical Broker Commissions trade costs of $5.02
3/13/19 9:30 FRPT FRESHPET INC. COMMON STOCK LONG 969 41.70 4/2 9:30 40.49 0.46%
Trade id #122891537
Max drawdown($2,596)
Time3/15/19 9:31
Quant open969
Worst price39.02
Drawdown as % of equity-0.46%
($1,182)
Includes Typical Broker Commissions trade costs of $9.68

Statistics

  • Strategy began
    7/7/2013
  • Suggested Minimum Cap
    $35,000
  • Strategy Age (days)
    2118.65
  • Age
    71 months ago
  • What it trades
    Stocks
  • # Trades
    1275
  • # Profitable
    468
  • % Profitable
    36.70%
  • Avg trade duration
    29.0 days
  • Max peak-to-valley drawdown
    29.2%
  • drawdown period
    Sept 08, 2014 - March 26, 2015
  • Annual Return (Compounded)
    32.6%
  • Avg win
    $2,569
  • Avg loss
    $983.08
  • Model Account Values (Raw)
  • Cash
    $239,237
  • Margin Used
    $141,510
  • Buying Power
    $135,612
  • Ratios
  • W:L ratio
    1.56:1
  • Sharpe Ratio
    1.314
  • Sortino Ratio
    1.942
  • Calmar Ratio
    1.558
  • CORRELATION STATISTICS
  • Correlation to SP500
    0.14800
  • Return Statistics
  • Ann Return (w trading costs)
    32.6%
  • Ann Return (Compnd, No Fees)
    33.8%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    45.00%
  • Chance of 20% account loss
    26.50%
  • Chance of 30% account loss
    7.50%
  • Chance of 40% account loss
    2.00%
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    915
  • Popularity (Last 6 weeks)
    987
  • C2 Score
    40.9
  • 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
    $983
  • Avg Win
    $2,569
  • # Winners
    468
  • # Losers
    807
  • % Winners
    36.7%
  • Frequency
  • Avg Position Time (mins)
    41690.60
  • Avg Position Time (hrs)
    694.84
  • Avg Trade Length
    29.0 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
    0.30079
  • SD
    0.21965
  • Sharpe ratio (Glass type estimate)
    1.36937
  • Sharpe ratio (Hedges UMVUE)
    1.35398
  • df
    67.00000
  • t
    3.25974
  • p
    0.00088
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.50939
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.21988
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.49931
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.20865
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.07487
  • Upside Potential Ratio
    4.46695
  • Upside part of mean
    0.43696
  • Downside part of mean
    -0.13618
  • Upside SD
    0.21333
  • Downside SD
    0.09782
  • N nonnegative terms
    44.00000
  • N negative terms
    24.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    68.00000
  • Mean of predictor
    0.07801
  • Mean of criterion
    0.30079
  • SD of predictor
    0.11548
  • SD of criterion
    0.21965
  • Covariance
    0.00677
  • r
    0.26698
  • b (slope, estimate of beta)
    0.50785
  • a (intercept, estimate of alpha)
    0.26117
  • Mean Square Error
    0.04549
  • DF error
    66.00000
  • t(b)
    2.25068
  • p(b)
    0.01387
  • t(a)
    2.86030
  • p(a)
    0.00283
  • Lowerbound of 95% confidence interval for beta
    0.05734
  • Upperbound of 95% confidence interval for beta
    0.95836
  • Lowerbound of 95% confidence interval for alpha
    0.07887
  • Upperbound of 95% confidence interval for alpha
    0.44347
  • Treynor index (mean / b)
    0.59228
  • Jensen alpha (a)
    0.26117
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.27427
  • SD
    0.21122
  • Sharpe ratio (Glass type estimate)
    1.29848
  • Sharpe ratio (Hedges UMVUE)
    1.28389
  • df
    67.00000
  • t
    3.09101
  • p
    0.00145
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.44188
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.14604
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.43233
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.13545
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.66662
  • Upside Potential Ratio
    4.03719
  • Upside part of mean
    0.41523
  • Downside part of mean
    -0.14097
  • Upside SD
    0.19912
  • Downside SD
    0.10285
  • N nonnegative terms
    44.00000
  • N negative terms
    24.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    68.00000
  • Mean of predictor
    0.07101
  • Mean of criterion
    0.27427
  • SD of predictor
    0.11605
  • SD of criterion
    0.21122
  • Covariance
    0.00686
  • r
    0.27969
  • b (slope, estimate of beta)
    0.50904
  • a (intercept, estimate of alpha)
    0.23812
  • Mean Square Error
    0.04175
  • DF error
    66.00000
  • t(b)
    2.36663
  • p(b)
    0.01045
  • t(a)
    2.73135
  • p(a)
    0.00404
  • Lowerbound of 95% confidence interval for beta
    0.07960
  • Upperbound of 95% confidence interval for beta
    0.93847
  • Lowerbound of 95% confidence interval for alpha
    0.06406
  • Upperbound of 95% confidence interval for alpha
    0.41218
  • Treynor index (mean / b)
    0.53880
  • Jensen alpha (a)
    0.23812
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.07452
  • Expected Shortfall on VaR
    0.09757
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02013
  • Expected Shortfall on VaR
    0.04511
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    68.00000
  • Minimum
    0.86117
  • Quartile 1
    0.99315
  • Median
    1.01820
  • Quartile 3
    1.05586
  • Maximum
    1.23937
  • Mean of quarter 1
    0.95885
  • Mean of quarter 2
    1.00468
  • Mean of quarter 3
    1.03677
  • Mean of quarter 4
    1.10928
  • Inter Quartile Range
    0.06271
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.01471
  • Mean of outliers low
    0.86117
  • Number of outliers high
    4.00000
  • Percentage of outliers high
    0.05882
  • Mean of outliers high
    1.18775
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.24458
  • VaR(95%) (moments method)
    0.02746
  • Expected Shortfall (moments method)
    0.04819
  • Extreme Value Index (regression method)
    0.06701
  • VaR(95%) (regression method)
    0.04096
  • Expected Shortfall (regression method)
    0.06482
  • 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)
    0.80149
  • Compounded annual return (geometric extrapolation)
    0.35280
  • Calmar ratio (compounded annual return / max draw down)
    1.82472
  • Compounded annual return / average of 25% largest draw downs
    2.73754
  • Compounded annual return / Expected Shortfall lognormal
    3.61587
  • 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
    0.29145
  • SD
    0.22176
  • Sharpe ratio (Glass type estimate)
    1.31425
  • Sharpe ratio (Hedges UMVUE)
    1.31360
  • df
    1501.00000
  • t
    3.14676
  • p
    0.44852
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.49411
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.13398
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.49367
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.13353
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.94187
  • Upside Potential Ratio
    8.76301
  • Upside part of mean
    1.31522
  • Downside part of mean
    -1.02377
  • Upside SD
    0.16414
  • Downside SD
    0.15009
  • N nonnegative terms
    844.00000
  • N negative terms
    658.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1502.00000
  • Mean of predictor
    0.08150
  • Mean of criterion
    0.29145
  • SD of predictor
    0.12985
  • SD of criterion
    0.22176
  • Covariance
    0.00425
  • r
    0.14769
  • b (slope, estimate of beta)
    0.25222
  • a (intercept, estimate of alpha)
    0.27100
  • Mean Square Error
    0.04814
  • DF error
    1500.00000
  • t(b)
    5.78352
  • p(b)
    0.42615
  • t(a)
    2.95404
  • p(a)
    0.46197
  • Lowerbound of 95% confidence interval for beta
    0.16668
  • Upperbound of 95% confidence interval for beta
    0.33776
  • Lowerbound of 95% confidence interval for alpha
    0.09101
  • Upperbound of 95% confidence interval for alpha
    0.45077
  • Treynor index (mean / b)
    1.15553
  • Jensen alpha (a)
    0.27089
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.26670
  • SD
    0.22184
  • Sharpe ratio (Glass type estimate)
    1.20217
  • Sharpe ratio (Hedges UMVUE)
    1.20157
  • df
    1501.00000
  • t
    2.87840
  • p
    0.45288
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.38227
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.02170
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.38186
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.02128
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.74235
  • Upside Potential Ratio
    8.50553
  • Upside part of mean
    1.30191
  • Downside part of mean
    -1.03522
  • Upside SD
    0.16132
  • Downside SD
    0.15307
  • N nonnegative terms
    844.00000
  • N negative terms
    658.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1502.00000
  • Mean of predictor
    0.07304
  • Mean of criterion
    0.26670
  • SD of predictor
    0.13003
  • SD of criterion
    0.22184
  • Covariance
    0.00427
  • r
    0.14803
  • b (slope, estimate of beta)
    0.25256
  • a (intercept, estimate of alpha)
    0.24825
  • Mean Square Error
    0.04817
  • DF error
    1500.00000
  • t(b)
    5.79722
  • p(b)
    0.42598
  • t(a)
    2.70662
  • p(a)
    0.46514
  • Lowerbound of 95% confidence interval for beta
    0.16711
  • Upperbound of 95% confidence interval for beta
    0.33802
  • Lowerbound of 95% confidence interval for alpha
    0.06834
  • Upperbound of 95% confidence interval for alpha
    0.42816
  • Treynor index (mean / b)
    1.05596
  • Jensen alpha (a)
    0.24825
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02130
  • Expected Shortfall on VaR
    0.02687
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00813
  • Expected Shortfall on VaR
    0.01728
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    1502.00000
  • Minimum
    0.90511
  • Quartile 1
    0.99593
  • Median
    1.00101
  • Quartile 3
    1.00675
  • Maximum
    1.09206
  • Mean of quarter 1
    0.98583
  • Mean of quarter 2
    0.99887
  • Mean of quarter 3
    1.00361
  • Mean of quarter 4
    1.01656
  • Inter Quartile Range
    0.01082
  • Number outliers low
    65.00000
  • Percentage of outliers low
    0.04328
  • Mean of outliers low
    0.96578
  • Number of outliers high
    74.00000
  • Percentage of outliers high
    0.04927
  • Mean of outliers high
    1.03387
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.23399
  • VaR(95%) (moments method)
    0.01219
  • Expected Shortfall (moments method)
    0.02009
  • Extreme Value Index (regression method)
    0.16206
  • VaR(95%) (regression method)
    0.01282
  • Expected Shortfall (regression method)
    0.02018
  • 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)
    0.76988
  • Compounded annual return (geometric extrapolation)
    0.34259
  • Calmar ratio (compounded annual return / max draw down)
    1.55802
  • Compounded annual return / average of 25% largest draw downs
    3.24055
  • Compounded annual return / Expected Shortfall lognormal
    12.74900
  • 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
    0.01275
  • SD
    0.08782
  • Sharpe ratio (Glass type estimate)
    0.14518
  • Sharpe ratio (Hedges UMVUE)
    0.14434
  • df
    130.00000
  • t
    0.10266
  • p
    0.49550
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.62693
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.91680
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.62752
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.91620
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.19616
  • Upside Potential Ratio
    7.65552
  • Upside part of mean
    0.49759
  • Downside part of mean
    -0.48484
  • Upside SD
    0.05857
  • Downside SD
    0.06500
  • N nonnegative terms
    69.00000
  • N negative terms
    62.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.11967
  • Mean of criterion
    0.01275
  • SD of predictor
    0.18288
  • SD of criterion
    0.08782
  • Covariance
    0.00175
  • r
    0.10916
  • b (slope, estimate of beta)
    0.05242
  • a (intercept, estimate of alpha)
    0.00648
  • Mean Square Error
    0.00768
  • DF error
    129.00000
  • t(b)
    1.24730
  • p(b)
    0.43064
  • t(a)
    0.05221
  • p(a)
    0.49707
  • Lowerbound of 95% confidence interval for beta
    -0.03073
  • Upperbound of 95% confidence interval for beta
    0.13558
  • Lowerbound of 95% confidence interval for alpha
    -0.23894
  • Upperbound of 95% confidence interval for alpha
    0.25189
  • Treynor index (mean / b)
    0.24322
  • Jensen alpha (a)
    0.00648
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.00891
  • SD
    0.08795
  • Sharpe ratio (Glass type estimate)
    0.10136
  • Sharpe ratio (Hedges UMVUE)
    0.10078
  • df
    130.00000
  • t
    0.07167
  • p
    0.49686
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.67059
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.87308
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.67106
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.87261
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.13630
  • Upside Potential Ratio
    7.58092
  • Upside part of mean
    0.49583
  • Downside part of mean
    -0.48691
  • Upside SD
    0.05829
  • Downside SD
    0.06540
  • N nonnegative terms
    69.00000
  • N negative terms
    62.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.10306
  • Mean of criterion
    0.00891
  • SD of predictor
    0.18273
  • SD of criterion
    0.08795
  • Covariance
    0.00176
  • r
    0.10920
  • b (slope, estimate of beta)
    0.05256
  • a (intercept, estimate of alpha)
    0.00350
  • Mean Square Error
    0.00770
  • DF error
    129.00000
  • t(b)
    1.24778
  • p(b)
    0.43062
  • t(a)
    0.02816
  • p(a)
    0.49842
  • Lowerbound of 95% confidence interval for beta
    -0.03078
  • Upperbound of 95% confidence interval for beta
    0.13590
  • Lowerbound of 95% confidence interval for alpha
    -0.24221
  • Upperbound of 95% confidence interval for alpha
    0.24920
  • Treynor index (mean / b)
    0.16961
  • Jensen alpha (a)
    0.00350
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00886
  • Expected Shortfall on VaR
    0.01111
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00409
  • Expected Shortfall on VaR
    0.00830
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.97975
  • Quartile 1
    0.99830
  • Median
    1.00025
  • Quartile 3
    1.00298
  • Maximum
    1.01616
  • Mean of quarter 1
    0.99362
  • Mean of quarter 2
    0.99925
  • Mean of quarter 3
    1.00135
  • Mean of quarter 4
    1.00643
  • Inter Quartile Range
    0.00468
  • Number outliers low
    7.00000
  • Percentage of outliers low
    0.05344
  • Mean of outliers low
    0.98630
  • Number of outliers high
    5.00000
  • Percentage of outliers high
    0.03817
  • Mean of outliers high
    1.01222
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.17578
  • VaR(95%) (moments method)
    0.00521
  • Expected Shortfall (moments method)
    0.00828
  • Extreme Value Index (regression method)
    0.08771
  • VaR(95%) (regression method)
    0.00652
  • Expected Shortfall (regression method)
    0.01003
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    7.00000
  • Minimum
    0.00187
  • Quartile 1
    0.00352
  • Median
    0.02140
  • Quartile 3
    0.02551
  • Maximum
    0.04782
  • Mean of quarter 1
    0.00216
  • Mean of quarter 2
    0.01300
  • Mean of quarter 3
    0.02401
  • Mean of quarter 4
    0.03742
  • Inter Quartile Range
    0.02199
  • 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)
    0.03716
  • Compounded annual return (geometric extrapolation)
    0.03751
  • Calmar ratio (compounded annual return / max draw down)
    0.78438
  • Compounded annual return / average of 25% largest draw downs
    1.00243
  • Compounded annual return / Expected Shortfall lognormal
    3.37624

Strategy Description

Summary Statistics

Includes fees & commissions
Strategy began
2013-07-07
Suggested Minimum Capital
$35,000
# Trades
1275
# Profitable
468
% Profitable
36.7%
Net Dividends
Correlation S&P500
0.148
Sharpe Ratio
1.314

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.

Okay, gotcha.

Not available

This feature isn't available under your current Trade Leader Plan.

Want to see available plans and features?

Please hold...

Strategy is now visible

This strategy is now visible to the public. New subscribers will be able to follow it.

If you designate your strategy as Private, it will no longer be visible to the public.

No subscribers and simulations will be allowed. If you have subscribers, the strategy will still be visible to them.
If you have simulations, they will be stopped.

Continue to designate your strategy as Private?

Strategy is no longer visible

This strategy is no longer visible to anyone except current subscribers.

(Current subscribers will remain subscribed. You can see who is subscribed, and control their subscriptions, on your Subscriber Management screen.)

Finally, please note that you can restore public visibility at any time.

This strategy is no longer visible to the public. No subscribers will be allowed.

You can restore public visibility at any time.

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.