Collective2 Collective2
For your consideration ares +34.1% Annual Return (Compounded) since Sep 12, 2020 Hypothetical

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Option and Stock Opportunities
(54324944)

Created by: TradingOpportuniti TradingOpportuniti
Started: 10/2010
Options
Last trade: 4,677 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 $49.00 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.

-6.8%
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.

(86.2%)
Max Drawdown
165
Num Trades
60.6%
Win Trades
0.9 : 1
Profit Factor
10.6%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2010                                                               +9.5%+27.3%+24.8%+73.9%
2011(11.9%)+1.9%+17.6%+3.6%(18%)+4.7%+0.3%+2.3%(39.6%)+8.9%+19.4%(25.3%)(43.5%)
2012+16.8%(7%)(13.5%)(7.4%)+30.3%+6.4%(2.1%)+18.8%+17.0%(14.4%)(10.9%)+0.5%+25.8%
2013(9.7%)(16.5%)+7.4%(41.5%)(2.7%)+35.3%(52.7%)(8.8%)  -    -    -    -  (73.1%)
2014  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2015  -    -    -    -    -    -    -    -    -  +0.1%  -    -  +0.1%
2016  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2017  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2018  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2019  -    -    -    -    -    -    -    -    -    -    -  0.0
2020  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2021  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2022  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2023  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2024  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2025  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2026  -    -    -    -    -    -                                      0.0

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 72 hours.

Trading Record

This strategy has placed 133 trades in real-life brokerage accounts. The most recent trade in a real-money brokerage account occurred more than 5518 days ago.

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Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQuantAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
7/29/13 11:57 BWLD1321U95 BWLD Sep21'13 95 put LONG 30 4.20 8/22 9:31 0.25 45.41%
Trade id #82235485
Max drawdown($11,850)
Time8/21/13 14:11
Quant open30
Worst price0.25
Drawdown as % of equity-45.41%
 ($11,892)
Includes Typical Broker Commissions trade costs of $42.00
7/29/13 12:27 LULU1321U67.5 LULU Sep21'13 67.5 put LONG 20 3.35 8/22 9:30 3.00 16.69%
Trade id #82236357
Max drawdown($3,820)
Time8/13/13 9:33
Quant open20
Worst price1.44
Drawdown as % of equity-16.69%
 ($728)
Includes Typical Broker Commissions trade costs of $28.00
7/29/13 11:59 IRBT1317H40 IRBT Aug17'13 40 call SHORT 30 0.10 8/18 9:12 0.00 0.4%
Trade id #82235534
Max drawdown($150)
Time7/29/13 12:46
Quant open-30
Worst price0.15
Drawdown as % of equity-0.40%
 $279
Includes Typical Broker Commissions trade costs of $21.00
7/23/13 14:59 IRBT1317H40 IRBT Aug17'13 40 call LONG 30 2.05 7/29 11:58 0.10 15.57%
Trade id #82148402
Max drawdown($5,850)
Time7/24/13 12:11
Quant open30
Worst price0.10
Drawdown as % of equity-15.57%
 ($5,892)
Includes Typical Broker Commissions trade costs of $42.00
7/18/13 10:07 DD1317H57.5 DD Aug17'13 57.5 call LONG 30 1.39 7/23 14:57 0.91 4.2%
Trade id #82057206
Max drawdown($1,860)
Time7/23/13 11:02
Quant open30
Worst price0.77
Drawdown as % of equity-4.20%
 ($1,482)
Includes Typical Broker Commissions trade costs of $42.00
7/11/13 10:44 MHK1317H115 MHK Aug17'13 115 call SHORT 10 4.80 7/23 14:57 5.30 2.5%
Trade id #81954496
Max drawdown($1,100)
Time7/15/13 10:55
Quant open-10
Worst price5.90
Drawdown as % of equity-2.50%
 ($514)
Includes Typical Broker Commissions trade costs of $14.00
7/9/13 10:52 SPLK1317T47.5 SPLK Aug17'13 47.5 put SHORT 20 2.00 7/9 14:29 1.75 n/a $472
Includes Typical Broker Commissions trade costs of $28.00
7/9/13 14:09 MHK1317T110 MHK Aug17'13 110 put SHORT 20 3.40 7/9 14:28 3.70 1.29%
Trade id #81914686
Max drawdown($600)
Time7/9/13 14:28
Quant open0
Worst price3.70
Drawdown as % of equity-1.29%
 ($628)
Includes Typical Broker Commissions trade costs of $28.00
5/30/13 13:34 DDD1317T50 DDD Aug17'13 50 put SHORT 10 6.20 7/9 14:23 5.40 11.46%
Trade id #81185704
Max drawdown($4,400)
Time6/24/13 10:24
Quant open-10
Worst price10.60
Drawdown as % of equity-11.46%
 $786
Includes Typical Broker Commissions trade costs of $14.00
7/8/13 14:29 MHK1317T110 MHK Aug17'13 110 put LONG 20 5.30 7/9 14:09 3.40 8.18%
Trade id #81894949
Max drawdown($3,800)
Time7/9/13 14:09
Quant open0
Worst price3.40
Drawdown as % of equity-8.18%
 ($3,828)
Includes Typical Broker Commissions trade costs of $28.00
6/24/13 12:32 IRBT1321U35 IRBT Sep21'13 35 put SHORT 10 3.00 6/28 12:00 2.00 n/a $986
Includes Typical Broker Commissions trade costs of $14.00
6/26/13 13:00 SPLK1317T45 SPLK Aug17'13 45 put SHORT 30 2.20 6/28 11:59 1.65 0%
Trade id #81721207
Max drawdown$0
Time6/26/13 15:51
Quant open-30
Worst price2.20
Drawdown as % of equity0.00%
 $1,608
Includes Typical Broker Commissions trade costs of $42.00
6/23/13 9:02 DSX DIANA SHIPPING LONG 500 10.00 6/26 13:21 9.74 0.81%
Trade id #81652562
Max drawdown($310)
Time6/24/13 12:28
Quant open500
Worst price9.38
Drawdown as % of equity-0.81%
 ($140)
Includes Typical Broker Commissions trade costs of $10.00
6/24/13 12:30 PRLB1317T60 PRLB Aug17'13 60 put SHORT 20 5.70 6/25 10:16 3.30 1.04%
Trade id #81673806
Max drawdown($400)
Time6/24/13 12:39
Quant open-20
Worst price5.90
Drawdown as % of equity-1.04%
 $4,772
Includes Typical Broker Commissions trade costs of $28.00
4/2/13 11:46 DSX1322R10 DSX Jun22'13 10 put SHORT 20 0.75 6/23 9:01 0.90 1.2%
Trade id #80007925
Max drawdown($620)
Time4/8/13 10:05
Quant open-20
Worst price1.06
Drawdown as % of equity-1.20%
 ($325)
Includes Typical Broker Commissions trade costs of $24.50
5/29/13 11:50 IRBT1321U35 IRBT Sep21'13 35 put SHORT 10 3.80 6/20 10:18 2.80 1.54%
Trade id #81157485
Max drawdown($500)
Time6/6/13 15:56
Quant open-10
Worst price4.30
Drawdown as % of equity-1.54%
 $986
Includes Typical Broker Commissions trade costs of $14.00
5/31/13 12:24 PRLB1320S55 PRLB Jul20'13 55 put SHORT 10 3.50 6/20 10:18 1.00 3.88%
Trade id #81214580
Max drawdown($1,400)
Time6/3/13 12:18
Quant open-10
Worst price4.90
Drawdown as % of equity-3.88%
 $2,486
Includes Typical Broker Commissions trade costs of $14.00
1/22/12 9:16 RGLD ROYAL GOLD LONG 1,000 75.00 4/15/13 15:18 54.70 47.67%
Trade id #69894012
Max drawdown($20,810)
Time4/15/13 9:58
Quant open1,000
Worst price54.19
Drawdown as % of equity-47.67%
 ($20,305)
Includes Typical Broker Commissions trade costs of $5.00
3/21/13 12:54 KBX Kimber Resources Inc. LONG 25,000 0.21 4/15 15:17 0.15 4.03%
Trade id #79824536
Max drawdown($1,538)
Time4/15/13 15:17
Quant open0
Worst price0.15
Drawdown as % of equity-4.03%
 ($1,543)
Includes Typical Broker Commissions trade costs of $5.00
3/27/13 10:55 EBAY1318Q50 EBAY May18'13 50 put LONG 20 2.03 4/15 9:48 0.29 7.52%
Trade id #79918646
Max drawdown($3,540)
Time4/11/13 10:42
Quant open20
Worst price0.26
Drawdown as % of equity-7.52%
 ($3,508)
Includes Typical Broker Commissions trade costs of $28.00
4/2/13 11:18 DSX1322F10 DSX Jun22'13 10 call LONG 30 0.90 4/15 9:48 0.55 2.47%
Trade id #80007091
Max drawdown($1,200)
Time4/4/13 9:40
Quant open30
Worst price0.50
Drawdown as % of equity-2.47%
 ($1,092)
Includes Typical Broker Commissions trade costs of $42.00
9/13/11 15:33 RGLD1221A100 RGLD Jan21'12 100 call LONG 50 2.45 1/22/12 9:16 0.00 19.51%
Trade id #65653456
Max drawdown($12,250)
Time1/22/12 9:16
Quant open0
Worst price0.00
Drawdown as % of equity-19.51%
 ($12,285)
Includes Typical Broker Commissions trade costs of $35.00
9/16/11 11:53 RGLD1221A80 RGLD Jan21'12 80 call LONG 20 7.40 1/22/12 9:16 0.00 23.58%
Trade id #65774383
Max drawdown($14,800)
Time1/22/12 9:16
Quant open0
Worst price0.00
Drawdown as % of equity-23.58%
 ($14,814)
Includes Typical Broker Commissions trade costs of $14.00
8/29/11 15:44 SLW1221A40 SLW Jan21'12 40 call LONG 10 4.55 1/22/12 9:16 0.00 7.25%
Trade id #65127025
Max drawdown($4,550)
Time1/22/12 9:16
Quant open0
Worst price0.00
Drawdown as % of equity-7.25%
 ($4,557)
Includes Typical Broker Commissions trade costs of $7.00
8/31/11 10:39 RGLD1221M75 RGLD Jan21'12 75 put SHORT 10 6.00 1/22/12 9:16 0.00 3.33%
Trade id #65210685
Max drawdown($1,900)
Time1/13/12 14:52
Quant open-10
Worst price7.90
Drawdown as % of equity-3.33%
 $5,993
Includes Typical Broker Commissions trade costs of $7.00
8/31/11 10:40 SLV1221A40 SLV Jan21'12 40 call LONG 10 4.80 1/22/12 9:16 0.00 7.65%
Trade id #65210964
Max drawdown($4,800)
Time1/22/12 9:16
Quant open0
Worst price0.00
Drawdown as % of equity-7.65%
 ($4,807)
Includes Typical Broker Commissions trade costs of $7.00
9/19/11 11:28 SVM1221A7 SVM Jan21'12 7 call LONG 50 1.70 10/28 12:40 3.00 0%
Trade id #65834094
Max drawdown$0
Time10/18/11 10:08
Quant open50
Worst price1.70
Drawdown as % of equity0.00%
 $6,430
Includes Typical Broker Commissions trade costs of $70.00
10/14/11 9:47 SPXU1119K16 SPXU Nov19'11 16 call LONG 20 1.55 10/18 15:19 1.25 1.52%
Trade id #66785893
Max drawdown($800)
Time10/18/11 15:14
Quant open20
Worst price1.15
Drawdown as % of equity-1.52%
 ($628)
Includes Typical Broker Commissions trade costs of $28.00
10/14/11 9:42 BGZ1119K36 BGZ Nov19'11 36 call LONG 20 3.70 10/18 15:18 2.75 3.6%
Trade id #66784754
Max drawdown($1,900)
Time10/18/11 15:18
Quant open0
Worst price2.75
Drawdown as % of equity-3.60%
 ($1,928)
Includes Typical Broker Commissions trade costs of $28.00
9/1/11 14:20 MMM1122V80 MMM Oct22'11 80 put LONG 20 2.91 9/2 12:00 3.50 0.2%
Trade id #65265994
Max drawdown($180)
Time9/1/11 15:55
Quant open20
Worst price2.82
Drawdown as % of equity-0.20%
 $1,152
Includes Typical Broker Commissions trade costs of $28.00

Statistics

  • Strategy began
    10/29/2010
  • Suggested Minimum Cap
    $50,000
  • Strategy Age (days)
    5703.9
  • Age
    190 months ago
  • What it trades
    Options
  • # Trades
    165
  • # Profitable
    100
  • % Profitable
    60.60%
  • Avg trade duration
    19.2 days
  • Max peak-to-valley drawdown
    86.16%
  • drawdown period
    April 08, 2011 - Aug 14, 2013
  • Annual Return (Compounded)
    -6.8%
  • Avg win
    $1,475
  • Avg loss
    $2,667
  • Model Account Values (Raw)
  • Cash
    $25,038
  • Margin Used
    $0
  • Buying Power
    $25,038
  • Ratios
  • W:L ratio
    0.86:1
  • Sharpe Ratio
    -0.22
  • Sortino Ratio
    -0.3
  • Calmar Ratio
    -0.175
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -580.87%
  • Correlation to SP500
    0.03850
  • Return Percent SP500 (cumu) during strategy life
    527.57%
  • Return Statistics
  • Ann Return (w trading costs)
    -6.8%
  • Slump
  • Current Slump as Pcnt Equity
    518.20%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.97%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    -0.068%
  • Instruments
  • Percent Trades Options
    0.95%
  • Percent Trades Stocks
    0.05%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    -4.3%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    100.00%
  • Chance of 20% account loss
    100.00%
  • Chance of 30% account loss
    100.00%
  • Chance of 40% account loss
    100.00%
  • Chance of 60% account loss (Monte Carlo)
    100.00%
  • Chance of 70% account loss (Monte Carlo)
    100.00%
  • Chance of 80% account loss (Monte Carlo)
    100.00%
  • Chance of 90% account loss (Monte Carlo)
    n/a
  • Chance of 100% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    100.00%
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    0
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Popularity
  • Popularity (7 days, Percentile 1000 scale)
    0
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $2,667
  • Avg Win
    $1,475
  • Sum Trade PL (losers)
    $173,357.000
  • Age
  • Num Months filled monthly returns table
    189
  • Win / Loss
  • Sum Trade PL (winners)
    $147,545.000
  • # Winners
    100
  • Num Months Winners
    20
  • Dividends
  • Dividends Received in Model Acct
    850
  • Win / Loss
  • # Losers
    65
  • % Winners
    60.6%
  • Frequency
  • Avg Position Time (mins)
    27633.20
  • Avg Position Time (hrs)
    460.55
  • Avg Trade Length
    19.2 days
  • Last Trade Ago
    4676
  • Regression
  • Alpha
    -0.02
  • Beta
    0.06
  • Treynor Index
    -0.29
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.04
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    26.31
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    21.97
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -0.12
  • MAE:Equity, average, winning trades
    0.02
  • MAE:Equity, average, losing trades
    0.06
  • Avg(MAE) / Avg(PL) - All trades
    -5.652
  • MAE:Equity, losing trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, win trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, 95th Percentile Value for this strat
    0.05
  • Avg(MAE) / Avg(PL) - Winning trades
    0.825
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.083
  • Hold-and-Hope Ratio
    -0.177
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.00797
  • SD
    0.55533
  • Sharpe ratio (Glass type estimate)
    0.01434
  • Sharpe ratio (Hedges UMVUE)
    0.01415
  • df
    57.00000
  • t
    0.03154
  • p
    0.48748
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.87723
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.90580
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.87735
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.90567
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.02183
  • Upside Potential Ratio
    1.47425
  • Upside part of mean
    0.53806
  • Downside part of mean
    -0.53009
  • Upside SD
    0.41215
  • Downside SD
    0.36497
  • N nonnegative terms
    42.00000
  • N negative terms
    16.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    58.00000
  • Mean of predictor
    0.38672
  • Mean of criterion
    0.00797
  • SD of predictor
    0.24721
  • SD of criterion
    0.55533
  • Covariance
    0.00496
  • r
    0.03616
  • b (slope, estimate of beta)
    0.08122
  • a (intercept, estimate of alpha)
    -0.02345
  • Mean Square Error
    0.31348
  • DF error
    56.00000
  • t(b)
    0.27076
  • p(b)
    0.39378
  • t(a)
    -0.08378
  • p(a)
    0.53323
  • Lowerbound of 95% confidence interval for beta
    -0.51971
  • Upperbound of 95% confidence interval for beta
    0.68216
  • Lowerbound of 95% confidence interval for alpha
    -0.58406
  • Upperbound of 95% confidence interval for alpha
    0.53717
  • Treynor index (mean / b)
    0.09807
  • Jensen alpha (a)
    -0.02345
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.14821
  • SD
    0.57328
  • Sharpe ratio (Glass type estimate)
    -0.25853
  • Sharpe ratio (Hedges UMVUE)
    -0.25511
  • df
    57.00000
  • t
    -0.56837
  • p
    0.71399
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.15019
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.63535
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.14785
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.63762
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.33145
  • Upside Potential Ratio
    1.04868
  • Upside part of mean
    0.46892
  • Downside part of mean
    -0.61713
  • Upside SD
    0.35337
  • Downside SD
    0.44715
  • N nonnegative terms
    42.00000
  • N negative terms
    16.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    58.00000
  • Mean of predictor
    0.35266
  • Mean of criterion
    -0.14821
  • SD of predictor
    0.23846
  • SD of criterion
    0.57328
  • Covariance
    0.00760
  • r
    0.05559
  • b (slope, estimate of beta)
    0.13365
  • a (intercept, estimate of alpha)
    -0.19534
  • Mean Square Error
    0.33348
  • DF error
    56.00000
  • t(b)
    0.41668
  • p(b)
    0.33925
  • t(a)
    -0.68303
  • p(a)
    0.75130
  • Lowerbound of 95% confidence interval for beta
    -0.50890
  • Upperbound of 95% confidence interval for beta
    0.77621
  • Lowerbound of 95% confidence interval for alpha
    -0.76826
  • Upperbound of 95% confidence interval for alpha
    0.37757
  • Treynor index (mean / b)
    -1.10891
  • Jensen alpha (a)
    -0.19534
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.24765
  • Expected Shortfall on VaR
    0.29663
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.06525
  • Expected Shortfall on VaR
    0.15173
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    58.00000
  • Minimum
    0.53919
  • Quartile 1
    0.96675
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.48397
  • Mean of quarter 1
    0.82968
  • Mean of quarter 2
    0.99948
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.17337
  • Inter Quartile Range
    0.03325
  • Number outliers low
    12.00000
  • Percentage of outliers low
    0.20690
  • Mean of outliers low
    0.80105
  • Number of outliers high
    10.00000
  • Percentage of outliers high
    0.17241
  • Mean of outliers high
    1.25589
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.40949
  • VaR(95%) (moments method)
    0.12858
  • Expected Shortfall (moments method)
    0.15640
  • Extreme Value Index (regression method)
    -0.00491
  • VaR(95%) (regression method)
    0.20666
  • Expected Shortfall (regression method)
    0.30708
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    2.00000
  • Minimum
    0.15983
  • Quartile 1
    0.30699
  • Median
    0.45416
  • Quartile 3
    0.60132
  • Maximum
    0.74849
  • Mean of quarter 1
    0.15983
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.74849
  • Inter Quartile Range
    0.29433
  • 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)
    -0.10582
  • Compounded annual return (geometric extrapolation)
    -0.13775
  • Calmar ratio (compounded annual return / max draw down)
    -0.18404
  • Compounded annual return / average of 25% largest draw downs
    -0.18404
  • Compounded annual return / Expected Shortfall lognormal
    -0.46438
  • 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
    -0.04001
  • SD
    0.46336
  • Sharpe ratio (Glass type estimate)
    -0.08635
  • Sharpe ratio (Hedges UMVUE)
    -0.08630
  • df
    1270.00000
  • t
    -0.19020
  • p
    0.50267
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.97623
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.80352
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.97618
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.80357
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.12305
  • Upside Potential Ratio
    4.89760
  • Upside part of mean
    1.59254
  • Downside part of mean
    -1.63255
  • Upside SD
    0.32986
  • Downside SD
    0.32517
  • N nonnegative terms
    970.00000
  • N negative terms
    301.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1271.00000
  • Mean of predictor
    0.42140
  • Mean of criterion
    -0.04001
  • SD of predictor
    0.29085
  • SD of criterion
    0.46336
  • Covariance
    0.00560
  • r
    0.04152
  • b (slope, estimate of beta)
    0.06614
  • a (intercept, estimate of alpha)
    -0.06800
  • Mean Square Error
    0.21450
  • DF error
    1269.00000
  • t(b)
    1.48028
  • p(b)
    0.47358
  • t(a)
    -0.32155
  • p(a)
    0.50575
  • Lowerbound of 95% confidence interval for beta
    -0.02152
  • Upperbound of 95% confidence interval for beta
    0.15380
  • Lowerbound of 95% confidence interval for alpha
    -0.48207
  • Upperbound of 95% confidence interval for alpha
    0.34630
  • Treynor index (mean / b)
    -0.60494
  • Jensen alpha (a)
    -0.06789
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.14766
  • SD
    0.46520
  • Sharpe ratio (Glass type estimate)
    -0.31742
  • Sharpe ratio (Hedges UMVUE)
    -0.31723
  • df
    1270.00000
  • t
    -0.69913
  • p
    0.50981
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.20733
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.57258
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.20719
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.57272
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.42816
  • Upside Potential Ratio
    4.47119
  • Upside part of mean
    1.54204
  • Downside part of mean
    -1.68970
  • Upside SD
    0.31206
  • Downside SD
    0.34488
  • N nonnegative terms
    970.00000
  • N negative terms
    301.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1271.00000
  • Mean of predictor
    0.37805
  • Mean of criterion
    -0.14766
  • SD of predictor
    0.29510
  • SD of criterion
    0.46520
  • Covariance
    0.00577
  • r
    0.04203
  • b (slope, estimate of beta)
    0.06626
  • a (intercept, estimate of alpha)
    -0.17271
  • Mean Square Error
    0.21620
  • DF error
    1269.00000
  • t(b)
    1.49858
  • p(b)
    0.47325
  • t(a)
    -0.81557
  • p(a)
    0.51457
  • Lowerbound of 95% confidence interval for beta
    -0.02048
  • Upperbound of 95% confidence interval for beta
    0.15300
  • Lowerbound of 95% confidence interval for alpha
    -0.58817
  • Upperbound of 95% confidence interval for alpha
    0.24274
  • Treynor index (mean / b)
    -2.22867
  • Jensen alpha (a)
    -0.17271
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.04671
  • Expected Shortfall on VaR
    0.05804
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00774
  • Expected Shortfall on VaR
    0.02023
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    1271.00000
  • Minimum
    0.78336
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.22507
  • Mean of quarter 1
    0.97510
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.02429
  • Inter Quartile Range
    0.00000
  • Number outliers low
    301.00000
  • Percentage of outliers low
    0.23682
  • Mean of outliers low
    0.97369
  • Number of outliers high
    290.00000
  • Percentage of outliers high
    0.22817
  • Mean of outliers high
    1.02664
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.12174
  • VaR(95%) (moments method)
    0.00475
  • Expected Shortfall (moments method)
    0.00800
  • Extreme Value Index (regression method)
    0.23131
  • VaR(95%) (regression method)
    0.02220
  • Expected Shortfall (regression method)
    0.04399
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    8.00000
  • Minimum
    0.00643
  • Quartile 1
    0.05942
  • Median
    0.07149
  • Quartile 3
    0.17306
  • Maximum
    0.78477
  • Mean of quarter 1
    0.02734
  • Mean of quarter 2
    0.06432
  • Mean of quarter 3
    0.11866
  • Mean of quarter 4
    0.49876
  • Inter Quartile Range
    0.11363
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.12500
  • Mean of outliers high
    0.78477
  • 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)
    -0.10543
  • Compounded annual return (geometric extrapolation)
    -0.13728
  • Calmar ratio (compounded annual return / max draw down)
    -0.17493
  • Compounded annual return / average of 25% largest draw downs
    -0.27525
  • Compounded annual return / Expected Shortfall lognormal
    -2.36537
  • 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
    0.00000
  • SD
    0.00000
  • Sharpe ratio (Glass type estimate)
    0.00000
  • Sharpe ratio (Hedges UMVUE)
    0.00000
  • df
    0.00000
  • t
    0.00000
  • p
    0.00000
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.00000
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.00000
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.00000
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    0.00000
  • Downside part of mean
    0.00000
  • Upside SD
    0.00000
  • Downside SD
    0.00000
  • N nonnegative terms
    131.00000
  • N negative terms
    0.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    1.31364
  • Mean of criterion
    0.00000
  • SD of predictor
    0.38483
  • SD of criterion
    0.00000
  • Covariance
    0.00000
  • r
    0.00000
  • b (slope, estimate of beta)
    0.00000
  • a (intercept, estimate of alpha)
    0.00000
  • Mean Square Error
    0.00000
  • DF error
    0.00000
  • t(b)
    0.00000
  • p(b)
    0.00000
  • t(a)
    0.00000
  • p(a)
    0.00000
  • Lowerbound of 95% confidence interval for beta
    0.00000
  • Upperbound of 95% confidence interval for beta
    0.00000
  • Lowerbound of 95% confidence interval for alpha
    0.00000
  • Upperbound of 95% confidence interval for alpha
    0.00000
  • Treynor index (mean / b)
    0.00000
  • Jensen alpha (a)
    0.00000
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.00000
  • SD
    0.00000
  • Sharpe ratio (Glass type estimate)
    0.00000
  • Sharpe ratio (Hedges UMVUE)
    0.00000
  • df
    0.00000
  • t
    0.00000
  • p
    0.00000
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.00000
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.00000
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.00000
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    0.00000
  • Downside part of mean
    0.00000
  • Upside SD
    0.00000
  • Downside SD
    0.00000
  • N nonnegative terms
    131.00000
  • N negative terms
    0.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    1.23664
  • Mean of criterion
    0.00000
  • SD of predictor
    0.38679
  • SD of criterion
    0.00000
  • Covariance
    0.00000
  • r
    0.00000
  • b (slope, estimate of beta)
    0.00000
  • a (intercept, estimate of alpha)
    0.00000
  • Mean Square Error
    0.00000
  • DF error
    0.00000
  • t(b)
    0.00000
  • p(b)
    0.00000
  • t(a)
    0.00000
  • p(a)
    0.00000
  • VAR (95 Confidence Intrvl)
    0.04700
  • Lowerbound of 95% confidence interval for beta
    0.00000
  • Upperbound of 95% confidence interval for beta
    0.00000
  • Lowerbound of 95% confidence interval for alpha
    0.00000
  • Upperbound of 95% confidence interval for alpha
    0.00000
  • Treynor index (mean / b)
    0.00000
  • Jensen alpha (a)
    0.00000
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00000
  • Expected Shortfall on VaR
    0.00000
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00000
  • Expected Shortfall on VaR
    0.00000
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    1.00000
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.00000
  • Mean of quarter 1
    1.00000
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.00000
  • 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 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
    0.00000
  • Minimum
    0.00000
  • Quartile 1
    0.00000
  • Median
    0.00000
  • Quartile 3
    0.00000
  • Maximum
    0.00000
  • 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
  • Last 4 Months - Pcnt Negative
    n/a
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -368854000
  • Max Equity Drawdown (num days)
    859
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.00000
  • Compounded annual return (geometric extrapolation)
    0.00000
  • Calmar ratio (compounded annual return / max draw down)
    0.00000
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    0.00000

Strategy Description

Trade this strategy at Tradier

Summary Statistics

Strategy began
2010-10-29
Suggested Minimum Capital
$50,000
# Trades
165
# Profitable
100
% Profitable
60.6%
Net Dividends
$850
Correlation S&P500
0.038
Sharpe Ratio
-0.22
Sortino Ratio
-0.30
Beta
0.06
Alpha
-0.02

Latest Activity

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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.