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

Butterfly 100 Stocks
(65988005)

Created by: EnricoAnsaloni EnricoAnsaloni
Started: 09/2011
Stocks
Last trade: 473 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.

13.7%
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.

(28.4%)
Max Drawdown
1004
Num Trades
66.0%
Win Trades
2.3 : 1
Profit Factor
66.0%
Win Months
Hypothetical Monthly Returns (includes system fee and Interactive Brokers commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2011                                                        (0.1%)(0.2%)+3.5%+1.1%+4.3%
2012+4.0%+4.4%+5.2%(0.7%)(0.1%)+1.2%(0.2%)+4.6%+1.8%+0.8%+2.8%+2.9%+29.9%
2013+2.0%+1.3%+1.9%+1.7%+0.6%+1.8%(1.1%)(1.8%)+1.5%+1.4%+4.4%+3.2%+18.2%
2014(0.4%)+0.2%  -  +3.2%+5.8%+1.5%+3.3%+1.9%(0.2%)+0.4%+2.4%+1.4%+21.0%
2015  -  +1.4%  -  (1.7%)+1.1%(1.7%)+1.9%(22.7%)+15.8%+20.8%+2.3%(4.6%)+6.4%
2016(8.6%)+7.1%+13.5%(1.2%)+1.7%(5.3%)+10.6%+4.2%+0.1%(1.9%)+3.7%(2%)+21.6%
2017+5.7%+4.0%(0.5%)+2.6%(0.7%)+1.3%+1.9%(2.4%)+9.8%+2.0%+2.6%+3.1%+33.0%
2018+6.5%(5.5%)(6.4%)+4.2%+0.3%+3.6%+1.5%+3.9%(0.1%)(8.4%)+3.0%(7.8%)(6.5%)
2019+5.1%+1.6%  -  +7.3%+0.4%(2%)+1.6%(2.1%)+2.3%+1.6%+2.7%+2.1%+22.0%
2020(3.6%)(7.9%)(10.7%)                                                      

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 627 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
5/12/17 11:58 ESRX EXPRESS SCRIPTS LONG 165 59.78 12/20/18 9:30 0.00 n/a ($9,866)
Includes Typical Broker Commissions trade costs of $2.00
5/10/17 15:48 INTC INTEL LONG 275 35.95 6/21 9:30 34.36 0.16%
Trade id #111531247
Max drawdown($475)
Time6/21/17 6:10
Quant open275
Worst price34.22
Drawdown as % of equity-0.16%
($440)
Includes Typical Broker Commissions trade costs of $2.76
5/10/17 14:24 CHRW CH ROBINSON WORLDWIDE LONG 141 70.00 5/19 10:10 67.17 0.14%
Trade id #111528772
Max drawdown($399)
Time5/19/17 10:10
Quant open0
Worst price67.17
Drawdown as % of equity-0.14%
($401)
Includes Typical Broker Commissions trade costs of $2.00
4/28/17 9:30 FLEX FLEX LTD LONG 624 15.52 5/11 9:47 15.98 0.17%
Trade id #111314916
Max drawdown($511)
Time4/28/17 9:39
Quant open624
Worst price14.70
Drawdown as % of equity-0.17%
$281
Includes Typical Broker Commissions trade costs of $6.24
5/8/17 10:56 ALXN ALEXION PHARMACEUTICALS LONG 78 127.18 5/10 12:13 122.06 0.14%
Trade id #111458704
Max drawdown($402)
Time5/8/17 12:10
Quant open78
Worst price122.02
Drawdown as % of equity-0.14%
($401)
Includes Typical Broker Commissions trade costs of $2.00
4/20/17 9:30 EBAY EBAY LONG 295 32.80 5/8 9:35 33.68 0.09%
Trade id #111151724
Max drawdown($268)
Time4/24/17 14:15
Quant open295
Worst price31.89
Drawdown as % of equity-0.09%
$257
Includes Typical Broker Commissions trade costs of $2.96
5/3/17 10:52 FISV FISERV LONG 84 117.46 5/4 13:06 120.60 0%
Trade id #111385147
Max drawdown($10)
Time5/3/17 14:44
Quant open84
Worst price117.33
Drawdown as % of equity-0.00%
$262
Includes Typical Broker Commissions trade costs of $2.00
4/13/17 9:34 AMZN AMAZON.COM LONG 11 889.06 4/26 9:30 910.97 0.02%
Trade id #110969271
Max drawdown($53)
Time4/13/17 16:01
Quant open11
Worst price884.20
Drawdown as % of equity-0.02%
$239
Includes Typical Broker Commissions trade costs of $2.00
4/5/17 15:12 NWSA NEWS CORPORATION LONG 783 12.65 4/20 14:01 12.97 0.12%
Trade id #110737880
Max drawdown($361)
Time4/18/17 12:02
Quant open783
Worst price12.19
Drawdown as % of equity-0.12%
$245
Includes Typical Broker Commissions trade costs of $7.84
4/5/17 15:33 ALXN ALEXION PHARMACEUTICALS LONG 85 116.11 4/19 10:24 119.39 0.08%
Trade id #110739237
Max drawdown($228)
Time4/7/17 10:41
Quant open85
Worst price113.42
Drawdown as % of equity-0.08%
$277
Includes Typical Broker Commissions trade costs of $2.00
3/21/17 10:57 NTAP NETAPP LONG 238 41.67 4/12 10:45 39.99 0.14%
Trade id #110354289
Max drawdown($399)
Time4/12/17 10:45
Quant open0
Worst price39.99
Drawdown as % of equity-0.14%
($401)
Includes Typical Broker Commissions trade costs of $2.38
3/21/17 11:17 FLEX FLEX LTD LONG 598 16.45 4/6 10:24 16.27 0.07%
Trade id #110355504
Max drawdown($208)
Time3/22/17 9:31
Quant open598
Worst price16.10
Drawdown as % of equity-0.07%
($111)
Includes Typical Broker Commissions trade costs of $5.98
4/5/17 15:08 BBBY BED BATH & BEYOND LONG 257 38.32 4/6 9:30 40.15 0.14%
Trade id #110737701
Max drawdown($405)
Time4/5/17 16:18
Quant open257
Worst price36.74
Drawdown as % of equity-0.14%
$467
Includes Typical Broker Commissions trade costs of $2.56
3/27/17 9:30 COP CONOCOPHILLIPS LONG 227 43.46 3/28 10:58 44.81 n/a $306
Includes Typical Broker Commissions trade costs of $2.28
3/27/17 9:36 DVN DEVON ENERGY LONG 258 38.11 3/28 9:30 39.28 0.01%
Trade id #110443408
Max drawdown($23)
Time3/27/17 9:38
Quant open258
Worst price38.02
Drawdown as % of equity-0.01%
$298
Includes Typical Broker Commissions trade costs of $2.58
3/20/17 14:21 INTU INTUIT LONG 81 123.02 3/27 10:35 118.13 0.14%
Trade id #110336023
Max drawdown($396)
Time3/27/17 10:35
Quant open0
Worst price118.13
Drawdown as % of equity-0.14%
($398)
Includes Typical Broker Commissions trade costs of $2.00
3/21/17 10:34 COF CAPITAL ONE FINANCIAL LONG 115 85.44 3/27 9:30 82.02 0.14%
Trade id #110353517
Max drawdown($393)
Time3/27/17 9:30
Quant open0
Worst price82.02
Drawdown as % of equity-0.14%
($395)
Includes Typical Broker Commissions trade costs of $2.00
3/21/17 10:57 USB U.S. BANCORP LONG 184 53.73 3/27 9:30 51.43 0.15%
Trade id #110354304
Max drawdown($423)
Time3/27/17 9:30
Quant open0
Worst price51.43
Drawdown as % of equity-0.15%
($425)
Includes Typical Broker Commissions trade costs of $2.00
3/22/17 9:30 FISV FISERV LONG 86 115.00 3/24 9:44 116.22 n/a $103
Includes Typical Broker Commissions trade costs of $2.00
3/15/17 9:30 NSC NORFOLK SOUTHERN LONG 84 116.53 3/21 11:17 111.86 0.14%
Trade id #110242441
Max drawdown($393)
Time3/21/17 11:17
Quant open0
Worst price111.86
Drawdown as % of equity-0.14%
($395)
Includes Typical Broker Commissions trade costs of $2.00
3/10/17 13:07 GS GOLDMAN SACHS GROUP LONG 40 247.27 3/21 11:05 237.38 0.14%
Trade id #110177829
Max drawdown($396)
Time3/21/17 11:05
Quant open0
Worst price237.38
Drawdown as % of equity-0.14%
($398)
Includes Typical Broker Commissions trade costs of $2.00
2/1/17 15:51 INTC INTEL LONG 272 36.12 3/14 11:22 34.68 0.14%
Trade id #109214735
Max drawdown($392)
Time3/14/17 11:22
Quant open0
Worst price34.68
Drawdown as % of equity-0.14%
($395)
Includes Typical Broker Commissions trade costs of $2.72
3/6/17 9:38 TEVA TEVA PHARMACEUTICAL LONG 288 34.06 3/8 15:44 32.70 0.15%
Trade id #110046660
Max drawdown($434)
Time3/7/17 10:24
Quant open288
Worst price32.55
Drawdown as % of equity-0.15%
($395)
Includes Typical Broker Commissions trade costs of $2.88
2/24/17 9:30 GS GOLDMAN SACHS GROUP LONG 40 247.12 3/1 9:30 254.41 0.02%
Trade id #109827804
Max drawdown($60)
Time2/28/17 12:48
Quant open40
Worst price245.61
Drawdown as % of equity-0.02%
$290
Includes Typical Broker Commissions trade costs of $2.00
2/24/17 9:30 MU MICRON TECHNOLOGY LONG 426 22.70 2/27 10:25 23.48 0.01%
Trade id #109828104
Max drawdown($25)
Time2/24/17 9:32
Quant open426
Worst price22.64
Drawdown as % of equity-0.01%
$328
Includes Typical Broker Commissions trade costs of $4.26
2/14/17 9:30 MU MICRON TECHNOLOGY LONG 418 23.34 2/22 9:33 24.05 0.1%
Trade id #109524412
Max drawdown($275)
Time2/14/17 10:10
Quant open418
Worst price22.68
Drawdown as % of equity-0.10%
$293
Includes Typical Broker Commissions trade costs of $4.18
1/30/17 9:37 GOOG ALPHABET INC CLASS C LONG 12 805.32 2/17 9:43 825.00 0.06%
Trade id #109127427
Max drawdown($177)
Time1/31/17 11:38
Quant open12
Worst price790.52
Drawdown as % of equity-0.06%
$234
Includes Typical Broker Commissions trade costs of $2.00
2/6/17 13:11 CMCSA COMCAST LONG 133 74.58 2/15 15:23 76.54 0.01%
Trade id #109315095
Max drawdown($17)
Time2/6/17 15:50
Quant open133
Worst price74.45
Drawdown as % of equity-0.01%
$259
Includes Typical Broker Commissions trade costs of $2.00
2/1/17 10:07 UPS UNITED PARCEL SERVICE LONG 92 106.49 2/14 13:56 109.22 0.11%
Trade id #109204085
Max drawdown($299)
Time2/1/17 14:04
Quant open92
Worst price103.23
Drawdown as % of equity-0.11%
$249
Includes Typical Broker Commissions trade costs of $2.00
2/8/17 9:45 USB U.S. BANCORP LONG 188 52.63 2/13 9:32 54.10 0.01%
Trade id #109387034
Max drawdown($18)
Time2/8/17 9:51
Quant open188
Worst price52.53
Drawdown as % of equity-0.01%
$274
Includes Typical Broker Commissions trade costs of $2.00

Statistics

  • Strategy began
    9/22/2011
  • Suggested Minimum Cap
    $100,000
  • Strategy Age (days)
    3119.03
  • Age
    104 months ago
  • What it trades
    Stocks
  • # Trades
    1004
  • # Profitable
    663
  • % Profitable
    66.00%
  • Avg trade duration
    49.5 days
  • Max peak-to-valley drawdown
    28.42%
  • drawdown period
    Jan 25, 2020 - March 19, 2020
  • Annual Return (Compounded)
    13.8%
  • Avg win
    $562.60
  • Avg loss
    $585.72
  • Model Account Values (Raw)
  • Cash
    $164,120
  • Margin Used
    $0
  • Buying Power
    $183,603
  • Ratios
  • W:L ratio
    2.26:1
  • Sharpe Ratio
    0.65
  • Sortino Ratio
    0.91
  • Calmar Ratio
    0.919
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    71.07%
  • Correlation to SP500
    0.63860
  • Return Percent SP500 (cumu) during strategy life
    120.32%
  • Return Statistics
  • Ann Return (w trading costs)
    13.8%
  • Slump
  • Current Slump as Pcnt Equity
    0.28%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.02%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.138%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    14.4%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    100.00%
  • Chance of 20% account loss
    100.00%
  • Chance of 30% account loss
    6.67%
  • 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)
    431
  • Popularity (Last 6 weeks)
    668
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • Popularity (7 days, Percentile 1000 scale)
    529
  • 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
    $602
  • Avg Win
    $575
  • Sum Trade PL (losers)
    $205,181.000
  • Age
  • Num Months filled monthly returns table
    103
  • Win / Loss
  • Sum Trade PL (winners)
    $381,278.000
  • # Winners
    663
  • Num Months Winners
    69
  • Dividends
  • Dividends Received in Model Acct
    39068
  • Win / Loss
  • # Losers
    341
  • % Winners
    66.0%
  • Frequency
  • Avg Position Time (mins)
    84494.30
  • Avg Position Time (hrs)
    1408.24
  • Avg Trade Length
    58.7 days
  • Last Trade Ago
    473
  • Regression
  • Alpha
    0.02
  • Beta
    0.69
  • Treynor Index
    0.05
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.00
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    9.48
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    13.82
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    0.18
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.00
  • Avg(MAE) / Avg(PL) - All trades
    2.609
  • 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
    0.358
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.267
  • Hold-and-Hope Ratio
    0.469
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.24057
  • SD
    0.16372
  • Sharpe ratio (Glass type estimate)
    1.46943
  • Sharpe ratio (Hedges UMVUE)
    1.45099
  • df
    60.00000
  • t
    3.31302
  • p
    0.00078
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.55579
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.37186
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.54374
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.35823
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.42408
  • Upside Potential Ratio
    4.44824
  • Upside part of mean
    0.31252
  • Downside part of mean
    -0.07196
  • Upside SD
    0.16202
  • Downside SD
    0.07026
  • N nonnegative terms
    46.00000
  • N negative terms
    15.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    61.00000
  • Mean of predictor
    0.16848
  • Mean of criterion
    0.24057
  • SD of predictor
    0.13941
  • SD of criterion
    0.16372
  • Covariance
    0.01465
  • r
    0.64208
  • b (slope, estimate of beta)
    0.75404
  • a (intercept, estimate of alpha)
    0.11353
  • Mean Square Error
    0.01602
  • DF error
    59.00000
  • t(b)
    6.43320
  • p(b)
    0.00000
  • t(a)
    1.90771
  • p(a)
    0.03065
  • Lowerbound of 95% confidence interval for beta
    0.51950
  • Upperbound of 95% confidence interval for beta
    0.98858
  • Lowerbound of 95% confidence interval for alpha
    -0.00555
  • Upperbound of 95% confidence interval for alpha
    0.23261
  • Treynor index (mean / b)
    0.31904
  • Jensen alpha (a)
    0.11353
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.22544
  • SD
    0.15634
  • Sharpe ratio (Glass type estimate)
    1.44199
  • Sharpe ratio (Hedges UMVUE)
    1.42389
  • df
    60.00000
  • t
    3.25114
  • p
    0.00094
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.52985
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.34310
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.51802
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.32976
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.07208
  • Upside Potential Ratio
    4.08591
  • Upside part of mean
    0.29984
  • Downside part of mean
    -0.07440
  • Upside SD
    0.15130
  • Downside SD
    0.07338
  • N nonnegative terms
    46.00000
  • N negative terms
    15.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    61.00000
  • Mean of predictor
    0.15761
  • Mean of criterion
    0.22544
  • SD of predictor
    0.13785
  • SD of criterion
    0.15634
  • Covariance
    0.01416
  • r
    0.65685
  • b (slope, estimate of beta)
    0.74495
  • a (intercept, estimate of alpha)
    0.10803
  • Mean Square Error
    0.01413
  • DF error
    59.00000
  • t(b)
    6.69126
  • p(b)
    0.00000
  • t(a)
    1.94400
  • p(a)
    0.02833
  • Lowerbound of 95% confidence interval for beta
    0.52218
  • Upperbound of 95% confidence interval for beta
    0.96773
  • Lowerbound of 95% confidence interval for alpha
    -0.00317
  • Upperbound of 95% confidence interval for alpha
    0.21923
  • Treynor index (mean / b)
    0.30263
  • Jensen alpha (a)
    0.10803
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.05394
  • Expected Shortfall on VaR
    0.07148
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00766
  • Expected Shortfall on VaR
    0.01999
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    61.00000
  • Minimum
    0.89607
  • Quartile 1
    1.00249
  • Median
    1.01687
  • Quartile 3
    1.03369
  • Maximum
    1.22702
  • Mean of quarter 1
    0.97948
  • Mean of quarter 2
    1.01038
  • Mean of quarter 3
    1.02535
  • Mean of quarter 4
    1.07716
  • Inter Quartile Range
    0.03120
  • Number outliers low
    3.00000
  • Percentage of outliers low
    0.04918
  • Mean of outliers low
    0.91454
  • Number of outliers high
    4.00000
  • Percentage of outliers high
    0.06557
  • Mean of outliers high
    1.14642
  • 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)
    0.49060
  • VaR(95%) (regression method)
    0.01823
  • Expected Shortfall (regression method)
    0.05594
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    9.00000
  • Minimum
    0.00241
  • Quartile 1
    0.00765
  • Median
    0.01635
  • Quartile 3
    0.02351
  • Maximum
    0.14667
  • Mean of quarter 1
    0.00418
  • Mean of quarter 2
    0.01313
  • Mean of quarter 3
    0.02081
  • Mean of quarter 4
    0.12530
  • Inter Quartile Range
    0.01586
  • 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
    0.22222
  • Mean of outliers high
    0.12530
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -44.18800
  • VaR(95%) (moments method)
    0.06339
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    -1.91169
  • VaR(95%) (regression method)
    0.20020
  • Expected Shortfall (regression method)
    0.20411
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.51640
  • Compounded annual return (geometric extrapolation)
    0.28833
  • Calmar ratio (compounded annual return / max draw down)
    1.96582
  • Compounded annual return / average of 25% largest draw downs
    2.30114
  • Compounded annual return / Expected Shortfall lognormal
    4.03353
  • 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
    0.21767
  • SD
    0.20021
  • Sharpe ratio (Glass type estimate)
    1.08721
  • Sharpe ratio (Hedges UMVUE)
    1.08660
  • df
    1344.00000
  • t
    2.46334
  • p
    0.46648
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.22100
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.95304
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.22059
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.95262
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.46531
  • Upside Potential Ratio
    5.90101
  • Upside part of mean
    0.87660
  • Downside part of mean
    -0.65893
  • Upside SD
    0.13479
  • Downside SD
    0.14855
  • N nonnegative terms
    749.00000
  • N negative terms
    596.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1345.00000
  • Mean of predictor
    0.15081
  • Mean of criterion
    0.21767
  • SD of predictor
    0.18508
  • SD of criterion
    0.20021
  • Covariance
    0.02416
  • r
    0.65207
  • b (slope, estimate of beta)
    0.70539
  • a (intercept, estimate of alpha)
    0.11100
  • Mean Square Error
    0.02306
  • DF error
    1343.00000
  • t(b)
    31.51930
  • p(b)
    0.11653
  • t(a)
    1.65847
  • p(a)
    0.47123
  • Lowerbound of 95% confidence interval for beta
    0.66149
  • Upperbound of 95% confidence interval for beta
    0.74929
  • Lowerbound of 95% confidence interval for alpha
    -0.02035
  • Upperbound of 95% confidence interval for alpha
    0.24293
  • Treynor index (mean / b)
    0.30858
  • Jensen alpha (a)
    0.11129
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.19704
  • SD
    0.20415
  • Sharpe ratio (Glass type estimate)
    0.96517
  • Sharpe ratio (Hedges UMVUE)
    0.96463
  • df
    1344.00000
  • t
    2.18683
  • p
    0.47023
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.09919
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.83082
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.09882
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.83044
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.25820
  • Upside Potential Ratio
    5.54090
  • Upside part of mean
    0.86773
  • Downside part of mean
    -0.67069
  • Upside SD
    0.13141
  • Downside SD
    0.15660
  • N nonnegative terms
    749.00000
  • N negative terms
    596.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1345.00000
  • Mean of predictor
    0.13333
  • Mean of criterion
    0.19704
  • SD of predictor
    0.18767
  • SD of criterion
    0.20415
  • Covariance
    0.02523
  • r
    0.65851
  • b (slope, estimate of beta)
    0.71632
  • a (intercept, estimate of alpha)
    0.10153
  • Mean Square Error
    0.02362
  • DF error
    1343.00000
  • t(b)
    32.06630
  • p(b)
    0.11344
  • t(a)
    1.49529
  • p(a)
    0.47405
  • Lowerbound of 95% confidence interval for beta
    0.67250
  • Upperbound of 95% confidence interval for beta
    0.76014
  • Lowerbound of 95% confidence interval for alpha
    -0.03167
  • Upperbound of 95% confidence interval for alpha
    0.23473
  • Treynor index (mean / b)
    0.27507
  • Jensen alpha (a)
    0.10153
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01980
  • Expected Shortfall on VaR
    0.02494
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00510
  • Expected Shortfall on VaR
    0.01196
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    1345.00000
  • Minimum
    0.82465
  • Quartile 1
    0.99839
  • Median
    1.00051
  • Quartile 3
    1.00347
  • Maximum
    1.14380
  • Mean of quarter 1
    0.99057
  • Mean of quarter 2
    0.99965
  • Mean of quarter 3
    1.00172
  • Mean of quarter 4
    1.01183
  • Inter Quartile Range
    0.00508
  • Number outliers low
    85.00000
  • Percentage of outliers low
    0.06320
  • Mean of outliers low
    0.97528
  • Number of outliers high
    117.00000
  • Percentage of outliers high
    0.08699
  • Mean of outliers high
    1.02210
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.75484
  • VaR(95%) (moments method)
    0.00800
  • Expected Shortfall (moments method)
    0.03599
  • Extreme Value Index (regression method)
    0.49473
  • VaR(95%) (regression method)
    0.00723
  • Expected Shortfall (regression method)
    0.01725
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    124.00000
  • Minimum
    0.00004
  • Quartile 1
    0.00119
  • Median
    0.00595
  • Quartile 3
    0.01352
  • Maximum
    0.27440
  • Mean of quarter 1
    0.00046
  • Mean of quarter 2
    0.00297
  • Mean of quarter 3
    0.00951
  • Mean of quarter 4
    0.05581
  • Inter Quartile Range
    0.01232
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    14.00000
  • Percentage of outliers high
    0.11290
  • Mean of outliers high
    0.09611
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.58973
  • VaR(95%) (moments method)
    0.05184
  • Expected Shortfall (moments method)
    0.14252
  • Extreme Value Index (regression method)
    0.68514
  • VaR(95%) (regression method)
    0.05340
  • Expected Shortfall (regression method)
    0.18323
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.42335
  • Compounded annual return (geometric extrapolation)
    0.25226
  • Calmar ratio (compounded annual return / max draw down)
    0.91930
  • Compounded annual return / average of 25% largest draw downs
    4.51972
  • Compounded annual return / Expected Shortfall lognormal
    10.11590
  • 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
    0.19131
  • SD
    0.39171
  • Sharpe ratio (Glass type estimate)
    0.48839
  • Sharpe ratio (Hedges UMVUE)
    0.48557
  • df
    130.00000
  • t
    0.34535
  • p
    0.48486
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.28490
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.25999
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.28687
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.25800
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.59502
  • Upside Potential Ratio
    6.09730
  • Upside part of mean
    1.96035
  • Downside part of mean
    -1.76904
  • Upside SD
    0.22143
  • Downside SD
    0.32151
  • N nonnegative terms
    78.00000
  • N negative terms
    53.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.16982
  • Mean of criterion
    0.19131
  • SD of predictor
    0.39643
  • SD of criterion
    0.39171
  • Covariance
    0.13021
  • r
    0.83850
  • b (slope, estimate of beta)
    0.82851
  • a (intercept, estimate of alpha)
    0.05061
  • Mean Square Error
    0.04591
  • DF error
    129.00000
  • t(b)
    17.47760
  • p(b)
    0.03800
  • t(a)
    0.16695
  • p(a)
    0.49064
  • Lowerbound of 95% confidence interval for beta
    0.73472
  • Upperbound of 95% confidence interval for beta
    0.92230
  • Lowerbound of 95% confidence interval for alpha
    -0.54914
  • Upperbound of 95% confidence interval for alpha
    0.65035
  • Treynor index (mean / b)
    0.23090
  • Jensen alpha (a)
    0.05061
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.11208
  • SD
    0.40356
  • Sharpe ratio (Glass type estimate)
    0.27773
  • Sharpe ratio (Hedges UMVUE)
    0.27613
  • df
    130.00000
  • t
    0.19639
  • p
    0.49139
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.49476
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.04926
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.49588
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.04814
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.33146
  • Upside Potential Ratio
    5.72600
  • Upside part of mean
    1.93620
  • Downside part of mean
    -1.82412
  • Upside SD
    0.21755
  • Downside SD
    0.33814
  • N nonnegative terms
    78.00000
  • N negative terms
    53.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.08862
  • Mean of criterion
    0.11208
  • SD of predictor
    0.40863
  • SD of criterion
    0.40356
  • Covariance
    0.13834
  • r
    0.83893
  • b (slope, estimate of beta)
    0.82853
  • a (intercept, estimate of alpha)
    0.03865
  • Mean Square Error
    0.04861
  • DF error
    129.00000
  • t(b)
    17.50770
  • p(b)
    0.03785
  • t(a)
    0.12395
  • p(a)
    0.49305
  • VAR (95 Confidence Intrvl)
    0.02000
  • Lowerbound of 95% confidence interval for beta
    0.73489
  • Upperbound of 95% confidence interval for beta
    0.92216
  • Lowerbound of 95% confidence interval for alpha
    -0.57833
  • Upperbound of 95% confidence interval for alpha
    0.65564
  • Treynor index (mean / b)
    0.13528
  • Jensen alpha (a)
    0.03865
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.03977
  • Expected Shortfall on VaR
    0.04968
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01301
  • Expected Shortfall on VaR
    0.02976
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.86574
  • Quartile 1
    0.99724
  • Median
    1.00223
  • Quartile 3
    1.00942
  • Maximum
    1.05974
  • Mean of quarter 1
    0.97414
  • Mean of quarter 2
    0.99980
  • Mean of quarter 3
    1.00592
  • Mean of quarter 4
    1.02364
  • Inter Quartile Range
    0.01219
  • Number outliers low
    13.00000
  • Percentage of outliers low
    0.09924
  • Mean of outliers low
    0.94916
  • Number of outliers high
    9.00000
  • Percentage of outliers high
    0.06870
  • Mean of outliers high
    1.03927
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.71385
  • VaR(95%) (moments method)
    0.01787
  • Expected Shortfall (moments method)
    0.07273
  • Extreme Value Index (regression method)
    0.30613
  • VaR(95%) (regression method)
    0.02695
  • Expected Shortfall (regression method)
    0.05414
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    10.00000
  • Minimum
    0.00036
  • Quartile 1
    0.00368
  • Median
    0.00965
  • Quartile 3
    0.08710
  • Maximum
    0.27440
  • Mean of quarter 1
    0.00177
  • Mean of quarter 2
    0.00557
  • Mean of quarter 3
    0.02130
  • Mean of quarter 4
    0.16466
  • Inter Quartile Range
    0.08342
  • 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
    0.10000
  • Mean of outliers high
    0.27440
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.34245
  • VaR(95%) (moments method)
    0.20192
  • Expected Shortfall (moments method)
    0.33403
  • Extreme Value Index (regression method)
    3.42058
  • VaR(95%) (regression method)
    0.46838
  • Last 4 Months - Pcnt Negative
    0.75%
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -281249000
  • Max Equity Drawdown (num days)
    54
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.14500
  • Compounded annual return (geometric extrapolation)
    0.15026
  • Calmar ratio (compounded annual return / max draw down)
    0.54760
  • Compounded annual return / average of 25% largest draw downs
    0.91253
  • Compounded annual return / Expected Shortfall lognormal
    3.02453

Strategy Description

Butterfly trades stocks of NASDAQ 100 and S&P 100 indexes. Its a long only system and it generates limit orders once a day to enter a long position.
Butterfly is a fully automated trading system based on statistical / quantitative analysis of stock prices.
Once a long position is taken the system generates a target profit order and a stop-loss order.
Positions are held at least one day and generally no more than one week.
The system is designed to be traded with at least $50,000 equity but the optimal performance can be achieved with $100,000 or more.
This system invests the same amount of money on any stock of nasdaq 100 or S&P 100 which has been selected by the statistical quantitative algorithm; as the equity of the portfolio increases, this amount proportionally increases.
Butterfly takes a low risk on the entire portfolio limiting losses, typically in %5 amounts of the total invested amount for each stock; the revenue estimate is greater than a 25% annual return percentage on the portfolio.

Summary Statistics

Strategy began
2011-09-22
Suggested Minimum Capital
$60,000
# Trades
1004
# Profitable
663
% Profitable
66.0%
Net Dividends
Correlation S&P500
0.639
Sharpe Ratio
0.65
Sortino Ratio
0.91
Beta
0.69
Alpha
0.02

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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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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