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

SPY Master 2X
(85139579)

Created by: TechnicalTradeFore TechnicalTradeFore
Started: 01/2014
Stocks
Last trade: 526 days ago
Trading style: Equity Non-hedged Equity

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 $178.00 per month.

C2Star

C2Star is a certification program for trading strategies. In order to become "C2Star Certified," a strategy must apply tight risk controls, and must exhibit excellent performance characteristics, including low drawdowns.

You can read more about C2Star certification requirements here.

Note that: all trading strategies are risky, and C2Star Certification does not imply that a strategy is low risk.

Trading Category: Equity
Non-hedged Equity
Category: Equity

Non-hedged Equity

Predominantly long equities, although some hedging with short sales of stocks and/or stock index options. Commonly known as "stock-pickers."
6.7%
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.

(26.6%)
Max Drawdown
52
Num Trades
50.0%
Win Trades
1.8 : 1
Profit Factor
44.6%
Win Months
Hypothetical Monthly Returns (includes system fee and Interactive Brokers commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2014+3.3%+9.2%(3.4%)(5.6%)(4.7%)(0.8%)+2.1%+7.1%(3%)+6.8%+5.2%+6.4%+23.4%
2015(0.1%)+7.2%(8.9%)(2.9%)(6.9%)+3.6%(10.8%)+12.5%+3.0%(0.7%)(1%)(6%)(12.7%)
2016(14.9%)+9.9%+15.8%+1.8%+4.3%(10.1%)(0.7%)(3%)+0.5%(7.5%)+8.0%+4.1%+4.1%
2017+3.6%+9.1%(0.6%)+2.3%+1.9%(0.6%)+3.7%+0.4%+4.1%+5.2%+6.7%+2.2%+44.5%
2018+13.4%(3.1%)(3.4%)(4.6%)+0.9%+6.5%(4.6%)+7.0%+1.7%(18%)  -    -  (7.4%)
2019  -    -    -    -    -    -    -    -    -    -  0.0
2020  -    -    -    -                                                  0.0

Model Account Details

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

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

System developer has asked us to delay this information by 168 hours.

Trading Record

This strategy has placed 1 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
7/10/18 10:07 SSO PROSHARES ULTRA S&P500 LONG 161 117.31 10/24 15:02 107.89 7.38%
Trade id #118842076
Max drawdown($1,517)
Time10/24/18 15:02
Quant open0
Worst price107.89
Drawdown as % of equity-7.38%
($1,519)
Includes Typical Broker Commissions trade costs of $2.00
6/21/18 10:50 SDS PROSHARES ULTRASHORT S&P500 LONG 524 37.28 7/10 10:05 36.27 2.66%
Trade id #118564704
Max drawdown($560)
Time7/10/18 10:04
Quant open524
Worst price36.21
Drawdown as % of equity-2.66%
($534)
Includes Typical Broker Commissions trade costs of $5.24
6/21/18 10:42 SDS PROSHARES ULTRASHORT S&P500 LONG 524 37.32 6/21 10:42 37.31 0.02%
Trade id #118564303
Max drawdown($5)
Time6/21/18 10:42
Quant open0
Worst price37.31
Drawdown as % of equity-0.02%
($10)
Includes Typical Broker Commissions trade costs of $5.24
5/4/18 10:54 SSO PROSHARES ULTRA S&P500 LONG 172 105.65 6/21 10:39 114.05 n/a $1,443
Includes Typical Broker Commissions trade costs of $2.00
4/17/18 9:30 SSO PROSHARES ULTRA S&P500 LONG 179 109.86 5/3 10:24 102.46 6.48%
Trade id #117539656
Max drawdown($1,325)
Time5/3/18 10:24
Quant open0
Worst price102.46
Drawdown as % of equity-6.48%
($1,327)
Includes Typical Broker Commissions trade costs of $2.00
3/2/18 14:13 SSO PROSHARES ULTRA S&P500 LONG 179 109.08 3/22 9:30 109.26 0.71%
Trade id #116836323
Max drawdown($150)
Time3/2/18 15:08
Quant open179
Worst price108.24
Drawdown as % of equity-0.71%
$30
Includes Typical Broker Commissions trade costs of $2.00
2/12/18 12:13 SSO PROSHARES ULTRA S&P500 LONG 179 107.09 3/1 13:48 108.69 1.79%
Trade id #116463736
Max drawdown($377)
Time2/14/18 8:40
Quant open179
Worst price104.98
Drawdown as % of equity-1.79%
$285
Includes Typical Broker Commissions trade costs of $2.00
8/29/17 15:15 SSO PROSHARES ULTRA S&P500 LONG 181 91.40 2/5/18 9:30 114.24 n/a $4,132
Includes Typical Broker Commissions trade costs of $2.00
8/10/17 11:22 SDS PROSHARES ULTRASHORT S&P500 LONG 339 49.41 8/29 15:13 49.48 1.96%
Trade id #113083896
Max drawdown($323)
Time8/16/17 12:27
Quant open339
Worst price48.45
Drawdown as % of equity-1.96%
$21
Includes Typical Broker Commissions trade costs of $3.40
7/7/17 12:22 SSO PROSHARES ULTRA S&P500 LONG 183 89.63 8/10 11:19 91.78 1.06%
Trade id #112471987
Max drawdown($174)
Time7/11/17 11:27
Quant open183
Worst price88.67
Drawdown as % of equity-1.06%
$392
Includes Typical Broker Commissions trade costs of $2.00
6/29/17 12:53 SDS PROSHARES ULTRASHORT S&P500 LONG 1,269 12.74 7/7 12:18 12.64 1.77%
Trade id #112286881
Max drawdown($291)
Time7/3/17 10:15
Quant open1,269
Worst price12.51
Drawdown as % of equity-1.77%
($140)
Includes Typical Broker Commissions trade costs of $12.68
11/7/16 10:32 SSO PROSHARES ULTRA S&P500 LONG 182 67.95 6/29/17 12:00 89.03 n/a $3,835
Includes Typical Broker Commissions trade costs of $2.00
11/1/16 13:26 SDS PROSHARES ULTRASHORT S&P500 LONG 687 17.25 11/4 12:15 17.42 0.38%
Trade id #106834213
Max drawdown($48)
Time11/1/16 16:01
Quant open687
Worst price17.18
Drawdown as % of equity-0.38%
$110
Includes Typical Broker Commissions trade costs of $6.88
10/14/16 9:30 SSO PROSHARES ULTRA S&P500 LONG 186 69.48 11/1 13:24 67.23 3.43%
Trade id #106455799
Max drawdown($431)
Time11/1/16 13:23
Quant open186
Worst price67.16
Drawdown as % of equity-3.43%
($421)
Includes Typical Broker Commissions trade costs of $2.00
9/12/16 15:12 SSO PROSHARES ULTRA S&P500 LONG 189 70.58 10/13 9:30 68.21 3.85%
Trade id #105830082
Max drawdown($506)
Time10/13/16 4:01
Quant open189
Worst price67.90
Drawdown as % of equity-3.85%
($450)
Includes Typical Broker Commissions trade costs of $2.00
8/2/16 10:44 SDS PROSHARES ULTRASHORT S&P500 LONG 794 16.81 9/12 15:10 16.56 3.9%
Trade id #104938369
Max drawdown($516)
Time8/23/16 9:37
Quant open794
Worst price16.16
Drawdown as % of equity-3.90%
($207)
Includes Typical Broker Commissions trade costs of $7.94
6/15/16 10:16 SSO PROSHARES ULTRA S&P500 LONG 220 65.58 6/27 9:30 61.32 7.47%
Trade id #104071941
Max drawdown($1,036)
Time6/27/16 7:51
Quant open220
Worst price60.87
Drawdown as % of equity-7.47%
($939)
Includes Typical Broker Commissions trade costs of $2.20
6/13/16 15:15 SDS PROSHARES ULTRASHORT S&P500 LONG 793 18.26 6/15 10:14 18.22 0.22%
Trade id #103433360
Max drawdown($32)
Time6/15/16 10:14
Quant open0
Worst price18.22
Drawdown as % of equity-0.22%
($40)
Includes Typical Broker Commissions trade costs of $7.94
5/9/16 9:51 SSO PROSHARES ULTRA S&P500 LONG 221 63.96 6/13 15:12 65.57 3.3%
Trade id #102249966
Max drawdown($464)
Time5/19/16 11:14
Quant open221
Worst price61.86
Drawdown as % of equity-3.30%
$354
Includes Typical Broker Commissions trade costs of $2.20
4/28/16 15:54 SDS PROSHARES ULTRASHORT S&P500 LONG 756 18.62 5/9 9:48 18.76 1.07%
Trade id #102085172
Max drawdown($151)
Time5/2/16 15:44
Quant open756
Worst price18.42
Drawdown as % of equity-1.07%
$98
Includes Typical Broker Commissions trade costs of $7.56
2/12/16 11:11 SSO PROSHARES ULTRA S&P500 LONG 217 51.56 4/28 15:25 64.66 0.03%
Trade id #100612388
Max drawdown($3)
Time2/12/16 13:20
Quant open217
Worst price51.54
Drawdown as % of equity-0.03%
$2,841
Includes Typical Broker Commissions trade costs of $2.16
1/5/16 14:25 SSO PROSHARES ULTRA S&P500 LONG 197 61.66 1/7 14:34 56.84 8.26%
Trade id #99036043
Max drawdown($950)
Time1/7/16 14:34
Quant open0
Worst price56.84
Drawdown as % of equity-8.26%
($952)
Includes Typical Broker Commissions trade costs of $2.00
11/18/15 9:57 SSO PROSHARES ULTRA S&P500 LONG 201 64.42 1/4/16 10:42 60.14 6.99%
Trade id #98427810
Max drawdown($860)
Time1/4/16 10:42
Quant open0
Worst price60.14
Drawdown as % of equity-6.99%
($862)
Includes Typical Broker Commissions trade costs of $2.02
11/13/15 10:07 SDS PROSHARES ULTRASHORT S&P500 LONG 653 20.48 11/17 10:43 19.88 3.04%
Trade id #98365755
Max drawdown($398)
Time11/17/15 8:38
Quant open653
Worst price19.87
Drawdown as % of equity-3.04%
($399)
Includes Typical Broker Commissions trade costs of $6.54
9/2/15 13:29 SSO PROSHARES ULTRA S&P500 LONG 237 56.80 9/22 9:34 56.89 2.92%
Trade id #97010859
Max drawdown($381)
Time9/4/15 14:27
Quant open237
Worst price55.19
Drawdown as % of equity-2.92%
$19
Includes Typical Broker Commissions trade costs of $2.38
7/28/15 10:26 SDS PROSHARES ULTRASHORT S&P500 LONG 580 20.82 9/2 13:28 23.10 4.52%
Trade id #96105056
Max drawdown($521)
Time8/5/15 10:31
Quant open580
Worst price19.92
Drawdown as % of equity-4.52%
$1,316
Includes Typical Broker Commissions trade costs of $5.80
7/13/15 10:16 SSO PROSHARES ULTRA S&P500 LONG 185 66.74 7/28 10:20 65.01 3.27%
Trade id #95851829
Max drawdown($392)
Time7/27/15 9:44
Quant open185
Worst price64.62
Drawdown as % of equity-3.27%
($322)
Includes Typical Broker Commissions trade costs of $2.00
5/26/15 13:05 SDS PROSHARES ULTRASHORT S&P500 LONG 606 20.40 7/13 9:30 20.40 3.07%
Trade id #94625147
Max drawdown($369)
Time6/22/15 11:24
Quant open606
Worst price19.79
Drawdown as % of equity-3.07%
($6)
Includes Typical Broker Commissions trade costs of $6.06
3/25/15 11:31 SDS PROSHARES ULTRASHORT S&P500 LONG 623 21.03 5/20 14:27 19.84 6.06%
Trade id #93478239
Max drawdown($753)
Time5/19/15 6:02
Quant open623
Worst price19.82
Drawdown as % of equity-6.06%
($747)
Includes Typical Broker Commissions trade costs of $6.24
3/10/15 15:53 SDS PROSHARES ULTRASHORT S&P500 LONG 622 21.85 3/18 14:03 20.99 4%
Trade id #93126815
Max drawdown($535)
Time3/18/15 14:03
Quant open0
Worst price20.99
Drawdown as % of equity-4.00%
($541)
Includes Typical Broker Commissions trade costs of $6.22

Statistics

  • Strategy began
    1/13/2014
  • Suggested Minimum Cap
    $10,000
  • Strategy Age (days)
    2270.16
  • Age
    76 months ago
  • What it trades
    Stocks
  • # Trades
    52
  • # Profitable
    26
  • % Profitable
    50.00%
  • Avg trade duration
    28.1 days
  • Max peak-to-valley drawdown
    26.62%
  • drawdown period
    March 03, 2015 - Feb 12, 2016
  • Annual Return (Compounded)
    9.4%
  • Avg win
    $848.12
  • Avg loss
    $494.19
  • Model Account Values (Raw)
  • Cash
    $19,486
  • Margin Used
    $0
  • Buying Power
    $19,486
  • Ratios
  • W:L ratio
    1.76:1
  • Sharpe Ratio
    0.45
  • Sortino Ratio
    0.63
  • Calmar Ratio
    0.705
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    39.62%
  • Correlation to SP500
    0.16890
  • Return Percent SP500 (cumu) during strategy life
    38.34%
  • Return Statistics
  • Ann Return (w trading costs)
    9.4%
  • Slump
  • Current Slump as Pcnt Equity
    0.22%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.35%
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.094%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    11.3%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    29.50%
  • Chance of 20% account loss
    7.00%
  • Chance of 30% account loss
    0.50%
  • Chance of 40% account loss
    n/a
  • Chance of 70% account loss (Monte Carlo)
    n/a
  • Chance of 80% account loss (Monte Carlo)
    n/a
  • Chance of 60% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 90% account loss (Monte Carlo)
    n/a
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    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?
    0
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $494
  • Avg Win
    $848
  • Sum Trade PL (losers)
    $12,849.000
  • Age
  • Num Months filled monthly returns table
    75
  • Win / Loss
  • Sum Trade PL (winners)
    $22,051.000
  • # Winners
    26
  • Num Months Winners
    34
  • Dividends
  • Dividends Received in Model Acct
    284
  • Win / Loss
  • # Losers
    26
  • % Winners
    50.0%
  • Frequency
  • Avg Position Time (mins)
    40459.10
  • Avg Position Time (hrs)
    674.32
  • Avg Trade Length
    28.1 days
  • Last Trade Ago
    631
  • Regression
  • Alpha
    0.02
  • Beta
    0.16
  • Treynor Index
    0.14
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.03
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    80.15
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    8.89
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    1.13
  • MAE:Equity, average, winning trades
    0.02
  • MAE:Equity, average, losing trades
    0.04
  • Avg(MAE) / Avg(PL) - All trades
    -85.165
  • MAE:Equity, losing trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, win trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, 95th Percentile Value for this strat
    0.03
  • Avg(MAE) / Avg(PL) - Winning trades
    0.391
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.067
  • Hold-and-Hope Ratio
    -0.012
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.14183
  • SD
    0.19647
  • Sharpe ratio (Glass type estimate)
    0.72190
  • Sharpe ratio (Hedges UMVUE)
    0.71143
  • df
    52.00000
  • t
    1.51713
  • p
    0.06765
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.22430
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.66135
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.23115
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.65401
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.25101
  • Upside Potential Ratio
    2.96421
  • Upside part of mean
    0.33606
  • Downside part of mean
    -0.19423
  • Upside SD
    0.16339
  • Downside SD
    0.11337
  • N nonnegative terms
    29.00000
  • N negative terms
    24.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    53.00000
  • Mean of predictor
    0.09779
  • Mean of criterion
    0.14183
  • SD of predictor
    0.10186
  • SD of criterion
    0.19647
  • Covariance
    0.00422
  • r
    0.21082
  • b (slope, estimate of beta)
    0.40664
  • a (intercept, estimate of alpha)
    0.10207
  • Mean Square Error
    0.03761
  • DF error
    51.00000
  • t(b)
    1.54019
  • p(b)
    0.06485
  • t(a)
    1.06517
  • p(a)
    0.14591
  • Lowerbound of 95% confidence interval for beta
    -0.12340
  • Upperbound of 95% confidence interval for beta
    0.93669
  • Lowerbound of 95% confidence interval for alpha
    -0.09030
  • Upperbound of 95% confidence interval for alpha
    0.29443
  • Treynor index (mean / b)
    0.34878
  • Jensen alpha (a)
    0.10207
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.12224
  • SD
    0.19401
  • Sharpe ratio (Glass type estimate)
    0.63007
  • Sharpe ratio (Hedges UMVUE)
    0.62094
  • df
    52.00000
  • t
    1.32415
  • p
    0.09562
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.31330
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.56752
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.31927
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.56116
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.03060
  • Upside Potential Ratio
    2.72181
  • Upside part of mean
    0.32283
  • Downside part of mean
    -0.20059
  • Upside SD
    0.15526
  • Downside SD
    0.11861
  • N nonnegative terms
    29.00000
  • N negative terms
    24.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    53.00000
  • Mean of predictor
    0.09227
  • Mean of criterion
    0.12224
  • SD of predictor
    0.09958
  • SD of criterion
    0.19401
  • Covariance
    0.00453
  • r
    0.23453
  • b (slope, estimate of beta)
    0.45694
  • a (intercept, estimate of alpha)
    0.08008
  • Mean Square Error
    0.03627
  • DF error
    51.00000
  • t(b)
    1.72295
  • p(b)
    0.04548
  • t(a)
    0.85315
  • p(a)
    0.19878
  • Lowerbound of 95% confidence interval for beta
    -0.07549
  • Upperbound of 95% confidence interval for beta
    0.98937
  • Lowerbound of 95% confidence interval for alpha
    -0.10836
  • Upperbound of 95% confidence interval for alpha
    0.26851
  • Treynor index (mean / b)
    0.26752
  • Jensen alpha (a)
    0.08008
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.07867
  • Expected Shortfall on VaR
    0.09979
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.03506
  • Expected Shortfall on VaR
    0.06916
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    53.00000
  • Minimum
    0.86393
  • Quartile 1
    0.98102
  • Median
    1.00985
  • Quartile 3
    1.04665
  • Maximum
    1.14398
  • Mean of quarter 1
    0.94762
  • Mean of quarter 2
    0.99628
  • Mean of quarter 3
    1.03345
  • Mean of quarter 4
    1.08436
  • Inter Quartile Range
    0.06563
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.01887
  • Mean of outliers low
    0.86393
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.23348
  • VaR(95%) (moments method)
    0.04779
  • Expected Shortfall (moments method)
    0.05992
  • Extreme Value Index (regression method)
    -0.07069
  • VaR(95%) (regression method)
    0.05985
  • Expected Shortfall (regression method)
    0.08172
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    7.00000
  • Minimum
    0.00220
  • Quartile 1
    0.02730
  • Median
    0.10968
  • Quartile 3
    0.12666
  • Maximum
    0.16003
  • Mean of quarter 1
    0.00746
  • Mean of quarter 2
    0.07578
  • Mean of quarter 3
    0.11726
  • Mean of quarter 4
    0.14805
  • Inter Quartile Range
    0.09937
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.21303
  • Compounded annual return (geometric extrapolation)
    0.16200
  • Calmar ratio (compounded annual return / max draw down)
    1.01232
  • Compounded annual return / average of 25% largest draw downs
    1.09424
  • Compounded annual return / Expected Shortfall lognormal
    1.62353
  • 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
    0.13532
  • SD
    0.17197
  • Sharpe ratio (Glass type estimate)
    0.78687
  • Sharpe ratio (Hedges UMVUE)
    0.78637
  • df
    1170.00000
  • t
    1.66353
  • p
    0.47571
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.14093
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.71434
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.14127
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.71400
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.12080
  • Upside Potential Ratio
    7.94701
  • Upside part of mean
    0.95947
  • Downside part of mean
    -0.82415
  • Upside SD
    0.12265
  • Downside SD
    0.12073
  • N nonnegative terms
    558.00000
  • N negative terms
    613.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1171.00000
  • Mean of predictor
    0.06712
  • Mean of criterion
    0.13532
  • SD of predictor
    0.22040
  • SD of criterion
    0.17197
  • Covariance
    0.00528
  • r
    0.13937
  • b (slope, estimate of beta)
    0.10874
  • a (intercept, estimate of alpha)
    0.12800
  • Mean Square Error
    0.02902
  • DF error
    1169.00000
  • t(b)
    4.81202
  • p(b)
    0.41156
  • t(a)
    1.58836
  • p(a)
    0.47047
  • Lowerbound of 95% confidence interval for beta
    0.06440
  • Upperbound of 95% confidence interval for beta
    0.15308
  • Lowerbound of 95% confidence interval for alpha
    -0.03011
  • Upperbound of 95% confidence interval for alpha
    0.28615
  • Treynor index (mean / b)
    1.24441
  • Jensen alpha (a)
    0.12802
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.12047
  • SD
    0.17230
  • Sharpe ratio (Glass type estimate)
    0.69917
  • Sharpe ratio (Hedges UMVUE)
    0.69873
  • df
    1170.00000
  • t
    1.47813
  • p
    0.47841
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.22848
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.62656
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.22879
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.62624
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.98154
  • Upside Potential Ratio
    7.75661
  • Upside part of mean
    0.95198
  • Downside part of mean
    -0.83151
  • Upside SD
    0.12105
  • Downside SD
    0.12273
  • N nonnegative terms
    558.00000
  • N negative terms
    613.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1171.00000
  • Mean of predictor
    0.04056
  • Mean of criterion
    0.12047
  • SD of predictor
    0.23628
  • SD of criterion
    0.17230
  • Covariance
    0.00539
  • r
    0.13251
  • b (slope, estimate of beta)
    0.09662
  • a (intercept, estimate of alpha)
    0.11655
  • Mean Square Error
    0.02919
  • DF error
    1169.00000
  • t(b)
    4.57074
  • p(b)
    0.41589
  • t(a)
    1.44206
  • p(a)
    0.47318
  • Lowerbound of 95% confidence interval for beta
    0.05515
  • Upperbound of 95% confidence interval for beta
    0.13810
  • Lowerbound of 95% confidence interval for alpha
    -0.04202
  • Upperbound of 95% confidence interval for alpha
    0.27511
  • Treynor index (mean / b)
    1.24678
  • Jensen alpha (a)
    0.11655
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01690
  • Expected Shortfall on VaR
    0.02126
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00737
  • Expected Shortfall on VaR
    0.01527
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    1171.00000
  • Minimum
    0.92259
  • Quartile 1
    0.99661
  • Median
    1.00000
  • Quartile 3
    1.00559
  • Maximum
    1.07050
  • Mean of quarter 1
    0.98856
  • Mean of quarter 2
    0.99909
  • Mean of quarter 3
    1.00236
  • Mean of quarter 4
    1.01249
  • Inter Quartile Range
    0.00898
  • Number outliers low
    46.00000
  • Percentage of outliers low
    0.03928
  • Mean of outliers low
    0.97226
  • Number of outliers high
    45.00000
  • Percentage of outliers high
    0.03843
  • Mean of outliers high
    1.02789
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.22702
  • VaR(95%) (moments method)
    0.01001
  • Expected Shortfall (moments method)
    0.01633
  • Extreme Value Index (regression method)
    0.09510
  • VaR(95%) (regression method)
    0.01030
  • Expected Shortfall (regression method)
    0.01538
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    47.00000
  • Minimum
    0.00013
  • Quartile 1
    0.00187
  • Median
    0.00739
  • Quartile 3
    0.03191
  • Maximum
    0.22695
  • Mean of quarter 1
    0.00085
  • Mean of quarter 2
    0.00393
  • Mean of quarter 3
    0.01402
  • Mean of quarter 4
    0.09447
  • Inter Quartile Range
    0.03004
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    5.00000
  • Percentage of outliers high
    0.10638
  • Mean of outliers high
    0.16342
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.48285
  • VaR(95%) (moments method)
    0.10110
  • Expected Shortfall (moments method)
    0.22160
  • Extreme Value Index (regression method)
    0.40545
  • VaR(95%) (regression method)
    0.09089
  • Expected Shortfall (regression method)
    0.17284
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.21052
  • Compounded annual return (geometric extrapolation)
    0.15995
  • Calmar ratio (compounded annual return / max draw down)
    0.70474
  • Compounded annual return / average of 25% largest draw downs
    1.69308
  • Compounded annual return / Expected Shortfall lognormal
    7.52335
  • 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
    -0.23770
  • SD
    0.15623
  • Sharpe ratio (Glass type estimate)
    -1.52144
  • Sharpe ratio (Hedges UMVUE)
    -1.51264
  • df
    130.00000
  • t
    -1.07582
  • p
    0.54697
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -4.29651
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.25943
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -4.29054
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.26525
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.65190
  • Upside Potential Ratio
    3.30960
  • Upside part of mean
    0.47623
  • Downside part of mean
    -0.71393
  • Upside SD
    0.06109
  • Downside SD
    0.14389
  • N nonnegative terms
    46.00000
  • N negative terms
    85.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.09303
  • Mean of criterion
    -0.23770
  • SD of predictor
    0.53868
  • SD of criterion
    0.15623
  • Covariance
    0.01232
  • r
    0.14637
  • b (slope, estimate of beta)
    0.04245
  • a (intercept, estimate of alpha)
    -0.23375
  • Mean Square Error
    0.02407
  • DF error
    129.00000
  • t(b)
    1.68051
  • p(b)
    0.40715
  • t(a)
    -1.06528
  • p(a)
    0.55936
  • Lowerbound of 95% confidence interval for beta
    -0.00753
  • Upperbound of 95% confidence interval for beta
    0.09243
  • Lowerbound of 95% confidence interval for alpha
    -0.66789
  • Upperbound of 95% confidence interval for alpha
    0.20039
  • Treynor index (mean / b)
    -5.59936
  • Jensen alpha (a)
    -0.23375
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.25027
  • SD
    0.15980
  • Sharpe ratio (Glass type estimate)
    -1.56612
  • Sharpe ratio (Hedges UMVUE)
    -1.55706
  • df
    130.00000
  • t
    -1.10741
  • p
    0.54834
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -4.34155
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.21512
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -4.33532
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.22120
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.69162
  • Upside Potential Ratio
    3.20610
  • Upside part of mean
    0.47433
  • Downside part of mean
    -0.72460
  • Upside SD
    0.06077
  • Downside SD
    0.14794
  • N nonnegative terms
    46.00000
  • N negative terms
    85.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.25703
  • Mean of criterion
    -0.25027
  • SD of predictor
    0.59521
  • SD of criterion
    0.15980
  • Covariance
    0.01275
  • r
    0.13409
  • b (slope, estimate of beta)
    0.03600
  • a (intercept, estimate of alpha)
    -0.24101
  • Mean Square Error
    0.02527
  • DF error
    129.00000
  • t(b)
    1.53685
  • p(b)
    0.41489
  • t(a)
    -1.07165
  • p(a)
    0.55971
  • VAR (95 Confidence Intrvl)
    0.01700
  • Lowerbound of 95% confidence interval for beta
    -0.01035
  • Upperbound of 95% confidence interval for beta
    0.08235
  • Lowerbound of 95% confidence interval for alpha
    -0.68598
  • Upperbound of 95% confidence interval for alpha
    0.20395
  • Treynor index (mean / b)
    -6.95182
  • Jensen alpha (a)
    -0.24101
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01705
  • Expected Shortfall on VaR
    0.02109
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00723
  • Expected Shortfall on VaR
    0.01582
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.92761
  • Quartile 1
    0.99813
  • Median
    1.00000
  • Quartile 3
    1.00322
  • Maximum
    1.02045
  • Mean of quarter 1
    0.98963
  • Mean of quarter 2
    0.99982
  • Mean of quarter 3
    1.00057
  • Mean of quarter 4
    1.00681
  • Inter Quartile Range
    0.00509
  • Number outliers low
    10.00000
  • Percentage of outliers low
    0.07634
  • Mean of outliers low
    0.97654
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.01527
  • Mean of outliers high
    1.01651
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.71168
  • VaR(95%) (moments method)
    0.00891
  • Expected Shortfall (moments method)
    0.03447
  • Extreme Value Index (regression method)
    0.63299
  • VaR(95%) (regression method)
    0.00954
  • Expected Shortfall (regression method)
    0.03017
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    4.00000
  • Minimum
    0.02215
  • Quartile 1
    0.02376
  • Median
    0.04276
  • Quartile 3
    0.08335
  • Maximum
    0.14974
  • Mean of quarter 1
    0.02215
  • Mean of quarter 2
    0.02429
  • Mean of quarter 3
    0.06123
  • Mean of quarter 4
    0.14974
  • Inter Quartile Range
    0.05960
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • 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?
    -239360000
  • Max Equity Drawdown (num days)
    346
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.21044
  • Compounded annual return (geometric extrapolation)
    -0.19937
  • Calmar ratio (compounded annual return / max draw down)
    -1.33150
  • Compounded annual return / average of 25% largest draw downs
    -1.33150
  • Compounded annual return / Expected Shortfall lognormal
    -9.45468

Strategy Description

Summary Statistics

Strategy began
2014-01-13
Suggested Minimum Capital
$15,000
# Trades
52
# Profitable
26
% Profitable
50.0%
Net Dividends
Correlation S&P500
0.169
Sharpe Ratio
0.45
Sortino Ratio
0.63
Beta
0.16
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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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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