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This is an archived track record. This track record was archived on 7/17/18 6:52 ET. (See latest track record)
These are hypothetical performance results that have certain inherent limitations. Learn more
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ESSTAR
(117223073)

Created by: Pegler Pegler
Started: 03/2018
Futures
Last trade: 2,108 days ago
Trading style: Futures Trend-following

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 $199.00 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.

Trading Category: Futures
Trend-following
Category: Equity

Trend-following

Buys when price goes up, and sells when price goes down, expecting price movements to continue. There are a number of different techniques and time-frames used, including moving averages and channel breakouts. Traders do not aim to forecast specific price levels; they simply jump on a trend and ride it. Typically, trend-following analysis is backward looking; that is, it attempts to recognize and profit from already-established trends.
332.5%
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.

(11.2%)
Max Drawdown
112
Num Trades
75.9%
Win Trades
4.2 : 1
Profit Factor
4.1%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2018              +39.9%+5.0%+14.1%(1.5%)(3.3%)  -    -    -    -    -  +59.4%
2019  -    -    -    -    -    -    -    -    -    -    -  0.0
2020  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2021  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2022  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2023  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2024  -    -    -    -                                                  0.0

Model Account Details

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

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

Trading Record

This strategy has placed 98 trades in real-life brokerage accounts. The most recent trade in a real-money brokerage account occurred more than 2116 days ago.

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Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
7/11/18 8:57 @NQU8 E-MINI NASDAQ 100 STK IDX SHORT 2 7263.88 7/12 9:38 7308.25 2.13%
Trade id #118861930
Max drawdown($1,785)
Time7/12/18 9:38
Quant open-2
Worst price7308.50
Drawdown as % of equity-2.13%
 ($1,791)
Includes Typical Broker Commissions trade costs of $16.00
7/9/18 10:48 @NQU8 E-MINI NASDAQ 100 STK IDX LONG 1 7253.50 7/9 10:59 7257.75 0.15%
Trade id #118824832
Max drawdown($125)
Time7/9/18 10:53
Quant open1
Worst price7247.25
Drawdown as % of equity-0.15%
 $77
Includes Typical Broker Commissions trade costs of $8.00
7/9/18 8:12 @NQU8 E-MINI NASDAQ 100 STK IDX LONG 1 7264.50 7/9 10:12 7249.00 0.36%
Trade id #118821110
Max drawdown($310)
Time7/9/18 10:12
Quant open0
Worst price7249.00
Drawdown as % of equity-0.36%
 ($318)
Includes Typical Broker Commissions trade costs of $8.00
7/5/18 11:07 @ESU8 E-MINI S&P 500 LONG 2 2719.50 7/5 14:15 2725.00 0.15%
Trade id #118786486
Max drawdown($125)
Time7/5/18 11:09
Quant open2
Worst price2718.25
Drawdown as % of equity-0.15%
 $534
Includes Typical Broker Commissions trade costs of $16.00
7/3/18 9:22 @ESU8 E-MINI S&P 500 LONG 2 2730.38 7/3 12:40 2720.00 1.22%
Trade id #118757458
Max drawdown($1,038)
Time7/3/18 12:40
Quant open0
Worst price2720.00
Drawdown as % of equity-1.22%
 ($1,054)
Includes Typical Broker Commissions trade costs of $16.00
7/1/18 20:08 @ESU8 E-MINI S&P 500 LONG 1 2721.75 7/2 0:00 2718.00 0.32%
Trade id #118732462
Max drawdown($275)
Time7/1/18 23:55
Quant open1
Worst price2716.25
Drawdown as % of equity-0.32%
 ($196)
Includes Typical Broker Commissions trade costs of $8.00
6/29/18 9:47 @ESU8 E-MINI S&P 500 LONG 2 2736.25 6/29 11:57 2736.50 0.23%
Trade id #118710562
Max drawdown($200)
Time6/29/18 10:15
Quant open2
Worst price2734.25
Drawdown as % of equity-0.23%
 $9
Includes Typical Broker Commissions trade costs of $16.00
6/28/18 9:29 @ESU8 E-MINI S&P 500 SHORT 1 2701.25 6/28 14:03 2714.00 0.74%
Trade id #118692883
Max drawdown($638)
Time6/28/18 14:03
Quant open0
Worst price2714.00
Drawdown as % of equity-0.74%
 ($646)
Includes Typical Broker Commissions trade costs of $8.00
6/27/18 13:43 @ESU8 E-MINI S&P 500 LONG 1 2722.00 6/27 13:51 2715.00 0.46%
Trade id #118677404
Max drawdown($400)
Time6/27/18 13:51
Quant open1
Worst price2714.00
Drawdown as % of equity-0.46%
 ($358)
Includes Typical Broker Commissions trade costs of $8.00
6/27/18 11:19 @ESU8 E-MINI S&P 500 LONG 1 2738.00 6/27 12:45 2728.75 0.53%
Trade id #118673667
Max drawdown($463)
Time6/27/18 12:45
Quant open0
Worst price2728.75
Drawdown as % of equity-0.53%
 ($471)
Includes Typical Broker Commissions trade costs of $8.00
6/26/18 9:50 @ESU8 E-MINI S&P 500 SHORT 1 2723.50 6/26 13:09 2732.50 0.51%
Trade id #118650891
Max drawdown($450)
Time6/26/18 13:09
Quant open0
Worst price2732.50
Drawdown as % of equity-0.51%
 ($458)
Includes Typical Broker Commissions trade costs of $8.00
6/25/18 9:47 @ESU8 E-MINI S&P 500 SHORT 2 2733.00 6/25 10:02 2728.75 0.17%
Trade id #118622490
Max drawdown($150)
Time6/25/18 9:56
Quant open-2
Worst price2734.50
Drawdown as % of equity-0.17%
 $409
Includes Typical Broker Commissions trade costs of $16.00
6/22/18 15:31 @ESU8 E-MINI S&P 500 SHORT 2 2762.50 6/22 15:37 2763.75 0.17%
Trade id #118602637
Max drawdown($150)
Time6/22/18 15:33
Quant open-2
Worst price2764.00
Drawdown as % of equity-0.17%
 ($141)
Includes Typical Broker Commissions trade costs of $16.00
6/22/18 15:27 @ESU8 E-MINI S&P 500 LONG 2 2764.75 6/22 15:31 2762.50 0.26%
Trade id #118602512
Max drawdown($225)
Time6/22/18 15:31
Quant open0
Worst price2762.50
Drawdown as % of equity-0.26%
 ($241)
Includes Typical Broker Commissions trade costs of $16.00
6/22/18 14:28 @ESU8 E-MINI S&P 500 SHORT 1 2763.25 6/22 14:49 2765.50 0.16%
Trade id #118601084
Max drawdown($137)
Time6/22/18 14:49
Quant open-1
Worst price2766.00
Drawdown as % of equity-0.16%
 ($121)
Includes Typical Broker Commissions trade costs of $8.00
6/22/18 10:25 @ESU8 E-MINI S&P 500 SHORT 2 2761.50 6/22 10:39 2759.00 0.06%
Trade id #118592096
Max drawdown($50)
Time6/22/18 10:37
Quant open-2
Worst price2762.00
Drawdown as % of equity-0.06%
 $234
Includes Typical Broker Commissions trade costs of $16.00
6/22/18 9:30 @ESU8 E-MINI S&P 500 SHORT 2 2767.50 6/22 10:12 2765.25 0%
Trade id #118589291
Max drawdown$0
Time6/22/18 9:32
Quant open-2
Worst price2767.50
Drawdown as % of equity0.00%
 $209
Includes Typical Broker Commissions trade costs of $16.00
6/22/18 8:25 @ESU8 E-MINI S&P 500 SHORT 2 2767.25 6/22 8:57 2766.75 0.03%
Trade id #118586645
Max drawdown($25)
Time6/22/18 8:27
Quant open-2
Worst price2767.50
Drawdown as % of equity-0.03%
 $34
Includes Typical Broker Commissions trade costs of $16.00
6/22/18 7:14 @ESU8 E-MINI S&P 500 SHORT 2 2763.75 6/22 7:57 2766.25 0.28%
Trade id #118585608
Max drawdown($250)
Time6/22/18 7:55
Quant open-2
Worst price2766.25
Drawdown as % of equity-0.28%
 ($266)
Includes Typical Broker Commissions trade costs of $16.00
6/22/18 6:00 @ESU8 E-MINI S&P 500 SHORT 2 2763.75 6/22 6:27 2765.25 0.17%
Trade id #118585159
Max drawdown($150)
Time6/22/18 6:27
Quant open0
Worst price2765.25
Drawdown as % of equity-0.17%
 ($166)
Includes Typical Broker Commissions trade costs of $16.00
6/20/18 6:56 @ESU8 E-MINI S&P 500 SHORT 2 2775.00 6/20 10:31 2768.00 0.14%
Trade id #118529134
Max drawdown($125)
Time6/20/18 9:16
Quant open-2
Worst price2776.25
Drawdown as % of equity-0.14%
 $684
Includes Typical Broker Commissions trade costs of $16.00
6/19/18 18:45 @ESU8 E-MINI S&P 500 SHORT 1 2763.75 6/20 1:15 2771.25 0.46%
Trade id #118522177
Max drawdown($400)
Time6/20/18 1:12
Quant open-1
Worst price2771.75
Drawdown as % of equity-0.46%
 ($383)
Includes Typical Broker Commissions trade costs of $8.00
6/19/18 9:49 @ESU8 E-MINI S&P 500 SHORT 2 2757.25 6/19 9:54 2753.75 0.09%
Trade id #118506733
Max drawdown($75)
Time6/19/18 9:51
Quant open-2
Worst price2758.00
Drawdown as % of equity-0.09%
 $334
Includes Typical Broker Commissions trade costs of $16.00
6/19/18 0:34 @ESU8 E-MINI S&P 500 LONG 1 2754.75 6/19 2:40 2742.75 0.69%
Trade id #118498062
Max drawdown($600)
Time6/19/18 2:40
Quant open1
Worst price2742.75
Drawdown as % of equity-0.69%
 ($608)
Includes Typical Broker Commissions trade costs of $8.00
6/18/18 6:22 @ESU8 E-MINI S&P 500 SHORT 2 2769.00 6/18 6:33 2767.50 0.14%
Trade id #118475795
Max drawdown($125)
Time6/18/18 6:27
Quant open-2
Worst price2770.25
Drawdown as % of equity-0.14%
 $134
Includes Typical Broker Commissions trade costs of $16.00
6/15/18 3:00 @ESU8 E-MINI S&P 500 SHORT 2 2785.00 6/15 3:41 2777.00 0.12%
Trade id #118448184
Max drawdown($100)
Time6/15/18 3:06
Quant open-2
Worst price2786.00
Drawdown as % of equity-0.12%
 $784
Includes Typical Broker Commissions trade costs of $16.00
6/14/18 20:48 @ESU8 E-MINI S&P 500 SHORT 2 2785.25 6/14 23:02 2788.00 0.37%
Trade id #118444901
Max drawdown($325)
Time6/14/18 22:46
Quant open-2
Worst price2788.50
Drawdown as % of equity-0.37%
 ($291)
Includes Typical Broker Commissions trade costs of $16.00
6/14/18 9:51 @ESU8 E-MINI S&P 500 LONG 1 2789.00 6/14 20:45 2786.50 0.46%
Trade id #118434117
Max drawdown($400)
Time6/14/18 11:02
Quant open1
Worst price2781.00
Drawdown as % of equity-0.46%
 ($133)
Includes Typical Broker Commissions trade costs of $8.00
6/13/18 9:37 @ESU8 E-MINI S&P 500 LONG 1 2791.50 6/13 10:49 2792.25 0.03%
Trade id #118408845
Max drawdown($25)
Time6/13/18 9:57
Quant open1
Worst price2791.00
Drawdown as % of equity-0.03%
 $30
Includes Typical Broker Commissions trade costs of $8.00
6/12/18 3:23 @ESU8 E-MINI S&P 500 SHORT 1 2788.25 6/12 6:24 2783.75 0.09%
Trade id #118382933
Max drawdown($75)
Time6/12/18 3:34
Quant open-1
Worst price2789.75
Drawdown as % of equity-0.09%
 $217
Includes Typical Broker Commissions trade costs of $8.00
Next

Statistics

  • Strategy began
    3/25/2018
  • Suggested Minimum Cap
    $50,000
  • Strategy Age (days)
    2215.89
  • Age
    74 months ago
  • What it trades
    Futures
  • # Trades
    112
  • # Profitable
    85
  • % Profitable
    75.90%
  • Avg trade duration
    10.1 hours
  • Max peak-to-valley drawdown
    11.23%
  • drawdown period
    March 26, 2018 - March 28, 2018
  • Cumul. Return
    59.7%
  • Avg win
    $519.36
  • Avg loss
    $393.96
  • Model Account Values (Raw)
  • Cash
    $83,505
  • Margin Used
    $0
  • Buying Power
    $83,505
  • Ratios
  • W:L ratio
    4.15:1
  • Sharpe Ratio
    0.42
  • Sortino Ratio
    2.43
  • Calmar Ratio
    11.198
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    51.56%
  • Correlation to SP500
    0.02720
  • Return Percent SP500 (cumu) during strategy life
    93.61%
  • Return Statistics
  • Ann Return (w trading costs)
    332.5%
  • Slump
  • Current Slump as Pcnt Equity
    6.20%
  • Instruments
  • Percent Trades Futures
    0.96%
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.96%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.597%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    n/a
  • Percent Trades Forex
    0.04%
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    8.8%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    17.50%
  • 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)
    467
  • Popularity (Last 6 weeks)
    948
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • Popularity (7 days, Percentile 1000 scale)
    771
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $394
  • Avg Win
    $519
  • Sum Trade PL (losers)
    $10,637.000
  • Age
  • Num Months filled monthly returns table
    74
  • Win / Loss
  • Sum Trade PL (winners)
    $44,146.000
  • # Winners
    85
  • Num Months Winners
    3
  • Dividends
  • Dividends Received in Model Acct
    0
  • Win / Loss
  • # Losers
    27
  • % Winners
    75.9%
  • Frequency
  • Avg Position Time (mins)
    608.38
  • Avg Position Time (hrs)
    10.14
  • Avg Trade Length
    0.4 days
  • Last Trade Ago
    2107
  • Regression
  • Alpha
    0.02
  • Beta
    0.02
  • Treynor Index
    0.92
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.01
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    77.90
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    17.73
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    2.08
  • MAE:Equity, average, winning trades
    0.01
  • MAE:Equity, average, losing trades
    0.01
  • Avg(MAE) / Avg(PL) - All trades
    1.719
  • MAE:Equity, losing trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, win trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, 95th Percentile Value for this strat
    0.00
  • Avg(MAE) / Avg(PL) - Winning trades
    0.981
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.137
  • Hold-and-Hope Ratio
    0.582
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    2.59043
  • SD
    0.76131
  • Sharpe ratio (Glass type estimate)
    3.40258
  • Sharpe ratio (Hedges UMVUE)
    1.91970
  • df
    2.00000
  • t
    1.70129
  • p
    0.11550
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.79036
  • Upperbound of 95% confidence interval for Sharpe Ratio
    8.19007
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.42829
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    6.26769
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.00000
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    2.59043
  • Downside part of mean
    0.00000
  • Upside SD
    0.97242
  • Downside SD
    0.00000
  • N nonnegative terms
    3.00000
  • N negative terms
    0.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    3.00000
  • Mean of predictor
    0.06996
  • Mean of criterion
    2.59043
  • SD of predictor
    0.06998
  • SD of criterion
    0.76131
  • Covariance
    -0.01781
  • r
    -0.33433
  • b (slope, estimate of beta)
    -3.63726
  • a (intercept, estimate of alpha)
    2.84487
  • Mean Square Error
    1.02962
  • DF error
    1.00000
  • t(b)
    -0.35475
  • p(b)
    0.60851
  • t(a)
    1.32171
  • p(a)
    0.20617
  • Lowerbound of 95% confidence interval for beta
    -133.91500
  • Upperbound of 95% confidence interval for beta
    126.64000
  • Lowerbound of 95% confidence interval for alpha
    -24.50430
  • Upperbound of 95% confidence interval for alpha
    30.19400
  • Treynor index (mean / b)
    -0.71219
  • Jensen alpha (a)
    2.84487
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    2.21216
  • SD
    0.61844
  • Sharpe ratio (Glass type estimate)
    3.57699
  • Sharpe ratio (Hedges UMVUE)
    2.01810
  • df
    2.00000
  • t
    1.78850
  • p
    0.10780
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.71269
  • Upperbound of 95% confidence interval for Sharpe Ratio
    8.46541
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.37247
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    6.40867
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.00000
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    2.21216
  • Downside part of mean
    0.00000
  • Upside SD
    0.81412
  • Downside SD
    0.00000
  • N nonnegative terms
    3.00000
  • N negative terms
    0.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    3.00000
  • Mean of predictor
    0.06799
  • Mean of criterion
    2.21216
  • SD of predictor
    0.06909
  • SD of criterion
    0.61844
  • Covariance
    -0.01245
  • r
    -0.29135
  • b (slope, estimate of beta)
    -2.60800
  • a (intercept, estimate of alpha)
    2.38949
  • Mean Square Error
    0.70001
  • DF error
    1.00000
  • t(b)
    -0.30456
  • p(b)
    0.59410
  • t(a)
    1.34867
  • p(a)
    0.20309
  • Lowerbound of 95% confidence interval for beta
    -111.41300
  • Upperbound of 95% confidence interval for beta
    106.19700
  • Lowerbound of 95% confidence interval for alpha
    -20.12250
  • Upperbound of 95% confidence interval for alpha
    24.90150
  • Treynor index (mean / b)
    -0.84822
  • Jensen alpha (a)
    2.38949
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.10354
  • Expected Shortfall on VaR
    0.16621
  • 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
    3.00000
  • Minimum
    1.01917
  • Quartile 1
    1.10027
  • Median
    1.18137
  • Quartile 3
    1.31771
  • Maximum
    1.45406
  • Mean of quarter 1
    1.01917
  • Mean of quarter 2
    1.18137
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    1.45406
  • Inter Quartile Range
    0.21744
  • 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)
    3.00280
  • Compounded annual return (geometric extrapolation)
    8.39393
  • 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
    50.50150
  • 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
    1.76492
  • SD
    0.57614
  • Sharpe ratio (Glass type estimate)
    3.06338
  • Sharpe ratio (Hedges UMVUE)
    3.03457
  • df
    80.00000
  • t
    1.70330
  • p
    0.04620
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.50267
  • Upperbound of 95% confidence interval for Sharpe Ratio
    6.61072
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.52163
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    6.59076
  • Statistics related to Sortino ratio
  • Sortino ratio
    20.46440
  • Upside Potential Ratio
    26.89220
  • Upside part of mean
    2.31928
  • Downside part of mean
    -0.55436
  • Upside SD
    0.57644
  • Downside SD
    0.08624
  • N nonnegative terms
    44.00000
  • N negative terms
    37.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    81.00000
  • Mean of predictor
    0.14574
  • Mean of criterion
    1.76492
  • SD of predictor
    0.12497
  • SD of criterion
    0.57614
  • Covariance
    0.01152
  • r
    0.15996
  • b (slope, estimate of beta)
    0.73745
  • a (intercept, estimate of alpha)
    0.45600
  • Mean Square Error
    0.32754
  • DF error
    79.00000
  • t(b)
    1.44027
  • p(b)
    0.07687
  • t(a)
    1.60607
  • p(a)
    0.05612
  • Lowerbound of 95% confidence interval for beta
    -0.28171
  • Upperbound of 95% confidence interval for beta
    1.75660
  • Lowerbound of 95% confidence interval for alpha
    -0.39667
  • Upperbound of 95% confidence interval for alpha
    3.71158
  • Treynor index (mean / b)
    2.39329
  • Jensen alpha (a)
    1.65745
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    1.61575
  • SD
    0.52214
  • Sharpe ratio (Glass type estimate)
    3.09447
  • Sharpe ratio (Hedges UMVUE)
    3.06537
  • df
    80.00000
  • t
    1.72059
  • p
    0.04460
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.47232
  • Upperbound of 95% confidence interval for Sharpe Ratio
    6.64235
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.49146
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    6.62220
  • Statistics related to Sortino ratio
  • Sortino ratio
    18.52780
  • Upside Potential Ratio
    24.92720
  • Upside part of mean
    2.17383
  • Downside part of mean
    -0.55807
  • Upside SD
    0.52118
  • Downside SD
    0.08721
  • N nonnegative terms
    44.00000
  • N negative terms
    37.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    81.00000
  • Mean of predictor
    0.13795
  • Mean of criterion
    1.61575
  • SD of predictor
    0.12517
  • SD of criterion
    0.52214
  • Covariance
    0.01033
  • r
    0.15798
  • b (slope, estimate of beta)
    0.65901
  • a (intercept, estimate of alpha)
    1.52484
  • Mean Square Error
    0.26919
  • DF error
    79.00000
  • t(b)
    1.42202
  • p(b)
    0.07948
  • t(a)
    1.63030
  • p(a)
    0.05351
  • Lowerbound of 95% confidence interval for beta
    -0.26343
  • Upperbound of 95% confidence interval for beta
    1.58145
  • Lowerbound of 95% confidence interval for alpha
    -0.33686
  • Upperbound of 95% confidence interval for alpha
    3.38654
  • Treynor index (mean / b)
    2.45178
  • Jensen alpha (a)
    1.52484
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.04581
  • Expected Shortfall on VaR
    0.05852
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00450
  • Expected Shortfall on VaR
    0.00970
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    81.00000
  • Minimum
    0.96699
  • Quartile 1
    0.99833
  • Median
    1.00097
  • Quartile 3
    1.00511
  • Maximum
    1.25276
  • Mean of quarter 1
    0.99242
  • Mean of quarter 2
    0.99973
  • Mean of quarter 3
    1.00269
  • Mean of quarter 4
    1.03325
  • Inter Quartile Range
    0.00678
  • Number outliers low
    2.00000
  • Percentage of outliers low
    0.02469
  • Mean of outliers low
    0.97377
  • Number of outliers high
    6.00000
  • Percentage of outliers high
    0.07407
  • Mean of outliers high
    1.08987
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.28217
  • VaR(95%) (moments method)
    0.00592
  • Expected Shortfall (moments method)
    0.01052
  • Extreme Value Index (regression method)
    0.13044
  • VaR(95%) (regression method)
    0.00799
  • Expected Shortfall (regression method)
    0.01292
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    9.00000
  • Minimum
    0.00062
  • Quartile 1
    0.00354
  • Median
    0.00675
  • Quartile 3
    0.02304
  • Maximum
    0.05072
  • Mean of quarter 1
    0.00194
  • Mean of quarter 2
    0.00531
  • Mean of quarter 3
    0.02124
  • Mean of quarter 4
    0.04698
  • Inter Quartile Range
    0.01950
  • 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)
    -38.26120
  • VaR(95%) (moments method)
    0.03981
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    -2.43202
  • VaR(95%) (regression method)
    0.06700
  • Expected Shortfall (regression method)
    0.06740
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    2.14200
  • Compounded annual return (geometric extrapolation)
    4.17408
  • Calmar ratio (compounded annual return / max draw down)
    82.29160
  • Compounded annual return / average of 25% largest draw downs
    88.84770
  • Compounded annual return / Expected Shortfall lognormal
    71.32900
  • 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)
    0.02600
  • 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)
    2

Strategy Description

Trading strategy: short and medium term trend. trading with the Elliott Wave Theory and the Dow Theory.
Trade Symbols: only one "S&P 500"
Trading Rules: No martingale, no grid, no hedging, no scalping and no dangerous elements of Money Management are used. Every trade is protected by stop-loss;
Money Risk Management: limt max position per trade, limit max drawdown per trade, limit stop loss per trade;
I had changed trading style from June 1st 2018, Just as you see, I realized the better trade style should be as below: 1, Fixed trade position and limit max position per trade; 2, No add positions to losing trade, just stop loss.
As you see, It's a boundary on June 1st 2018, The trade before June 1st 2018 was bad, mixed and confused.
From "June 1st 2018" on, The new trading style "The Five No System"(No martingale, no grid, no hedging, no scalping and no dangerous elements of Money Management), That's the strategy what I do now, and that's the strategy what you wish too.

Summary Statistics

Strategy began
2018-03-25
Suggested Minimum Capital
$80,000
# Trades
112
# Profitable
85
% Profitable
75.9%
Correlation S&P500
0.027
Sharpe Ratio
0.42
Sortino Ratio
2.43
Beta
0.02
Alpha
0.02

Latest Activity

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

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

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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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