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

PureTrend Mazout
(107422997)

Created by: PureTrendPrez PureTrendPrez
Started: 11/2016
Futures
Last trade: 2,394 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 $200.00 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.

-
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
24
Num Trades
66.7%
Win Trades
0.5 : 1
Profit Factor
15.5%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2016                                                                      +42.7%(28.6%)+1.9%
2017+56.9%+34.1%+10.0%+27.7%+9.1%+20.0%(84%)(45.1%)+1940.7%  -  +107.5%  -  0.0
2018  -    -    -    -    -    -    -    -    -  0.0
2019  -    -    -    -    -    -    -    -    -  0.0
2020  -    -    -    -    -    -    -  
2021  -    -    -  
2022  -    -    -    -    -    -  
2023  -    -    -    -    -    -  (125.2%)(125.2%)
2024(9.3%)  -    -                                                        (9.3%)

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 9 trades in real-life brokerage accounts. To see live brokerage data, select Show AutoTrade Data, and click on a Live AutoTrade Indicator symbol.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
7/7/17 8:43 QHOU7 Heating Oil SHORT 2 1.4514 8/31 9:06 1.6969 308.35%
Trade id #112463444
Max drawdown($22,234)
Time8/30/17 7:13
Quant open-2
Worst price1.7161
Drawdown as % of equity-308.35%
($20,638)
Includes Typical Broker Commissions trade costs of $16.00
6/21/17 4:40 QHOQ7 Heating Oil LONG 2 1.3864 6/27 8:15 1.4080 3.86%
Trade id #112146828
Max drawdown($1,734)
Time6/21/17 13:53
Quant open1
Worst price1.3609
Drawdown as % of equity-3.86%
$1,794
Includes Typical Broker Commissions trade costs of $16.00
6/20/17 4:32 QHOQ7 Heating Oil SHORT 2 1.4235 6/20 9:41 1.3972 0.52%
Trade id #112129602
Max drawdown($226)
Time6/20/17 5:05
Quant open-2
Worst price1.4262
Drawdown as % of equity-0.52%
$2,193
Includes Typical Broker Commissions trade costs of $16.00
5/31/17 10:47 QHON7 Heating Oil SHORT 2 1.5116 6/20 5:36 1.4150 6.27%
Trade id #111850484
Max drawdown($2,184)
Time6/1/17 3:20
Quant open-2
Worst price1.5376
Drawdown as % of equity-6.27%
$8,098
Includes Typical Broker Commissions trade costs of $16.00
5/10/17 10:30 QHOM7 Heating Oil SHORT 2 1.4660 5/31 10:48 1.5083 50.38%
Trade id #111520877
Max drawdown($13,515)
Time5/25/17 4:15
Quant open-2
Worst price1.6269
Drawdown as % of equity-50.38%
($3,569)
Includes Typical Broker Commissions trade costs of $16.00
4/20/17 15:59 QHOM7 Heating Oil SHORT 2 1.5834 5/4 14:46 1.4095 3.45%
Trade id #111169028
Max drawdown($865)
Time4/21/17 8:49
Quant open-2
Worst price1.5937
Drawdown as % of equity-3.45%
$14,592
Includes Typical Broker Commissions trade costs of $16.00
4/3/17 3:19 QHOK7 Heating Oil SHORT 2 1.5747 4/21 4:23 1.5731 44.25%
Trade id #110636541
Max drawdown($7,677)
Time4/12/17 6:28
Quant open-2
Worst price1.6661
Drawdown as % of equity-44.25%
$118
Includes Typical Broker Commissions trade costs of $16.00
3/9/17 6:39 QHOJ7 Heating Oil LONG 2 1.5374 3/30 7:42 1.5385 25.35%
Trade id #110129875
Max drawdown($5,174)
Time3/22/17 10:32
Quant open2
Worst price1.4758
Drawdown as % of equity-25.35%
$76
Includes Typical Broker Commissions trade costs of $16.00
3/6/17 9:43 QHOJ7 Heating Oil SHORT 1 1.6028 3/9 6:28 1.5353 7.09%
Trade id #110048629
Max drawdown($1,495)
Time3/7/17 9:26
Quant open-1
Worst price1.6384
Drawdown as % of equity-7.09%
$2,827
Includes Typical Broker Commissions trade costs of $8.00
3/2/17 9:36 QHOJ7 Heating Oil LONG 1 1.5935 3/6 0:19 1.5873 3.73%
Trade id #109985222
Max drawdown($814)
Time3/3/17 4:57
Quant open1
Worst price1.5741
Drawdown as % of equity-3.73%
($268)
Includes Typical Broker Commissions trade costs of $8.00
2/19/17 19:55 QHOJ7 Heating Oil SHORT 1 1.6486 2/28 11:13 1.6025 9.09%
Trade id #109657582
Max drawdown($1,747)
Time2/23/17 11:01
Quant open-1
Worst price1.6902
Drawdown as % of equity-9.09%
$1,928
Includes Typical Broker Commissions trade costs of $8.00
2/9/17 6:43 QHOH7 Heating Oil SHORT 1 1.6559 2/19 20:21 1.6372 4.26%
Trade id #109415505
Max drawdown($835)
Time2/10/17 9:12
Quant open-1
Worst price1.6758
Drawdown as % of equity-4.26%
$777
Includes Typical Broker Commissions trade costs of $8.00
2/2/17 6:45 QHOH7 Heating Oil SHORT 1 1.6855 2/7 13:46 1.6194 0.74%
Trade id #109228023
Max drawdown($126)
Time2/2/17 9:02
Quant open-1
Worst price1.6885
Drawdown as % of equity-0.74%
$2,768
Includes Typical Broker Commissions trade costs of $8.00
1/11/17 13:31 QHOG7 Heating Oil SHORT 1 1.6625 1/23 10:35 1.6248 9.76%
Trade id #108541984
Max drawdown($1,394)
Time1/17/17 9:17
Quant open-1
Worst price1.6957
Drawdown as % of equity-9.76%
$1,575
Includes Typical Broker Commissions trade costs of $8.00
12/20/16 10:23 QHOG7 Heating Oil SHORT 1 1.6930 1/10/17 9:16 1.6418 25.96%
Trade id #108077458
Max drawdown($3,011)
Time1/3/17 4:36
Quant open-1
Worst price1.7647
Drawdown as % of equity-25.96%
$2,142
Includes Typical Broker Commissions trade costs of $8.00
12/1/16 10:39 QHOF7 Heating Oil SHORT 1 1.6395 12/20 11:42 1.6699 20.85%
Trade id #107659907
Max drawdown($2,986)
Time12/11/16 18:15
Quant open-1
Worst price1.7106
Drawdown as % of equity-20.85%
($1,285)
Includes Typical Broker Commissions trade costs of $8.00
11/29/16 9:35 QHOF7 Heating Oil LONG 1 1.4884 11/30 14:03 1.5872 8.54%
Trade id #107575211
Max drawdown($840)
Time11/29/16 11:21
Quant open1
Worst price1.4684
Drawdown as % of equity-8.54%
$4,142
Includes Typical Broker Commissions trade costs of $8.00
11/29/16 9:33 QHOF7 Heating Oil LONG 1 1.4857 11/29 9:33 1.4860 n/a $5
Includes Typical Broker Commissions trade costs of $8.00
11/29/16 5:09 QHOF7 Heating Oil SHORT 1 1.5050 11/29 9:30 1.4818 2.29%
Trade id #107566886
Max drawdown($210)
Time11/29/16 6:24
Quant open-1
Worst price1.5100
Drawdown as % of equity-2.29%
$966
Includes Typical Broker Commissions trade costs of $8.00
11/28/16 9:04 QHOF7 Heating Oil LONG 1 1.5239 11/29 5:08 1.5050 8.33%
Trade id #107538106
Max drawdown($794)
Time11/29/16 5:08
Quant open0
Worst price1.5050
Drawdown as % of equity-8.33%
($802)
Includes Typical Broker Commissions trade costs of $8.00
11/24/16 3:29 QHOF7 Heating Oil SHORT 1 1.5293 11/28 9:04 1.5240 6.68%
Trade id #107467323
Max drawdown($617)
Time11/24/16 10:36
Quant open-1
Worst price1.5440
Drawdown as % of equity-6.68%
$215
Includes Typical Broker Commissions trade costs of $8.00
11/23/16 16:06 QHOF7 Heating Oil LONG 1 1.5343 11/24 3:29 1.5293 2.13%
Trade id #107452196
Max drawdown($210)
Time11/24/16 3:29
Quant open0
Worst price1.5293
Drawdown as % of equity-2.13%
($218)
Includes Typical Broker Commissions trade costs of $8.00

Statistics

  • Strategy began
    11/23/2016
  • Suggested Minimum Cap
    $25,000
  • Strategy Age (days)
    2673.93
  • Age
    89 months ago
  • What it trades
    Futures
  • # Trades
    24
  • # Profitable
    16
  • % Profitable
    66.70%
  • Avg trade duration
    212.0 days
  • Max peak-to-valley drawdown
    100%
  • drawdown period
    Nov 30, 2016 - Dec 02, 2023
  • Annual Return (Compounded)
    0.0%
  • Avg win
    $2,774
  • Avg loss
    $11,452
  • Model Account Values (Raw)
  • Cash
    $27,677
  • Margin Used
    $52,080
  • Buying Power
    ($66,824)
  • Ratios
  • W:L ratio
    0.48:1
  • Sharpe Ratio
    0.33
  • Sortino Ratio
    3.77
  • Calmar Ratio
    -1
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -638.84%
  • Correlation to SP500
    -0.00330
  • Return Percent SP500 (cumu) during strategy life
    138.32%
  • Return Statistics
  • Ann Return (w trading costs)
    n/a
  • Slump
  • Current Slump as Pcnt Equity
    n/a
  • Instruments
  • Percent Trades Futures
    1.00%
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.04%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    n/a
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    n/a
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    n/a
  • 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)
    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
    0
  • Popularity
  • Popularity (7 days, Percentile 1000 scale)
    0
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $11,452
  • Avg Win
    $2,774
  • Sum Trade PL (losers)
    $91,619.000
  • Age
  • Num Months filled monthly returns table
    76
  • Win / Loss
  • Sum Trade PL (winners)
    $44,392.000
  • # Winners
    16
  • Num Months Winners
    9
  • Dividends
  • Dividends Received in Model Acct
    0
  • Win / Loss
  • # Losers
    8
  • % Winners
    66.7%
  • Frequency
  • Avg Position Time (mins)
    305338.00
  • Avg Position Time (hrs)
    5088.96
  • Avg Trade Length
    212.0 days
  • Last Trade Ago
    2386
  • Regression
  • Alpha
    0.00
  • Beta
    -0.14
  • Treynor Index
    0.00
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.38
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    87.97
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    27.55
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    4.67
  • MAE:Equity, average, winning trades
    0.11
  • MAE:Equity, average, losing trades
    0.89
  • Avg(MAE) / Avg(PL) - All trades
    28.426
  • 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
    0.07
  • Avg(MAE) / Avg(PL) - Winning trades
    0.634
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.584
  • Hold-and-Hope Ratio
    0.257
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    5.62692
  • SD
    5.31016
  • Sharpe ratio (Glass type estimate)
    1.05965
  • Sharpe ratio (Hedges UMVUE)
    0.99177
  • df
    12.00000
  • t
    1.10292
  • p
    0.34831
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.89029
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.96812
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.93265
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.91619
  • Statistics related to Sortino ratio
  • Sortino ratio
    4.76091
  • Upside Potential Ratio
    6.33261
  • Upside part of mean
    7.48451
  • Downside part of mean
    -1.85759
  • Upside SD
    5.22210
  • Downside SD
    1.18190
  • N nonnegative terms
    9.00000
  • N negative terms
    4.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    13.00000
  • Mean of predictor
    0.84563
  • Mean of criterion
    5.62692
  • SD of predictor
    0.61457
  • SD of criterion
    5.31016
  • Covariance
    -0.91072
  • r
    -0.27907
  • b (slope, estimate of beta)
    -2.41127
  • a (intercept, estimate of alpha)
    7.66597
  • Mean Square Error
    28.36560
  • DF error
    11.00000
  • t(b)
    -0.96385
  • p(b)
    0.82208
  • t(a)
    1.38448
  • p(a)
    0.09683
  • Lowerbound of 95% confidence interval for beta
    -7.91747
  • Upperbound of 95% confidence interval for beta
    3.09494
  • Lowerbound of 95% confidence interval for alpha
    -4.52103
  • Upperbound of 95% confidence interval for alpha
    19.85300
  • Treynor index (mean / b)
    -2.33359
  • Jensen alpha (a)
    7.66597
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -8.52983
  • SD
    11.86560
  • Sharpe ratio (Glass type estimate)
    -0.71887
  • Sharpe ratio (Hedges UMVUE)
    -0.67282
  • df
    12.00000
  • t
    -0.74823
  • p
    0.60556
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.60884
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.19999
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.57504
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.22939
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.74234
  • Upside Potential Ratio
    0.32769
  • Upside part of mean
    3.76530
  • Downside part of mean
    -12.29510
  • Upside SD
    1.99863
  • Downside SD
    11.49050
  • N nonnegative terms
    9.00000
  • N negative terms
    4.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    13.00000
  • Mean of predictor
    0.69788
  • Mean of criterion
    -8.52983
  • SD of predictor
    0.47326
  • SD of criterion
    11.86560
  • Covariance
    -5.33256
  • r
    -0.94962
  • b (slope, estimate of beta)
    -23.80910
  • a (intercept, estimate of alpha)
    8.08617
  • Mean Square Error
    15.08590
  • DF error
    11.00000
  • t(b)
    -10.04950
  • p(b)
    1.00000
  • t(a)
    1.98114
  • p(a)
    0.03656
  • Lowerbound of 95% confidence interval for beta
    -29.02360
  • Upperbound of 95% confidence interval for beta
    -18.59450
  • Lowerbound of 95% confidence interval for alpha
    -0.89732
  • Upperbound of 95% confidence interval for alpha
    17.06970
  • Treynor index (mean / b)
    0.35826
  • Jensen alpha (a)
    8.08617
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.99824
  • Expected Shortfall on VaR
    0.99931
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.25265
  • Expected Shortfall on VaR
    0.55609
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    13.00000
  • Minimum
    0.00001
  • Quartile 1
    1.00000
  • Median
    1.17831
  • Quartile 3
    1.36356
  • Maximum
    6.27283
  • Mean of quarter 1
    0.49923
  • Mean of quarter 2
    1.10860
  • Mean of quarter 3
    1.30010
  • Mean of quarter 4
    3.30103
  • Inter Quartile Range
    0.36356
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.07692
  • Mean of outliers low
    0.00001
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.15385
  • Mean of outliers high
    4.17009
  • 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)
    -0.62672
  • VaR(95%) (regression method)
    0.67121
  • Expected Shortfall (regression method)
    0.80173
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    2.00000
  • Minimum
    0.75197
  • Quartile 1
    0.81398
  • Median
    0.87598
  • Quartile 3
    0.93799
  • Maximum
    0.99999
  • Mean of quarter 1
    0.75197
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.99999
  • Inter Quartile Range
    0.12401
  • 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)
    -0.92299
  • Compounded annual return (geometric extrapolation)
    -0.99980
  • Calmar ratio (compounded annual return / max draw down)
    -0.99980
  • Compounded annual return / average of 25% largest draw downs
    -0.99980
  • Compounded annual return / Expected Shortfall lognormal
    -1.00049
  • 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
    13.51100
  • SD
    14.65140
  • Sharpe ratio (Glass type estimate)
    0.92216
  • Sharpe ratio (Hedges UMVUE)
    0.91980
  • df
    293.00000
  • t
    0.97686
  • p
    0.16472
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.93032
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.77314
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.93193
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.77152
  • Statistics related to Sortino ratio
  • Sortino ratio
    11.30480
  • Upside Potential Ratio
    16.03350
  • Upside part of mean
    19.16260
  • Downside part of mean
    -5.65157
  • Upside SD
    14.60150
  • Downside SD
    1.19515
  • N nonnegative terms
    121.00000
  • N negative terms
    173.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    294.00000
  • Mean of predictor
    0.78603
  • Mean of criterion
    13.51100
  • SD of predictor
    0.35592
  • SD of criterion
    14.65140
  • Covariance
    -0.04828
  • r
    -0.00926
  • b (slope, estimate of beta)
    -0.38108
  • a (intercept, estimate of alpha)
    13.81100
  • Mean Square Error
    215.38100
  • DF error
    292.00000
  • t(b)
    -0.15820
  • p(b)
    0.56280
  • t(a)
    0.98767
  • p(a)
    0.16207
  • Lowerbound of 95% confidence interval for beta
    -5.12202
  • Upperbound of 95% confidence interval for beta
    4.35986
  • Lowerbound of 95% confidence interval for alpha
    -13.70970
  • Upperbound of 95% confidence interval for alpha
    41.33070
  • Treynor index (mean / b)
    -35.45450
  • Jensen alpha (a)
    13.81050
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -8.23583
  • SD
    11.62610
  • Sharpe ratio (Glass type estimate)
    -0.70839
  • Sharpe ratio (Hedges UMVUE)
    -0.70658
  • df
    293.00000
  • t
    -0.75041
  • p
    0.77319
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.55892
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.14331
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.55769
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.14453
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.73027
  • Upside Potential Ratio
    0.66032
  • Upside part of mean
    7.44699
  • Downside part of mean
    -15.68280
  • Upside SD
    2.78832
  • Downside SD
    11.27780
  • N nonnegative terms
    121.00000
  • N negative terms
    173.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    294.00000
  • Mean of predictor
    0.72258
  • Mean of criterion
    -8.23583
  • SD of predictor
    0.35291
  • SD of criterion
    11.62610
  • Covariance
    -0.30838
  • r
    -0.07516
  • b (slope, estimate of beta)
    -2.47608
  • a (intercept, estimate of alpha)
    -6.44666
  • Mean Square Error
    134.86200
  • DF error
    292.00000
  • t(b)
    -1.28800
  • p(b)
    0.90062
  • t(a)
    -0.58338
  • p(a)
    0.71996
  • Lowerbound of 95% confidence interval for beta
    -6.25966
  • Upperbound of 95% confidence interval for beta
    1.30749
  • Lowerbound of 95% confidence interval for alpha
    -28.19530
  • Upperbound of 95% confidence interval for alpha
    15.30200
  • Treynor index (mean / b)
    3.32615
  • Jensen alpha (a)
    -6.44666
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.70266
  • Expected Shortfall on VaR
    0.77271
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.05353
  • Expected Shortfall on VaR
    0.11948
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    294.00000
  • Minimum
    0.00001
  • Quartile 1
    0.98594
  • Median
    1.00000
  • Quartile 3
    1.02271
  • Maximum
    16.41920
  • Mean of quarter 1
    0.91676
  • Mean of quarter 2
    0.99776
  • Mean of quarter 3
    1.00559
  • Mean of quarter 4
    1.28524
  • Inter Quartile Range
    0.03677
  • Number outliers low
    26.00000
  • Percentage of outliers low
    0.08844
  • Mean of outliers low
    0.83387
  • Number of outliers high
    18.00000
  • Percentage of outliers high
    0.06122
  • Mean of outliers high
    2.02827
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.39160
  • VaR(95%) (moments method)
    0.05795
  • Expected Shortfall (moments method)
    0.11844
  • Extreme Value Index (regression method)
    0.33977
  • VaR(95%) (regression method)
    0.06958
  • Expected Shortfall (regression method)
    0.13720
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    18.00000
  • Minimum
    0.00821
  • Quartile 1
    0.03045
  • Median
    0.04994
  • Quartile 3
    0.22566
  • Maximum
    0.99999
  • Mean of quarter 1
    0.01973
  • Mean of quarter 2
    0.03807
  • Mean of quarter 3
    0.07866
  • Mean of quarter 4
    0.54859
  • Inter Quartile Range
    0.19521
  • 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
    0.11111
  • Mean of outliers high
    0.95239
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.48087
  • VaR(95%) (moments method)
    0.65809
  • Expected Shortfall (moments method)
    1.38715
  • Extreme Value Index (regression method)
    0.30498
  • VaR(95%) (regression method)
    0.54269
  • Expected Shortfall (regression method)
    0.86017
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.89107
  • Compounded annual return (geometric extrapolation)
    -0.99973
  • Calmar ratio (compounded annual return / max draw down)
    -0.99973
  • Compounded annual return / average of 25% largest draw downs
    -1.82235
  • Compounded annual return / Expected Shortfall lognormal
    -1.29380
  • 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
    26.98320
  • SD
    21.94880
  • Sharpe ratio (Glass type estimate)
    1.22937
  • Sharpe ratio (Hedges UMVUE)
    1.22227
  • df
    130.00000
  • t
    0.86930
  • p
    0.46199
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.54876
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.00291
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.55352
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.99805
  • Statistics related to Sortino ratio
  • Sortino ratio
    15.63640
  • Upside Potential Ratio
    20.54760
  • Upside part of mean
    35.45830
  • Downside part of mean
    -8.47506
  • Upside SD
    21.86030
  • Downside SD
    1.72566
  • N nonnegative terms
    30.00000
  • N negative terms
    101.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    1.60315
  • Mean of criterion
    26.98320
  • SD of predictor
    0.52401
  • SD of criterion
    21.94880
  • Covariance
    -0.18966
  • r
    -0.01649
  • b (slope, estimate of beta)
    -0.69072
  • a (intercept, estimate of alpha)
    28.09060
  • Mean Square Error
    485.35100
  • DF error
    129.00000
  • t(b)
    -0.18732
  • p(b)
    0.51050
  • t(a)
    0.88580
  • p(a)
    0.45055
  • Lowerbound of 95% confidence interval for beta
    -7.98633
  • Upperbound of 95% confidence interval for beta
    6.60490
  • Lowerbound of 95% confidence interval for alpha
    -34.65230
  • Upperbound of 95% confidence interval for alpha
    90.83350
  • Treynor index (mean / b)
    -39.06560
  • Jensen alpha (a)
    28.09060
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -21.41950
  • SD
    17.39730
  • Sharpe ratio (Glass type estimate)
    -1.23120
  • Sharpe ratio (Hedges UMVUE)
    -1.22408
  • df
    130.00000
  • t
    -0.87059
  • p
    0.53807
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -4.00475
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.54694
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.99988
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.55172
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.26833
  • Upside Potential Ratio
    0.55951
  • Upside part of mean
    9.44902
  • Downside part of mean
    -30.86860
  • Upside SD
    4.11152
  • Downside SD
    16.88800
  • N nonnegative terms
    30.00000
  • N negative terms
    101.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    1.46393
  • Mean of criterion
    -21.41950
  • SD of predictor
    0.52017
  • SD of criterion
    17.39730
  • Covariance
    -0.63172
  • r
    -0.06981
  • b (slope, estimate of beta)
    -2.33467
  • a (intercept, estimate of alpha)
    -18.00170
  • Mean Square Error
    303.52700
  • DF error
    129.00000
  • t(b)
    -0.79478
  • p(b)
    0.54440
  • t(a)
    -0.71976
  • p(a)
    0.54024
  • VAR (95 Confidence Intrvl)
    0.70300
  • Lowerbound of 95% confidence interval for beta
    -8.14659
  • Upperbound of 95% confidence interval for beta
    3.47725
  • Lowerbound of 95% confidence interval for alpha
    -67.48650
  • Upperbound of 95% confidence interval for alpha
    31.48300
  • Treynor index (mean / b)
    9.17454
  • Jensen alpha (a)
    -18.00170
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.84271
  • Expected Shortfall on VaR
    0.89270
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.09588
  • Expected Shortfall on VaR
    0.20645
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.00001
  • Quartile 1
    0.99652
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    16.41920
  • Mean of quarter 1
    0.87209
  • Mean of quarter 2
    0.99983
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.53734
  • Inter Quartile Range
    0.00348
  • Number outliers low
    31.00000
  • Percentage of outliers low
    0.23664
  • Mean of outliers low
    0.86420
  • Number of outliers high
    23.00000
  • Percentage of outliers high
    0.17557
  • Mean of outliers high
    1.77053
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.43060
  • VaR(95%) (moments method)
    0.02206
  • Expected Shortfall (moments method)
    0.02772
  • Extreme Value Index (regression method)
    0.10532
  • VaR(95%) (regression method)
    0.10339
  • Expected Shortfall (regression method)
    0.17869
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    3.00000
  • Minimum
    0.03730
  • Quartile 1
    0.46712
  • Median
    0.89694
  • Quartile 3
    0.94847
  • Maximum
    0.99999
  • Mean of quarter 1
    0.03730
  • Mean of quarter 2
    0.89694
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.99999
  • Inter Quartile Range
    0.48135
  • 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
    0.25%
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -387008000
  • Max Equity Drawdown (num days)
    2558
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -1.99995
  • Compounded annual return (geometric extrapolation)
    -1.00000
  • Calmar ratio (compounded annual return / max draw down)
    -1.00001
  • Compounded annual return / average of 25% largest draw downs
    -1.00001
  • Compounded annual return / Expected Shortfall lognormal
    -1.12019

Strategy Description

Summary Statistics

Strategy began
2016-11-23
Suggested Minimum Capital
$25,000
# Trades
24
# Profitable
16
% Profitable
66.7%
Correlation S&P500
-0.003
Sharpe Ratio
0.33
Sortino Ratio
3.77
Beta
-0.14
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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