Welcome to QCP Partners

Follow these tips for a better experience

Ok, let's start

Close
Add to Watch List Create new Watch List
Add
Enter a name for your Watch List.
Watch List name must be less than 60 characters.
You have reached the maximum number of custom Watch Lists.
You have reached the maximum number of strategies in this Watch List.
Strategy added to Watch List. Go to Watch List

Sim is unavailable for this strategy, because you've recently "Simmed" it.

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

MORE Capital
(61362833)

Created by: JohnKristl JohnKristl
Started: 05/2011
Stocks
Last trade: 252 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 $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.

17.2%
Annual Return (Compounded)

Rate of Return Calculations

Overview

To comply with NFA regulations, we display Cumulative Rate of Return for strategies with a track record of less than one year. For strategies with longer track records, we display Annualized (Compounded) Rate of Return.

How Annualized (Compounded) Rate of Return is calculated

= ((Ending_equity / Starting_equity) ^ (1 / age_in_years)) - 1

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

All results are hypothetical.

(62.1%)
Max Drawdown
1268
Num Trades
56.2%
Win Trades
1.4 : 1
Profit Factor
35.5%
Win Months
Hypothetical Monthly Returns (includes system fee and Interactive Brokers commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2011                            (3%)+1.8%+1.0%(16%)+56.3%+17.1%+43.4%+3.5%+127.7%
2012+12.7%+22.2%+5.3%+0.1%(7.9%)(5.1%)+7.7%(4.3%)+0.2%(8.2%)(5%)(4%)+9.7%
2013+2.0%(4%)+4.4%(1.3%)+5.0%(6.2%)(4.6%)(4.9%)(2%)+4.6%+13.0%+10.8%+15.7%
2014(9%)+16.0%+5.3%(13.4%)(0.7%)+28.1%+4.3%+0.6%+3.8%+5.2%+3.6%(1.9%)+42.5%
2015+5.0%+1.5%(5.6%)+4.2%(5.7%)(2.1%)(6.5%)(1.3%)(0.5%)(0.2%)(0.5%)(0.5%)(12.4%)
2016(0.5%)(0.6%)(0.6%)(0.6%)(0.6%)(0.6%)(0.6%)(25.2%)(0.8%)(0.8%)(0.8%)(0.8%)(30.2%)
2017(0.8%)(0.8%)(0.8%)(0.8%)(0.8%)(0.8%)(0.8%)(0.8%)(0.8%)(0.8%)(0.9%)(0.9%)(9.4%)
2018(0.9%)+8.0%(4.4%)(2.5%)(10%)(2.5%)+9.3%+13.3%+5.5%(0.8%)(0.8%)(3.3%)+9.0%
2019+18.9%+4.3%+8.5%+13.9%(0.6%)+10.3%(2%)  -    -    -    -    -  +64.8%
2020  -    -    -                                                        

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 758 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
7/23/19 15:51 FXE CURRENCYSHARES EURO TRUST LONG 56 106.07 7/25 15:38 106.01 0.03%
Trade id #124584268
Max drawdown($11)
Time7/23/19 15:51
Quant open56
Worst price105.86
Drawdown as % of equity-0.03%
($5)
Includes Typical Broker Commissions trade costs of $2.00
7/16/19 12:46 TNA DIREXION DAILY SMALL CAP BULL LONG 201 61.96 7/23 11:43 59.93 1.21%
Trade id #124480712
Max drawdown($496)
Time7/16/19 12:46
Quant open201
Worst price59.49
Drawdown as % of equity-1.21%
($410)
Includes Typical Broker Commissions trade costs of $2.02
7/16/19 10:26 SPXL DIREXION DAILY S&P500 BULL 3X LONG 227 55.21 7/23 11:43 53.84 1.22%
Trade id #124476390
Max drawdown($503)
Time7/16/19 10:26
Quant open227
Worst price52.99
Drawdown as % of equity-1.22%
($313)
Includes Typical Broker Commissions trade costs of $2.28
7/11/19 14:20 SQQQ PROSHARES ULTRAPRO SHORT QQQ LONG 460 32.35 7/16 10:03 31.37 1.22%
Trade id #124424685
Max drawdown($506)
Time7/11/19 14:20
Quant open460
Worst price31.25
Drawdown as % of equity-1.22%
($456)
Includes Typical Broker Commissions trade costs of $4.60
7/8/19 11:00 QLD PROSHARES ULTRA QQQ LONG 102 98.68 7/11 9:30 102.21 0.22%
Trade id #124372540
Max drawdown($90)
Time7/8/19 11:00
Quant open102
Worst price97.79
Drawdown as % of equity-0.22%
$358
Includes Typical Broker Commissions trade costs of $2.00
7/9/19 15:41 TMV DIREXION DAILY 20+ YR TRSY BEA LONG 500 13.59 7/10 10:28 13.71 0.05%
Trade id #124392641
Max drawdown($20)
Time7/9/19 15:41
Quant open500
Worst price13.55
Drawdown as % of equity-0.05%
$55
Includes Typical Broker Commissions trade costs of $5.00
7/8/19 10:45 UDOW PROSHARES ULTRAPRO DOW30 LONG 141 105.13 7/10 10:26 106.57 0.55%
Trade id #124372290
Max drawdown($224)
Time7/8/19 10:45
Quant open141
Worst price103.54
Drawdown as % of equity-0.55%
$201
Includes Typical Broker Commissions trade costs of $2.00
7/5/19 13:11 TQQQ PROSHARES ULTRAPRO QQQ LONG 388 65.62 7/8 10:40 64.33 1.22%
Trade id #124351036
Max drawdown($501)
Time7/8/19 10:40
Quant open194
Worst price64.26
Drawdown as % of equity-1.22%
($505)
Includes Typical Broker Commissions trade costs of $3.94
6/28/19 9:30 TNA DIREXION DAILY SMALL CAP BULL LONG 450 60.66 7/1 10:46 62.91 0.24%
Trade id #124266185
Max drawdown($99)
Time6/28/19 9:30
Quant open450
Worst price60.44
Drawdown as % of equity-0.24%
$1,007
Includes Typical Broker Commissions trade costs of $5.25
6/27/19 9:58 TQQQ PROSHARES ULTRAPRO QQQ LONG 388 61.87 6/27 10:18 61.57 0.33%
Trade id #124254148
Max drawdown($135)
Time6/27/19 9:58
Quant open388
Worst price61.52
Drawdown as % of equity-0.33%
($120)
Includes Typical Broker Commissions trade costs of $3.88
6/26/19 15:34 SQQQ PROSHARES ULTRAPRO SHORT QQQ LONG 545 35.63 6/27 9:33 35.18 0.83%
Trade id #124244558
Max drawdown($342)
Time6/26/19 15:34
Quant open545
Worst price35.00
Drawdown as % of equity-0.83%
($248)
Includes Typical Broker Commissions trade costs of $5.46
6/26/19 9:45 SPXS DIREXION DAILY S&P500 BEAR 3X LONG 625 18.61 6/27 9:32 18.71 0.05%
Trade id #124237748
Max drawdown($18)
Time6/26/19 9:45
Quant open625
Worst price18.58
Drawdown as % of equity-0.05%
$57
Includes Typical Broker Commissions trade costs of $6.24
6/25/19 9:32 SPXL DIREXION DAILY S&P500 BULL 3X LONG 412 51.62 6/25 10:53 50.95 0.68%
Trade id #124218059
Max drawdown($280)
Time6/25/19 9:32
Quant open412
Worst price50.94
Drawdown as % of equity-0.68%
($280)
Includes Typical Broker Commissions trade costs of $4.12
6/7/19 10:28 SPXL DIREXION DAILY S&P500 BULL 3X LONG 412 48.50 6/21 15:04 52.44 0.02%
Trade id #123978920
Max drawdown($6)
Time6/7/19 10:28
Quant open206
Worst price48.09
Drawdown as % of equity-0.02%
$1,619
Includes Typical Broker Commissions trade costs of $4.12
6/12/19 13:45 TQQQ PROSHARES ULTRAPRO QQQ LONG 260 57.43 6/20 10:28 61.97 0.19%
Trade id #124053886
Max drawdown($69)
Time6/12/19 13:45
Quant open159
Worst price56.99
Drawdown as % of equity-0.19%
$1,176
Includes Typical Broker Commissions trade costs of $4.30
6/12/19 13:48 TNA DIREXION DAILY SMALL CAP BULL LONG 450 57.98 6/20 9:36 62.84 0.26%
Trade id #124053919
Max drawdown($96)
Time6/12/19 13:48
Quant open300
Worst price57.23
Drawdown as % of equity-0.26%
$2,181
Includes Typical Broker Commissions trade costs of $4.75
6/17/19 10:33 SPXS DIREXION DAILY S&P500 BEAR 3X LONG 625 19.34 6/17 15:52 19.44 0.05%
Trade id #124108677
Max drawdown($31)
Time6/17/19 10:42
Quant open625
Worst price19.29
Drawdown as % of equity-0.05%
$57
Includes Typical Broker Commissions trade costs of $6.24
6/7/19 10:12 TQQQ PROSHARES ULTRAPRO QQQ LONG 320 55.35 6/12 9:33 57.87 0.09%
Trade id #123978462
Max drawdown($57)
Time6/7/19 10:15
Quant open320
Worst price55.17
Drawdown as % of equity-0.09%
$802
Includes Typical Broker Commissions trade costs of $3.60
6/6/19 14:00 SQQQ PROSHARES ULTRAPRO SHORT QQQ LONG 340 42.20 6/7 10:02 39.85 1.33%
Trade id #123966585
Max drawdown($812)
Time6/7/19 10:02
Quant open340
Worst price39.81
Drawdown as % of equity-1.33%
($802)
Includes Typical Broker Commissions trade costs of $3.40
6/5/19 9:31 SPXL DIREXION DAILY S&P500 BULL 3X SHORT 206 45.63 6/7 10:02 48.03 0.82%
Trade id #123946434
Max drawdown($503)
Time6/7/19 10:02
Quant open-206
Worst price48.07
Drawdown as % of equity-0.82%
($497)
Includes Typical Broker Commissions trade costs of $2.06
6/7/19 9:46 TQQQ PROSHARES ULTRAPRO QQQ LONG 320 54.87 6/7 9:50 54.90 0.01%
Trade id #123977604
Max drawdown($3)
Time6/7/19 9:49
Quant open320
Worst price54.86
Drawdown as % of equity-0.01%
$7
Includes Typical Broker Commissions trade costs of $3.20
5/31/19 9:47 TQQQ PROSHARES ULTRAPRO QQQ LONG 220 50.62 6/3 12:04 48.45 0.92%
Trade id #123888041
Max drawdown($576)
Time6/3/19 10:03
Quant open220
Worst price48.00
Drawdown as % of equity-0.92%
($479)
Includes Typical Broker Commissions trade costs of $2.20
5/17/19 9:30 SPXL DIREXION DAILY S&P500 BULL 3X LONG 500 47.41 6/3 10:36 45.73 1.39%
Trade id #123708669
Max drawdown($869)
Time5/29/19 9:33
Quant open250
Worst price43.93
Drawdown as % of equity-1.39%
($847)
Includes Typical Broker Commissions trade costs of $6.75
5/28/19 13:12 TQQQ PROSHARES ULTRAPRO QQQ SHORT 421 54.73 5/30 9:34 52.48 0.06%
Trade id #123847434
Max drawdown($37)
Time5/28/19 13:44
Quant open-421
Worst price54.82
Drawdown as % of equity-0.06%
$944
Includes Typical Broker Commissions trade costs of $4.21
5/28/19 9:59 TQQQ PROSHARES ULTRAPRO QQQ LONG 421 55.08 5/28 13:09 54.73 0.52%
Trade id #123843472
Max drawdown($328)
Time5/28/19 10:33
Quant open421
Worst price54.30
Drawdown as % of equity-0.52%
($151)
Includes Typical Broker Commissions trade costs of $4.20
5/23/19 9:30 TQQQ PROSHARES ULTRAPRO QQQ LONG 430 54.85 5/28 9:34 55.00 1.21%
Trade id #123793163
Max drawdown($752)
Time5/23/19 13:02
Quant open430
Worst price53.10
Drawdown as % of equity-1.21%
$58
Includes Typical Broker Commissions trade costs of $4.30
5/22/19 9:30 TQQQ PROSHARES ULTRAPRO QQQ LONG 230 56.58 5/22 9:37 56.93 n/a $79
Includes Typical Broker Commissions trade costs of $2.30
5/14/19 15:57 TNA DIREXION DAILY SMALL CAP BULL LONG 300 60.57 5/16 9:45 62.60 0.85%
Trade id #123670450
Max drawdown($528)
Time5/15/19 9:34
Quant open300
Worst price58.81
Drawdown as % of equity-0.85%
$606
Includes Typical Broker Commissions trade costs of $3.00
5/8/19 9:30 TQQQ PROSHARES ULTRAPRO QQQ LONG 451 61.95 5/8 9:53 62.21 0.55%
Trade id #123571741
Max drawdown($342)
Time5/8/19 9:41
Quant open451
Worst price61.19
Drawdown as % of equity-0.55%
$113
Includes Typical Broker Commissions trade costs of $4.50
5/8/19 9:39 TNA DIREXION DAILY SMALL CAP BULL LONG 300 65.20 5/8 9:45 65.75 0.07%
Trade id #123572354
Max drawdown($42)
Time5/8/19 9:41
Quant open300
Worst price65.06
Drawdown as % of equity-0.07%
$162
Includes Typical Broker Commissions trade costs of $3.00

Statistics

  • Strategy began
    5/14/2011
  • Suggested Minimum Cap
    $40,000
  • Strategy Age (days)
    3243.62
  • Age
    108 months ago
  • What it trades
    Stocks
  • # Trades
    1268
  • # Profitable
    713
  • % Profitable
    56.20%
  • Avg trade duration
    2.3 days
  • Max peak-to-valley drawdown
    62.08%
  • drawdown period
    Dec 11, 2014 - June 28, 2018
  • Annual Return (Compounded)
    17.0%
  • Avg win
    $266.94
  • Avg loss
    $242.46
  • Model Account Values (Raw)
  • Cash
    $66,341
  • Margin Used
    $0
  • Buying Power
    $66,341
  • Ratios
  • W:L ratio
    1.42:1
  • Sharpe Ratio
    0.54
  • Sortino Ratio
    0.86
  • Calmar Ratio
    1.148
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    208.13%
  • Correlation to SP500
    0.12160
  • Return Percent SP500 (cumu) during strategy life
    88.13%
  • Return Statistics
  • Ann Return (w trading costs)
    17.0%
  • Slump
  • Current Slump as Pcnt Equity
    0.17%
  • Instruments
  • Percent Trades Futures
    0.15%
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.60%
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.170%
  • Instruments
  • Percent Trades Options
    0.00%
  • Percent Trades Stocks
    0.85%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    23.7%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    30.00%
  • Chance of 20% account loss
    20.00%
  • Chance of 30% account loss
    3.00%
  • Chance of 40% account loss
    2.50%
  • Chance of 100% 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 60% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    1435.00%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 90% account loss (Monte Carlo)
    n/a
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    438
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Popularity
  • Popularity (7 days, Percentile 1000 scale)
    0
  • 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
    $242
  • Avg Win
    $267
  • Sum Trade PL (losers)
    $134,567.000
  • Age
  • Num Months filled monthly returns table
    107
  • Win / Loss
  • Sum Trade PL (winners)
    $190,330.000
  • # Winners
    713
  • Num Months Winners
    37
  • Dividends
  • Dividends Received in Model Acct
    578
  • Win / Loss
  • # Losers
    555
  • % Winners
    56.2%
  • Frequency
  • Avg Position Time (mins)
    3303.93
  • Avg Position Time (hrs)
    55.07
  • Avg Trade Length
    2.3 days
  • Last Trade Ago
    250
  • Leverage
  • Daily leverage (average)
    2.80
  • Daily leverage (max)
    29.22
  • Regression
  • Alpha
    0.05
  • Beta
    0.21
  • Treynor Index
    0.23
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.01
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    50.77
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    64.15
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -0.36
  • MAE:Equity, average, winning trades
    0.01
  • MAE:Equity, average, losing trades
    0.02
  • Avg(MAE) / Avg(PL) - All trades
    8.207
  • 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
    0.962
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.871
  • Hold-and-Hope Ratio
    0.120
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.33011
  • SD
    0.39664
  • Sharpe ratio (Glass type estimate)
    0.83227
  • Sharpe ratio (Hedges UMVUE)
    0.82414
  • df
    77.00000
  • t
    2.12188
  • p
    0.01853
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.04978
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.60955
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.04443
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.60384
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.21294
  • Upside Potential Ratio
    3.61787
  • Upside part of mean
    0.53969
  • Downside part of mean
    -0.20958
  • Upside SD
    0.37701
  • Downside SD
    0.14917
  • N nonnegative terms
    39.00000
  • N negative terms
    39.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    78.00000
  • Mean of predictor
    0.08272
  • Mean of criterion
    0.33011
  • SD of predictor
    0.17116
  • SD of criterion
    0.39664
  • Covariance
    0.01709
  • r
    0.25171
  • b (slope, estimate of beta)
    0.58332
  • a (intercept, estimate of alpha)
    0.28186
  • Mean Square Error
    0.14929
  • DF error
    76.00000
  • t(b)
    2.26738
  • p(b)
    0.01310
  • t(a)
    1.84171
  • p(a)
    0.03471
  • Lowerbound of 95% confidence interval for beta
    0.07093
  • Upperbound of 95% confidence interval for beta
    1.09572
  • Lowerbound of 95% confidence interval for alpha
    -0.02295
  • Upperbound of 95% confidence interval for alpha
    0.58666
  • Treynor index (mean / b)
    0.56591
  • Jensen alpha (a)
    0.28186
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.26158
  • SD
    0.34746
  • Sharpe ratio (Glass type estimate)
    0.75284
  • Sharpe ratio (Hedges UMVUE)
    0.74548
  • df
    77.00000
  • t
    1.91937
  • p
    0.02932
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.02741
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.52833
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.03224
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.52321
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.58469
  • Upside Potential Ratio
    2.92834
  • Upside part of mean
    0.48337
  • Downside part of mean
    -0.22179
  • Upside SD
    0.31246
  • Downside SD
    0.16507
  • N nonnegative terms
    39.00000
  • N negative terms
    39.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    78.00000
  • Mean of predictor
    0.06738
  • Mean of criterion
    0.26158
  • SD of predictor
    0.17573
  • SD of criterion
    0.34746
  • Covariance
    0.01776
  • r
    0.29089
  • b (slope, estimate of beta)
    0.57516
  • a (intercept, estimate of alpha)
    0.22282
  • Mean Square Error
    0.11196
  • DF error
    76.00000
  • t(b)
    2.65051
  • p(b)
    0.00489
  • t(a)
    1.68733
  • p(a)
    0.04782
  • Lowerbound of 95% confidence interval for beta
    0.14297
  • Upperbound of 95% confidence interval for beta
    1.00735
  • Lowerbound of 95% confidence interval for alpha
    -0.04019
  • Upperbound of 95% confidence interval for alpha
    0.48584
  • Treynor index (mean / b)
    0.45479
  • Jensen alpha (a)
    0.22282
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.13341
  • Expected Shortfall on VaR
    0.16841
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.03959
  • Expected Shortfall on VaR
    0.08361
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    78.00000
  • Minimum
    0.73586
  • Quartile 1
    0.98324
  • Median
    1.00747
  • Quartile 3
    1.04471
  • Maximum
    1.66918
  • Mean of quarter 1
    0.93866
  • Mean of quarter 2
    0.99765
  • Mean of quarter 3
    1.02845
  • Mean of quarter 4
    1.15291
  • Inter Quartile Range
    0.06148
  • Number outliers low
    2.00000
  • Percentage of outliers low
    0.02564
  • Mean of outliers low
    0.78562
  • Number of outliers high
    8.00000
  • Percentage of outliers high
    0.10256
  • Mean of outliers high
    1.27118
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.07042
  • VaR(95%) (moments method)
    0.04668
  • Expected Shortfall (moments method)
    0.06329
  • Extreme Value Index (regression method)
    0.40467
  • VaR(95%) (regression method)
    0.06176
  • Expected Shortfall (regression method)
    0.12514
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    9.00000
  • Minimum
    0.00001
  • Quartile 1
    0.01688
  • Median
    0.03939
  • Quartile 3
    0.17532
  • Maximum
    0.26414
  • Mean of quarter 1
    0.00664
  • Mean of quarter 2
    0.03613
  • Mean of quarter 3
    0.14011
  • Mean of quarter 4
    0.25640
  • Inter Quartile Range
    0.15844
  • 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)
    -78.36550
  • VaR(95%) (moments method)
    0.24274
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    -3.24621
  • VaR(95%) (regression method)
    0.34336
  • Expected Shortfall (regression method)
    0.34374
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.85606
  • Compounded annual return (geometric extrapolation)
    0.33574
  • Calmar ratio (compounded annual return / max draw down)
    1.27109
  • Compounded annual return / average of 25% largest draw downs
    1.30941
  • Compounded annual return / Expected Shortfall lognormal
    1.99360
  • 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
    0.29409
  • SD
    0.25933
  • Sharpe ratio (Glass type estimate)
    1.13402
  • Sharpe ratio (Hedges UMVUE)
    1.13352
  • df
    1704.00000
  • t
    2.89290
  • p
    0.46504
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.36462
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.90313
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.36427
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.90277
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.95647
  • Upside Potential Ratio
    7.51278
  • Upside part of mean
    1.12928
  • Downside part of mean
    -0.83519
  • Upside SD
    0.21201
  • Downside SD
    0.15031
  • N nonnegative terms
    737.00000
  • N negative terms
    968.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1705.00000
  • Mean of predictor
    0.08634
  • Mean of criterion
    0.29409
  • SD of predictor
    0.18417
  • SD of criterion
    0.25933
  • Covariance
    0.00588
  • r
    0.12315
  • b (slope, estimate of beta)
    0.17340
  • a (intercept, estimate of alpha)
    0.27900
  • Mean Square Error
    0.06627
  • DF error
    1703.00000
  • t(b)
    5.12086
  • p(b)
    0.42180
  • t(a)
    2.76472
  • p(a)
    0.45748
  • Lowerbound of 95% confidence interval for beta
    0.10698
  • Upperbound of 95% confidence interval for beta
    0.23981
  • Lowerbound of 95% confidence interval for alpha
    0.08110
  • Upperbound of 95% confidence interval for alpha
    0.47713
  • Treynor index (mean / b)
    1.69602
  • Jensen alpha (a)
    0.27912
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.26124
  • SD
    0.25409
  • Sharpe ratio (Glass type estimate)
    1.02813
  • Sharpe ratio (Hedges UMVUE)
    1.02767
  • df
    1704.00000
  • t
    2.62276
  • p
    0.46830
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.25889
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.79706
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.25859
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.79676
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.69238
  • Upside Potential Ratio
    7.17823
  • Upside part of mean
    1.10805
  • Downside part of mean
    -0.84681
  • Upside SD
    0.20238
  • Downside SD
    0.15436
  • N nonnegative terms
    737.00000
  • N negative terms
    968.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1705.00000
  • Mean of predictor
    0.06903
  • Mean of criterion
    0.26124
  • SD of predictor
    0.18699
  • SD of criterion
    0.25409
  • Covariance
    0.00599
  • r
    0.12612
  • b (slope, estimate of beta)
    0.17139
  • a (intercept, estimate of alpha)
    0.24941
  • Mean Square Error
    0.06357
  • DF error
    1703.00000
  • t(b)
    5.24672
  • p(b)
    0.41992
  • t(a)
    2.52274
  • p(a)
    0.46118
  • Lowerbound of 95% confidence interval for beta
    0.10732
  • Upperbound of 95% confidence interval for beta
    0.23545
  • Lowerbound of 95% confidence interval for alpha
    0.05550
  • Upperbound of 95% confidence interval for alpha
    0.44332
  • Treynor index (mean / b)
    1.52427
  • Jensen alpha (a)
    0.24941
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02452
  • Expected Shortfall on VaR
    0.03088
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00778
  • Expected Shortfall on VaR
    0.01691
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    1705.00000
  • Minimum
    0.89811
  • Quartile 1
    0.99797
  • Median
    1.00000
  • Quartile 3
    1.00424
  • Maximum
    1.21401
  • Mean of quarter 1
    0.98783
  • Mean of quarter 2
    0.99969
  • Mean of quarter 3
    1.00144
  • Mean of quarter 4
    1.01599
  • Inter Quartile Range
    0.00627
  • Number outliers low
    140.00000
  • Percentage of outliers low
    0.08211
  • Mean of outliers low
    0.97443
  • Number of outliers high
    139.00000
  • Percentage of outliers high
    0.08152
  • Mean of outliers high
    1.03286
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.59438
  • VaR(95%) (moments method)
    0.00962
  • Expected Shortfall (moments method)
    0.02767
  • Extreme Value Index (regression method)
    0.31322
  • VaR(95%) (regression method)
    0.01040
  • Expected Shortfall (regression method)
    0.02003
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    57.00000
  • Minimum
    0.00014
  • Quartile 1
    0.00229
  • Median
    0.01027
  • Quartile 3
    0.03650
  • Maximum
    0.29218
  • Mean of quarter 1
    0.00134
  • Mean of quarter 2
    0.00488
  • Mean of quarter 3
    0.02231
  • Mean of quarter 4
    0.12584
  • Inter Quartile Range
    0.03420
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    7.00000
  • Percentage of outliers high
    0.12281
  • Mean of outliers high
    0.19334
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.29361
  • VaR(95%) (moments method)
    0.11226
  • Expected Shortfall (moments method)
    0.19660
  • Extreme Value Index (regression method)
    -0.10125
  • VaR(95%) (regression method)
    0.13714
  • Expected Shortfall (regression method)
    0.18826
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.85505
  • Compounded annual return (geometric extrapolation)
    0.33529
  • Calmar ratio (compounded annual return / max draw down)
    1.14752
  • Compounded annual return / average of 25% largest draw downs
    2.66444
  • Compounded annual return / Expected Shortfall lognormal
    10.85800
  • 0.00000
  • 0.00000
  • Analysis based on DAILY values, last 6 months only
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.34408
  • SD
    0.11655
  • Sharpe ratio (Glass type estimate)
    2.95231
  • Sharpe ratio (Hedges UMVUE)
    2.93524
  • df
    130.00000
  • t
    2.08760
  • p
    0.40995
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.15189
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.74165
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.14057
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.72992
  • Statistics related to Sortino ratio
  • Sortino ratio
    5.80980
  • Upside Potential Ratio
    11.99980
  • Upside part of mean
    0.71068
  • Downside part of mean
    -0.36660
  • Upside SD
    0.10210
  • Downside SD
    0.05922
  • N nonnegative terms
    53.00000
  • N negative terms
    78.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.18554
  • Mean of criterion
    0.34408
  • SD of predictor
    0.35938
  • SD of criterion
    0.11655
  • Covariance
    0.00525
  • r
    0.12538
  • b (slope, estimate of beta)
    0.04066
  • a (intercept, estimate of alpha)
    0.35162
  • Mean Square Error
    0.01347
  • DF error
    129.00000
  • t(b)
    1.43540
  • p(b)
    0.42039
  • t(a)
    2.14096
  • p(a)
    0.38275
  • Lowerbound of 95% confidence interval for beta
    -0.01539
  • Upperbound of 95% confidence interval for beta
    0.09671
  • Lowerbound of 95% confidence interval for alpha
    0.02668
  • Upperbound of 95% confidence interval for alpha
    0.67657
  • Treynor index (mean / b)
    8.46205
  • Jensen alpha (a)
    0.35162
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.33713
  • SD
    0.11590
  • Sharpe ratio (Glass type estimate)
    2.90880
  • Sharpe ratio (Hedges UMVUE)
    2.89199
  • df
    130.00000
  • t
    2.05684
  • p
    0.41124
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.10919
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.69760
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.09798
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.68600
  • Statistics related to Sortino ratio
  • Sortino ratio
    5.65578
  • Upside Potential Ratio
    11.83490
  • Upside part of mean
    0.70546
  • Downside part of mean
    -0.36833
  • Upside SD
    0.10105
  • Downside SD
    0.05961
  • N nonnegative terms
    53.00000
  • N negative terms
    78.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.25372
  • Mean of criterion
    0.33713
  • SD of predictor
    0.37644
  • SD of criterion
    0.11590
  • Covariance
    0.00531
  • r
    0.12164
  • b (slope, estimate of beta)
    0.03745
  • a (intercept, estimate of alpha)
    0.34664
  • Mean Square Error
    0.01334
  • DF error
    129.00000
  • t(b)
    1.39191
  • p(b)
    0.42275
  • t(a)
    2.12057
  • p(a)
    0.38382
  • VAR (95 Confidence Intrvl)
    0.02500
  • Lowerbound of 95% confidence interval for beta
    -0.01578
  • Upperbound of 95% confidence interval for beta
    0.09069
  • Lowerbound of 95% confidence interval for alpha
    0.02322
  • Upperbound of 95% confidence interval for alpha
    0.67005
  • Treynor index (mean / b)
    9.00180
  • Jensen alpha (a)
    0.34664
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01044
  • Expected Shortfall on VaR
    0.01339
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00354
  • Expected Shortfall on VaR
    0.00745
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.97993
  • Quartile 1
    0.99970
  • Median
    1.00000
  • Quartile 3
    1.00270
  • Maximum
    1.02955
  • Mean of quarter 1
    0.99470
  • Mean of quarter 2
    0.99999
  • Mean of quarter 3
    1.00082
  • Mean of quarter 4
    1.01015
  • Inter Quartile Range
    0.00301
  • Number outliers low
    12.00000
  • Percentage of outliers low
    0.09160
  • Mean of outliers low
    0.98932
  • Number of outliers high
    16.00000
  • Percentage of outliers high
    0.12214
  • Mean of outliers high
    1.01562
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.25778
  • VaR(95%) (moments method)
    0.00307
  • Expected Shortfall (moments method)
    0.00406
  • Extreme Value Index (regression method)
    0.07367
  • VaR(95%) (regression method)
    0.00596
  • Expected Shortfall (regression method)
    0.00989
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    8.00000
  • Minimum
    0.00027
  • Quartile 1
    0.00265
  • Median
    0.01078
  • Quartile 3
    0.02047
  • Maximum
    0.04796
  • Mean of quarter 1
    0.00057
  • Mean of quarter 2
    0.00453
  • Mean of quarter 3
    0.01738
  • Mean of quarter 4
    0.03638
  • Inter Quartile Range
    0.01782
  • 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
    0.12500
  • Mean of outliers high
    0.04796
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Last 4 Months - Pcnt Negative
    n/a
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -282649000
  • Max Equity Drawdown (num days)
    1295
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.40048
  • Compounded annual return (geometric extrapolation)
    0.44057
  • Calmar ratio (compounded annual return / max draw down)
    9.18673
  • Compounded annual return / average of 25% largest draw downs
    12.11000
  • Compounded annual return / Expected Shortfall lognormal
    32.90530

Strategy Description

Out of balance correlations is the basis for the trade setups. MORE Capital day trades futures. Most trades are in the morning due to the nature of unwinding imbalances in correlation. Stops, trailing stops and profit targets are used but since it is automated in NinjaTrader it does not send out the orders in advance. It sends out market orders when a stop or profit target are hit.

Note that some trades occur before 9:30 AM ET so regular, overnight margin will need to be available on these occasions.

Up until July 2015 the system traded stocks based on correlations but we see more opportunity in changing over to the day trades. Also the problem of stress over the night action is alleviated. We don't care about over night market direction any more. We just wait for the trades to set up.

Not every day in every traded future contract brings a trade.




Summary Statistics

Strategy began
2011-05-14
Suggested Minimum Capital
$40,000
# Trades
1268
# Profitable
713
% Profitable
56.2%
Net Dividends
Correlation S&P500
0.122
Sharpe Ratio
0.54
Sortino Ratio
0.86
Beta
0.21
Alpha
0.05
Leverage
2.80 Average
29.22 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.

Okay, gotcha.

Not available

This feature isn't available under your current Trade Leader Plan.

Want to see available plans and features?

Please hold...

Strategy is now visible

This strategy is now visible to the public. New subscribers will be able to follow it.

If you designate your strategy as Private, it will no longer be visible to the public.

No subscribers and simulations will be allowed. If you have subscribers, the strategy will still be visible to them.
If you have simulations, they will be stopped.

Continue to designate your strategy as Private?

Strategy is no longer visible

This strategy is no longer visible to anyone except current subscribers.

(Current subscribers will remain subscribed. You can see who is subscribed, and control their subscriptions, on your Subscriber Management screen.)

Finally, please note that you can restore public visibility at any time.

This strategy is no longer visible to the public. No subscribers will be allowed.

You can restore public visibility at any time.

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