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

Ultron VIX Swing (105938499)

Created by: Ultron Ultron
Started: 09/2016
Stocks
Last trade: 23 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 $249.00 per month.

1011.0%
Annual Return (Compounded)
47.3%
Max Drawdown
35
Num Trades
74.3%
Win Trades
3.7 : 1
Profit Factor
71.4%
Win Months
Hypothetical Monthly Returns (includes system fee and Interactive Brokers commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2016                                                        +430.4%+9.0%+34.7%(0.5%)+674.4%
2017+48.0%+5.9%+1.0%(3.8%)+3.5%+6.4%+3.9%(13.3%)+21.0%(0.1%)            +82.7%

Model Account Details

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

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

Trading Record

This strategy has placed 149 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
8/11/17 15:26 XIV VELOCITYSHARES DAILY INVERSE V LONG 5,500 74.02 9/29 15:16 94.90 1.57%
Trade id #113111686
Max drawdown($3,891)
Time8/21/17 10:30
Quant open5,500
Worst price73.31
Drawdown as % of equity-1.57%
$114,792
Includes Typical Broker Commissions trade costs of $55.00
8/8/17 15:41 XIV VELOCITYSHARES DAILY INVERSE V LONG 6,000 89.52 8/11 15:20 73.26 38.66%
Trade id #113044503
Max drawdown($97,565)
Time8/11/17 15:20
Quant open250
Worst price73.17
Drawdown as % of equity-38.66%
($97,625)
Includes Typical Broker Commissions trade costs of $60.00
7/6/17 9:59 XIV VELOCITYSHARES DAILY INVERSE V LONG 4,000 80.15 7/12 9:54 83.43 1.63%
Trade id #112442054
Max drawdown($5,406)
Time7/6/17 15:46
Quant open3,000
Worst price77.52
Drawdown as % of equity-1.63%
$13,085
Includes Typical Broker Commissions trade costs of $40.00
6/29/17 12:58 VXX IPATH S&P 500 VIX ST FUTURES E SHORT 30,000 13.49 6/29 15:22 12.83 6.6%
Trade id #112287039
Max drawdown($20,120)
Time6/29/17 13:30
Quant open-30,000
Worst price14.16
Drawdown as % of equity-6.60%
$19,513
Includes Typical Broker Commissions trade costs of $300.00
6/12/17 10:10 XIV VELOCITYSHARES DAILY INVERSE V LONG 1,500 78.48 6/12 10:28 78.62 0.03%
Trade id #112013500
Max drawdown($90)
Time6/12/17 10:16
Quant open1,500
Worst price78.42
Drawdown as % of equity-0.03%
$203
Includes Typical Broker Commissions trade costs of $15.00
4/10/17 11:28 XIV VELOCITYSHARES DAILY INVERSE V LONG 41,000 69.61 5/19 11:06 69.54 7.28%
Trade id #110880526
Max drawdown($21,586)
Time4/12/17 9:52
Quant open4,000
Worst price63.28
Drawdown as % of equity-7.28%
($3,500)
Includes Typical Broker Commissions trade costs of $410.00
5/15/17 13:52 VXX IPATH S&P 500 VIX ST FUTURES E LONG 10,000 13.67 5/16 12:16 13.60 0.4%
Trade id #111604758
Max drawdown($1,246)
Time5/16/17 10:21
Quant open10,000
Worst price13.55
Drawdown as % of equity-0.40%
($847)
Includes Typical Broker Commissions trade costs of $100.00
4/10/17 9:42 XIV VELOCITYSHARES DAILY INVERSE V LONG 2,000 70.05 4/10 10:51 69.54 0.32%
Trade id #110876326
Max drawdown($1,004)
Time4/10/17 10:51
Quant open0
Worst price69.54
Drawdown as % of equity-0.32%
($1,024)
Includes Typical Broker Commissions trade costs of $20.00
4/7/17 10:01 VXX IPATH S&P 500 VIX ST FUTURES E SHORT 5,000 16.29 4/7 14:16 16.20 0.32%
Trade id #110812529
Max drawdown($1,000)
Time4/7/17 12:48
Quant open-5,000
Worst price16.49
Drawdown as % of equity-0.32%
$400
Includes Typical Broker Commissions trade costs of $50.00
4/5/17 10:29 VXX IPATH S&P 500 VIX ST FUTURES E LONG 7,500 15.38 4/6 15:08 15.98 0.11%
Trade id #110724619
Max drawdown($344)
Time4/5/17 13:39
Quant open5,000
Worst price15.33
Drawdown as % of equity-0.11%
$4,401
Includes Typical Broker Commissions trade costs of $75.00
3/29/17 11:00 VXX IPATH S&P 500 VIX ST FUTURES E LONG 5,000 15.36 3/30 9:37 15.59 0.09%
Trade id #110517830
Max drawdown($295)
Time3/29/17 15:10
Quant open5,000
Worst price15.30
Drawdown as % of equity-0.09%
$1,114
Includes Typical Broker Commissions trade costs of $50.00
3/24/17 9:30 VXX IPATH S&P 500 VIX ST FUTURES E SHORT 30,000 17.08 3/27 15:35 16.72 3.14%
Trade id #110419298
Max drawdown($9,612)
Time3/27/17 4:01
Quant open-17,500
Worst price17.63
Drawdown as % of equity-3.14%
$10,540
Includes Typical Broker Commissions trade costs of $300.00
3/21/17 10:18 VXX IPATH S&P 500 VIX ST FUTURES E SHORT 20,000 15.83 3/23 15:00 16.59 7.67%
Trade id #110352824
Max drawdown($23,324)
Time3/22/17 4:44
Quant open-20,000
Worst price17.00
Drawdown as % of equity-7.67%
($15,308)
Includes Typical Broker Commissions trade costs of $200.00
3/20/17 10:20 VXX IPATH S&P 500 VIX ST FUTURES E LONG 10,000 15.69 3/21 9:49 15.49 0.9%
Trade id #110330356
Max drawdown($2,837)
Time3/21/17 9:37
Quant open10,000
Worst price15.40
Drawdown as % of equity-0.90%
($2,079)
Includes Typical Broker Commissions trade costs of $100.00
3/13/17 10:35 VXX IPATH S&P 500 VIX ST FUTURES E LONG 10,000 16.81 3/14 9:33 16.72 0.82%
Trade id #110196629
Max drawdown($2,598)
Time3/13/17 18:58
Quant open10,000
Worst price16.55
Drawdown as % of equity-0.82%
($997)
Includes Typical Broker Commissions trade costs of $100.00
3/9/17 9:44 VXX IPATH S&P 500 VIX ST FUTURES E SHORT 17,500 17.34 3/13 10:22 16.97 1.14%
Trade id #110135609
Max drawdown($3,575)
Time3/9/17 14:17
Quant open-15,000
Worst price17.55
Drawdown as % of equity-1.14%
$6,255
Includes Typical Broker Commissions trade costs of $175.00
3/2/17 10:51 VXX IPATH S&P 500 VIX ST FUTURES E SHORT 10,000 17.99 3/8 9:48 17.08 0.77%
Trade id #109989294
Max drawdown($2,319)
Time3/2/17 15:44
Quant open-7,500
Worst price18.25
Drawdown as % of equity-0.77%
$9,027
Includes Typical Broker Commissions trade costs of $100.00
2/24/17 12:52 VXX IPATH S&P 500 VIX ST FUTURES E LONG 20,000 18.03 3/1 9:55 18.00 2.99%
Trade id #109839641
Max drawdown($8,880)
Time2/27/17 13:33
Quant open20,000
Worst price17.59
Drawdown as % of equity-2.99%
($893)
Includes Typical Broker Commissions trade costs of $200.00
2/16/17 10:02 VXX IPATH S&P 500 VIX ST FUTURES E SHORT 12,500 18.06 2/21 11:16 17.48 1.37%
Trade id #109597891
Max drawdown($3,999)
Time2/16/17 11:12
Quant open-10,000
Worst price18.40
Drawdown as % of equity-1.37%
$7,124
Includes Typical Broker Commissions trade costs of $125.00
2/14/17 12:05 VXX IPATH S&P 500 VIX ST FUTURES E LONG 10,000 17.20 2/16 9:55 17.61 2.07%
Trade id #109532899
Max drawdown($5,981)
Time2/15/17 4:02
Quant open10,000
Worst price16.60
Drawdown as % of equity-2.07%
$4,026
Includes Typical Broker Commissions trade costs of $100.00
1/31/17 10:45 VXX IPATH S&P 500 VIX ST FUTURES E SHORT 7,500 19.85 2/2 10:19 19.21 0.31%
Trade id #109172389
Max drawdown($900)
Time1/31/17 11:37
Quant open-7,500
Worst price19.97
Drawdown as % of equity-0.31%
$4,725
Includes Typical Broker Commissions trade costs of $75.00
1/27/17 10:31 UVXY PROSHARES ULTRA VIX SHORT-TERM SHORT 5,000 24.34 1/27 12:09 23.77 0.07%
Trade id #109094588
Max drawdown($196)
Time1/27/17 10:35
Quant open-5,000
Worst price24.38
Drawdown as % of equity-0.07%
$2,804
Includes Typical Broker Commissions trade costs of $50.00
1/23/17 12:03 UVXY PROSHARES ULTRA VIX SHORT-TERM SHORT 5,000 29.34 1/23 13:18 28.62 0.31%
Trade id #108945170
Max drawdown($875)
Time1/23/17 12:15
Quant open-5,000
Worst price29.52
Drawdown as % of equity-0.31%
$3,586
Includes Typical Broker Commissions trade costs of $50.00
1/17/17 9:46 UVXY PROSHARES ULTRA VIX SHORT-TERM SHORT 2,500 31.39 1/20 11:27 29.01 0.1%
Trade id #108687526
Max drawdown($277)
Time1/17/17 10:06
Quant open-2,500
Worst price31.50
Drawdown as % of equity-0.10%
$5,923
Includes Typical Broker Commissions trade costs of $25.00
1/11/17 13:04 UVXY PROSHARES ULTRA VIX SHORT-TERM SHORT 5,000 32.85 1/13 12:19 30.36 1.47%
Trade id #108539776
Max drawdown($3,906)
Time1/12/17 10:21
Quant open-5,000
Worst price33.63
Drawdown as % of equity-1.47%
$12,386
Includes Typical Broker Commissions trade costs of $50.00
1/11/17 10:11 UVXY PROSHARES ULTRA VIX SHORT-TERM LONG 10,000 6.36 1/11 13:03 6.46 0.19%
Trade id #108529843
Max drawdown($492)
Time1/11/17 12:16
Quant open10,000
Worst price6.31
Drawdown as % of equity-0.19%
$930
Includes Typical Broker Commissions trade costs of $100.00
12/29/16 10:54 UVXY PROSHARES ULTRA VIX SHORT-TERM SHORT 45,000 8.30 1/4/17 10:03 7.32 13.58%
Trade id #108246824
Max drawdown($27,833)
Time12/30/16 14:56
Quant open-45,000
Worst price8.92
Drawdown as % of equity-13.58%
$43,635
Includes Typical Broker Commissions trade costs of $450.00
12/7/16 10:31 UVXY PROSHARES ULTRA VIX SHORT-TERM LONG 15,000 8.92 12/12 11:55 9.56 1.01%
Trade id #107787969
Max drawdown($2,079)
Time12/7/16 12:01
Quant open15,000
Worst price8.78
Drawdown as % of equity-1.01%
$9,447
Includes Typical Broker Commissions trade costs of $150.00
12/1/16 13:13 UVXY PROSHARES ULTRA VIX SHORT-TERM SHORT 15,000 11.70 12/5 9:30 10.61 0.92%
Trade id #107665171
Max drawdown($1,797)
Time12/2/16 7:07
Quant open-15,000
Worst price11.82
Drawdown as % of equity-0.92%
$16,203
Includes Typical Broker Commissions trade costs of $150.00
12/1/16 10:16 UVXY PROSHARES ULTRA VIX SHORT-TERM SHORT 10,000 10.68 12/1 12:21 11.20 2.67%
Trade id #107658997
Max drawdown($5,165)
Time12/1/16 12:21
Quant open0
Worst price11.20
Drawdown as % of equity-2.67%
($5,265)
Includes Typical Broker Commissions trade costs of $100.00

Statistics

  • Strategy began
    9/19/2016
  • Starting Unit Size
    $5,000
  • Strategy Age (days)
    398.05
  • Age
    13 months ago
  • What it trades
    Stocks
  • # Trades
    35
  • # Profitable
    26
  • % Profitable
    74.30%
  • Avg trade duration
    5.6 days
  • Max peak-to-valley drawdown
    47.31%
  • drawdown period
    Oct 28, 2016 - Nov 03, 2016
  • Annual Return (Compounded)
    1002.5%
  • Avg win
    $17,857
  • Avg loss
    $14,027
  • Model Account Values (Raw)
  • Cash
    $363,036
  • Margin Used
    $0
  • Buying Power
    $363,036
  • Ratios
  • W:L ratio
    3.68:1
  • Sharpe Ratio
    2.332
  • Sortino Ratio
    8.098
  • Calmar Ratio
    27.914
  • CORRELATION STATISTICS
  • Correlation to SP500
    0.31100
  • Return Statistics
  • Ann Return (w trading costs)
    1002.5%
  • Ann Return (Compnd, No Fees)
    1055.8%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    41.50%
  • Chance of 20% account loss
    21.00%
  • Chance of 30% account loss
    7.00%
  • Chance of 40% account loss
    3.50%
  • Chance of 50% account loss
    0.50%
  • Popularity
  • Popularity (Today)
    829
  • Popularity (Last 6 weeks)
    955
  • C2 Score
    94.4
  • 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
    $14,028
  • Avg Win
    $17,857
  • # Winners
    26
  • # Losers
    9
  • % Winners
    74.3%
  • Frequency
  • Avg Position Time (mins)
    8091.63
  • Avg Position Time (hrs)
    134.86
  • Avg Trade Length
    5.6 days
  • Last Trade Ago
    23
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    5.34125
  • SD
    4.44790
  • Sharpe ratio (Glass type estimate)
    1.20085
  • Sharpe ratio (Hedges UMVUE)
    1.12392
  • df
    12.00000
  • t
    1.24988
  • p
    0.33030
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.76450
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.11974
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.81209
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.05994
  • Statistics related to Sortino ratio
  • Sortino ratio
    21.85030
  • Upside Potential Ratio
    22.95060
  • Upside part of mean
    5.61020
  • Downside part of mean
    -0.26895
  • Upside SD
    4.53648
  • Downside SD
    0.24445
  • N nonnegative terms
    10.00000
  • N negative terms
    3.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    13.00000
  • Mean of predictor
    0.14611
  • Mean of criterion
    5.34125
  • SD of predictor
    0.05850
  • SD of criterion
    4.44790
  • Covariance
    -0.03930
  • r
    -0.15104
  • b (slope, estimate of beta)
    -11.48410
  • a (intercept, estimate of alpha)
    7.01923
  • Mean Square Error
    21.09000
  • DF error
    11.00000
  • t(b)
    -0.50675
  • p(b)
    0.68883
  • t(a)
    1.27240
  • p(a)
    0.11473
  • Lowerbound of 95% confidence interval for beta
    -61.36270
  • Upperbound of 95% confidence interval for beta
    38.39460
  • Lowerbound of 95% confidence interval for alpha
    -5.12253
  • Upperbound of 95% confidence interval for alpha
    19.16100
  • Treynor index (mean / b)
    -0.46510
  • Jensen alpha (a)
    7.01923
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    2.44190
  • SD
    1.68436
  • Sharpe ratio (Glass type estimate)
    1.44975
  • Sharpe ratio (Hedges UMVUE)
    1.35688
  • df
    12.00000
  • t
    1.50895
  • p
    0.30032
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.54608
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.39099
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.60288
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.31664
  • Statistics related to Sortino ratio
  • Sortino ratio
    8.71721
  • Upside Potential Ratio
    9.80279
  • Upside part of mean
    2.74600
  • Downside part of mean
    -0.30410
  • Upside SD
    1.74278
  • Downside SD
    0.28012
  • N nonnegative terms
    10.00000
  • N negative terms
    3.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    13.00000
  • Mean of predictor
    0.14336
  • Mean of criterion
    2.44190
  • SD of predictor
    0.05777
  • SD of criterion
    1.68436
  • Covariance
    -0.00308
  • r
    -0.03165
  • b (slope, estimate of beta)
    -0.92284
  • a (intercept, estimate of alpha)
    2.57420
  • Mean Square Error
    3.09188
  • DF error
    11.00000
  • t(b)
    -0.10503
  • p(b)
    0.54088
  • t(a)
    1.22157
  • p(a)
    0.12370
  • Lowerbound of 95% confidence interval for beta
    -20.26190
  • Upperbound of 95% confidence interval for beta
    18.41620
  • Lowerbound of 95% confidence interval for alpha
    -2.06393
  • Upperbound of 95% confidence interval for alpha
    7.21232
  • Treynor index (mean / b)
    -2.64607
  • Jensen alpha (a)
    2.57420
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.44915
  • Expected Shortfall on VaR
    0.54364
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02728
  • Expected Shortfall on VaR
    0.07147
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    13.00000
  • Minimum
    0.75079
  • Quartile 1
    1.02608
  • Median
    1.08414
  • Quartile 3
    1.28116
  • Maximum
    5.68480
  • Mean of quarter 1
    0.93542
  • Mean of quarter 2
    1.05300
  • Mean of quarter 3
    1.17038
  • Mean of quarter 4
    2.80160
  • Inter Quartile Range
    0.25509
  • 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
    0.07692
  • Mean of outliers high
    5.68480
  • 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)
    1.54501
  • VaR(95%) (regression method)
    0.21361
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    2.00000
  • Minimum
    0.03586
  • Quartile 1
    0.08920
  • Median
    0.14254
  • Quartile 3
    0.19587
  • Maximum
    0.24921
  • Mean of quarter 1
    0.03586
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.24921
  • Inter Quartile Range
    0.10668
  • 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)
    12.48130
  • Compounded annual return (geometric extrapolation)
    10.82020
  • Calmar ratio (compounded annual return / max draw down)
    43.41750
  • Compounded annual return / average of 25% largest draw downs
    43.41750
  • Compounded annual return / Expected Shortfall lognormal
    19.90320
  • 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
    3.12078
  • SD
    1.33474
  • Sharpe ratio (Glass type estimate)
    2.33811
  • Sharpe ratio (Hedges UMVUE)
    2.33191
  • df
    283.00000
  • t
    2.43430
  • p
    0.00777
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.44375
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.22844
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.43961
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.22420
  • Statistics related to Sortino ratio
  • Sortino ratio
    8.09769
  • Upside Potential Ratio
    12.15550
  • Upside part of mean
    4.68461
  • Downside part of mean
    -1.56383
  • Upside SD
    1.28993
  • Downside SD
    0.38539
  • N nonnegative terms
    121.00000
  • N negative terms
    163.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    284.00000
  • Mean of predictor
    0.14610
  • Mean of criterion
    3.12078
  • SD of predictor
    0.07480
  • SD of criterion
    1.33474
  • Covariance
    0.02950
  • r
    0.29551
  • b (slope, estimate of beta)
    5.27337
  • a (intercept, estimate of alpha)
    2.35000
  • Mean Square Error
    1.63173
  • DF error
    282.00000
  • t(b)
    5.19445
  • p(b)
    0.00000
  • t(a)
    1.90181
  • p(a)
    0.02911
  • Lowerbound of 95% confidence interval for beta
    3.27505
  • Upperbound of 95% confidence interval for beta
    7.27169
  • Lowerbound of 95% confidence interval for alpha
    -0.08231
  • Upperbound of 95% confidence interval for alpha
    4.78302
  • Treynor index (mean / b)
    0.59180
  • Jensen alpha (a)
    2.35035
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    2.44045
  • SD
    1.08301
  • Sharpe ratio (Glass type estimate)
    2.25340
  • Sharpe ratio (Hedges UMVUE)
    2.24742
  • df
    283.00000
  • t
    2.34610
  • p
    0.00983
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.35979
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.14310
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.35582
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.13903
  • Statistics related to Sortino ratio
  • Sortino ratio
    5.88208
  • Upside Potential Ratio
    9.84830
  • Upside part of mean
    4.08602
  • Downside part of mean
    -1.64557
  • Upside SD
    1.00964
  • Downside SD
    0.41490
  • N nonnegative terms
    121.00000
  • N negative terms
    163.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    284.00000
  • Mean of predictor
    0.14326
  • Mean of criterion
    2.44045
  • SD of predictor
    0.07475
  • SD of criterion
    1.08301
  • Covariance
    0.02667
  • r
    0.32948
  • b (slope, estimate of beta)
    4.77337
  • a (intercept, estimate of alpha)
    1.75663
  • Mean Square Error
    1.04929
  • DF error
    282.00000
  • t(b)
    5.86013
  • p(b)
    0.00000
  • t(a)
    1.77300
  • p(a)
    0.03865
  • Lowerbound of 95% confidence interval for beta
    3.17000
  • Upperbound of 95% confidence interval for beta
    6.37674
  • Lowerbound of 95% confidence interval for alpha
    -0.19361
  • Upperbound of 95% confidence interval for alpha
    3.70687
  • Treynor index (mean / b)
    0.51126
  • Jensen alpha (a)
    1.75663
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.09583
  • Expected Shortfall on VaR
    0.12049
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01449
  • Expected Shortfall on VaR
    0.03312
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    284.00000
  • Minimum
    0.79924
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00918
  • Maximum
    1.85540
  • Mean of quarter 1
    0.97637
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00284
  • Mean of quarter 4
    1.06887
  • Inter Quartile Range
    0.00918
  • Number outliers low
    23.00000
  • Percentage of outliers low
    0.08099
  • Mean of outliers low
    0.93364
  • Number of outliers high
    33.00000
  • Percentage of outliers high
    0.11620
  • Mean of outliers high
    1.13247
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    1.51217
  • VaR(95%) (moments method)
    0.01013
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.63168
  • VaR(95%) (regression method)
    0.01810
  • Expected Shortfall (regression method)
    0.07092
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    15.00000
  • Minimum
    0.00038
  • Quartile 1
    0.00780
  • Median
    0.01121
  • Quartile 3
    0.11129
  • Maximum
    0.38701
  • Mean of quarter 1
    0.00306
  • Mean of quarter 2
    0.01033
  • Mean of quarter 3
    0.06354
  • Mean of quarter 4
    0.23218
  • Inter Quartile Range
    0.10349
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.13333
  • Mean of outliers high
    0.33742
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.15766
  • VaR(95%) (moments method)
    0.25377
  • Expected Shortfall (moments method)
    0.37610
  • Extreme Value Index (regression method)
    1.77812
  • VaR(95%) (regression method)
    0.27482
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    12.47400
  • Compounded annual return (geometric extrapolation)
    10.80310
  • Calmar ratio (compounded annual return / max draw down)
    27.91410
  • Compounded annual return / average of 25% largest draw downs
    46.52850
  • Compounded annual return / Expected Shortfall lognormal
    89.65780
  • 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
    0.49103
  • SD
    0.50427
  • Sharpe ratio (Glass type estimate)
    0.97374
  • Sharpe ratio (Hedges UMVUE)
    0.96811
  • df
    130.00000
  • t
    0.68854
  • p
    0.46986
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.80240
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.74627
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.80619
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.74242
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.32583
  • Upside Potential Ratio
    5.27052
  • Upside part of mean
    1.95196
  • Downside part of mean
    -1.46093
  • Upside SD
    0.34074
  • Downside SD
    0.37035
  • N nonnegative terms
    45.00000
  • N negative terms
    86.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.15265
  • Mean of criterion
    0.49103
  • SD of predictor
    0.06992
  • SD of criterion
    0.50427
  • Covariance
    0.01741
  • r
    0.49385
  • b (slope, estimate of beta)
    3.56155
  • a (intercept, estimate of alpha)
    -0.05265
  • Mean Square Error
    0.19376
  • DF error
    129.00000
  • t(b)
    6.45060
  • p(b)
    0.19890
  • t(a)
    -0.08381
  • p(a)
    0.50470
  • Lowerbound of 95% confidence interval for beta
    2.46915
  • Upperbound of 95% confidence interval for beta
    4.65394
  • Lowerbound of 95% confidence interval for alpha
    -1.29554
  • Upperbound of 95% confidence interval for alpha
    1.19024
  • Treynor index (mean / b)
    0.13787
  • Jensen alpha (a)
    -0.05265
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.36145
  • SD
    0.51385
  • Sharpe ratio (Glass type estimate)
    0.70342
  • Sharpe ratio (Hedges UMVUE)
    0.69935
  • df
    130.00000
  • t
    0.49739
  • p
    0.47821
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.07104
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.47522
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.07376
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.47246
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.91722
  • Upside Potential Ratio
    4.81311
  • Upside part of mean
    1.89671
  • Downside part of mean
    -1.53526
  • Upside SD
    0.32746
  • Downside SD
    0.39407
  • N nonnegative terms
    45.00000
  • N negative terms
    86.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.15016
  • Mean of criterion
    0.36145
  • SD of predictor
    0.07004
  • SD of criterion
    0.51385
  • Covariance
    0.01756
  • r
    0.48794
  • b (slope, estimate of beta)
    3.57957
  • a (intercept, estimate of alpha)
    -0.17606
  • Mean Square Error
    0.20274
  • DF error
    129.00000
  • t(b)
    6.34896
  • p(b)
    0.20218
  • t(a)
    -0.27408
  • p(a)
    0.51536
  • Lowerbound of 95% confidence interval for beta
    2.46407
  • Upperbound of 95% confidence interval for beta
    4.69507
  • Lowerbound of 95% confidence interval for alpha
    -1.44701
  • Upperbound of 95% confidence interval for alpha
    1.09489
  • Treynor index (mean / b)
    0.10098
  • Jensen alpha (a)
    -0.17606
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.04957
  • Expected Shortfall on VaR
    0.06203
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01481
  • Expected Shortfall on VaR
    0.03344
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.84062
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00539
  • Maximum
    1.10600
  • Mean of quarter 1
    0.97814
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00073
  • Mean of quarter 4
    1.02902
  • Inter Quartile Range
    0.00539
  • Number outliers low
    10.00000
  • Percentage of outliers low
    0.07634
  • Mean of outliers low
    0.93098
  • Number of outliers high
    14.00000
  • Percentage of outliers high
    0.10687
  • Mean of outliers high
    1.05472
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    1.73351
  • VaR(95%) (moments method)
    0.00702
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.83665
  • VaR(95%) (regression method)
    0.01353
  • Expected Shortfall (regression method)
    0.12481
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    6.00000
  • Minimum
    0.00004
  • Quartile 1
    0.00036
  • Median
    0.00625
  • Quartile 3
    0.09265
  • Maximum
    0.28783
  • Mean of quarter 1
    0.00005
  • Mean of quarter 2
    0.00128
  • Mean of quarter 3
    0.01121
  • Mean of quarter 4
    0.20381
  • Inter Quartile Range
    0.09228
  • 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
    0.16667
  • Mean of outliers high
    0.28783
  • 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)
    0.42984
  • Compounded annual return (geometric extrapolation)
    0.47603
  • Calmar ratio (compounded annual return / max draw down)
    1.65388
  • Compounded annual return / average of 25% largest draw downs
    2.33568
  • Compounded annual return / Expected Shortfall lognormal
    7.67467

Strategy Description

The system will take swingtrades only if there is a strong setup in place supported by propreitary volality indicators.

Summary Statistics

Strategy began
2016-09-19
Minimum Capital Required
$5,000
# Trades
35
# Profitable
26
% Profitable
74.3%
Correlation S&P500
0.311
Sharpe Ratio
2.332

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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