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This is an archived track record. This track record was archived on 12/17/18 20:45 ET. (See latest track record)
These are hypothetical performance results that have certain inherent limitations. Learn more

TheEverhum
(112709633)

Created by: Proxy Proxy
Started: 07/2017
Forex
Last trade: 1,929 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. You can subscribe to this system for free.

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.

-96.2%
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.

(100.0%)
Max Drawdown
218
Num Trades
94.5%
Win Trades
0.5 : 1
Profit Factor
12.3%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2017                                          +1.0%+8.1%+11.4%+1.1%+15.2%+11.7%+58.4%
2018+1.5%+14.9%+4.2%(4.2%)(5.9%)(4.4%)(8.7%)(14.9%)+8.9%(18.9%)(55.1%)(101.8%)(100.6%)
2019  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2020  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2021  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2022  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2023  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2024  -    -    -                                                        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 168 hours.

Trading Record

This strategy has placed 289 trades in real-life brokerage accounts. The most recent trade in a real-money brokerage account occurred more than 2169 days ago.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
12/17/18 10:30 @YMZ8 MINI DOW LONG 1 23946 12/17 10:30 23948 n/a $2
Includes Typical Broker Commissions trade costs of $8.00
12/17/18 10:28 @YMZ8 MINI DOW SHORT 1 23949 12/17 10:30 23946 n/a $7
Includes Typical Broker Commissions trade costs of $8.00
12/17/18 10:26 @YMZ8 MINI DOW LONG 1 23938 12/17 10:28 23949 n/a $47
Includes Typical Broker Commissions trade costs of $8.00
12/17/18 10:24 @YMZ8 MINI DOW SHORT 1 23929 12/17 10:25 23938 14.75%
Trade id #121527115
Max drawdown($45)
Time12/17/18 10:25
Quant open0
Worst price23938
Drawdown as % of equity-14.75%
($53)
Includes Typical Broker Commissions trade costs of $8.00
12/17/18 10:23 @YMZ8 MINI DOW LONG 1 23943 12/17 10:24 23929 21.21%
Trade id #121527101
Max drawdown($70)
Time12/17/18 10:24
Quant open0
Worst price23929
Drawdown as % of equity-21.21%
($78)
Includes Typical Broker Commissions trade costs of $8.00
12/17/18 10:22 @YMZ8 MINI DOW SHORT 1 23933 12/17 10:23 23943 10.1%
Trade id #121527049
Max drawdown($50)
Time12/17/18 10:23
Quant open0
Worst price23943
Drawdown as % of equity-10.10%
($58)
Includes Typical Broker Commissions trade costs of $8.00
12/17/18 10:21 @YMZ8 MINI DOW LONG 1 23946 12/17 10:21 23933 11.21%
Trade id #121527031
Max drawdown($65)
Time12/17/18 10:21
Quant open0
Worst price23933
Drawdown as % of equity-11.21%
($73)
Includes Typical Broker Commissions trade costs of $8.00
12/17/18 10:18 @YMZ8 MINI DOW SHORT 1 23952 12/17 10:21 23946 9.33%
Trade id #121526957
Max drawdown($35)
Time12/17/18 10:20
Quant open-1
Worst price23959
Drawdown as % of equity-9.33%
$22
Includes Typical Broker Commissions trade costs of $8.00
12/17/18 10:12 @YMZ8 MINI DOW LONG 1 23926 12/17 10:16 23952 5.33%
Trade id #121526723
Max drawdown($20)
Time12/17/18 10:14
Quant open1
Worst price23922
Drawdown as % of equity-5.33%
$122
Includes Typical Broker Commissions trade costs of $8.00
12/17/18 10:10 @YMZ8 MINI DOW SHORT 1 23881 12/17 10:12 23926 52.94%
Trade id #121526610
Max drawdown($225)
Time12/17/18 10:12
Quant open0
Worst price23926
Drawdown as % of equity-52.94%
($233)
Includes Typical Broker Commissions trade costs of $8.00
12/17/18 10:09 @YMZ8 MINI DOW LONG 1 23899 12/17 10:10 23881 9%
Trade id #121526570
Max drawdown($90)
Time12/17/18 10:10
Quant open0
Worst price23881
Drawdown as % of equity-9.00%
($98)
Includes Typical Broker Commissions trade costs of $8.00
12/17/18 10:08 @YMZ8 MINI DOW SHORT 1 23883 12/17 10:09 23899 8%
Trade id #121526537
Max drawdown($80)
Time12/17/18 10:09
Quant open0
Worst price23899
Drawdown as % of equity-8.00%
($88)
Includes Typical Broker Commissions trade costs of $8.00
12/17/18 10:07 @YMZ8 MINI DOW LONG 1 23899 12/17 10:08 23883 8%
Trade id #121526509
Max drawdown($80)
Time12/17/18 10:08
Quant open0
Worst price23883
Drawdown as % of equity-8.00%
($88)
Includes Typical Broker Commissions trade costs of $8.00
12/17/18 10:06 @YMZ8 MINI DOW SHORT 1 23863 12/17 10:06 23899 18%
Trade id #121526488
Max drawdown($180)
Time12/17/18 10:06
Quant open0
Worst price23899
Drawdown as % of equity-18.00%
($188)
Includes Typical Broker Commissions trade costs of $8.00
12/17/18 9:57 @YMZ8 MINI DOW LONG 1 23865 12/17 10:06 23863 1.49%
Trade id #121526280
Max drawdown($15)
Time12/17/18 9:59
Quant open1
Worst price23862
Drawdown as % of equity-1.49%
($18)
Includes Typical Broker Commissions trade costs of $8.00
12/17/18 0:42 AUD/USD AUD/USD SHORT 1 0.71724 12/17 0:43 0.71726 n/a $0
4/22/18 23:30 GBP/USD GBP/USD LONG 179 1.31091 12/16 17:15 1.26940 6011.81%
Trade id #117614267
Max drawdown($74,306)
Time12/16/18 17:15
Quant open101
Worst price1.25805
Drawdown as % of equity-6011.81%
($74,306)
4/23/18 23:52 NZD/USD NZD/USD LONG 9 0.69664 6/4 10:49 0.70355 1.57%
Trade id #117630841
Max drawdown($1,038)
Time5/15/18 21:48
Quant open9
Worst price0.68510
Drawdown as % of equity-1.57%
$622
4/19/18 15:58 USD/CHF USD/CHF SHORT 22 0.99123 5/29 14:29 0.98582 4.32%
Trade id #117586661
Max drawdown($2,901)
Time5/7/18 8:02
Quant open-17
Worst price1.00563
Drawdown as % of equity-4.32%
$1,208
3/12/18 12:16 GBP/CHF GBP/CHF SHORT 40 1.35861 5/1 11:02 1.35383 18.13%
Trade id #116997403
Max drawdown($10,842)
Time4/18/18 3:09
Quant open-40
Worst price1.38559
Drawdown as % of equity-18.13%
$1,919
4/10/18 12:51 USD/CAD USD/CAD LONG 3 1.25705 4/19 15:56 1.26593 0.17%
Trade id #117451270
Max drawdown($102)
Time4/17/18 13:15
Quant open3
Worst price1.25273
Drawdown as % of equity-0.17%
$210
4/10/18 12:54 GBP/JPY GBP/JPY SHORT 6 152.444 4/19 13:16 151.843 1.25%
Trade id #117451345
Max drawdown($784)
Time4/13/18 6:53
Quant open-6
Worst price153.848
Drawdown as % of equity-1.25%
$336
4/10/18 12:48 NZD/USD NZD/USD SHORT 2 0.73760 4/16 6:51 0.73398 0.06%
Trade id #117451167
Max drawdown($38)
Time4/13/18 4:24
Quant open-2
Worst price0.73954
Drawdown as % of equity-0.06%
$72
4/5/18 12:29 USD/JPY USD/JPY SHORT 1 107.374 4/6 11:03 106.972 0.02%
Trade id #117387829
Max drawdown($10)
Time4/5/18 15:55
Quant open-1
Worst price107.489
Drawdown as % of equity-0.02%
$38
4/4/18 0:31 NZD/USD NZD/USD SHORT 1 0.72932 4/5 6:16 0.72786 0.04%
Trade id #117359008
Max drawdown($29)
Time4/4/18 20:14
Quant open-1
Worst price0.73222
Drawdown as % of equity-0.04%
$15
3/28/18 13:34 USD/CHF USD/CHF SHORT 6 0.95622 3/30 0:40 0.95529 0.19%
Trade id #117283575
Max drawdown($133)
Time3/29/18 6:06
Quant open-6
Worst price0.95835
Drawdown as % of equity-0.19%
$59
3/28/18 13:23 USD/JPY USD/JPY SHORT 2 106.694 3/29 1:23 106.435 0.09%
Trade id #117283401
Max drawdown($59)
Time3/28/18 15:58
Quant open-2
Worst price107.012
Drawdown as % of equity-0.09%
$49
3/26/18 10:01 EUR/USD EUR/USD SHORT 2 1.24494 3/27 8:26 1.23775 0.08%
Trade id #117229544
Max drawdown($53)
Time3/27/18 2:52
Quant open-2
Worst price1.24763
Drawdown as % of equity-0.08%
$144
3/23/18 0:38 USD/JPY USD/JPY LONG 2 104.843 3/26 9:24 105.203 0.06%
Trade id #117196618
Max drawdown($40)
Time3/25/18 18:00
Quant open2
Worst price104.629
Drawdown as % of equity-0.06%
$68
3/22/18 12:01 EUR/AUD EUR/AUD SHORT 1 1.60028 3/22 12:34 1.59636 n/a $30

Statistics

  • Strategy began
    7/20/2017
  • Suggested Minimum Cap
    $36,450
  • Strategy Age (days)
    2441.2
  • Age
    81 months ago
  • What it trades
    Forex
  • # Trades
    218
  • # Profitable
    206
  • % Profitable
    94.50%
  • Avg trade duration
    4.4 days
  • Max peak-to-valley drawdown
    100%
  • drawdown period
    Dec 10, 2018 - Dec 11, 2018
  • Annual Return (Compounded)
    -96.2%
  • Avg win
    $189.85
  • Avg loss
    $6,266
  • Model Account Values (Raw)
  • Cash
    $354
  • Margin Used
    $0
  • Buying Power
    $354
  • Ratios
  • W:L ratio
    0.52:1
  • Sharpe Ratio
    -0.57
  • Sortino Ratio
    -0.77
  • Calmar Ratio
    -0.892
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -101.96%
  • Correlation to SP500
    0.02860
  • Return Percent SP500 (cumu) during strategy life
    112.43%
  • Return Statistics
  • Ann Return (w trading costs)
    -96.2%
  • Slump
  • Current Slump as Pcnt Equity
    n/a
  • Instruments
  • Percent Trades Futures
    0.04%
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.87%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    -0.962%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    n/a
  • Percent Trades Forex
    0.96%
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    -49.9%
  • 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)
    100.00%
  • Chance of 100% account loss (Monte Carlo)
    100.00%
  • Automation
  • Percentage Signals Automated
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    100.00%
  • Popularity
  • Popularity (Today)
    945
  • Popularity (Last 6 weeks)
    713
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • Popularity (7 days, Percentile 1000 scale)
    542
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $6,267
  • Avg Win
    $190
  • Sum Trade PL (losers)
    $75,201.000
  • Age
  • Num Months filled monthly returns table
    18
  • Win / Loss
  • Sum Trade PL (winners)
    $39,109.000
  • # Winners
    206
  • Num Months Winners
    10
  • Dividends
  • Dividends Received in Model Acct
    0
  • Win / Loss
  • # Losers
    12
  • % Winners
    94.5%
  • Frequency
  • Avg Position Time (mins)
    6337.95
  • Avg Position Time (hrs)
    105.63
  • Avg Trade Length
    4.4 days
  • Last Trade Ago
    1926
  • Regression
  • Alpha
    0.00
  • Beta
    0.23
  • Treynor Index
    0.00
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.53
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    31.13
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    4.25
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    1.55
  • MAE:Equity, average, winning trades
    0.01
  • MAE:Equity, average, losing trades
    10.18
  • Avg(MAE) / Avg(PL) - All trades
    -4.364
  • 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
    0.00
  • Avg(MAE) / Avg(PL) - Winning trades
    2.123
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.000
  • Hold-and-Hope Ratio
    -0.229
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.03299
  • SD
    0.66322
  • Sharpe ratio (Glass type estimate)
    -0.04974
  • Sharpe ratio (Hedges UMVUE)
    -0.04721
  • df
    15.00000
  • t
    -0.05744
  • p
    0.50944
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.74642
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.64852
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.74467
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.65026
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.06839
  • Upside Potential Ratio
    1.65453
  • Upside part of mean
    0.79808
  • Downside part of mean
    -0.83107
  • Upside SD
    0.42401
  • Downside SD
    0.48236
  • N nonnegative terms
    9.00000
  • N negative terms
    7.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    16.00000
  • Mean of predictor
    0.02608
  • Mean of criterion
    -0.03299
  • SD of predictor
    0.12327
  • SD of criterion
    0.66322
  • Covariance
    0.02678
  • r
    0.32759
  • b (slope, estimate of beta)
    1.76246
  • a (intercept, estimate of alpha)
    -0.07896
  • Mean Square Error
    0.42070
  • DF error
    14.00000
  • t(b)
    1.29730
  • p(b)
    0.33621
  • t(a)
    -0.14029
  • p(a)
    0.51873
  • Lowerbound of 95% confidence interval for beta
    -1.15136
  • Upperbound of 95% confidence interval for beta
    4.67628
  • Lowerbound of 95% confidence interval for alpha
    -1.28612
  • Upperbound of 95% confidence interval for alpha
    1.12820
  • Treynor index (mean / b)
    -0.01872
  • Jensen alpha (a)
    -0.07896
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.25542
  • SD
    0.70476
  • Sharpe ratio (Glass type estimate)
    -0.36241
  • Sharpe ratio (Hedges UMVUE)
    -0.34393
  • df
    15.00000
  • t
    -0.41848
  • p
    0.56826
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.05875
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.34574
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.04577
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.35790
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.44156
  • Upside Potential Ratio
    1.24755
  • Upside part of mean
    0.72163
  • Downside part of mean
    -0.97705
  • Upside SD
    0.36945
  • Downside SD
    0.57844
  • N nonnegative terms
    9.00000
  • N negative terms
    7.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    16.00000
  • Mean of predictor
    0.01885
  • Mean of criterion
    -0.25542
  • SD of predictor
    0.12384
  • SD of criterion
    0.70476
  • Covariance
    0.03162
  • r
    0.36223
  • b (slope, estimate of beta)
    2.06134
  • a (intercept, estimate of alpha)
    -0.29427
  • Mean Square Error
    0.46234
  • DF error
    14.00000
  • t(b)
    1.45409
  • p(b)
    0.31888
  • t(a)
    -0.49922
  • p(a)
    0.56612
  • Lowerbound of 95% confidence interval for beta
    -0.97915
  • Upperbound of 95% confidence interval for beta
    5.10182
  • Lowerbound of 95% confidence interval for alpha
    -1.55855
  • Upperbound of 95% confidence interval for alpha
    0.97000
  • Treynor index (mean / b)
    -0.12391
  • Jensen alpha (a)
    -0.29427
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.29947
  • Expected Shortfall on VaR
    0.35479
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.14681
  • Expected Shortfall on VaR
    0.29025
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    16.00000
  • Minimum
    0.64367
  • Quartile 1
    0.94918
  • Median
    1.02205
  • Quartile 3
    1.10561
  • Maximum
    1.40652
  • Mean of quarter 1
    0.74570
  • Mean of quarter 2
    0.98361
  • Mean of quarter 3
    1.05975
  • Mean of quarter 4
    1.20925
  • Inter Quartile Range
    0.15644
  • Number outliers low
    2.00000
  • Percentage of outliers low
    0.12500
  • Mean of outliers low
    0.67341
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.06250
  • Mean of outliers high
    1.40652
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -97.74450
  • VaR(95%) (moments method)
    0.18842
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    -1.75821
  • VaR(95%) (regression method)
    0.28222
  • Expected Shortfall (regression method)
    0.29132
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    1.00000
  • Minimum
    0.61145
  • Quartile 1
    0.61145
  • Median
    0.61145
  • Quartile 3
    0.61145
  • Maximum
    0.61145
  • Mean of quarter 1
    0.00000
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.00000
  • Inter Quartile Range
    0.00000
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.19624
  • Compounded annual return (geometric extrapolation)
    -0.20348
  • Calmar ratio (compounded annual return / max draw down)
    -0.33279
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    -0.57353
  • 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
    1744.07000
  • SD
    2059.82000
  • Sharpe ratio (Glass type estimate)
    0.84671
  • Sharpe ratio (Hedges UMVUE)
    0.84496
  • df
    364.00000
  • t
    0.99938
  • p
    0.15914
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.81554
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.50784
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.81672
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.50665
  • Statistics related to Sortino ratio
  • Sortino ratio
    1161.28000
  • Upside Potential Ratio
    1165.22000
  • Upside part of mean
    1749.99000
  • Downside part of mean
    -5.91837
  • Upside SD
    2059.82000
  • Downside SD
    1.50186
  • N nonnegative terms
    204.00000
  • N negative terms
    161.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    365.00000
  • Mean of predictor
    0.00238
  • Mean of criterion
    1744.07000
  • SD of predictor
    0.13795
  • SD of criterion
    2059.82000
  • Covariance
    9.30341
  • r
    0.03274
  • b (slope, estimate of beta)
    488.88500
  • a (intercept, estimate of alpha)
    1151.20000
  • Mean Square Error
    4250000.00000
  • DF error
    363.00000
  • t(b)
    0.62414
  • p(b)
    0.26646
  • t(a)
    0.99787
  • p(a)
    0.15950
  • Lowerbound of 95% confidence interval for beta
    -1051.48000
  • Upperbound of 95% confidence interval for beta
    2029.25000
  • Lowerbound of 95% confidence interval for alpha
    -1691.86000
  • Upperbound of 95% confidence interval for alpha
    5177.68000
  • Treynor index (mean / b)
    3.56745
  • Jensen alpha (a)
    1742.91000
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -2.93697
  • SD
    9.86394
  • Sharpe ratio (Glass type estimate)
    -0.29775
  • Sharpe ratio (Hedges UMVUE)
    -0.29713
  • df
    364.00000
  • t
    -0.35143
  • p
    0.63727
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.95827
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.36312
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.95782
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.36356
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.40569
  • Upside Potential Ratio
    1.34700
  • Upside part of mean
    9.75165
  • Downside part of mean
    -12.68860
  • Upside SD
    6.68228
  • Downside SD
    7.23953
  • N nonnegative terms
    204.00000
  • N negative terms
    161.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    365.00000
  • Mean of predictor
    -0.00717
  • Mean of criterion
    -2.93697
  • SD of predictor
    0.13860
  • SD of criterion
    9.86394
  • Covariance
    0.06712
  • r
    0.04910
  • b (slope, estimate of beta)
    3.49406
  • a (intercept, estimate of alpha)
    -2.91191
  • Mean Square Error
    97.33020
  • DF error
    363.00000
  • t(b)
    0.93652
  • p(b)
    0.17481
  • t(a)
    -0.34837
  • p(a)
    0.63612
  • Lowerbound of 95% confidence interval for beta
    -3.84281
  • Upperbound of 95% confidence interval for beta
    10.83090
  • Lowerbound of 95% confidence interval for alpha
    -19.34910
  • Upperbound of 95% confidence interval for alpha
    13.52530
  • Treynor index (mean / b)
    -0.84056
  • Jensen alpha (a)
    -2.91191
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.63708
  • Expected Shortfall on VaR
    0.71210
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.04544
  • Expected Shortfall on VaR
    0.10809
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    365.00000
  • Minimum
    0.00030
  • Quartile 1
    0.98957
  • Median
    1.00165
  • Quartile 3
    1.01291
  • Maximum
    2432.22000
  • Mean of quarter 1
    0.91300
  • Mean of quarter 2
    0.99777
  • Mean of quarter 3
    1.00566
  • Mean of quarter 4
    27.78520
  • Inter Quartile Range
    0.02333
  • Number outliers low
    43.00000
  • Percentage of outliers low
    0.11781
  • Mean of outliers low
    0.84100
  • Number of outliers high
    31.00000
  • Percentage of outliers high
    0.08493
  • Mean of outliers high
    79.57640
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.82181
  • VaR(95%) (moments method)
    0.06202
  • Expected Shortfall (moments method)
    0.38666
  • Extreme Value Index (regression method)
    0.48982
  • VaR(95%) (regression method)
    0.05765
  • Expected Shortfall (regression method)
    0.14059
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    29.00000
  • Minimum
    0.00010
  • Quartile 1
    0.00112
  • Median
    0.00574
  • Quartile 3
    0.01544
  • Maximum
    0.99999
  • Mean of quarter 1
    0.00051
  • Mean of quarter 2
    0.00254
  • Mean of quarter 3
    0.01087
  • Mean of quarter 4
    0.21322
  • Inter Quartile Range
    0.01432
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    5.00000
  • Percentage of outliers high
    0.17241
  • Mean of outliers high
    0.29039
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    1.29445
  • VaR(95%) (moments method)
    0.15538
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    1.22456
  • VaR(95%) (regression method)
    0.12822
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.70534
  • Compounded annual return (geometric extrapolation)
    -0.94547
  • Calmar ratio (compounded annual return / max draw down)
    -0.94549
  • Compounded annual return / average of 25% largest draw downs
    -4.43433
  • Compounded annual return / Expected Shortfall lognormal
    -1.32772
  • 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
    4858.27000
  • SD
    3438.29000
  • Sharpe ratio (Glass type estimate)
    1.41299
  • Sharpe ratio (Hedges UMVUE)
    1.40482
  • df
    130.00000
  • t
    0.99913
  • p
    0.45635
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.36680
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.18745
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.37224
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.18188
  • Statistics related to Sortino ratio
  • Sortino ratio
    1949.06000
  • Upside Potential Ratio
    1954.81000
  • Upside part of mean
    4872.60000
  • Downside part of mean
    -14.33240
  • Upside SD
    3438.27000
  • Downside SD
    2.49263
  • N nonnegative terms
    64.00000
  • N negative terms
    67.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.19163
  • Mean of criterion
    4858.27000
  • SD of predictor
    0.15312
  • SD of criterion
    3438.29000
  • Covariance
    29.68030
  • r
    0.05638
  • b (slope, estimate of beta)
    1265.94000
  • a (intercept, estimate of alpha)
    5100.86000
  • Mean Square Error
    11875600.00000
  • DF error
    129.00000
  • t(b)
    0.64133
  • p(b)
    0.46413
  • t(a)
    1.04351
  • p(a)
    0.44184
  • Lowerbound of 95% confidence interval for beta
    -2639.51000
  • Upperbound of 95% confidence interval for beta
    5171.38000
  • Lowerbound of 95% confidence interval for alpha
    -4570.53000
  • Upperbound of 95% confidence interval for alpha
    14772.30000
  • Treynor index (mean / b)
    3.83768
  • Jensen alpha (a)
    5100.86000
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -9.26755
  • SD
    16.49310
  • Sharpe ratio (Glass type estimate)
    -0.56190
  • Sharpe ratio (Hedges UMVUE)
    -0.55866
  • df
    130.00000
  • t
    -0.39733
  • p
    0.51741
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.33359
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.21171
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.33129
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.21398
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.76711
  • Upside Potential Ratio
    1.97760
  • Upside part of mean
    23.89170
  • Downside part of mean
    -33.15930
  • Upside SD
    11.14980
  • Downside SD
    12.08120
  • N nonnegative terms
    64.00000
  • N negative terms
    67.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.20339
  • Mean of criterion
    -9.26755
  • SD of predictor
    0.15383
  • SD of criterion
    16.49310
  • Covariance
    0.18647
  • r
    0.07350
  • b (slope, estimate of beta)
    7.88032
  • a (intercept, estimate of alpha)
    -7.66475
  • Mean Square Error
    272.65000
  • DF error
    129.00000
  • t(b)
    0.83703
  • p(b)
    0.45325
  • t(a)
    -0.32713
  • p(a)
    0.51833
  • VAR (95 Confidence Intrvl)
    0.56400
  • Lowerbound of 95% confidence interval for beta
    -10.74670
  • Upperbound of 95% confidence interval for beta
    26.50730
  • Lowerbound of 95% confidence interval for alpha
    -54.02160
  • Upperbound of 95% confidence interval for alpha
    38.69210
  • Treynor index (mean / b)
    -1.17604
  • Jensen alpha (a)
    -7.66475
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.81939
  • Expected Shortfall on VaR
    0.87467
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.12468
  • Expected Shortfall on VaR
    0.27260
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.00030
  • Quartile 1
    0.94083
  • Median
    0.99595
  • Quartile 3
    1.03360
  • Maximum
    2432.22000
  • Mean of quarter 1
    0.80997
  • Mean of quarter 2
    0.97312
  • Mean of quarter 3
    1.01458
  • Mean of quarter 4
    74.81330
  • Inter Quartile Range
    0.09277
  • Number outliers low
    6.00000
  • Percentage of outliers low
    0.04580
  • Mean of outliers low
    0.36398
  • Number of outliers high
    7.00000
  • Percentage of outliers high
    0.05344
  • Mean of outliers high
    348.73200
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.81204
  • VaR(95%) (moments method)
    0.20431
  • Expected Shortfall (moments method)
    1.04445
  • Extreme Value Index (regression method)
    0.76783
  • VaR(95%) (regression method)
    0.12959
  • Expected Shortfall (regression method)
    0.43784
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    3.00000
  • Minimum
    0.07915
  • Quartile 1
    0.11674
  • Median
    0.15433
  • Quartile 3
    0.57716
  • Maximum
    0.99999
  • Mean of quarter 1
    0.07915
  • Mean of quarter 2
    0.15433
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.99999
  • Inter Quartile Range
    0.46042
  • 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
    0.75%
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -98
  • Max Equity Drawdown (num days)
    1
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -1.98029
  • Compounded annual return (geometric extrapolation)
    -0.99990
  • Calmar ratio (compounded annual return / max draw down)
    -0.99992
  • Compounded annual return / average of 25% largest draw downs
    -0.99992
  • Compounded annual return / Expected Shortfall lognormal
    -1.14318

Strategy Description

Summary Statistics

Strategy began
2017-07-20
Suggested Minimum Capital
$10,000
# Trades
218
# Profitable
206
% Profitable
94.5%
Correlation S&P500
0.029
Sharpe Ratio
-0.57
Sortino Ratio
-0.77
Beta
0.23
Alpha
0.00

Latest Activity

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subscribed on started simulation #SUBSCRIBEDDATE#

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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