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

OverTheTop
(113342935)

Created by: UweJaufmann UweJaufmann
Started: 08/2017
Stocks
Last trade: 2,268 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 $48.00 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.

104.6%
Cumul. Return

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 Cumulative Rate of Return is calculated

= (Ending_equity - Starting_equity) / Starting_equity

Remember that, following NFA requirements, strategy subscription costs and estimated commissions are included in marked-to-market equity calculations.

All results are hypothetical.

(5.2%)
Max Drawdown
140
Num Trades
65.7%
Win Trades
6.2 : 1
Profit Factor
69.6%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2017                                                 +3.5%+2.9%+4.9%+7.4%+4.3%+25.1%
2018+10.4%(7.2%)(1.8%)+0.6%+4.6%(4.7%)+1.9%+6.3%+3.5%(16.1%)+2.0%+0.1%(3.1%)
2019+3.3%+5.6%(0.1%)+6.0%(0.2%)  -  (8.2%)+5.0%+3.4%+4.1%+3.5%+20.3%
2020+2.3%+2.4%(33.1%)+13.4%+14.6%+2.7%+5.4%+15.3%(7.3%)+2.3%+11.7%+3.9%+25.1%
2021(0.6%)+9.6%+3.2%+6.5%(0.1%)+1.5%+1.1%+1.8%(3.3%)+1.7%(2.5%)+2.9%+23.0%
2022(7.4%)(7.8%)+5.4%(9.1%)+3.4%(10.5%)+6.4%(0.6%)(16.3%)+10.3%+7.5%(3.2%)(23.1%)
2023+7.8%+1.7%(4.9%)+2.2%+1.6%+6.6%+2.2%+1.5%(6%)(5.8%)+14.1%+7.7%+30.1%
2024+0.8%+4.8%+3.1%                                                      +8.9%

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

Download CSV
Long
Short
Both
Win
Loss
Both
Show More details Show Fewer details
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
9/6/17 14:15 Q QUINTILES IMS HOLDINGS INC LONG 10 96.21 1/10/18 13:56 3.80 2.73%
Trade id #113564705
Max drawdown($924)
Time1/10/18 13:56
Quant open0
Worst price3.80
Drawdown as % of equity-2.73%
($924)
Includes Typical Broker Commissions trade costs of $0.20
9/6/17 14:23 NI NISOURCE LONG 40 26.75 1/10/18 13:54 24.19 0.32%
Trade id #113564945
Max drawdown($106)
Time1/10/18 11:33
Quant open40
Worst price24.08
Drawdown as % of equity-0.32%
($103)
Includes Typical Broker Commissions trade costs of $0.80
9/6/17 14:11 AMT AMERICAN TOWER LONG 7 146.55 1/10/18 13:53 137.65 0.22%
Trade id #113564540
Max drawdown($73)
Time1/10/18 11:19
Quant open7
Worst price136.03
Drawdown as % of equity-0.22%
($62)
Includes Typical Broker Commissions trade costs of $0.14
9/6/17 14:10 DLPH DELPHI TECHNOLOGIES PLC LONG 10 96.93 12/11 11:35 50.49 2.01%
Trade id #113564495
Max drawdown($589)
Time11/21/17 9:37
Quant open10
Worst price38.00
Drawdown as % of equity-2.01%
($464)
Includes Typical Broker Commissions trade costs of $0.20
9/6/17 14:15 IRM IRON MOUNTAIN INC REIT LONG 25 39.52 12/8 9:30 40.07 n/a $14
Includes Typical Broker Commissions trade costs of $0.50
9/6/17 14:24 GM GENERAL MOTORS LONG 25 37.54 11/29 12:30 43.89 n/a $159
Includes Typical Broker Commissions trade costs of $0.50
9/6/17 14:13 HBI HANESBRANDS LONG 40 25.24 11/3 14:36 19.39 0.85%
Trade id #113564655
Max drawdown($238)
Time11/2/17 13:45
Quant open40
Worst price19.27
Drawdown as % of equity-0.85%
($235)
Includes Typical Broker Commissions trade costs of $0.80
9/6/17 14:17 CELG CELGENE LONG 7 140.09 11/3 14:34 100.17 1.14%
Trade id #113564748
Max drawdown($318)
Time10/26/17 15:36
Quant open7
Worst price94.55
Drawdown as % of equity-1.14%
($279)
Includes Typical Broker Commissions trade costs of $0.14
9/6/17 14:07 ALXN ALEXION PHARMACEUTICALS LONG 7 146.58 11/3 14:31 117.82 0.8%
Trade id #113564438
Max drawdown($222)
Time11/1/17 14:57
Quant open7
Worst price114.79
Drawdown as % of equity-0.80%
($201)
Includes Typical Broker Commissions trade costs of $0.14
8/25/17 12:40 SHOR SHORETEL LONG 60 7.50 9/6 14:04 7.45 0.01%
Trade id #113345570
Max drawdown($3)
Time8/31/17 16:01
Quant open60
Worst price7.44
Drawdown as % of equity-0.01%
($4)
Includes Typical Broker Commissions trade costs of $1.20
8/25/17 11:36 TRV TRAVELERS COMPANIES LONG 4 125.83 9/6 14:04 118.05 0.17%
Trade id #113343353
Max drawdown($42)
Time9/5/17 15:47
Quant open4
Worst price115.21
Drawdown as % of equity-0.17%
($31)
Includes Typical Broker Commissions trade costs of $0.08
8/25/17 11:48 TWX TIME WARNER INC LONG 5 101.32 9/6 14:04 100.67 0.02%
Trade id #113343978
Max drawdown($3)
Time8/29/17 8:01
Quant open5
Worst price100.56
Drawdown as % of equity-0.02%
($3)
Includes Typical Broker Commissions trade costs of $0.10
8/25/17 12:35 UBNT UBIQUITI NETWORKS LONG 7 64.91 9/6 14:04 57.70 0.23%
Trade id #113345453
Max drawdown($57)
Time9/5/17 13:08
Quant open7
Worst price56.63
Drawdown as % of equity-0.23%
($50)
Includes Typical Broker Commissions trade costs of $0.14
8/25/17 12:06 UL UNILEVER LONG 8 58.06 9/6 14:03 58.71 0.02%
Trade id #113344567
Max drawdown($4)
Time8/30/17 11:30
Quant open8
Worst price57.46
Drawdown as % of equity-0.02%
$5
Includes Typical Broker Commissions trade costs of $0.16
8/25/17 11:33 V VISA LONG 5 103.23 9/6 14:03 103.47 0.02%
Trade id #113343197
Max drawdown($4)
Time9/5/17 13:10
Quant open5
Worst price102.26
Drawdown as % of equity-0.02%
$1
Includes Typical Broker Commissions trade costs of $0.10
8/25/17 12:17 VCISF VINCI SA LONG 5 91.38 9/6 14:03 95.18 n/a $19
Includes Typical Broker Commissions trade costs of $0.10
8/25/17 11:50 VRTX VERTEX LONG 3 152.92 9/6 14:03 158.16 0.02%
Trade id #113344043
Max drawdown($5)
Time8/28/17 10:01
Quant open3
Worst price151.05
Drawdown as % of equity-0.02%
$16
Includes Typical Broker Commissions trade costs of $0.06
8/25/17 11:32 WMT WALMART INC LONG 6 78.56 9/6 14:03 80.05 0.03%
Trade id #113343190
Max drawdown($6)
Time8/29/17 6:09
Quant open6
Worst price77.50
Drawdown as % of equity-0.03%
$9
Includes Typical Broker Commissions trade costs of $0.12
8/25/17 12:29 WPRT WESTPORT FUEL SYSTEMS NC LONG 200 2.30 9/6 14:03 2.74 0.04%
Trade id #113345220
Max drawdown($10)
Time8/25/17 13:57
Quant open200
Worst price2.25
Drawdown as % of equity-0.04%
$84
Includes Typical Broker Commissions trade costs of $4.00
8/25/17 12:33 YY YY INC. LONG 6 73.51 9/6 14:02 75.09 0.12%
Trade id #113345373
Max drawdown($30)
Time8/29/17 9:33
Quant open6
Worst price68.44
Drawdown as % of equity-0.12%
$9
Includes Typical Broker Commissions trade costs of $0.12
8/25/17 11:43 UPS UNITED PARCEL SERVICE LONG 4 113.71 9/6 14:02 114.12 0.01%
Trade id #113343546
Max drawdown($3)
Time8/28/17 8:01
Quant open4
Worst price112.91
Drawdown as % of equity-0.01%
$2
Includes Typical Broker Commissions trade costs of $0.08
8/25/17 11:59 SIRI SIRIUS XM HOLDINGS INC. COMMON LONG 80 5.58 9/6 14:02 5.59 0.02%
Trade id #113344292
Max drawdown($4)
Time8/29/17 9:31
Quant open80
Worst price5.52
Drawdown as % of equity-0.02%
($1)
Includes Typical Broker Commissions trade costs of $1.60
8/25/17 11:38 RTN RAYTHEON COMPANY LONG 3 178.49 9/6 14:02 180.37 0.01%
Trade id #113343388
Max drawdown($2)
Time8/28/17 10:37
Quant open3
Worst price177.80
Drawdown as % of equity-0.01%
$6
Includes Typical Broker Commissions trade costs of $0.06
8/25/17 11:40 UNH UNITEDHEALTH GROUP LONG 3 194.92 9/6 14:02 198.03 0.01%
Trade id #113343471
Max drawdown($2)
Time8/25/17 15:05
Quant open3
Worst price194.14
Drawdown as % of equity-0.01%
$9
Includes Typical Broker Commissions trade costs of $0.06
8/25/17 12:34 TTWO TAKE-TWO INTERACTIVE SFTW LONG 5 94.18 9/6 14:02 96.14 0%
Trade id #113345387
Max drawdown($0)
Time8/29/17 8:09
Quant open5
Worst price94.11
Drawdown as % of equity-0.00%
$10
Includes Typical Broker Commissions trade costs of $0.10
8/25/17 12:41 SBLK STAR BULK CARRIERS LONG 40 11.92 9/6 14:01 11.43 0.16%
Trade id #113345639
Max drawdown($39)
Time8/30/17 10:27
Quant open40
Worst price10.94
Drawdown as % of equity-0.16%
($21)
Includes Typical Broker Commissions trade costs of $0.80
8/25/17 12:45 SAIA SAIA LONG 10 52.60 9/6 14:01 57.75 0.01%
Trade id #113345754
Max drawdown($2)
Time8/25/17 13:53
Quant open10
Worst price52.40
Drawdown as % of equity-0.01%
$52
Includes Typical Broker Commissions trade costs of $0.20
8/25/17 12:11 RDS.A ROYAL DUTCH SHELL LONG 8 55.56 9/6 14:01 56.38 0.03%
Trade id #113344720
Max drawdown($6)
Time8/31/17 8:17
Quant open8
Worst price54.71
Drawdown as % of equity-0.03%
$7
Includes Typical Broker Commissions trade costs of $0.16
8/25/17 11:38 PYPL PAYPAL HOLDINGS CORP LONG 8 59.73 9/6 14:01 61.35 0%
Trade id #113343374
Max drawdown($0)
Time8/29/17 9:32
Quant open8
Worst price59.63
Drawdown as % of equity-0.00%
$13
Includes Typical Broker Commissions trade costs of $0.16
8/25/17 12:47 PRIM PRIMORIS SERVICES LONG 17 27.80 9/6 14:01 28.16 0.01%
Trade id #113345830
Max drawdown($3)
Time8/25/17 13:19
Quant open17
Worst price27.62
Drawdown as % of equity-0.01%
$6
Includes Typical Broker Commissions trade costs of $0.34

Statistics

  • Strategy began
    8/25/2017
  • Suggested Minimum Cap
    $25,000
  • Strategy Age (days)
    2400.88
  • Age
    80 months ago
  • What it trades
    Stocks
  • # Trades
    140
  • # Profitable
    92
  • % Profitable
    65.70%
  • Avg trade duration
    355.1 days
  • Max peak-to-valley drawdown
    5.24%
  • drawdown period
    Nov 28, 2017 - Dec 06, 2017
  • Cumul. Return
    33.3%
  • Avg win
    $426.42
  • Avg loss
    $171.87
  • Model Account Values (Raw)
  • Cash
    $10,262
  • Margin Used
    $0
  • Buying Power
    $42,551
  • Ratios
  • W:L ratio
    6.17:1
  • Sharpe Ratio
    0.49
  • Sortino Ratio
    0.67
  • Calmar Ratio
    2.371
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    19.29%
  • Correlation to SP500
    0.82620
  • Return Percent SP500 (cumu) during strategy life
    114.83%
  • Return Statistics
  • Ann Return (w trading costs)
    104.6%
  • Slump
  • Current Slump as Pcnt Equity
    n/a
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    n/a
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.333%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    14.6%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    n/a
  • Chance of 20% account loss
    n/a
  • Chance of 30% account loss
    n/a
  • Chance of 40% account loss
    n/a
  • Chance of 60% account loss (Monte Carlo)
    n/a
  • Chance of 70% account loss (Monte Carlo)
    n/a
  • Chance of 80% account loss (Monte Carlo)
    n/a
  • Chance of 90% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    737
  • Popularity (Last 6 weeks)
    890
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • Popularity (7 days, Percentile 1000 scale)
    812
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $166
  • Avg Win
    $434
  • Sum Trade PL (losers)
    $8,309.000
  • Age
  • Num Months filled monthly returns table
    80
  • Win / Loss
  • Sum Trade PL (winners)
    $39,060.000
  • # Winners
    90
  • Num Months Winners
    55
  • Dividends
  • Dividends Received in Model Acct
    5826
  • Win / Loss
  • # Losers
    50
  • % Winners
    64.3%
  • Frequency
  • Avg Position Time (mins)
    977743.00
  • Avg Position Time (hrs)
    16295.70
  • Avg Trade Length
    679.0 days
  • Last Trade Ago
    2262
  • Regression
  • Alpha
    0.00
  • Beta
    1.20
  • Treynor Index
    0.04
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.00
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    34.92
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    38.30
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    0.64
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.01
  • Avg(MAE) / Avg(PL) - All trades
    0.529
  • 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
    0.02
  • Avg(MAE) / Avg(PL) - Winning trades
    0.208
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.361
  • Hold-and-Hope Ratio
    -0.326
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.60590
  • SD
    0.09938
  • Sharpe ratio (Glass type estimate)
    6.09689
  • Sharpe ratio (Hedges UMVUE)
    4.41172
  • df
    3.00000
  • t
    3.52004
  • p
    0.01946
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.25199
  • Upperbound of 95% confidence interval for Sharpe Ratio
    11.71710
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.48579
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    9.30923
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.00000
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    0.60590
  • Downside part of mean
    0.00000
  • Upside SD
    0.19494
  • Downside SD
    0.00000
  • N nonnegative terms
    4.00000
  • N negative terms
    0.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    4.00000
  • Mean of predictor
    0.25619
  • Mean of criterion
    0.60590
  • SD of predictor
    0.02203
  • SD of criterion
    0.09938
  • Covariance
    -0.00174
  • r
    -0.79500
  • b (slope, estimate of beta)
    -3.58618
  • a (intercept, estimate of alpha)
    1.52463
  • Mean Square Error
    0.00545
  • DF error
    2.00000
  • t(b)
    -1.85338
  • p(b)
    0.89750
  • t(a)
    2.97818
  • p(a)
    0.04834
  • Lowerbound of 95% confidence interval for beta
    -11.91160
  • Upperbound of 95% confidence interval for beta
    4.73919
  • Lowerbound of 95% confidence interval for alpha
    -0.67804
  • Upperbound of 95% confidence interval for alpha
    3.72731
  • Treynor index (mean / b)
    -0.16895
  • Jensen alpha (a)
    1.52463
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.58641
  • SD
    0.09466
  • Sharpe ratio (Glass type estimate)
    6.19489
  • Sharpe ratio (Hedges UMVUE)
    4.48263
  • df
    3.00000
  • t
    3.57662
  • p
    0.01869
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.29326
  • Upperbound of 95% confidence interval for Sharpe Ratio
    11.87690
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.45593
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    9.42119
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.00000
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    0.58641
  • Downside part of mean
    0.00000
  • Upside SD
    0.18809
  • Downside SD
    0.00000
  • N nonnegative terms
    4.00000
  • N negative terms
    0.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    4.00000
  • Mean of predictor
    0.25273
  • Mean of criterion
    0.58641
  • SD of predictor
    0.02152
  • SD of criterion
    0.09466
  • Covariance
    -0.00162
  • r
    -0.79513
  • b (slope, estimate of beta)
    -3.49701
  • a (intercept, estimate of alpha)
    1.47022
  • Mean Square Error
    0.00494
  • DF error
    2.00000
  • t(b)
    -1.85422
  • p(b)
    0.89756
  • t(a)
    2.98850
  • p(a)
    0.04805
  • Lowerbound of 95% confidence interval for beta
    -11.61170
  • Upperbound of 95% confidence interval for beta
    4.61769
  • Lowerbound of 95% confidence interval for alpha
    -0.64651
  • Upperbound of 95% confidence interval for alpha
    3.58694
  • Treynor index (mean / b)
    -0.16769
  • Jensen alpha (a)
    1.47022
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    -0.00393
  • Expected Shortfall on VaR
    0.00742
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00000
  • Expected Shortfall on VaR
    0.00000
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    4.00000
  • Minimum
    1.01824
  • Quartile 1
    1.03551
  • Median
    1.05550
  • Quartile 3
    1.07280
  • Maximum
    1.08205
  • Mean of quarter 1
    1.01824
  • Mean of quarter 2
    1.04127
  • Mean of quarter 3
    1.06972
  • Mean of quarter 4
    1.08205
  • Inter Quartile Range
    0.03729
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    0.00000
  • Minimum
    0.00000
  • Quartile 1
    0.00000
  • Median
    0.00000
  • Quartile 3
    0.00000
  • Maximum
    0.00000
  • Mean of quarter 1
    0.00000
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.00000
  • Inter Quartile Range
    0.00000
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.68173
  • Compounded annual return (geometric extrapolation)
    0.84839
  • Calmar ratio (compounded annual return / max draw down)
    0.00000
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    114.34800
  • 0.00000
  • 0.00000
  • Analysis based on DAILY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.75065
  • SD
    0.12985
  • Sharpe ratio (Glass type estimate)
    5.78087
  • Sharpe ratio (Hedges UMVUE)
    5.73652
  • df
    98.00000
  • t
    3.55353
  • p
    0.00029
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    2.47771
  • Upperbound of 95% confidence interval for Sharpe Ratio
    9.05636
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.44847
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    9.02456
  • Statistics related to Sortino ratio
  • Sortino ratio
    13.78400
  • Upside Potential Ratio
    20.87080
  • Upside part of mean
    1.13658
  • Downside part of mean
    -0.38593
  • Upside SD
    0.12600
  • Downside SD
    0.05446
  • N nonnegative terms
    67.00000
  • N negative terms
    32.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    99.00000
  • Mean of predictor
    0.32181
  • Mean of criterion
    0.75065
  • SD of predictor
    0.05734
  • SD of criterion
    0.12985
  • Covariance
    0.00278
  • r
    0.37325
  • b (slope, estimate of beta)
    0.84528
  • a (intercept, estimate of alpha)
    0.01700
  • Mean Square Error
    0.01466
  • DF error
    97.00000
  • t(b)
    3.96243
  • p(b)
    0.00007
  • t(a)
    2.29446
  • p(a)
    0.01196
  • Lowerbound of 95% confidence interval for beta
    0.42189
  • Upperbound of 95% confidence interval for beta
    1.26866
  • Lowerbound of 95% confidence interval for alpha
    0.06461
  • Upperbound of 95% confidence interval for alpha
    0.89264
  • Treynor index (mean / b)
    0.88805
  • Jensen alpha (a)
    0.47863
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.74126
  • SD
    0.12872
  • Sharpe ratio (Glass type estimate)
    5.75854
  • Sharpe ratio (Hedges UMVUE)
    5.71436
  • df
    98.00000
  • t
    3.53981
  • p
    0.00031
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    2.45624
  • Upperbound of 95% confidence interval for Sharpe Ratio
    9.03335
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.42707
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    9.00165
  • Statistics related to Sortino ratio
  • Sortino ratio
    13.54780
  • Upside Potential Ratio
    20.62780
  • Upside part of mean
    1.12864
  • Downside part of mean
    -0.38738
  • Upside SD
    0.12452
  • Downside SD
    0.05471
  • N nonnegative terms
    67.00000
  • N negative terms
    32.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    99.00000
  • Mean of predictor
    0.31996
  • Mean of criterion
    0.74126
  • SD of predictor
    0.05722
  • SD of criterion
    0.12872
  • Covariance
    0.00276
  • r
    0.37406
  • b (slope, estimate of beta)
    0.84147
  • a (intercept, estimate of alpha)
    0.47203
  • Mean Square Error
    0.01440
  • DF error
    97.00000
  • t(b)
    3.97247
  • p(b)
    0.00007
  • t(a)
    2.28435
  • p(a)
    0.01227
  • Lowerbound of 95% confidence interval for beta
    0.42105
  • Upperbound of 95% confidence interval for beta
    1.26188
  • Lowerbound of 95% confidence interval for alpha
    0.06191
  • Upperbound of 95% confidence interval for alpha
    0.88214
  • Treynor index (mean / b)
    0.88092
  • Jensen alpha (a)
    0.47203
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01020
  • Expected Shortfall on VaR
    0.01348
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00248
  • Expected Shortfall on VaR
    0.00548
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    99.00000
  • Minimum
    0.98484
  • Quartile 1
    0.99898
  • Median
    1.00227
  • Quartile 3
    1.00586
  • Maximum
    1.04462
  • Mean of quarter 1
    0.99441
  • Mean of quarter 2
    1.00069
  • Mean of quarter 3
    1.00390
  • Mean of quarter 4
    1.01292
  • Inter Quartile Range
    0.00688
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.01010
  • Mean of outliers low
    0.98484
  • Number of outliers high
    6.00000
  • Percentage of outliers high
    0.06061
  • Mean of outliers high
    1.02264
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.51170
  • VaR(95%) (moments method)
    0.00374
  • Expected Shortfall (moments method)
    0.00445
  • Extreme Value Index (regression method)
    -0.28953
  • VaR(95%) (regression method)
    0.00618
  • Expected Shortfall (regression method)
    0.00810
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    11.00000
  • Minimum
    0.00071
  • Quartile 1
    0.00502
  • Median
    0.00735
  • Quartile 3
    0.01526
  • Maximum
    0.04072
  • Mean of quarter 1
    0.00205
  • Mean of quarter 2
    0.00629
  • Mean of quarter 3
    0.01162
  • Mean of quarter 4
    0.02729
  • Inter Quartile Range
    0.01024
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.09091
  • Mean of outliers high
    0.04072
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -1.27922
  • VaR(95%) (moments method)
    0.03196
  • Expected Shortfall (moments method)
    0.03390
  • Extreme Value Index (regression method)
    0.39493
  • VaR(95%) (regression method)
    0.04203
  • Expected Shortfall (regression method)
    0.07626
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.89261
  • Compounded annual return (geometric extrapolation)
    1.15797
  • Calmar ratio (compounded annual return / max draw down)
    28.43610
  • Compounded annual return / average of 25% largest draw downs
    42.42990
  • Compounded annual return / Expected Shortfall lognormal
    85.91170
  • Analysis based on DAILY values, last 6 months only
  • RATIO STATISTICS
  • Ratio statistics of excess log return rates
  • Statistics related to linear regression on benchmark
  • VAR (95 Confidence Intrvl)
    0.06300
  • DRAW DOWN STATISTICS
  • Risk estimates based on draw downs (based on Extreme Value T
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • Last 4 Months - Pcnt Negative
    n/a
  • Max Equity Drawdown (num days)
    8

Strategy Description

Summary Statistics

Strategy began
2017-08-25
Suggested Minimum Capital
$15,000
# Trades
140
# Profitable
92
% Profitable
65.7%
Net Dividends
Correlation S&P500
0.826
Sharpe Ratio
0.49
Sortino Ratio
0.67
Beta
1.20
Alpha
0.00

Latest Activity

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Most values on this page (including the Strategy Equity Chart, above) have been adjusted by estimated trading commissions and subscription costs.

Some advanced users find it useful to see "raw" Model Account values. These numbers do not include any commissions, fees, subscription costs, or dividend actions.

Strategy developers can "archive" strategies at any time. This means the strategy Model Account is reset to its initial level and the trade list cleared. However, all archived track records are permanently preserved for evaluation by potential subscribers.

About the results you see on this Web site

Past results are not necessarily indicative of future results.

These results are based on simulated or hypothetical performance results that have certain inherent limitations. Unlike the results shown in an actual performance record, these results do not represent actual trading. Also, because these trades have not actually been executed, these results may have under-or over-compensated for the impact, if any, of certain market factors, such as lack of liquidity. Simulated or hypothetical trading programs in general are also subject to the fact that they are designed with the benefit of hindsight. No representation is being made that any account will or is likely to achieve profits or losses similar to these being shown.

In addition, hypothetical trading does not involve financial risk, and no hypothetical trading record can completely account for the impact of financial risk in actual trading. For example, the ability to withstand losses or to adhere to a particular trading program in spite of trading losses are material points which can also adversely affect actual trading results. There are numerous other factors related to the markets in general or to the implementation of any specific trading program, which cannot be fully accounted for in the preparation of hypothetical performance results and all of which can adversely affect actual trading results.

Material assumptions and methods used when calculating results

The following are material assumptions used when calculating any hypothetical monthly results that appear on our web site.

  • Profits are reinvested. We assume profits (when there are profits) are reinvested in the trading strategy.
  • Starting investment size. For any trading strategy on our site, hypothetical results are based on the assumption that you invested the starting amount shown on the strategy's performance chart. In some cases, nominal dollar amounts on the equity chart have been re-scaled downward to make current go-forward trading sizes more manageable. In these cases, it may not have been possible to trade the strategy historically at the equity levels shown on the chart, and a higher minimum capital was required in the past.
  • All fees are included. When calculating cumulative returns, we try to estimate and include all the fees a typical trader incurs when AutoTrading using AutoTrade technology. This includes the subscription cost of the strategy, plus any per-trade AutoTrade fees, plus estimated broker commissions if any.
  • "Max Drawdown" Calculation Method. We calculate the Max Drawdown statistic as follows. Our computer software looks at the equity chart of the system in question and finds the largest percentage amount that the equity chart ever declines from a local "peak" to a subsequent point in time (thus this is formally called "Maximum Peak to Valley Drawdown.") While this is useful information when evaluating trading systems, you should keep in mind that past performance does not guarantee future results. Therefore, future drawdowns may be larger than the historical maximum drawdowns you see here.

Trading is risky

There is a substantial risk of loss in futures and forex trading. Online trading of stocks and options is extremely risky. Assume you will lose money. Don't trade with money you cannot afford to lose.

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