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Simple Swing
(89091740)

Created by: Simple_Swing_Trading Simple_Swing_Trading
Started: 08/2014
Stocks
Last trade: 839 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.

4.6%
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.

(16.6%)
Max Drawdown
237
Num Trades
40.1%
Win Trades
1.4 : 1
Profit Factor
37.7%
Win Months
Hypothetical Monthly Returns (includes system fee and Interactive Brokers commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2014                                                 +3.4%(1.8%)+2.3%+1.9%+3.8%+10.0%
2015+1.0%+7.7%+0.1%(0.2%)(1.8%)(3.4%)+5.4%  -  (3.7%)+2.4%+6.8%+1.6%+16.1%
2016(2.5%)+0.6%+6.8%+8.1%+0.4%(2.9%)(4%)+0.3%(3.7%)(3.4%)+1.3%+1.7%+2.0%
2017+1.7%+4.2%+1.3%+1.7%(0.1%)(8%)+0.8%(2.3%)+0.4%+0.4%+1.4%(2.1%)(1%)
2018  -    -    -    -    -    -    -    -    -    -    -    -  0.0
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 24 hours.

Trading Record

This strategy has placed 396 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
12/1/17 11:30 AAPL APPLE SHORT 120 169.30 12/15 15:27 174.13 1.56%
Trade id #115144198
Max drawdown($580)
Time12/15/17 15:27
Quant open0
Worst price174.13
Drawdown as % of equity-1.56%
($582)
Includes Typical Broker Commissions trade costs of $2.00
11/21/17 10:30 AAPL APPLE LONG 193 173.55 11/27 9:32 174.46 0.45%
Trade id #114960651
Max drawdown($167)
Time11/21/17 14:37
Quant open193
Worst price172.68
Drawdown as % of equity-0.45%
$174
Includes Typical Broker Commissions trade costs of $2.00
11/17/17 10:30 AAPL APPLE SHORT 201 170.56 11/21 9:30 171.02 0.45%
Trade id #114915235
Max drawdown($166)
Time11/17/17 10:48
Quant open-201
Worst price171.39
Drawdown as % of equity-0.45%
($94)
Includes Typical Broker Commissions trade costs of $2.02
11/2/17 14:30 AAPL APPLE LONG 134 168.25 11/9 12:15 174.21 0.21%
Trade id #114657549
Max drawdown($76)
Time11/2/17 15:24
Quant open134
Worst price167.68
Drawdown as % of equity-0.21%
$797
Includes Typical Broker Commissions trade costs of $2.00
10/26/17 10:30 AAPL APPLE LONG 181 157.23 11/1 9:56 167.33 0.07%
Trade id #114540967
Max drawdown($25)
Time10/26/17 13:52
Quant open181
Worst price157.09
Drawdown as % of equity-0.07%
$1,826
Includes Typical Broker Commissions trade costs of $2.00
10/25/17 11:30 AAPL APPLE SHORT 209 156.15 10/26 9:30 157.43 0.77%
Trade id #114519981
Max drawdown($268)
Time10/26/17 9:30
Quant open0
Worst price157.43
Drawdown as % of equity-0.77%
($270)
Includes Typical Broker Commissions trade costs of $2.08
10/24/17 12:30 AAPL APPLE LONG 182 156.94 10/25 11:30 156.16 0.67%
Trade id #114466765
Max drawdown($234)
Time10/25/17 11:19
Quant open182
Worst price155.65
Drawdown as % of equity-0.67%
($144)
Includes Typical Broker Commissions trade costs of $2.00
10/23/17 15:55 AAPL APPLE SHORT 202 156.04 10/24 12:30 156.93 0.79%
Trade id #114429880
Max drawdown($278)
Time10/24/17 10:09
Quant open-202
Worst price157.42
Drawdown as % of equity-0.79%
($182)
Includes Typical Broker Commissions trade costs of $2.02
10/23/17 13:30 AAPL APPLE LONG 220 157.32 10/23 15:55 156.04 1.13%
Trade id #114426465
Max drawdown($400)
Time10/23/17 15:51
Quant open220
Worst price155.50
Drawdown as % of equity-1.13%
($284)
Includes Typical Broker Commissions trade costs of $2.20
10/20/17 15:55 AAPL APPLE SHORT 218 156.09 10/23 13:30 157.30 0.97%
Trade id #114402981
Max drawdown($348)
Time10/23/17 12:31
Quant open-218
Worst price157.69
Drawdown as % of equity-0.97%
($266)
Includes Typical Broker Commissions trade costs of $2.18
10/13/17 12:30 AAPL APPLE LONG 279 157.10 10/19 9:30 156.55 0.43%
Trade id #114245635
Max drawdown($153)
Time10/13/17 12:38
Quant open279
Worst price156.55
Drawdown as % of equity-0.43%
($156)
Includes Typical Broker Commissions trade costs of $2.80
10/11/17 10:30 AAPL APPLE LONG 258 156.78 10/13 11:07 157.07 0.75%
Trade id #114154957
Max drawdown($270)
Time10/12/17 15:54
Quant open258
Worst price155.73
Drawdown as % of equity-0.75%
$72
Includes Typical Broker Commissions trade costs of $2.58
10/5/17 11:30 AAPL APPLE LONG 200 154.90 10/10 10:16 155.28 0.19%
Trade id #114040806
Max drawdown($68)
Time10/6/17 9:48
Quant open200
Worst price154.56
Drawdown as % of equity-0.19%
$74
Includes Typical Broker Commissions trade costs of $2.00
10/4/17 10:30 AAPL APPLE SHORT 245 153.14 10/5 9:31 154.25 0.77%
Trade id #114012717
Max drawdown($276)
Time10/5/17 8:54
Quant open-245
Worst price154.27
Drawdown as % of equity-0.77%
($274)
Includes Typical Broker Commissions trade costs of $2.46
10/2/17 15:55 AAPL APPLE LONG 266 153.88 10/4 9:30 153.44 0.44%
Trade id #113980237
Max drawdown($159)
Time10/4/17 8:49
Quant open266
Worst price153.28
Drawdown as % of equity-0.44%
($120)
Includes Typical Broker Commissions trade costs of $2.66
10/2/17 12:30 AAPL APPLE SHORT 191 153.01 10/2 15:55 153.87 0.53%
Trade id #113976576
Max drawdown($192)
Time10/2/17 14:31
Quant open-191
Worst price154.02
Drawdown as % of equity-0.53%
($166)
Includes Typical Broker Commissions trade costs of $2.00
9/26/17 10:30 AAPL APPLE LONG 140 152.59 10/2 12:30 152.99 0.31%
Trade id #113864323
Max drawdown($113)
Time9/26/17 11:11
Quant open140
Worst price151.78
Drawdown as % of equity-0.31%
$54
Includes Typical Broker Commissions trade costs of $2.00
9/15/17 10:30 AAPL APPLE LONG 215 159.98 9/15 10:30 159.14 0.49%
Trade id #113701958
Max drawdown($181)
Time9/15/17 0:00
Quant open0
Worst price159.14
Drawdown as % of equity-0.49%
($183)
Includes Typical Broker Commissions trade costs of $2.14
9/12/17 15:30 AAPL APPLE SHORT 113 160.59 9/15 9:55 159.51 0.13%
Trade id #113648894
Max drawdown($46)
Time9/12/17 15:37
Quant open-113
Worst price161.00
Drawdown as % of equity-0.13%
$120
Includes Typical Broker Commissions trade costs of $2.00
9/11/17 11:30 AAPL APPLE LONG 150 161.10 9/12 14:37 160.81 0.32%
Trade id #113625437
Max drawdown($118)
Time9/12/17 10:08
Quant open150
Worst price160.31
Drawdown as % of equity-0.32%
($46)
Includes Typical Broker Commissions trade costs of $2.00
9/7/17 12:30 AAPL APPLE SHORT 172 161.20 9/11 9:30 160.55 0.14%
Trade id #113583636
Max drawdown($51)
Time9/7/17 13:12
Quant open-172
Worst price161.50
Drawdown as % of equity-0.14%
$110
Includes Typical Broker Commissions trade costs of $2.00
8/25/17 10:30 AAPL APPLE LONG 190 160.43 8/29 9:30 160.10 0.61%
Trade id #113340908
Max drawdown($220)
Time8/25/17 12:20
Quant open190
Worst price159.27
Drawdown as % of equity-0.61%
($65)
Includes Typical Broker Commissions trade costs of $2.00
8/22/17 10:30 AAPL APPLE LONG 130 159.40 8/24 11:20 158.71 0.24%
Trade id #113275976
Max drawdown($89)
Time8/24/17 11:20
Quant open0
Worst price158.71
Drawdown as % of equity-0.24%
($91)
Includes Typical Broker Commissions trade costs of $2.00
8/18/17 15:55 AAPL APPLE SHORT 156 157.54 8/22 9:30 158.25 0.3%
Trade id #113236801
Max drawdown($111)
Time8/22/17 9:30
Quant open0
Worst price158.25
Drawdown as % of equity-0.30%
($113)
Includes Typical Broker Commissions trade costs of $2.00
8/16/17 12:30 AAPL APPLE LONG 209 162.41 8/17 10:16 158.62 2.13%
Trade id #113177778
Max drawdown($792)
Time8/17/17 10:16
Quant open0
Worst price158.62
Drawdown as % of equity-2.13%
($794)
Includes Typical Broker Commissions trade costs of $2.08
8/7/17 10:30 AAPL APPLE LONG 182 157.58 8/10 9:40 159.18 0.1%
Trade id #113017384
Max drawdown($35)
Time8/7/17 10:48
Quant open182
Worst price157.38
Drawdown as % of equity-0.10%
$290
Includes Typical Broker Commissions trade costs of $2.00
7/24/17 10:30 AAPL APPLE LONG 246 151.02 7/27 12:56 151.46 0.13%
Trade id #112747315
Max drawdown($48)
Time7/24/17 11:14
Quant open246
Worst price150.82
Drawdown as % of equity-0.13%
$106
Includes Typical Broker Commissions trade costs of $2.46
7/19/17 10:30 AAPL APPLE LONG 271 150.53 7/21 9:30 149.85 0.74%
Trade id #112681526
Max drawdown($276)
Time7/21/17 9:29
Quant open271
Worst price149.51
Drawdown as % of equity-0.74%
($187)
Includes Typical Broker Commissions trade costs of $2.70
7/7/17 11:30 AAPL APPLE LONG 215 144.03 7/18 9:34 149.02 0.39%
Trade id #112470115
Max drawdown($141)
Time7/10/17 9:55
Quant open215
Worst price143.37
Drawdown as % of equity-0.39%
$1,072
Includes Typical Broker Commissions trade costs of $2.14
7/6/17 10:30 AAPL APPLE SHORT 198 142.74 7/7 11:30 143.98 0.77%
Trade id #112443131
Max drawdown($278)
Time7/7/17 9:59
Quant open-198
Worst price144.14
Drawdown as % of equity-0.77%
($248)
Includes Typical Broker Commissions trade costs of $2.00

Statistics

  • Strategy began
    8/14/2014
  • Suggested Minimum Cap
    $25,000
  • Strategy Age (days)
    2057.07
  • Age
    69 months ago
  • What it trades
    Stocks
  • # Trades
    237
  • # Profitable
    95
  • % Profitable
    40.10%
  • Avg trade duration
    3.5 days
  • Max peak-to-valley drawdown
    16.59%
  • drawdown period
    May 18, 2017 - Oct 26, 2017
  • Annual Return (Compounded)
    5.5%
  • Avg win
    $460.68
  • Avg loss
    $227.60
  • Model Account Values (Raw)
  • Cash
    $36,904
  • Margin Used
    $0
  • Buying Power
    $36,904
  • Ratios
  • W:L ratio
    1.39:1
  • Sharpe Ratio
    0.38
  • Sortino Ratio
    0.56
  • Calmar Ratio
    0.807
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    9.02%
  • Correlation to SP500
    0.00270
  • Return Percent SP500 (cumu) during strategy life
    28.72%
  • Return Statistics
  • Ann Return (w trading costs)
    5.5%
  • Slump
  • Current Slump as Pcnt Equity
    0.13%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.51%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.055%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    7.1%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    100.00%
  • Chance of 20% account loss
    6.67%
  • Chance of 30% account loss
    n/a
  • Chance of 40% account loss
    n/a
  • Chance of 70% account loss (Monte Carlo)
    n/a
  • Chance of 80% account loss (Monte Carlo)
    n/a
  • Chance of 60% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    2202.00%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 90% account loss (Monte Carlo)
    n/a
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    438
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Popularity
  • Popularity (7 days, Percentile 1000 scale)
    365
  • 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
    $228
  • Avg Win
    $461
  • Sum Trade PL (losers)
    $32,319.000
  • Age
  • Num Months filled monthly returns table
    68
  • Win / Loss
  • Sum Trade PL (winners)
    $43,765.000
  • # Winners
    95
  • Num Months Winners
    28
  • Dividends
  • Dividends Received in Model Acct
    459
  • Win / Loss
  • # Losers
    142
  • % Winners
    40.1%
  • Frequency
  • Avg Position Time (mins)
    5068.77
  • Avg Position Time (hrs)
    84.48
  • Avg Trade Length
    3.5 days
  • Last Trade Ago
    852
  • Regression
  • Alpha
    0.01
  • Beta
    0.00
  • Treynor Index
    8.11
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.01
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    57.85
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    23.76
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    0.14
  • MAE:Equity, average, winning trades
    0.01
  • MAE:Equity, average, losing trades
    0.01
  • Avg(MAE) / Avg(PL) - All trades
    5.145
  • 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
    0.370
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.289
  • Hold-and-Hope Ratio
    0.194
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.08527
  • SD
    0.11585
  • Sharpe ratio (Glass type estimate)
    0.73606
  • Sharpe ratio (Hedges UMVUE)
    0.72313
  • df
    43.00000
  • t
    1.40944
  • p
    0.08295
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.30334
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.76713
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.31177
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.75804
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.29894
  • Upside Potential Ratio
    2.91576
  • Upside part of mean
    0.19141
  • Downside part of mean
    -0.10614
  • Upside SD
    0.09702
  • Downside SD
    0.06565
  • N nonnegative terms
    23.00000
  • N negative terms
    21.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    44.00000
  • Mean of predictor
    0.12283
  • Mean of criterion
    0.08527
  • SD of predictor
    0.13363
  • SD of criterion
    0.11585
  • Covariance
    0.00443
  • r
    0.28626
  • b (slope, estimate of beta)
    0.24816
  • a (intercept, estimate of alpha)
    0.05479
  • Mean Square Error
    0.01261
  • DF error
    42.00000
  • t(b)
    1.93618
  • p(b)
    0.02980
  • t(a)
    0.90217
  • p(a)
    0.18606
  • Lowerbound of 95% confidence interval for beta
    -0.01050
  • Upperbound of 95% confidence interval for beta
    0.50682
  • Lowerbound of 95% confidence interval for alpha
    -0.06777
  • Upperbound of 95% confidence interval for alpha
    0.17735
  • Treynor index (mean / b)
    0.34361
  • Jensen alpha (a)
    0.05479
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.07834
  • SD
    0.11474
  • Sharpe ratio (Glass type estimate)
    0.68279
  • Sharpe ratio (Hedges UMVUE)
    0.67080
  • df
    43.00000
  • t
    1.30744
  • p
    0.09901
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.35470
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.71255
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.36253
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.70412
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.16119
  • Upside Potential Ratio
    2.76382
  • Upside part of mean
    0.18647
  • Downside part of mean
    -0.10812
  • Upside SD
    0.09394
  • Downside SD
    0.06747
  • N nonnegative terms
    23.00000
  • N negative terms
    21.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    44.00000
  • Mean of predictor
    0.11350
  • Mean of criterion
    0.07834
  • SD of predictor
    0.13108
  • SD of criterion
    0.11474
  • Covariance
    0.00430
  • r
    0.28588
  • b (slope, estimate of beta)
    0.25024
  • a (intercept, estimate of alpha)
    0.04994
  • Mean Square Error
    0.01238
  • DF error
    42.00000
  • t(b)
    1.93341
  • p(b)
    0.02997
  • t(a)
    0.83336
  • p(a)
    0.20468
  • Lowerbound of 95% confidence interval for beta
    -0.01096
  • Upperbound of 95% confidence interval for beta
    0.51143
  • Lowerbound of 95% confidence interval for alpha
    -0.07100
  • Upperbound of 95% confidence interval for alpha
    0.17088
  • Treynor index (mean / b)
    0.31307
  • Jensen alpha (a)
    0.04994
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.04682
  • Expected Shortfall on VaR
    0.05985
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01970
  • Expected Shortfall on VaR
    0.03966
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    44.00000
  • Minimum
    0.92312
  • Quartile 1
    0.99080
  • Median
    1.00442
  • Quartile 3
    1.02707
  • Maximum
    1.09521
  • Mean of quarter 1
    0.97148
  • Mean of quarter 2
    0.99793
  • Mean of quarter 3
    1.01582
  • Mean of quarter 4
    1.05251
  • Inter Quartile Range
    0.03627
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.02273
  • Mean of outliers low
    0.92312
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.02273
  • Mean of outliers high
    1.09521
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.41939
  • VaR(95%) (moments method)
    0.02831
  • Expected Shortfall (moments method)
    0.05730
  • Extreme Value Index (regression method)
    0.90190
  • VaR(95%) (regression method)
    0.02635
  • Expected Shortfall (regression method)
    0.23053
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    7.00000
  • Minimum
    0.00001
  • Quartile 1
    0.00893
  • Median
    0.01508
  • Quartile 3
    0.07606
  • Maximum
    0.11805
  • Mean of quarter 1
    0.00268
  • Mean of quarter 2
    0.01379
  • Mean of quarter 3
    0.03754
  • Mean of quarter 4
    0.11631
  • Inter Quartile Range
    0.06713
  • 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)
    0.12992
  • Compounded annual return (geometric extrapolation)
    0.11210
  • Calmar ratio (compounded annual return / max draw down)
    0.94960
  • Compounded annual return / average of 25% largest draw downs
    0.96380
  • Compounded annual return / Expected Shortfall lognormal
    1.87293
  • 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
    0.08231
  • SD
    0.09749
  • Sharpe ratio (Glass type estimate)
    0.84437
  • Sharpe ratio (Hedges UMVUE)
    0.84372
  • df
    967.00000
  • t
    1.62301
  • p
    0.05246
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.17619
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.86454
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.17665
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.86408
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.27342
  • Upside Potential Ratio
    8.07055
  • Upside part of mean
    0.52168
  • Downside part of mean
    -0.43937
  • Upside SD
    0.07308
  • Downside SD
    0.06464
  • N nonnegative terms
    371.00000
  • N negative terms
    597.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    968.00000
  • Mean of predictor
    0.06480
  • Mean of criterion
    0.08231
  • SD of predictor
    0.23191
  • SD of criterion
    0.09749
  • Covariance
    0.00015
  • r
    0.00646
  • b (slope, estimate of beta)
    0.00272
  • a (intercept, estimate of alpha)
    0.08200
  • Mean Square Error
    0.00951
  • DF error
    966.00000
  • t(b)
    0.20081
  • p(b)
    0.42045
  • t(a)
    1.61850
  • p(a)
    0.05294
  • Lowerbound of 95% confidence interval for beta
    -0.02383
  • Upperbound of 95% confidence interval for beta
    0.02926
  • Lowerbound of 95% confidence interval for alpha
    -0.01745
  • Upperbound of 95% confidence interval for alpha
    0.18173
  • Treynor index (mean / b)
    30.30870
  • Jensen alpha (a)
    0.08214
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.07754
  • SD
    0.09764
  • Sharpe ratio (Glass type estimate)
    0.79409
  • Sharpe ratio (Hedges UMVUE)
    0.79347
  • df
    967.00000
  • t
    1.52636
  • p
    0.06362
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.22640
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.81418
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.22681
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.81376
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.18396
  • Upside Potential Ratio
    7.92469
  • Upside part of mean
    0.51898
  • Downside part of mean
    -0.44145
  • Upside SD
    0.07251
  • Downside SD
    0.06549
  • N nonnegative terms
    371.00000
  • N negative terms
    597.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    968.00000
  • Mean of predictor
    0.03541
  • Mean of criterion
    0.07754
  • SD of predictor
    0.24865
  • SD of criterion
    0.09764
  • Covariance
    0.00016
  • r
    0.00643
  • b (slope, estimate of beta)
    0.00253
  • a (intercept, estimate of alpha)
    0.07745
  • Mean Square Error
    0.00954
  • DF error
    966.00000
  • t(b)
    0.19989
  • p(b)
    0.42080
  • t(a)
    1.52378
  • p(a)
    0.06395
  • Lowerbound of 95% confidence interval for beta
    -0.02227
  • Upperbound of 95% confidence interval for beta
    0.02732
  • Lowerbound of 95% confidence interval for alpha
    -0.02229
  • Upperbound of 95% confidence interval for alpha
    0.17719
  • Treynor index (mean / b)
    30.70190
  • Jensen alpha (a)
    0.07745
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00958
  • Expected Shortfall on VaR
    0.01207
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00436
  • Expected Shortfall on VaR
    0.00886
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    968.00000
  • Minimum
    0.93757
  • Quartile 1
    0.99776
  • Median
    1.00000
  • Quartile 3
    1.00230
  • Maximum
    1.04164
  • Mean of quarter 1
    0.99419
  • Mean of quarter 2
    0.99936
  • Mean of quarter 3
    1.00063
  • Mean of quarter 4
    1.00750
  • Inter Quartile Range
    0.00454
  • Number outliers low
    27.00000
  • Percentage of outliers low
    0.02789
  • Mean of outliers low
    0.98456
  • Number of outliers high
    71.00000
  • Percentage of outliers high
    0.07335
  • Mean of outliers high
    1.01369
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.23905
  • VaR(95%) (moments method)
    0.00565
  • Expected Shortfall (moments method)
    0.00900
  • Extreme Value Index (regression method)
    0.16360
  • VaR(95%) (regression method)
    0.00543
  • Expected Shortfall (regression method)
    0.00811
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    35.00000
  • Minimum
    0.00011
  • Quartile 1
    0.00504
  • Median
    0.01373
  • Quartile 3
    0.03033
  • Maximum
    0.13779
  • Mean of quarter 1
    0.00217
  • Mean of quarter 2
    0.00785
  • Mean of quarter 3
    0.02026
  • Mean of quarter 4
    0.06188
  • Inter Quartile Range
    0.02528
  • 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
    0.05714
  • Mean of outliers high
    0.13082
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.39479
  • VaR(95%) (moments method)
    0.07044
  • Expected Shortfall (moments method)
    0.12684
  • Extreme Value Index (regression method)
    0.28713
  • VaR(95%) (regression method)
    0.05917
  • Expected Shortfall (regression method)
    0.08936
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.12893
  • Compounded annual return (geometric extrapolation)
    0.11120
  • Calmar ratio (compounded annual return / max draw down)
    0.80705
  • Compounded annual return / average of 25% largest draw downs
    1.79717
  • Compounded annual return / Expected Shortfall lognormal
    9.21234
  • 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
    -0.05726
  • SD
    0.02017
  • Sharpe ratio (Glass type estimate)
    -2.83885
  • Sharpe ratio (Hedges UMVUE)
    -2.82244
  • df
    130.00000
  • t
    -2.00737
  • p
    0.58669
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -5.62670
  • Upperbound of 95% confidence interval for Sharpe Ratio
    -0.04041
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -5.61539
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.02948
  • Statistics related to Sortino ratio
  • Sortino ratio
    -3.39053
  • Upside Potential Ratio
    2.36788
  • Upside part of mean
    0.03999
  • Downside part of mean
    -0.09724
  • Upside SD
    0.01145
  • Downside SD
    0.01689
  • N nonnegative terms
    9.00000
  • N negative terms
    122.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.04349
  • Mean of criterion
    -0.05726
  • SD of predictor
    0.54592
  • SD of criterion
    0.02017
  • Covariance
    -0.00035
  • r
    -0.03158
  • b (slope, estimate of beta)
    -0.00117
  • a (intercept, estimate of alpha)
    -0.05721
  • Mean Square Error
    0.00041
  • DF error
    129.00000
  • t(b)
    -0.35891
  • p(b)
    0.52010
  • t(a)
    -1.99883
  • p(a)
    0.60979
  • Lowerbound of 95% confidence interval for beta
    -0.00760
  • Upperbound of 95% confidence interval for beta
    0.00527
  • Lowerbound of 95% confidence interval for alpha
    -0.11383
  • Upperbound of 95% confidence interval for alpha
    -0.00058
  • Treynor index (mean / b)
    49.06790
  • Jensen alpha (a)
    -0.05721
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.05746
  • SD
    0.02018
  • Sharpe ratio (Glass type estimate)
    -2.84678
  • Sharpe ratio (Hedges UMVUE)
    -2.83033
  • df
    130.00000
  • t
    -2.01298
  • p
    0.58693
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -5.63476
  • Upperbound of 95% confidence interval for Sharpe Ratio
    -0.04823
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -5.62340
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.03725
  • Statistics related to Sortino ratio
  • Sortino ratio
    -3.39523
  • Upside Potential Ratio
    2.35871
  • Upside part of mean
    0.03992
  • Downside part of mean
    -0.09737
  • Upside SD
    0.01142
  • Downside SD
    0.01692
  • N nonnegative terms
    9.00000
  • N negative terms
    122.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.12288
  • Mean of criterion
    -0.05746
  • SD of predictor
    0.59796
  • SD of criterion
    0.02018
  • Covariance
    -0.00037
  • r
    -0.03031
  • b (slope, estimate of beta)
    -0.00102
  • a (intercept, estimate of alpha)
    -0.05758
  • Mean Square Error
    0.00041
  • DF error
    129.00000
  • t(b)
    -0.34441
  • p(b)
    0.51929
  • t(a)
    -2.01037
  • p(a)
    0.61040
  • VAR (95 Confidence Intrvl)
    0.01000
  • Lowerbound of 95% confidence interval for beta
    -0.00690
  • Upperbound of 95% confidence interval for beta
    0.00485
  • Lowerbound of 95% confidence interval for alpha
    -0.11425
  • Upperbound of 95% confidence interval for alpha
    -0.00091
  • Treynor index (mean / b)
    56.16260
  • Jensen alpha (a)
    -0.05758
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00227
  • Expected Shortfall on VaR
    0.00279
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00124
  • Expected Shortfall on VaR
    0.00253
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.99399
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.00522
  • Mean of quarter 1
    0.99892
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.00063
  • Inter Quartile Range
    0.00000
  • Number outliers low
    14.00000
  • Percentage of outliers low
    0.10687
  • Mean of outliers low
    0.99745
  • Number of outliers high
    9.00000
  • Percentage of outliers high
    0.06870
  • Mean of outliers high
    1.00233
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -4.64261
  • VaR(95%) (moments method)
    0.00105
  • Expected Shortfall (moments method)
    0.00109
  • Extreme Value Index (regression method)
    -0.19902
  • VaR(95%) (regression method)
    0.00131
  • Expected Shortfall (regression method)
    0.00245
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    1.00000
  • Minimum
    0.01833
  • Quartile 1
    0.01833
  • Median
    0.01833
  • Quartile 3
    0.01833
  • Maximum
    0.01833
  • Mean of quarter 1
    0.00000
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.00000
  • Inter Quartile Range
    0.00000
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • 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?
    -275046000
  • Max Equity Drawdown (num days)
    161
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.02933
  • Compounded annual return (geometric extrapolation)
    -0.02912
  • Calmar ratio (compounded annual return / max draw down)
    -1.58898
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    -10.44660

Strategy Description

A Simple Swing system designed to be easy to trade while providing excellent risk adjusted returns.

Risk control is the primary focus of Simple Swing.

The system is entirely automated. Nothing is discretionary. Nothing is left to chance.

Simple Swing has been developed to provide consistent long term gains while strictly controlling risk.

Consideration has also been given to making the system easy to follow and tradable.

Allow us to prove ourselves - Free trials available

Summary Statistics

Strategy began
2014-08-14
Suggested Minimum Capital
$15,000
# Trades
237
# Profitable
95
% Profitable
40.1%
Net Dividends
Correlation S&P500
0.003
Sharpe Ratio
0.38
Sortino Ratio
0.56
Beta
0.00
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.

0