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

Smooth Fund
(64385284)

Created by: MatthewMacClary MatthewMacClary
Started: 08/2011
Stocks
Last trade: 993 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 $149.00 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.

5.4%
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.

(9.9%)
Max Drawdown
37
Num Trades
45.9%
Win Trades
4.9 : 1
Profit Factor
65.7%
Win Months
Hypothetical Monthly Returns (includes system fee and Interactive Brokers commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2011                                                 +1.7%(1.4%)+0.8%(2.5%)+0.5%(0.9%)
2012+1.5%(1.2%)+0.4%+1.4%+2.2%+1.4%+1.5%+1.1%+1.2%(0.4%)+0.5%(1.8%)+8.0%
2013+0.5%+1.5%+0.3%+1.9%+0.4%(2.5%)+1.4%(1.2%)+1.1%+4.2%+1.7%+0.1%+9.7%
2014(1.2%)+2.3%+1.2%+0.6%+1.0%+1.3%+0.5%+3.3%(1%)+2.5%+3.7%+4.4%+20.1%
2015+4.5%(1.9%)+1.3%(4.2%)+3.2%(1.2%)+4.3%+0.1%+0.4%(0.9%)(0.9%)  -  +4.5%
2016+1.1%(0.4%)(3.8%)(1.5%)+1.8%+0.6%(1%)(0.5%)(0.7%)(0.7%)(1.1%)+1.9%(4.4%)
2017+0.1%+0.6%(1.1%)(0.3%)(0.7%)+0.3%+0.2%+1.1%(0.2%)+1.3%+0.9%+0.5%+2.7%
2018+2.3%(0.9%)(1.6%)+1.1%+1.7%(0.3%)+1.0%+1.7%+0.1%(2.8%)+0.6%(3.7%)(1%)
2019+4.6%+1.5%+1.1%+1.5%(0.2%)+1.7%  -  +0.6%+0.2%+0.6%+0.7%+1.4%+14.6%
2020+1.9%+0.1%(4.6%)(1.5%)                                                (4.2%)

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 4 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
11/28/16 9:30 IWN ISHARES RUSSELL 2000 VALUE IND LONG 285 116.06 7/18/17 11:02 118.46 n/a $681
Includes Typical Broker Commissions trade costs of $2.86
1/7/16 9:46 RHS INVESCO S&P 500 EQ WT CONS LONG 298 120.23 11/28 9:31 118.39 1.07%
Trade id #99083014
Max drawdown($1,532)
Time11/11/16 9:40
Quant open298
Worst price115.09
Drawdown as % of equity-1.07%
($555)
Includes Typical Broker Commissions trade costs of $6.49
1/7/16 9:46 KBWP POWERSHARES KBW PROPERTY & CASUALTY INSURANCE PORT LONG 876 47.57 7/19 9:30 48.76 0.7%
Trade id #99083005
Max drawdown($1,064)
Time2/11/16 9:31
Quant open457
Worst price44.00
Drawdown as % of equity-0.70%
$1,029
Includes Typical Broker Commissions trade costs of $9.44
10/16/15 9:30 EUM PROSHARES SHORT MSCI EMERGING LONG 2,485 29.90 7/19/16 9:30 26.03 6.58%
Trade id #97840086
Max drawdown($9,621)
Time7/19/16 9:30
Quant open1,422
Worst price25.30
Drawdown as % of equity-6.58%
($9,646)
Includes Typical Broker Commissions trade costs of $25.48
3/22/16 14:01 YCL PROSHARES ULTRA YEN LONG 74 62.21 4/19 9:30 65.67 0.05%
Trade id #101416826
Max drawdown($77)
Time3/28/16 14:01
Quant open74
Worst price61.16
Drawdown as % of equity-0.05%
$254
Includes Typical Broker Commissions trade costs of $2.00
1/7/16 9:45 EWK ISHARES MSCI BELGIUM ETF LONG 1,202 17.24 3/22 9:30 17.32 1.12%
Trade id #99082961
Max drawdown($1,701)
Time2/9/16 9:31
Quant open1,019
Worst price15.69
Drawdown as % of equity-1.12%
$84
Includes Typical Broker Commissions trade costs of $12.10
2/25/16 9:30 SCO PROSHARES ULTRASHORT BLOOMBERG LONG 10 177.00 3/22 9:30 114.46 0.48%
Trade id #100844774
Max drawdown($705)
Time3/18/16 10:12
Quant open10
Worst price106.46
Drawdown as % of equity-0.48%
($627)
Includes Typical Broker Commissions trade costs of $2.00
1/6/15 12:58 CROC PROSHARES ULTRASHORT AUSTRALIA LONG 744 54.75 2/25/16 10:41 61.96 0.52%
Trade id #91694482
Max drawdown($752)
Time1/20/15 9:31
Quant open382
Worst price50.07
Drawdown as % of equity-0.52%
$5,354
Includes Typical Broker Commissions trade costs of $8.57
2/5/15 10:04 TLT ISHARES 20+ YEAR TREASURY BOND LONG 122 129.47 1/7/16 9:43 124.15 0.49%
Trade id #92325600
Max drawdown($722)
Time3/6/15 13:20
Quant open67
Worst price122.97
Drawdown as % of equity-0.49%
($653)
Includes Typical Broker Commissions trade costs of $4.00
10/16/15 11:01 SZO POWERSHARES DB CRUDE OIL SHORT LONG 33 71.30 1/7/16 9:43 101.73 0.02%
Trade id #97843793
Max drawdown($29)
Time11/3/15 12:53
Quant open33
Worst price70.40
Drawdown as % of equity-0.02%
$1,002
Includes Typical Broker Commissions trade costs of $2.00
10/16/15 9:30 IVW ISHARES S&P 500 GROWTH INDEX LONG 223 113.90 1/7/16 9:43 111.03 0.49%
Trade id #97839932
Max drawdown($744)
Time1/7/16 9:33
Quant open223
Worst price110.56
Drawdown as % of equity-0.49%
($642)
Includes Typical Broker Commissions trade costs of $2.22
3/12/15 9:43 DDP POWERSHARES DB COMMODITY SHORT LONG 178 44.35 10/16 11:36 49.21 0.07%
Trade id #93178418
Max drawdown($97)
Time7/16/15 13:32
Quant open178
Worst price43.80
Drawdown as % of equity-0.07%
$863
Includes Typical Broker Commissions trade costs of $2.00
3/11/15 9:31 YCS PROSHARES ULTRASHORT YEN LONG 219 91.12 10/16 9:30 86.47 0.88%
Trade id #93145677
Max drawdown($1,300)
Time10/15/15 7:48
Quant open219
Worst price85.18
Drawdown as % of equity-0.88%
($1,020)
Includes Typical Broker Commissions trade costs of $2.18
1/9/15 9:48 EUO PROSHARES ULTRASHORT EURO LONG 984 25.50 10/16 9:30 23.53 1.66%
Trade id #91770044
Max drawdown($2,449)
Time10/14/15 19:49
Quant open984
Worst price23.01
Drawdown as % of equity-1.66%
($1,949)
Includes Typical Broker Commissions trade costs of $10.73
1/6/15 12:56 AGG ISHARES CORE US AGGREGATE BOND LONG 92 111.11 10/16 9:30 110.07 0.11%
Trade id #91694434
Max drawdown($162)
Time9/17/15 9:31
Quant open60
Worst price108.40
Drawdown as % of equity-0.11%
($99)
Includes Typical Broker Commissions trade costs of $4.00
2/5/15 10:05 UUP INVESCO DB US DOLLAR INDEX LONG 569 24.85 10/16 9:30 24.94 0.13%
Trade id #92325641
Max drawdown($191)
Time10/14/15 15:22
Quant open456
Worst price24.43
Drawdown as % of equity-0.13%
$47
Includes Typical Broker Commissions trade costs of $6.13
8/9/11 9:47 SPY SPDR S&P 500 LONG 879 132.26 10/16/15 9:30 157.29 1.87%
Trade id #64402029
Max drawdown($1,889)
Time10/4/11 9:57
Quant open207
Worst price107.43
Drawdown as % of equity-1.87%
$21,977
Includes Typical Broker Commissions trade costs of $21.11
1/6/15 12:59 SCO PROSHARES ULTRASHORT BLOOMBERG LONG 194 93.48 3/11 9:31 78.77 3.33%
Trade id #91694500
Max drawdown($4,925)
Time2/3/15 14:08
Quant open194
Worst price68.09
Drawdown as % of equity-3.33%
($2,856)
Includes Typical Broker Commissions trade costs of $3.00
7/16/12 9:38 GLD SPDR GOLD SHARES LONG 187 146.12 2/5/15 10:02 142.66 1.38%
Trade id #75273928
Max drawdown($1,572)
Time5/20/13 4:07
Quant open90
Worst price130.35
Drawdown as % of equity-1.38%
($657)
Includes Typical Broker Commissions trade costs of $11.00
1/6/15 12:59 YCS PROSHARES ULTRASHORT YEN LONG 63 87.35 2/5 10:01 85.62 0.15%
Trade id #91694509
Max drawdown($224)
Time1/14/15 8:50
Quant open63
Worst price83.79
Drawdown as % of equity-0.15%
($111)
Includes Typical Broker Commissions trade costs of $2.00
1/6/15 12:58 EUO PROSHARES ULTRASHORT EURO LONG 450 22.24 1/9 9:47 22.76 0.02%
Trade id #91694489
Max drawdown($27)
Time1/6/15 14:04
Quant open450
Worst price22.18
Drawdown as % of equity-0.02%
$230
Includes Typical Broker Commissions trade costs of $4.50
8/9/11 9:47 TLT ISHARES 20+ YEAR TREASURY BOND LONG 1,157 114.62 1/6/15 12:55 124.04 0.76%
Trade id #64402025
Max drawdown($857)
Time8/2/13 7:10
Quant open78
Worst price104.90
Drawdown as % of equity-0.76%
$10,878
Includes Typical Broker Commissions trade costs of $20.06
8/9/11 10:15 SZO POWERSHARES DB CRUDE OIL SHORT LONG 2,166 44.72 1/6/15 12:54 45.49 6.03%
Trade id #64404272
Max drawdown($6,707)
Time7/19/13 9:31
Quant open700
Worst price36.23
Drawdown as % of equity-6.03%
$1,637
Includes Typical Broker Commissions trade costs of $25.27
10/14/13 9:31 SLV ISHARES SILVER TRUST LONG 197 18.88 1/6/15 12:50 15.89 0.56%
Trade id #83484769
Max drawdown($789)
Time12/22/14 12:16
Quant open197
Worst price14.87
Drawdown as % of equity-0.56%
($592)
Includes Typical Broker Commissions trade costs of $3.00
8/9/11 9:47 DBC INVESCO DB COMMODITY INDEX LONG 2,161 27.77 1/6/15 12:50 26.81 1.42%
Trade id #64402062
Max drawdown($2,079)
Time1/6/15 12:50
Quant open2,001
Worst price17.83
Drawdown as % of equity-1.42%
($2,105)
Includes Typical Broker Commissions trade costs of $26.15
4/1/13 9:30 SLV ISHARES SILVER TRUST LONG 67 24.49 6/10 12:09 21.24 0.22%
Trade id #79976080
Max drawdown($246)
Time5/20/13 9:31
Quant open67
Worst price20.81
Drawdown as % of equity-0.22%
($221)
Includes Typical Broker Commissions trade costs of $3.00
8/9/11 10:23 SHY ISHARES BARCLAYS 1-3 YEAR TREA LONG 1,153 84.51 6/10/13 12:09 84.45 0.2%
Trade id #64404616
Max drawdown($211)
Time9/17/12 16:01
Quant open137
Worst price82.99
Drawdown as % of equity-0.20%
($87)
Includes Typical Broker Commissions trade costs of $17.26
7/16/12 9:38 SLV ISHARES SILVER TRUST LONG 160 26.53 1/14/13 9:31 30.81 0.06%
Trade id #75273932
Max drawdown($64)
Time8/2/12 11:42
Quant open160
Worst price26.13
Drawdown as % of equity-0.06%
$682
Includes Typical Broker Commissions trade costs of $3.00
12/14/11 13:06 GLD SPDR GOLD SHARES LONG 46 159.55 5/14/12 9:33 151.58 0.36%
Trade id #68964290
Max drawdown($372)
Time5/14/12 9:33
Quant open46
Worst price151.45
Drawdown as % of equity-0.36%
($370)
Includes Typical Broker Commissions trade costs of $3.00
8/9/11 9:46 GLD SPDR GOLD SHARES LONG 44 170.60 11/14 9:46 164.92 0.72%
Trade id #64402000
Max drawdown($722)
Time9/26/11 10:15
Quant open44
Worst price154.19
Drawdown as % of equity-0.72%
($254)
Includes Typical Broker Commissions trade costs of $4.00

Statistics

  • Strategy began
    8/9/2011
  • Suggested Minimum Cap
    $100,000
  • Strategy Age (days)
    3159.37
  • Age
    105 months ago
  • What it trades
    Stocks
  • # Trades
    37
  • # Profitable
    17
  • % Profitable
    45.90%
  • Avg trade duration
    505.5 days
  • Max peak-to-valley drawdown
    9.91%
  • drawdown period
    Feb 23, 2020 - March 21, 2020
  • Annual Return (Compounded)
    5.6%
  • Avg win
    $3,155
  • Avg loss
    $1,241
  • Model Account Values (Raw)
  • Cash
    $86,025
  • Margin Used
    $0
  • Buying Power
    $91,515
  • Ratios
  • W:L ratio
    4.87:1
  • Sharpe Ratio
    0.51
  • Sortino Ratio
    0.7
  • Calmar Ratio
    1.081
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -50.20%
  • Correlation to SP500
    0.38090
  • Return Percent SP500 (cumu) during strategy life
    124.23%
  • Return Statistics
  • Ann Return (w trading costs)
    5.6%
  • Slump
  • Current Slump as Pcnt Equity
    0.08%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.01%
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.056%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    5.7%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    2.00%
  • Chance of 20% account loss
    n/a
  • Chance of 30% account loss
    n/a
  • Chance of 40% account loss
    n/a
  • 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
    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)
    0
  • Popularity (Last 6 weeks)
    0
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • Popularity (7 days, Percentile 1000 scale)
    0
  • Management
  • No Subs Allowed Flag (1: no subs)
    0
  • Strat abandoned?
    1
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $1,361
  • Avg Win
    $3,232
  • Sum Trade PL (losers)
    $27,226.000
  • Age
  • Num Months filled monthly returns table
    105
  • Win / Loss
  • Sum Trade PL (winners)
    $54,950.000
  • # Winners
    17
  • Num Months Winners
    70
  • Dividends
  • Dividends Received in Model Acct
    33615
  • Win / Loss
  • # Losers
    20
  • % Winners
    46.0%
  • Frequency
  • Avg Position Time (mins)
    727942.00
  • Avg Position Time (hrs)
    12132.40
  • Avg Trade Length
    505.5 days
  • Last Trade Ago
    989
  • Regression
  • Alpha
    0.01
  • Beta
    0.14
  • Treynor Index
    0.07
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.01
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    66.41
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    30.53
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    0.27
  • MAE:Equity, average, winning trades
    0.01
  • MAE:Equity, average, losing trades
    0.01
  • Avg(MAE) / Avg(PL) - All trades
    1.967
  • 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
    0.379
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.259
  • Hold-and-Hope Ratio
    0.535
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.07887
  • SD
    0.07522
  • Sharpe ratio (Glass type estimate)
    1.04851
  • Sharpe ratio (Hedges UMVUE)
    1.03557
  • df
    61.00000
  • t
    2.38330
  • p
    0.01014
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.16238
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.92644
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.15393
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.91720
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.74818
  • Upside Potential Ratio
    4.45627
  • Upside part of mean
    0.12789
  • Downside part of mean
    -0.04902
  • Upside SD
    0.07254
  • Downside SD
    0.02870
  • N nonnegative terms
    36.00000
  • N negative terms
    26.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    62.00000
  • Mean of predictor
    0.17750
  • Mean of criterion
    0.07887
  • SD of predictor
    0.12893
  • SD of criterion
    0.07522
  • Covariance
    0.00383
  • r
    0.39478
  • b (slope, estimate of beta)
    0.23031
  • a (intercept, estimate of alpha)
    0.03799
  • Mean Square Error
    0.00486
  • DF error
    60.00000
  • t(b)
    3.32833
  • p(b)
    0.00075
  • t(a)
    1.15023
  • p(a)
    0.12731
  • Lowerbound of 95% confidence interval for beta
    0.09190
  • Upperbound of 95% confidence interval for beta
    0.36873
  • Lowerbound of 95% confidence interval for alpha
    -0.02807
  • Upperbound of 95% confidence interval for alpha
    0.10405
  • Treynor index (mean / b)
    0.34244
  • Jensen alpha (a)
    0.03799
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.07575
  • SD
    0.07339
  • Sharpe ratio (Glass type estimate)
    1.03213
  • Sharpe ratio (Hedges UMVUE)
    1.01938
  • df
    61.00000
  • t
    2.34605
  • p
    0.01112
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.14666
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.90953
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.13834
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.90042
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.61822
  • Upside Potential Ratio
    4.32294
  • Upside part of mean
    0.12507
  • Downside part of mean
    -0.04932
  • Upside SD
    0.07029
  • Downside SD
    0.02893
  • N nonnegative terms
    36.00000
  • N negative terms
    26.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    62.00000
  • Mean of predictor
    0.16795
  • Mean of criterion
    0.07575
  • SD of predictor
    0.12607
  • SD of criterion
    0.07339
  • Covariance
    0.00348
  • r
    0.37585
  • b (slope, estimate of beta)
    0.21879
  • a (intercept, estimate of alpha)
    0.03900
  • Mean Square Error
    0.00470
  • DF error
    60.00000
  • t(b)
    3.14164
  • p(b)
    0.00130
  • t(a)
    1.20540
  • p(a)
    0.11639
  • Lowerbound of 95% confidence interval for beta
    0.07949
  • Upperbound of 95% confidence interval for beta
    0.35810
  • Lowerbound of 95% confidence interval for alpha
    -0.02572
  • Upperbound of 95% confidence interval for alpha
    0.10373
  • Treynor index (mean / b)
    0.34622
  • Jensen alpha (a)
    0.03900
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02813
  • Expected Shortfall on VaR
    0.03667
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00841
  • Expected Shortfall on VaR
    0.01682
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    62.00000
  • Minimum
    0.97533
  • Quartile 1
    0.99684
  • Median
    1.00492
  • Quartile 3
    1.01541
  • Maximum
    1.08643
  • Mean of quarter 1
    0.98773
  • Mean of quarter 2
    1.00143
  • Mean of quarter 3
    1.00979
  • Mean of quarter 4
    1.03623
  • Inter Quartile Range
    0.01858
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    4.00000
  • Percentage of outliers high
    0.06452
  • Mean of outliers high
    1.07097
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.52298
  • VaR(95%) (moments method)
    0.01020
  • Expected Shortfall (moments method)
    0.01197
  • Extreme Value Index (regression method)
    -0.95241
  • VaR(95%) (regression method)
    0.01162
  • Expected Shortfall (regression method)
    0.01268
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    7.00000
  • Minimum
    0.00545
  • Quartile 1
    0.01084
  • Median
    0.02467
  • Quartile 3
    0.02829
  • Maximum
    0.06422
  • Mean of quarter 1
    0.00622
  • Mean of quarter 2
    0.01968
  • Mean of quarter 3
    0.02541
  • Mean of quarter 4
    0.04770
  • Inter Quartile Range
    0.01745
  • 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
    0.14286
  • Mean of outliers high
    0.06422
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.13711
  • Compounded annual return (geometric extrapolation)
    0.10922
  • Calmar ratio (compounded annual return / max draw down)
    1.70074
  • Compounded annual return / average of 25% largest draw downs
    2.28994
  • Compounded annual return / Expected Shortfall lognormal
    2.97852
  • 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
    0.06628
  • SD
    0.07217
  • Sharpe ratio (Glass type estimate)
    0.91843
  • Sharpe ratio (Hedges UMVUE)
    0.91793
  • df
    1360.00000
  • t
    2.09327
  • p
    0.47167
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.05764
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.77891
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.05729
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.77856
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.31807
  • Upside Potential Ratio
    8.20105
  • Upside part of mean
    0.41242
  • Downside part of mean
    -0.34614
  • Upside SD
    0.05189
  • Downside SD
    0.05029
  • N nonnegative terms
    731.00000
  • N negative terms
    630.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1361.00000
  • Mean of predictor
    0.14078
  • Mean of criterion
    0.06628
  • SD of predictor
    0.19646
  • SD of criterion
    0.07217
  • Covariance
    0.00350
  • r
    0.24694
  • b (slope, estimate of beta)
    0.09072
  • a (intercept, estimate of alpha)
    0.05400
  • Mean Square Error
    0.00489
  • DF error
    1359.00000
  • t(b)
    9.39424
  • p(b)
    0.34441
  • t(a)
    1.74162
  • p(a)
    0.46997
  • Lowerbound of 95% confidence interval for beta
    0.07177
  • Upperbound of 95% confidence interval for beta
    0.10966
  • Lowerbound of 95% confidence interval for alpha
    -0.00676
  • Upperbound of 95% confidence interval for alpha
    0.11379
  • Treynor index (mean / b)
    0.73069
  • Jensen alpha (a)
    0.05351
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.06367
  • SD
    0.07215
  • Sharpe ratio (Glass type estimate)
    0.88243
  • Sharpe ratio (Hedges UMVUE)
    0.88195
  • df
    1360.00000
  • t
    2.01122
  • p
    0.47277
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.02171
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.74288
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.02137
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.74253
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.25840
  • Upside Potential Ratio
    8.12426
  • Upside part of mean
    0.41105
  • Downside part of mean
    -0.34738
  • Upside SD
    0.05155
  • Downside SD
    0.05059
  • N nonnegative terms
    731.00000
  • N negative terms
    630.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1361.00000
  • Mean of predictor
    0.12101
  • Mean of criterion
    0.06367
  • SD of predictor
    0.19994
  • SD of criterion
    0.07215
  • Covariance
    0.00360
  • r
    0.24952
  • b (slope, estimate of beta)
    0.09004
  • a (intercept, estimate of alpha)
    0.05277
  • Mean Square Error
    0.00489
  • DF error
    1359.00000
  • t(b)
    9.49895
  • p(b)
    0.34281
  • t(a)
    1.71963
  • p(a)
    0.47035
  • Lowerbound of 95% confidence interval for beta
    0.07145
  • Upperbound of 95% confidence interval for beta
    0.10864
  • Lowerbound of 95% confidence interval for alpha
    -0.00743
  • Upperbound of 95% confidence interval for alpha
    0.11297
  • Treynor index (mean / b)
    0.70708
  • Jensen alpha (a)
    0.05277
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00706
  • Expected Shortfall on VaR
    0.00891
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00286
  • Expected Shortfall on VaR
    0.00600
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    1361.00000
  • Minimum
    0.97229
  • Quartile 1
    0.99865
  • Median
    1.00034
  • Quartile 3
    1.00234
  • Maximum
    1.03888
  • Mean of quarter 1
    0.99538
  • Mean of quarter 2
    0.99957
  • Mean of quarter 3
    1.00129
  • Mean of quarter 4
    1.00521
  • Inter Quartile Range
    0.00369
  • Number outliers low
    51.00000
  • Percentage of outliers low
    0.03747
  • Mean of outliers low
    0.98741
  • Number of outliers high
    47.00000
  • Percentage of outliers high
    0.03453
  • Mean of outliers high
    1.01188
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.40856
  • VaR(95%) (moments method)
    0.00435
  • Expected Shortfall (moments method)
    0.00866
  • Extreme Value Index (regression method)
    0.24890
  • VaR(95%) (regression method)
    0.00415
  • Expected Shortfall (regression method)
    0.00695
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    62.00000
  • Minimum
    0.00015
  • Quartile 1
    0.00190
  • Median
    0.00345
  • Quartile 3
    0.01080
  • Maximum
    0.08874
  • Mean of quarter 1
    0.00086
  • Mean of quarter 2
    0.00261
  • Mean of quarter 3
    0.00575
  • Mean of quarter 4
    0.03800
  • Inter Quartile Range
    0.00890
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    9.00000
  • Percentage of outliers high
    0.14516
  • Mean of outliers high
    0.05392
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -0.05327
  • VaR(95%) (moments method)
    0.03037
  • Expected Shortfall (moments method)
    0.04154
  • Extreme Value Index (regression method)
    -0.11825
  • VaR(95%) (regression method)
    0.04037
  • Expected Shortfall (regression method)
    0.05501
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.11726
  • Compounded annual return (geometric extrapolation)
    0.09590
  • Calmar ratio (compounded annual return / max draw down)
    1.08064
  • Compounded annual return / average of 25% largest draw downs
    2.52345
  • Compounded annual return / Expected Shortfall lognormal
    10.76280
  • 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
    0.12935
  • SD
    0.10855
  • Sharpe ratio (Glass type estimate)
    1.19164
  • Sharpe ratio (Hedges UMVUE)
    1.18475
  • df
    130.00000
  • t
    0.84261
  • p
    0.46315
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.58613
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.96505
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.59080
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.96029
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.73441
  • Upside Potential Ratio
    7.51960
  • Upside part of mean
    0.56082
  • Downside part of mean
    -0.43147
  • Upside SD
    0.07871
  • Downside SD
    0.07458
  • N nonnegative terms
    80.00000
  • N negative terms
    51.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.03757
  • Mean of criterion
    0.12935
  • SD of predictor
    0.38416
  • SD of criterion
    0.10855
  • Covariance
    0.03298
  • r
    0.79091
  • b (slope, estimate of beta)
    0.22349
  • a (intercept, estimate of alpha)
    0.13775
  • Mean Square Error
    0.00445
  • DF error
    129.00000
  • t(b)
    14.67960
  • p(b)
    0.05555
  • t(a)
    1.46066
  • p(a)
    0.41902
  • Lowerbound of 95% confidence interval for beta
    0.19337
  • Upperbound of 95% confidence interval for beta
    0.25361
  • Lowerbound of 95% confidence interval for alpha
    -0.04884
  • Upperbound of 95% confidence interval for alpha
    0.32434
  • Treynor index (mean / b)
    0.57880
  • Jensen alpha (a)
    0.13775
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.12348
  • SD
    0.10837
  • Sharpe ratio (Glass type estimate)
    1.13936
  • Sharpe ratio (Hedges UMVUE)
    1.13278
  • df
    130.00000
  • t
    0.80565
  • p
    0.46476
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.63808
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.91246
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.64245
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.90800
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.64092
  • Upside Potential Ratio
    7.41157
  • Upside part of mean
    0.55771
  • Downside part of mean
    -0.43423
  • Upside SD
    0.07779
  • Downside SD
    0.07525
  • N nonnegative terms
    80.00000
  • N negative terms
    51.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.11516
  • Mean of criterion
    0.12348
  • SD of predictor
    0.40154
  • SD of criterion
    0.10837
  • Covariance
    0.03399
  • r
    0.78105
  • b (slope, estimate of beta)
    0.21080
  • a (intercept, estimate of alpha)
    0.14775
  • Mean Square Error
    0.00462
  • DF error
    129.00000
  • t(b)
    14.20570
  • p(b)
    0.05943
  • t(a)
    1.53759
  • p(a)
    0.41485
  • VAR (95 Confidence Intrvl)
    0.00700
  • Lowerbound of 95% confidence interval for beta
    0.18144
  • Upperbound of 95% confidence interval for beta
    0.24016
  • Lowerbound of 95% confidence interval for alpha
    -0.04237
  • Upperbound of 95% confidence interval for alpha
    0.33788
  • Treynor index (mean / b)
    0.58576
  • Jensen alpha (a)
    0.14775
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01049
  • Expected Shortfall on VaR
    0.01325
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00310
  • Expected Shortfall on VaR
    0.00705
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.97229
  • Quartile 1
    0.99916
  • Median
    1.00059
  • Quartile 3
    1.00273
  • Maximum
    1.03888
  • Mean of quarter 1
    0.99376
  • Mean of quarter 2
    1.00003
  • Mean of quarter 3
    1.00158
  • Mean of quarter 4
    1.00706
  • Inter Quartile Range
    0.00358
  • Number outliers low
    12.00000
  • Percentage of outliers low
    0.09160
  • Mean of outliers low
    0.98622
  • Number of outliers high
    8.00000
  • Percentage of outliers high
    0.06107
  • Mean of outliers high
    1.01488
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.97565
  • VaR(95%) (moments method)
    0.00594
  • Expected Shortfall (moments method)
    0.26018
  • Extreme Value Index (regression method)
    0.70485
  • VaR(95%) (regression method)
    0.00484
  • Expected Shortfall (regression method)
    0.01856
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    12.00000
  • Minimum
    0.00005
  • Quartile 1
    0.00088
  • Median
    0.00237
  • Quartile 3
    0.00856
  • Maximum
    0.07146
  • Mean of quarter 1
    0.00016
  • Mean of quarter 2
    0.00126
  • Mean of quarter 3
    0.00481
  • Mean of quarter 4
    0.04858
  • Inter Quartile Range
    0.00769
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.16667
  • Mean of outliers high
    0.06526
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -113.93600
  • VaR(95%) (moments method)
    0.03751
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    -2.82159
  • VaR(95%) (regression method)
    0.11146
  • Last 4 Months - Pcnt Negative
    0.50%
  • Expected Shortfall (regression method)
    0.11243
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -242455000
  • Max Equity Drawdown (num days)
    27
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.15726
  • Compounded annual return (geometric extrapolation)
    0.16344
  • Calmar ratio (compounded annual return / max draw down)
    2.28724
  • Compounded annual return / average of 25% largest draw downs
    3.36436
  • Compounded annual return / Expected Shortfall lognormal
    12.33750

Strategy Description

The Smooth fund is re-balanced every couple months to provide risk diversification. The goal of this fund is to earn steady returns on fund equity. Diversification in this fund is based on a proprietary quantitative portfolio technology.

Summary Statistics

Strategy began
2011-08-09
Suggested Minimum Capital
$15,000
# Trades
37
# Profitable
17
% Profitable
45.9%
Net Dividends
Correlation S&P500
0.381
Sharpe Ratio
0.51
Sortino Ratio
0.70
Beta
0.14
Alpha
0.01

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.

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