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DayTradingOnly-UTS
(125624445)

Created by: MandeepBhullar MandeepBhullar
Started: 10/2019
Stocks
Last trade: Today
Trading style: Equity Momentum

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 $80.00 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: Equity
Momentum
Category: Equity

Momentum

Aims to capitalize on the continuance of existing trends in the market. Trader takes a long position in an asset in an upward trend, and short-sells a security that has been in a downward trend. While similar to Trend-following, tends to be more forward-looking (predicting oncoming trend), while Momentum is more backward-looking (observing already-established price direction).
62.1%
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.

(17.7%)
Max Drawdown
177
Num Trades
70.1%
Win Trades
1.7 : 1
Profit Factor
71.4%
Win Months
Hypothetical Monthly Returns (includes system fee and Interactive Brokers commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2019                                                               +5.2%+10.1%+2.9%+19.2%
2020+17.9%(2.8%)+22.9%(3.5%)                                                +36.0%

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 153 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
4/2/20 10:36 AMZN AMAZON.COM LONG 10 1926.18 4/6 9:34 1935.00 0.93%
Trade id #128377692
Max drawdown($370)
Time4/3/20 0:00
Quant open10
Worst price1889.15
Drawdown as % of equity-0.93%
$86
Includes Typical Broker Commissions trade costs of $2.00
4/3/20 14:00 USO2019F5.5 USO Jun19'20 5.5 call LONG 10 1.20 4/3 14:58 1.32 0.05%
Trade id #128409195
Max drawdown($20)
Time4/3/20 14:08
Quant open10
Worst price1.18
Drawdown as % of equity-0.05%
$106
Includes Typical Broker Commissions trade costs of $14.00
4/3/20 9:37 MRNA MODERNA INC. COMMON STOCK LONG 100 33.95 4/3 13:43 34.75 0.29%
Trade id #128403788
Max drawdown($119)
Time4/3/20 10:20
Quant open100
Worst price32.76
Drawdown as % of equity-0.29%
$78
Includes Typical Broker Commissions trade costs of $2.00
4/3/20 10:03 RNG RINGCENTRAL INC. LONG 50 224.47 4/3 11:15 226.13 0.27%
Trade id #128404579
Max drawdown($107)
Time4/3/20 10:18
Quant open50
Worst price222.31
Drawdown as % of equity-0.27%
$81
Includes Typical Broker Commissions trade costs of $2.00
4/2/20 10:56 USO2001E5 USO May1'20 5 call LONG 10 0.94 4/3 10:55 1.10 0.79%
Trade id #128378195
Max drawdown($300)
Time4/2/20 14:14
Quant open10
Worst price0.64
Drawdown as % of equity-0.79%
$146
Includes Typical Broker Commissions trade costs of $14.00
4/3/20 10:12 LLY ELI LILLY LONG 75 143.85 4/3 10:55 142.67 0.21%
Trade id #128404798
Max drawdown($85)
Time4/3/20 10:44
Quant open75
Worst price142.71
Drawdown as % of equity-0.21%
($91)
Includes Typical Broker Commissions trade costs of $2.00
4/2/20 10:31 SPXL DIREXION DAILY S&P500 BULL 3X LONG 200 23.75 4/2 15:52 23.95 0.63%
Trade id #128377553
Max drawdown($240)
Time4/2/20 14:21
Quant open200
Worst price22.55
Drawdown as % of equity-0.63%
$38
Includes Typical Broker Commissions trade costs of $2.00
3/31/20 10:32 GILD GILEAD SCIENCES LONG 150 76.24 4/2 15:52 77.36 1.87%
Trade id #128338265
Max drawdown($728)
Time4/2/20 9:48
Quant open150
Worst price71.38
Drawdown as % of equity-1.87%
$167
Includes Typical Broker Commissions trade costs of $2.00
4/1/20 15:13 GLD2015E150 GLD May15'20 150 call LONG 5 5.35 4/2 13:12 6.52 0.31%
Trade id #128364835
Max drawdown($125)
Time4/1/20 15:39
Quant open5
Worst price5.10
Drawdown as % of equity-0.31%
$578
Includes Typical Broker Commissions trade costs of $7.00
4/1/20 15:37 ZM ZOOM VIDEO COMMUNICATIONS INC. CLASS A COMMON STO LONG 100 137.96 4/2 9:38 117.37 5.74%
Trade id #128365389
Max drawdown($2,346)
Time4/2/20 0:00
Quant open100
Worst price114.50
Drawdown as % of equity-5.74%
($2,062)
Includes Typical Broker Commissions trade costs of $2.00
4/1/20 23:06 @MESM0 MICRO E-MINI S&P 500 LONG 2 2483.21 4/2 6:00 2483.59 0.39%
Trade id #128369582
Max drawdown($159)
Time4/2/20 1:15
Quant open2
Worst price2467.25
Drawdown as % of equity-0.39%
$2
Includes Typical Broker Commissions trade costs of $1.88
4/1/20 12:47 SPXS DIREXION DAILY S&P500 BEAR 3X LONG 300 18.08 4/1 15:47 18.33 0.33%
Trade id #128362334
Max drawdown($137)
Time4/1/20 14:07
Quant open300
Worst price17.62
Drawdown as % of equity-0.33%
$73
Includes Typical Broker Commissions trade costs of $3.00
4/1/20 10:00 JNUG DIREXION DAILY JR GOLD BULL 2X LONG 500 4.04 4/1 15:13 4.16 0.17%
Trade id #128358388
Max drawdown($67)
Time4/1/20 12:54
Quant open500
Worst price3.90
Drawdown as % of equity-0.17%
$59
Includes Typical Broker Commissions trade costs of $5.00
4/1/20 11:12 DG DOLLAR GENERAL LONG 100 157.32 4/1 12:43 153.60 0.91%
Trade id #128360098
Max drawdown($377)
Time4/1/20 12:43
Quant open100
Worst price153.55
Drawdown as % of equity-0.91%
($375)
Includes Typical Broker Commissions trade costs of $2.00
4/1/20 10:45 JD JD.COM INC LONG 200 42.17 4/1 10:55 42.20 0.03%
Trade id #128359410
Max drawdown($12)
Time4/1/20 10:48
Quant open200
Worst price42.11
Drawdown as % of equity-0.03%
$2
Includes Typical Broker Commissions trade costs of $2.00
4/1/20 0:25 @MESM0 MICRO E-MINI S&P 500 SHORT 2 2520.75 4/1 1:41 2501.92 0.18%
Trade id #128350781
Max drawdown($75)
Time4/1/20 1:06
Quant open2
Worst price2528.25
Drawdown as % of equity-0.18%
$186
Includes Typical Broker Commissions trade costs of $1.88
3/31/20 11:29 CAT CATERPILLAR LONG 100 116.14 3/31 15:25 115.72 0.64%
Trade id #128339877
Max drawdown($269)
Time3/31/20 12:41
Quant open100
Worst price113.44
Drawdown as % of equity-0.64%
($44)
Includes Typical Broker Commissions trade costs of $2.00
3/31/20 9:41 DOCU DOCUSIGN INC. COMMON STOCK LONG 100 90.63 3/31 10:11 94.18 0.21%
Trade id #128336504
Max drawdown($89)
Time3/31/20 10:00
Quant open100
Worst price89.73
Drawdown as % of equity-0.21%
$354
Includes Typical Broker Commissions trade costs of $2.00
3/30/20 10:53 GOOG ALPHABET INC CLASS C LONG 10 1136.53 3/30 15:25 1138.15 0.22%
Trade id #128316058
Max drawdown($95)
Time3/30/20 11:06
Quant open10
Worst price1127.02
Drawdown as % of equity-0.22%
$14
Includes Typical Broker Commissions trade costs of $2.00
3/30/20 10:17 CVLT COMMVAULT SYSTEMS LONG 150 39.39 3/30 11:26 38.02 0.49%
Trade id #128315141
Max drawdown($208)
Time3/30/20 11:13
Quant open150
Worst price38.00
Drawdown as % of equity-0.49%
($207)
Includes Typical Broker Commissions trade costs of $2.00
3/30/20 10:40 DOCU DOCUSIGN INC. COMMON STOCK SHORT 100 87.97 3/30 10:41 88.45 0.11%
Trade id #128315774
Max drawdown($48)
Time3/30/20 10:41
Quant open100
Worst price88.45
Drawdown as % of equity-0.11%
($50)
Includes Typical Broker Commissions trade costs of $2.00
3/30/20 10:00 DOCU DOCUSIGN INC. COMMON STOCK LONG 100 85.71 3/30 10:40 87.97 0.15%
Trade id #128314735
Max drawdown($64)
Time3/30/20 10:12
Quant open100
Worst price85.06
Drawdown as % of equity-0.15%
$224
Includes Typical Broker Commissions trade costs of $2.00
3/30/20 0:04 @MESM0 MICRO E-MINI S&P 500 LONG 2 2518.00 3/30 2:22 2539.75 0.03%
Trade id #128307070
Max drawdown($15)
Time3/30/20 0:09
Quant open2
Worst price2516.50
Drawdown as % of equity-0.03%
$216
Includes Typical Broker Commissions trade costs of $1.88
3/27/20 11:08 NFLX NETFLIX LONG 50 365.64 3/27 15:30 366.13 0.71%
Trade id #128286877
Max drawdown($302)
Time3/27/20 12:07
Quant open50
Worst price359.59
Drawdown as % of equity-0.71%
$23
Includes Typical Broker Commissions trade costs of $2.00
3/27/20 14:34 TSLA TESLA INC. LONG 25 515.10 3/27 15:29 518.51 0.23%
Trade id #128292992
Max drawdown($97)
Time3/27/20 14:46
Quant open25
Worst price511.20
Drawdown as % of equity-0.23%
$83
Includes Typical Broker Commissions trade costs of $2.00
3/27/20 11:50 VIR VIR BIOTECHNOLOGY INC. LONG 100 35.60 3/27 13:23 33.32 0.6%
Trade id #128288317
Max drawdown($256)
Time3/27/20 13:20
Quant open100
Worst price33.04
Drawdown as % of equity-0.60%
($230)
Includes Typical Broker Commissions trade costs of $2.00
3/27/20 10:51 DXCM DEXCOM LONG 100 255.16 3/27 11:02 257.91 n/a $272
Includes Typical Broker Commissions trade costs of $2.00
3/26/20 11:31 AAPL APPLE LONG 75 253.77 3/26 15:54 258.12 0.64%
Trade id #128266146
Max drawdown($270)
Time3/26/20 13:39
Quant open75
Worst price250.16
Drawdown as % of equity-0.64%
$324
Includes Typical Broker Commissions trade costs of $2.00
3/25/20 12:52 FB2015E165 FB May15'20 165 call LONG 2 10.15 3/26 15:50 11.40 0.43%
Trade id #128245984
Max drawdown($180)
Time3/25/20 15:51
Quant open2
Worst price9.25
Drawdown as % of equity-0.43%
$247
Includes Typical Broker Commissions trade costs of $2.80
3/26/20 14:39 SPXL DIREXION DAILY S&P500 BULL 3X LONG 200 26.70 3/26 15:17 26.22 0.23%
Trade id #128270174
Max drawdown($96)
Time3/26/20 15:16
Quant open200
Worst price26.22
Drawdown as % of equity-0.23%
($97)
Includes Typical Broker Commissions trade costs of $2.00

Statistics

  • Strategy began
    10/3/2019
  • Suggested Minimum Cap
    $40,000
  • Strategy Age (days)
    185.57
  • Age
    6 months ago
  • What it trades
    Stocks, Options
  • # Trades
    177
  • # Profitable
    124
  • % Profitable
    70.10%
  • Avg trade duration
    2.0 days
  • Max peak-to-valley drawdown
    17.71%
  • drawdown period
    March 03, 2020 - March 13, 2020
  • Cumul. Return
    63.0%
  • Avg win
    $336.77
  • Avg loss
    $467.70
  • Model Account Values (Raw)
  • Cash
    $27,964
  • Margin Used
    $0
  • Buying Power
    $27,838
  • Ratios
  • W:L ratio
    1.68:1
  • Sharpe Ratio
    1.95
  • Sortino Ratio
    3.74
  • Calmar Ratio
    12.346
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    72.68%
  • Correlation to SP500
    -0.07620
  • Return Percent SP500 (cumu) during strategy life
    -9.67%
  • Return Statistics
  • Ann Return (w trading costs)
    157.4%
  • Slump
  • Current Slump as Pcnt Equity
    0.07%
  • Instruments
  • Percent Trades Futures
    0.07%
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.05%
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.630%
  • Instruments
  • Percent Trades Options
    0.22%
  • Percent Trades Stocks
    0.71%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    177.0%
  • 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 70% account loss (Monte Carlo)
    n/a
  • Chance of 80% account loss (Monte Carlo)
    n/a
  • Chance of 60% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 90% account loss (Monte Carlo)
    n/a
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    958
  • Popularity (Last 6 weeks)
    972
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Popularity
  • C2 Score
    963
  • Popularity (7 days, Percentile 1000 scale)
    976
  • Management
  • No Subs Allowed Flag (1: no subs)
    0
  • Strat abandoned?
    0
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $465
  • Avg Win
    $337
  • Sum Trade PL (losers)
    $24,669.000
  • AUM
  • AUM (AutoTrader num accounts)
    1
  • Age
  • Num Months filled monthly returns table
    7
  • Win / Loss
  • Sum Trade PL (winners)
    $41,760.000
  • # Winners
    124
  • Num Months Winners
    5
  • Dividends
  • Dividends Received in Model Acct
    0
  • AUM
  • AUM (AutoTrader live capital)
    32960
  • Win / Loss
  • # Losers
    53
  • % Winners
    70.1%
  • Frequency
  • Avg Position Time (mins)
    2894.65
  • Avg Position Time (hrs)
    48.24
  • Avg Trade Length
    2.0 days
  • Last Trade Ago
    0
  • Leverage
  • Daily leverage (average)
    2.76
  • Daily leverage (max)
    11.10
  • Regression
  • Alpha
    0.28
  • Beta
    -0.08
  • Treynor Index
    -3.48
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.01
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    1.48
  • MAE:Equity, average, winning trades
    0.01
  • MAE:Equity, average, losing trades
    0.02
  • Avg(MAE) / Avg(PL) - All trades
    5.403
  • 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
    0.03
  • Avg(MAE) / Avg(PL) - Winning trades
    0.926
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.182
  • Hold-and-Hope Ratio
    0.212
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.93237
  • SD
    0.17789
  • Sharpe ratio (Glass type estimate)
    5.24128
  • Sharpe ratio (Hedges UMVUE)
    4.18194
  • df
    4.00000
  • t
    3.38323
  • p
    0.01385
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.49833
  • Upperbound of 95% confidence interval for Sharpe Ratio
    9.75638
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.01535
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    8.37922
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.00000
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    0.93237
  • Downside part of mean
    0.00000
  • Upside SD
    0.31267
  • Downside SD
    0.00000
  • N nonnegative terms
    5.00000
  • N negative terms
    0.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    5.00000
  • Mean of predictor
    0.04464
  • Mean of criterion
    0.93237
  • SD of predictor
    0.22959
  • SD of criterion
    0.17789
  • Covariance
    -0.00594
  • r
    -0.14545
  • b (slope, estimate of beta)
    -0.11270
  • a (intercept, estimate of alpha)
    0.93741
  • Mean Square Error
    0.04130
  • DF error
    3.00000
  • t(b)
    -0.25463
  • p(b)
    0.59227
  • t(a)
    2.97159
  • p(a)
    0.02950
  • Lowerbound of 95% confidence interval for beta
    -1.52122
  • Upperbound of 95% confidence interval for beta
    1.29582
  • Lowerbound of 95% confidence interval for alpha
    -0.06652
  • Upperbound of 95% confidence interval for alpha
    1.94133
  • Treynor index (mean / b)
    -8.27317
  • Jensen alpha (a)
    0.93741
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.88490
  • SD
    0.16655
  • Sharpe ratio (Glass type estimate)
    5.31316
  • Sharpe ratio (Hedges UMVUE)
    4.23929
  • df
    4.00000
  • t
    3.42963
  • p
    0.01327
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.53514
  • Upperbound of 95% confidence interval for Sharpe Ratio
    9.86521
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.01447
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    8.46411
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.00000
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    0.88490
  • Downside part of mean
    0.00000
  • Upside SD
    0.29571
  • Downside SD
    0.00000
  • N nonnegative terms
    5.00000
  • N negative terms
    0.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    5.00000
  • Mean of predictor
    0.02247
  • Mean of criterion
    0.88490
  • SD of predictor
    0.23760
  • SD of criterion
    0.16655
  • Covariance
    -0.00579
  • r
    -0.14638
  • b (slope, estimate of beta)
    -0.10260
  • a (intercept, estimate of alpha)
    0.88721
  • Mean Square Error
    0.03619
  • DF error
    3.00000
  • t(b)
    -0.25629
  • p(b)
    0.59285
  • t(a)
    3.00891
  • p(a)
    0.02863
  • Lowerbound of 95% confidence interval for beta
    -1.37667
  • Upperbound of 95% confidence interval for beta
    1.17146
  • Lowerbound of 95% confidence interval for alpha
    -0.05117
  • Upperbound of 95% confidence interval for alpha
    1.82559
  • Treynor index (mean / b)
    -8.62449
  • Jensen alpha (a)
    0.88721
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00533
  • Expected Shortfall on VaR
    0.02496
  • 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
    5.00000
  • Minimum
    1.00324
  • Quartile 1
    1.06546
  • Median
    1.08186
  • Quartile 3
    1.11015
  • Maximum
    1.13943
  • Mean of quarter 1
    1.03435
  • Mean of quarter 2
    1.08186
  • Mean of quarter 3
    1.11015
  • Mean of quarter 4
    1.13943
  • Inter Quartile Range
    0.04469
  • 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)
    1.11067
  • Compounded annual return (geometric extrapolation)
    1.49132
  • 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
    59.75860
  • 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
    1.11265
  • SD
    0.42875
  • Sharpe ratio (Glass type estimate)
    2.59507
  • Sharpe ratio (Hedges UMVUE)
    2.57996
  • df
    129.00000
  • t
    1.82798
  • p
    0.39927
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.21023
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.39059
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.22024
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.38016
  • Statistics related to Sortino ratio
  • Sortino ratio
    5.32686
  • Upside Potential Ratio
    12.96960
  • Upside part of mean
    2.70901
  • Downside part of mean
    -1.59637
  • Upside SD
    0.37883
  • Downside SD
    0.20888
  • N nonnegative terms
    66.00000
  • N negative terms
    64.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    130.00000
  • Mean of predictor
    -0.14442
  • Mean of criterion
    1.11265
  • SD of predictor
    0.41962
  • SD of criterion
    0.42875
  • Covariance
    -0.01534
  • r
    -0.08527
  • b (slope, estimate of beta)
    -0.08713
  • a (intercept, estimate of alpha)
    1.10000
  • Mean Square Error
    0.18392
  • DF error
    128.00000
  • t(b)
    -0.96825
  • p(b)
    0.54263
  • t(a)
    1.80646
  • p(a)
    0.42116
  • Lowerbound of 95% confidence interval for beta
    -0.26517
  • Upperbound of 95% confidence interval for beta
    0.09092
  • Lowerbound of 95% confidence interval for alpha
    -0.10487
  • Upperbound of 95% confidence interval for alpha
    2.30500
  • Treynor index (mean / b)
    -12.77050
  • Jensen alpha (a)
    1.10007
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    1.02251
  • SD
    0.41722
  • Sharpe ratio (Glass type estimate)
    2.45079
  • Sharpe ratio (Hedges UMVUE)
    2.43651
  • df
    129.00000
  • t
    1.72634
  • p
    0.40470
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.35233
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.24462
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.36177
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.23480
  • Statistics related to Sortino ratio
  • Sortino ratio
    4.81230
  • Upside Potential Ratio
    12.42960
  • Upside part of mean
    2.64103
  • Downside part of mean
    -1.61851
  • Upside SD
    0.36273
  • Downside SD
    0.21248
  • N nonnegative terms
    66.00000
  • N negative terms
    64.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    130.00000
  • Mean of predictor
    -0.23285
  • Mean of criterion
    1.02251
  • SD of predictor
    0.42347
  • SD of criterion
    0.41722
  • Covariance
    -0.01464
  • r
    -0.08284
  • b (slope, estimate of beta)
    -0.08162
  • a (intercept, estimate of alpha)
    1.00351
  • Mean Square Error
    0.17423
  • DF error
    128.00000
  • t(b)
    -0.94047
  • p(b)
    0.54142
  • t(a)
    1.69251
  • p(a)
    0.42602
  • Lowerbound of 95% confidence interval for beta
    -0.25334
  • Upperbound of 95% confidence interval for beta
    0.09010
  • Lowerbound of 95% confidence interval for alpha
    -0.16967
  • Upperbound of 95% confidence interval for alpha
    2.17668
  • Treynor index (mean / b)
    -12.52800
  • Jensen alpha (a)
    1.00351
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.03776
  • Expected Shortfall on VaR
    0.04803
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01386
  • Expected Shortfall on VaR
    0.02763
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    130.00000
  • Minimum
    0.95287
  • Quartile 1
    0.99426
  • Median
    1.00086
  • Quartile 3
    1.01223
  • Maximum
    1.15189
  • Mean of quarter 1
    0.97777
  • Mean of quarter 2
    0.99841
  • Mean of quarter 3
    1.00650
  • Mean of quarter 4
    1.03463
  • Inter Quartile Range
    0.01797
  • Number outliers low
    9.00000
  • Percentage of outliers low
    0.06923
  • Mean of outliers low
    0.96070
  • Number of outliers high
    7.00000
  • Percentage of outliers high
    0.05385
  • Mean of outliers high
    1.08430
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.37910
  • VaR(95%) (moments method)
    0.01759
  • Expected Shortfall (moments method)
    0.02144
  • Extreme Value Index (regression method)
    -0.40269
  • VaR(95%) (regression method)
    0.02023
  • Expected Shortfall (regression method)
    0.02469
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    16.00000
  • Minimum
    0.00009
  • Quartile 1
    0.01398
  • Median
    0.02677
  • Quartile 3
    0.05485
  • Maximum
    0.15056
  • Mean of quarter 1
    0.00186
  • Mean of quarter 2
    0.02076
  • Mean of quarter 3
    0.03837
  • Mean of quarter 4
    0.08539
  • Inter Quartile Range
    0.04088
  • 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
    0.06250
  • Mean of outliers high
    0.15056
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.36920
  • VaR(95%) (moments method)
    0.09827
  • Expected Shortfall (moments method)
    0.16064
  • Extreme Value Index (regression method)
    2.87315
  • VaR(95%) (regression method)
    0.11465
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    1.37862
  • Compounded annual return (geometric extrapolation)
    1.85885
  • Calmar ratio (compounded annual return / max draw down)
    12.34630
  • Compounded annual return / average of 25% largest draw downs
    21.76880
  • Compounded annual return / Expected Shortfall lognormal
    38.70350
  • 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
    1.11265
  • SD
    0.42875
  • Sharpe ratio (Glass type estimate)
    2.59507
  • Sharpe ratio (Hedges UMVUE)
    2.57996
  • df
    129.00000
  • t
    1.82798
  • p
    0.39927
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.21023
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.39059
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.22024
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.38016
  • Statistics related to Sortino ratio
  • Sortino ratio
    5.32686
  • Upside Potential Ratio
    12.96960
  • Upside part of mean
    2.70901
  • Downside part of mean
    -1.59637
  • Upside SD
    0.37883
  • Downside SD
    0.20888
  • N nonnegative terms
    66.00000
  • N negative terms
    64.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    130.00000
  • Mean of predictor
    -0.14442
  • Mean of criterion
    1.11265
  • SD of predictor
    0.41962
  • SD of criterion
    0.42875
  • Covariance
    -0.01534
  • r
    -0.08527
  • b (slope, estimate of beta)
    -0.08713
  • a (intercept, estimate of alpha)
    1.10007
  • Mean Square Error
    0.18392
  • DF error
    128.00000
  • t(b)
    -0.96825
  • p(b)
    0.54263
  • t(a)
    1.80646
  • p(a)
    0.42116
  • Lowerbound of 95% confidence interval for beta
    -0.26517
  • Upperbound of 95% confidence interval for beta
    0.09092
  • Lowerbound of 95% confidence interval for alpha
    -0.10487
  • Upperbound of 95% confidence interval for alpha
    2.30500
  • Treynor index (mean / b)
    -12.77050
  • Jensen alpha (a)
    1.10007
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    1.02251
  • SD
    0.41722
  • Sharpe ratio (Glass type estimate)
    2.45079
  • Sharpe ratio (Hedges UMVUE)
    2.43651
  • df
    129.00000
  • t
    1.72634
  • p
    0.40470
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.35233
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.24462
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.36177
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.23480
  • Statistics related to Sortino ratio
  • Sortino ratio
    4.81230
  • Upside Potential Ratio
    12.42960
  • Upside part of mean
    2.64103
  • Downside part of mean
    -1.61851
  • Upside SD
    0.36273
  • Downside SD
    0.21248
  • N nonnegative terms
    66.00000
  • N negative terms
    64.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    130.00000
  • Mean of predictor
    -0.23285
  • Mean of criterion
    1.02251
  • SD of predictor
    0.42347
  • SD of criterion
    0.41722
  • Covariance
    -0.01464
  • r
    -0.08284
  • b (slope, estimate of beta)
    -0.08162
  • a (intercept, estimate of alpha)
    1.00351
  • Mean Square Error
    0.17423
  • DF error
    128.00000
  • t(b)
    -0.94047
  • p(b)
    0.54142
  • t(a)
    1.69251
  • p(a)
    0.42602
  • VAR (95 Confidence Intrvl)
    0.03800
  • Lowerbound of 95% confidence interval for beta
    -0.25334
  • Upperbound of 95% confidence interval for beta
    0.09010
  • Lowerbound of 95% confidence interval for alpha
    -0.16967
  • Upperbound of 95% confidence interval for alpha
    2.17668
  • Treynor index (mean / b)
    -12.52800
  • Jensen alpha (a)
    1.00351
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.03776
  • Expected Shortfall on VaR
    0.04803
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01386
  • Expected Shortfall on VaR
    0.02763
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    130.00000
  • Minimum
    0.95287
  • Quartile 1
    0.99426
  • Median
    1.00086
  • Quartile 3
    1.01223
  • Maximum
    1.15189
  • Mean of quarter 1
    0.97777
  • Mean of quarter 2
    0.99841
  • Mean of quarter 3
    1.00650
  • Mean of quarter 4
    1.03463
  • Inter Quartile Range
    0.01797
  • Number outliers low
    9.00000
  • Percentage of outliers low
    0.06923
  • Mean of outliers low
    0.96070
  • Number of outliers high
    7.00000
  • Percentage of outliers high
    0.05385
  • Mean of outliers high
    1.08430
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.37910
  • VaR(95%) (moments method)
    0.01759
  • Expected Shortfall (moments method)
    0.02144
  • Extreme Value Index (regression method)
    -0.40269
  • VaR(95%) (regression method)
    0.02023
  • Expected Shortfall (regression method)
    0.02469
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    16.00000
  • Minimum
    0.00009
  • Quartile 1
    0.01398
  • Median
    0.02677
  • Quartile 3
    0.05485
  • Maximum
    0.15056
  • Mean of quarter 1
    0.00186
  • Mean of quarter 2
    0.02076
  • Mean of quarter 3
    0.03837
  • Mean of quarter 4
    0.08539
  • Inter Quartile Range
    0.04088
  • 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
    0.06250
  • Mean of outliers high
    0.15056
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.36920
  • VaR(95%) (moments method)
    0.09827
  • Expected Shortfall (moments method)
    0.16064
  • Extreme Value Index (regression method)
    2.87315
  • VaR(95%) (regression method)
    0.11465
  • Last 4 Months - Pcnt Negative
    0.50%
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -254303000
  • Max Equity Drawdown (num days)
    10
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    1.37862
  • Compounded annual return (geometric extrapolation)
    1.85885
  • Calmar ratio (compounded annual return / max draw down)
    12.34630
  • Compounded annual return / average of 25% largest draw downs
    21.76880
  • Compounded annual return / Expected Shortfall lognormal
    38.70350

Strategy Description

Summary Statistics

Strategy began
2019-10-03
Suggested Minimum Capital
$40,000
# Trades
177
# Profitable
124
% Profitable
70.1%
Correlation S&P500
-0.076
Sharpe Ratio
1.95
Sortino Ratio
3.74
Beta
-0.08
Alpha
0.28
Leverage
2.76 Average
11.10 Maximum
Summary
Higher leverage = greater risk.

More information about leverage

QCP Partners calculates the maximum leverage used by a strategy in each day. We then display the average of these measurements (i.e. the average daily maximum leverage) and the greatest of these measurements (maximum daily leverage).

Leverage is the ratio of total notional value controlled by a strategy divided by its Model Account equity. Generally higher leverage implies greater risk.

Example of calculation:
The Strategy buys 100 shares of stock at $12 per share.
The Model Account equity during that day is $5,000.
The leverage is: $1200 / $5,000 = 0.24

This is a useful measurement, but it should be considered in context. This measurement doesn't take into account important factors, such as when multiple positions are held that are inversely correlated. Nor does the measurement take into account the volatility of the instruments being held.

In addition, certain asset classes are inherently more leveraged than others. For example, futures contracts are highly leveraged. Forex positions are often even more leveraged than futures.

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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Suggested Minimum Capital

This is our estimate of the minimum amount of capital to follow a strategy, assuming you use the smallest reasonable AutoTrade Scaling % for the strategy.

0