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SPREVE
(89729849)

Created by: SPREVETRADINGSYSTE SPREVETRADINGSYSTE
Started: 09/2014
Futures
Last trade: 1,112 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 $120.00 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.

34.0%
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.

(76.5%)
Max Drawdown
48
Num Trades
66.7%
Win Trades
3.3 : 1
Profit Factor
22.7%
Win Months
Hypothetical Monthly Returns (includes system fee and Interactive Brokers commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2014                                                        (2.3%)+41.5%(1.2%)+33.9%+83.0%
2015(20.9%)+5.5%(3.4%)+1.9%+14.7%+4.7%(7.9%)+78.8%+25.3%+1.3%(5.1%)+5.9%+106.9%
2016(22.1%)+1.2%(0.6%)(0.6%)(0.6%)(0.6%)(0.6%)(0.6%)(0.6%)(0.6%)(0.6%)+1.0%(24.4%)
2017+29.0%+30.2%+5.6%  -    -    -    -    -    -    -    -    -  +77.5%
2018  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2019  -    -    -    -    -    -    -    -    -    -    -  0.0
2020  -    -    -                                                        

Model Account Details

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

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

Trading Record

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Long
Short
Both
Win
Loss
Both
Show More details Show Fewer details
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
12/30/16 10:00 @ESH7 E-MINI S&P 500 LONG 3 2238.50 3/17/17 21:25 2384.50 n/a $21,888
Includes Typical Broker Commissions trade costs of $12.06
12/1/16 16:30 @ESZ6 E-MINI S&P 500 LONG 2 2191.75 12/5 3:58 2204.25 3.86%
Trade id #107675882
Max drawdown($1,275)
Time12/4/16 18:28
Quant open2
Worst price2179.00
Drawdown as % of equity-3.86%
$1,242
Includes Typical Broker Commissions trade costs of $8.04
2/26/16 8:30 @ESH6 E-MINI S&P 500 SHORT 1 1962.75 2/26 14:00 1949.25 0.5%
Trade id #100867016
Max drawdown($162)
Time2/26/16 8:46
Quant open-1
Worst price1966.00
Drawdown as % of equity-0.50%
$671
Includes Typical Broker Commissions trade costs of $4.02
2/17/16 10:30 @ESH6 E-MINI S&P 500 SHORT 1 1918.25 2/18 11:00 1915.25 2.38%
Trade id #100677845
Max drawdown($762)
Time2/18/16 6:28
Quant open-1
Worst price1933.50
Drawdown as % of equity-2.38%
$146
Includes Typical Broker Commissions trade costs of $4.02
2/8/16 7:30 @ESH6 E-MINI S&P 500 LONG 1 1852.50 2/9 10:30 1846.50 4.92%
Trade id #100396959
Max drawdown($1,537)
Time2/8/16 14:34
Quant open1
Worst price1821.75
Drawdown as % of equity-4.92%
($304)
Includes Typical Broker Commissions trade costs of $4.02
1/6/16 8:00 @ESH6 E-MINI S&P 500 LONG 2 1973.50 1/8 8:30 1954.25 14.67%
Trade id #99048271
Max drawdown($4,500)
Time1/7/16 16:03
Quant open2
Worst price1928.50
Drawdown as % of equity-14.67%
($1,933)
Includes Typical Broker Commissions trade costs of $8.04
1/5/16 7:30 @ESH6 E-MINI S&P 500 LONG 1 1996.75 1/5 7:30 1996.50 0.04%
Trade id #99026337
Max drawdown($13)
Time1/5/16 7:30
Quant open0
Worst price1996.50
Drawdown as % of equity-0.04%
($17)
Includes Typical Broker Commissions trade costs of $4.02
12/31/15 9:00 @ESH6 E-MINI S&P 500 LONG 4 2030.25 1/5/16 7:30 1996.50 29.4%
Trade id #98979243
Max drawdown($10,000)
Time1/4/16 11:12
Quant open4
Worst price1980.25
Drawdown as % of equity-29.40%
($6,766)
Includes Typical Broker Commissions trade costs of $16.08
12/18/15 14:03 @ESH6 E-MINI S&P 500 LONG 2 2008.75 12/22 7:30 2013.00 2.18%
Trade id #98847951
Max drawdown($887)
Time12/18/15 16:15
Quant open1
Worst price1991.00
Drawdown as % of equity-2.18%
$417
Includes Typical Broker Commissions trade costs of $8.04
12/3/15 12:30 @ESZ5 E-MINI S&P 500 LONG 3 2054.08 12/4 10:30 2070.00 5.7%
Trade id #98628305
Max drawdown($2,112)
Time12/3/15 14:44
Quant open3
Worst price2040.00
Drawdown as % of equity-5.70%
$2,376
Includes Typical Broker Commissions trade costs of $12.06
11/17/15 7:58 @ESZ5 E-MINI S&P 500 SHORT 1 2054.50 11/20 2:02 2079.50 4.57%
Trade id #98407671
Max drawdown($1,737)
Time11/19/15 6:38
Quant open-1
Worst price2089.25
Drawdown as % of equity-4.57%
($1,254)
Includes Typical Broker Commissions trade costs of $4.02
11/12/15 16:00 @ESZ5 E-MINI S&P 500 LONG 1 2042.25 11/16 12:41 2031.00 5.64%
Trade id #98351889
Max drawdown($2,187)
Time11/15/15 18:02
Quant open1
Worst price1998.50
Drawdown as % of equity-5.64%
($567)
Includes Typical Broker Commissions trade costs of $4.02
11/3/15 12:00 @ESZ5 E-MINI S&P 500 SHORT 1 2102.00 11/4 10:00 2100.25 1.03%
Trade id #98164286
Max drawdown($412)
Time11/3/15 14:31
Quant open-1
Worst price2110.25
Drawdown as % of equity-1.03%
$84
Includes Typical Broker Commissions trade costs of $4.02
10/16/15 16:00 @ESZ5 E-MINI S&P 500 SHORT 1 2025.25 10/19 8:30 2019.00 0.34%
Trade id #97852454
Max drawdown($137)
Time10/19/15 3:14
Quant open-1
Worst price2028.00
Drawdown as % of equity-0.34%
$309
Includes Typical Broker Commissions trade costs of $4.02
10/7/15 9:51 @ESZ5 E-MINI S&P 500 SHORT 1 1986.50 10/7 11:01 1979.75 0.6%
Trade id #97658636
Max drawdown($237)
Time10/7/15 10:20
Quant open-1
Worst price1991.25
Drawdown as % of equity-0.60%
$334
Includes Typical Broker Commissions trade costs of $4.02
9/29/15 15:30 @ESZ5 E-MINI S&P 500 LONG 3 1862.75 9/30 8:00 1896.00 n/a $4,976
Includes Typical Broker Commissions trade costs of $12.06
9/24/15 7:30 @ESZ5 E-MINI S&P 500 LONG 2 1910.00 9/24 15:00 1923.25 3.93%
Trade id #97415111
Max drawdown($1,275)
Time9/24/15 11:06
Quant open2
Worst price1897.25
Drawdown as % of equity-3.93%
$1,317
Includes Typical Broker Commissions trade costs of $8.04
9/18/15 7:30 @ESZ5 E-MINI S&P 500 LONG 3 1952.75 9/21 10:21 1960.75 6.79%
Trade id #97306387
Max drawdown($2,137)
Time9/20/15 21:20
Quant open3
Worst price1938.50
Drawdown as % of equity-6.79%
$1,188
Includes Typical Broker Commissions trade costs of $12.06
9/16/15 13:18 @ESZ5 E-MINI S&P 500 SHORT 1 1980.50 9/17 14:00 1994.25 2.13%
Trade id #97264623
Max drawdown($688)
Time9/17/15 14:00
Quant open0
Worst price1994.25
Drawdown as % of equity-2.13%
($692)
Includes Typical Broker Commissions trade costs of $4.02
9/9/15 8:30 @ESU5 E-MINI S&P 500 SHORT 1 1983.75 9/9 13:30 1965.75 0.75%
Trade id #97117647
Max drawdown($237)
Time9/9/15 9:06
Quant open-1
Worst price1988.50
Drawdown as % of equity-0.75%
$896
Includes Typical Broker Commissions trade costs of $4.02
8/25/15 16:00 @ESU5 E-MINI S&P 500 LONG 4 1878.06 8/26 15:30 1917.31 10.97%
Trade id #96843818
Max drawdown($2,537)
Time8/25/15 20:00
Quant open3
Worst price1850.50
Drawdown as % of equity-10.97%
$7,834
Includes Typical Broker Commissions trade costs of $16.08
8/24/15 2:07 @ESU5 E-MINI S&P 500 LONG 5 1928.00 8/25 8:00 1944.00 355.31%
Trade id #96796664
Max drawdown($24,250)
Time8/24/15 9:32
Quant open5
Worst price1831.00
Drawdown as % of equity-355.31%
$3,980
Includes Typical Broker Commissions trade costs of $20.10
8/12/15 10:30 @ESU5 E-MINI S&P 500 LONG 1 2051.50 8/12 14:00 2072.50 0.8%
Trade id #96591063
Max drawdown($150)
Time8/12/15 10:58
Quant open1
Worst price2048.50
Drawdown as % of equity-0.80%
$1,046
Includes Typical Broker Commissions trade costs of $4.02
8/3/15 14:30 @ESU5 E-MINI S&P 500 LONG 1 2082.50 8/4 9:30 2090.50 0.54%
Trade id #96251822
Max drawdown($100)
Time8/3/15 14:59
Quant open1
Worst price2080.50
Drawdown as % of equity-0.54%
$396
Includes Typical Broker Commissions trade costs of $4.02
7/24/15 12:55 @ESU5 E-MINI S&P 500 LONG 3 2081.33 7/28 8:00 2074.50 21.3%
Trade id #96060168
Max drawdown($3,725)
Time7/27/15 9:44
Quant open3
Worst price2056.50
Drawdown as % of equity-21.30%
($1,037)
Includes Typical Broker Commissions trade costs of $12.06
7/15/15 4:32 @ESU5 E-MINI S&P 500 SHORT 1 2103.25 7/15 10:40 2106.50 0.83%
Trade id #95890023
Max drawdown($163)
Time7/15/15 10:40
Quant open0
Worst price2106.50
Drawdown as % of equity-0.83%
($167)
Includes Typical Broker Commissions trade costs of $4.02
6/28/15 18:00 @ESU5 E-MINI S&P 500 LONG 4 2059.62 7/1 14:03 2068.25 6.77%
Trade id #95530598
Max drawdown($1,287)
Time6/30/15 12:33
Quant open2
Worst price2046.75
Drawdown as % of equity-6.77%
$1,709
Includes Typical Broker Commissions trade costs of $16.08
6/18/15 10:00 @ESU5 E-MINI S&P 500 SHORT 1 2104.50 6/19 10:00 2109.50 4.16%
Trade id #95143320
Max drawdown($737)
Time6/18/15 12:36
Quant open-1
Worst price2119.25
Drawdown as % of equity-4.16%
($254)
Includes Typical Broker Commissions trade costs of $4.02
6/15/15 7:30 @ESM5 E-MINI S&P 500 LONG 3 2081.83 6/16 10:00 2087.25 10.68%
Trade id #95007205
Max drawdown($1,700)
Time6/16/15 3:58
Quant open3
Worst price2070.50
Drawdown as % of equity-10.68%
$801
Includes Typical Broker Commissions trade costs of $12.06
6/8/15 9:00 @ESM5 E-MINI S&P 500 LONG 3 2088.75 6/9 12:30 2080.00 18.26%
Trade id #94861440
Max drawdown($3,000)
Time6/9/15 5:56
Quant open3
Worst price2068.75
Drawdown as % of equity-18.26%
($1,325)
Includes Typical Broker Commissions trade costs of $12.06

Statistics

  • Strategy began
    9/17/2014
  • Suggested Minimum Cap
    $10,000
  • Strategy Age (days)
    2021.44
  • Age
    67 months ago
  • What it trades
    Futures
  • # Trades
    48
  • # Profitable
    32
  • % Profitable
    66.70%
  • Avg trade duration
    3.1 days
  • Max peak-to-valley drawdown
    76.51%
  • drawdown period
    Aug 24, 2015 - Aug 24, 2015
  • Annual Return (Compounded)
    34.3%
  • Avg win
    $2,083
  • Avg loss
    $1,275
  • Model Account Values (Raw)
  • Cash
    $56,254
  • Margin Used
    $0
  • Buying Power
    $56,254
  • Ratios
  • W:L ratio
    3.27:1
  • Sharpe Ratio
    0.82
  • Sortino Ratio
    1.88
  • Calmar Ratio
    4.119
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    381.59%
  • Correlation to SP500
    0.12870
  • Return Percent SP500 (cumu) during strategy life
    25.74%
  • Return Statistics
  • Ann Return (w trading costs)
    34.3%
  • Slump
  • Current Slump as Pcnt Equity
    n/a
  • Instruments
  • Percent Trades Futures
    1.00%
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    n/a
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.343%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    n/a
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    36.5%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    66.00%
  • Chance of 20% account loss
    54.50%
  • Chance of 30% account loss
    47.50%
  • Chance of 40% account loss
    38.50%
  • Chance of 100% account loss (Monte Carlo)
    n/a
  • Chance of 70% account loss (Monte Carlo)
    4.50%
  • Chance of 80% account loss (Monte Carlo)
    1.00%
  • Chance of 60% account loss (Monte Carlo)
    8.00%
  • Automation
  • Percentage Signals Automated
    39.00%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 90% account loss (Monte Carlo)
    n/a
  • Chance of 50% account loss
    20.50%
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    0
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • Popularity (7 days, Percentile 1000 scale)
    0
  • Management
  • No Subs Allowed Flag (1: no subs)
    0
  • Strat abandoned?
    1
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $1,275
  • Avg Win
    $2,083
  • Sum Trade PL (losers)
    $20,403.000
  • Age
  • Num Months filled monthly returns table
    67
  • Win / Loss
  • Sum Trade PL (winners)
    $66,657.000
  • # Winners
    32
  • Num Months Winners
    15
  • Dividends
  • Dividends Received in Model Acct
    0
  • Win / Loss
  • # Losers
    16
  • % Winners
    66.7%
  • Frequency
  • Avg Position Time (mins)
    4419.23
  • Avg Position Time (hrs)
    73.65
  • Avg Trade Length
    3.1 days
  • Last Trade Ago
    1109
  • Regression
  • Alpha
    0.09
  • Beta
    0.27
  • Treynor Index
    0.34
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.20
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    26.78
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    59.99
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -0.43
  • MAE:Equity, average, winning trades
    0.22
  • MAE:Equity, average, losing trades
    0.16
  • Avg(MAE) / Avg(PL) - All trades
    4.867
  • 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
    0.16
  • Avg(MAE) / Avg(PL) - Winning trades
    1.243
  • Avg(MAE) / Avg(PL) - Losing trades
    -2.197
  • Hold-and-Hope Ratio
    0.205
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.84030
  • SD
    0.63302
  • Sharpe ratio (Glass type estimate)
    1.32744
  • Sharpe ratio (Hedges UMVUE)
    1.29276
  • df
    29.00000
  • t
    2.09886
  • p
    0.02232
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.03146
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.60225
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.00930
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.57622
  • Statistics related to Sortino ratio
  • Sortino ratio
    4.62868
  • Upside Potential Ratio
    5.72199
  • Upside part of mean
    1.03878
  • Downside part of mean
    -0.19848
  • Upside SD
    0.64284
  • Downside SD
    0.18154
  • N nonnegative terms
    14.00000
  • N negative terms
    16.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    30.00000
  • Mean of predictor
    0.17134
  • Mean of criterion
    0.84030
  • SD of predictor
    0.23645
  • SD of criterion
    0.63302
  • Covariance
    -0.01945
  • r
    -0.12997
  • b (slope, estimate of beta)
    -0.34796
  • a (intercept, estimate of alpha)
    0.89992
  • Mean Square Error
    0.40802
  • DF error
    28.00000
  • t(b)
    -0.69362
  • p(b)
    0.75318
  • t(a)
    2.17881
  • p(a)
    0.01896
  • Lowerbound of 95% confidence interval for beta
    -1.37555
  • Upperbound of 95% confidence interval for beta
    0.67964
  • Lowerbound of 95% confidence interval for alpha
    0.05386
  • Upperbound of 95% confidence interval for alpha
    1.74598
  • Treynor index (mean / b)
    -2.41495
  • Jensen alpha (a)
    0.89992
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.66298
  • SD
    0.53595
  • Sharpe ratio (Glass type estimate)
    1.23703
  • Sharpe ratio (Hedges UMVUE)
    1.20471
  • df
    29.00000
  • t
    1.95592
  • p
    0.03008
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.05239
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.50655
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.07306
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.48249
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.28853
  • Upside Potential Ratio
    4.36460
  • Upside part of mean
    0.87992
  • Downside part of mean
    -0.21694
  • Upside SD
    0.52311
  • Downside SD
    0.20160
  • N nonnegative terms
    14.00000
  • N negative terms
    16.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    30.00000
  • Mean of predictor
    0.14427
  • Mean of criterion
    0.66298
  • SD of predictor
    0.22824
  • SD of criterion
    0.53595
  • Covariance
    -0.01144
  • r
    -0.09354
  • b (slope, estimate of beta)
    -0.21965
  • a (intercept, estimate of alpha)
    0.69467
  • Mean Square Error
    0.29489
  • DF error
    28.00000
  • t(b)
    -0.49715
  • p(b)
    0.68852
  • t(a)
    1.98867
  • p(a)
    0.02830
  • Lowerbound of 95% confidence interval for beta
    -1.12469
  • Upperbound of 95% confidence interval for beta
    0.68538
  • Lowerbound of 95% confidence interval for alpha
    -0.02087
  • Upperbound of 95% confidence interval for alpha
    1.41021
  • Treynor index (mean / b)
    -3.01832
  • Jensen alpha (a)
    0.69467
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.18064
  • Expected Shortfall on VaR
    0.23070
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.03852
  • Expected Shortfall on VaR
    0.08591
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    30.00000
  • Minimum
    0.79766
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.06037
  • Maximum
    1.68254
  • Mean of quarter 1
    0.94263
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.02531
  • Mean of quarter 4
    1.30655
  • Inter Quartile Range
    0.06037
  • Number outliers low
    2.00000
  • Percentage of outliers low
    0.06667
  • Mean of outliers low
    0.80221
  • Number of outliers high
    6.00000
  • Percentage of outliers high
    0.20000
  • Mean of outliers high
    1.37700
  • 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)
    -0.47177
  • VaR(95%) (regression method)
    0.06756
  • Expected Shortfall (regression method)
    0.09179
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    3.00000
  • Minimum
    0.04002
  • Quartile 1
    0.11663
  • Median
    0.19324
  • Quartile 3
    0.20146
  • Maximum
    0.20968
  • Mean of quarter 1
    0.04002
  • Mean of quarter 2
    0.19324
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.20968
  • Inter Quartile Range
    0.08483
  • 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)
    1.85000
  • Compounded annual return (geometric extrapolation)
    0.99549
  • Calmar ratio (compounded annual return / max draw down)
    4.74760
  • Compounded annual return / average of 25% largest draw downs
    4.74760
  • Compounded annual return / Expected Shortfall lognormal
    4.31506
  • 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
    0.74790
  • SD
    0.46982
  • Sharpe ratio (Glass type estimate)
    1.59190
  • Sharpe ratio (Hedges UMVUE)
    1.59012
  • df
    670.00000
  • t
    2.54758
  • p
    0.00553
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.36365
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.81902
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.36245
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.81780
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.66849
  • Upside Potential Ratio
    6.91313
  • Upside part of mean
    1.40939
  • Downside part of mean
    -0.66149
  • Upside SD
    0.42540
  • Downside SD
    0.20387
  • N nonnegative terms
    85.00000
  • N negative terms
    586.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    671.00000
  • Mean of predictor
    0.10707
  • Mean of criterion
    0.74790
  • SD of predictor
    0.23647
  • SD of criterion
    0.46982
  • Covariance
    0.01370
  • r
    0.12331
  • b (slope, estimate of beta)
    0.24499
  • a (intercept, estimate of alpha)
    0.72200
  • Mean Square Error
    0.21770
  • DF error
    669.00000
  • t(b)
    3.21394
  • p(b)
    0.00069
  • t(a)
    2.47431
  • p(a)
    0.00680
  • Lowerbound of 95% confidence interval for beta
    0.09532
  • Upperbound of 95% confidence interval for beta
    0.39467
  • Lowerbound of 95% confidence interval for alpha
    0.14898
  • Upperbound of 95% confidence interval for alpha
    1.29436
  • Treynor index (mean / b)
    3.05274
  • Jensen alpha (a)
    0.72167
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.64651
  • SD
    0.43908
  • Sharpe ratio (Glass type estimate)
    1.47241
  • Sharpe ratio (Hedges UMVUE)
    1.47076
  • df
    670.00000
  • t
    2.35635
  • p
    0.00937
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.24463
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.69915
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.24351
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.69801
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.01557
  • Upside Potential Ratio
    6.20433
  • Upside part of mean
    1.33015
  • Downside part of mean
    -0.68364
  • Upside SD
    0.38488
  • Downside SD
    0.21439
  • N nonnegative terms
    85.00000
  • N negative terms
    586.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    671.00000
  • Mean of predictor
    0.07821
  • Mean of criterion
    0.64651
  • SD of predictor
    0.24240
  • SD of criterion
    0.43908
  • Covariance
    0.01394
  • r
    0.13098
  • b (slope, estimate of beta)
    0.23725
  • a (intercept, estimate of alpha)
    0.62795
  • Mean Square Error
    0.18977
  • DF error
    669.00000
  • t(b)
    3.41711
  • p(b)
    0.00034
  • t(a)
    2.30642
  • p(a)
    0.01070
  • Lowerbound of 95% confidence interval for beta
    0.10092
  • Upperbound of 95% confidence interval for beta
    0.37357
  • Lowerbound of 95% confidence interval for alpha
    0.09336
  • Upperbound of 95% confidence interval for alpha
    1.16254
  • Treynor index (mean / b)
    2.72503
  • Jensen alpha (a)
    0.62795
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.04128
  • Expected Shortfall on VaR
    0.05203
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00806
  • Expected Shortfall on VaR
    0.01800
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    671.00000
  • Minimum
    0.85944
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.31284
  • Mean of quarter 1
    0.99029
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.02154
  • Inter Quartile Range
    0.00000
  • Number outliers low
    69.00000
  • Percentage of outliers low
    0.10283
  • Mean of outliers low
    0.97635
  • Number of outliers high
    85.00000
  • Percentage of outliers high
    0.12668
  • Mean of outliers high
    1.04257
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.70971
  • VaR(95%) (moments method)
    0.00276
  • Expected Shortfall (moments method)
    0.01541
  • Extreme Value Index (regression method)
    0.31556
  • VaR(95%) (regression method)
    0.00810
  • Expected Shortfall (regression method)
    0.02588
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    16.00000
  • Minimum
    0.00086
  • Quartile 1
    0.00492
  • Median
    0.02586
  • Quartile 3
    0.06964
  • Maximum
    0.23378
  • Mean of quarter 1
    0.00262
  • Mean of quarter 2
    0.01435
  • Mean of quarter 3
    0.04536
  • Mean of quarter 4
    0.17448
  • Inter Quartile Range
    0.06472
  • 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
    0.12500
  • Mean of outliers high
    0.23104
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -4.95660
  • VaR(95%) (moments method)
    0.17571
  • Expected Shortfall (moments method)
    0.17581
  • Extreme Value Index (regression method)
    -3.28217
  • VaR(95%) (regression method)
    0.30430
  • Expected Shortfall (regression method)
    0.30532
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    1.80589
  • Compounded annual return (geometric extrapolation)
    0.96288
  • Calmar ratio (compounded annual return / max draw down)
    4.11877
  • Compounded annual return / average of 25% largest draw downs
    5.51862
  • Compounded annual return / Expected Shortfall lognormal
    18.50510
  • 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
    -0.02791
  • SD
    0.00000
  • Sharpe ratio (Glass type estimate)
    0.00000
  • Sharpe ratio (Hedges UMVUE)
    0.00000
  • df
    0.00000
  • t
    0.00000
  • p
    0.00000
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.00000
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.00000
  • Statistics related to Sortino ratio
  • Sortino ratio
    -16.18640
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    0.00000
  • Downside part of mean
    -0.02791
  • Upside SD
    0.00000
  • Downside SD
    0.00172
  • N nonnegative terms
    0.00000
  • N negative terms
    131.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.02947
  • Mean of criterion
    -0.02791
  • SD of predictor
    0.38725
  • SD of criterion
    0.00000
  • Covariance
    0.00000
  • r
    0.00000
  • b (slope, estimate of beta)
    0.00000
  • a (intercept, estimate of alpha)
    0.00000
  • Mean Square Error
    0.00000
  • DF error
    0.00000
  • t(b)
    0.00000
  • p(b)
    0.00000
  • t(a)
    0.00000
  • p(a)
    0.00000
  • Lowerbound of 95% confidence interval for beta
    0.00000
  • Upperbound of 95% confidence interval for beta
    0.00000
  • Lowerbound of 95% confidence interval for alpha
    0.00000
  • Upperbound of 95% confidence interval for alpha
    0.00000
  • Treynor index (mean / b)
    0.00000
  • Jensen alpha (a)
    0.00000
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.02791
  • SD
    0.00000
  • Sharpe ratio (Glass type estimate)
    -9748420000000000.00000
  • Sharpe ratio (Hedges UMVUE)
    -9692070000000000.00000
  • df
    130.00000
  • t
    -6893170000000000.00000
  • p
    1.00000
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -10870200000000000.00000
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -8513980000000000.00000
  • Statistics related to Sortino ratio
  • Sortino ratio
    -16.18640
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    0.00000
  • Downside part of mean
    -0.02791
  • Upside SD
    0.00000
  • Downside SD
    0.00172
  • N nonnegative terms
    0.00000
  • N negative terms
    131.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.04923
  • Mean of criterion
    -0.02791
  • SD of predictor
    0.40415
  • SD of criterion
    0.00000
  • Covariance
    0.00000
  • r
    0.00000
  • b (slope, estimate of beta)
    0.00000
  • a (intercept, estimate of alpha)
    -0.02791
  • Mean Square Error
    0.00000
  • DF error
    129.00000
  • t(b)
    0.00000
  • p(b)
    0.50000
  • t(a)
    -6866410000000000.00000
  • p(a)
    1.00000
  • VAR (95 Confidence Intrvl)
    0.04100
  • Lowerbound of 95% confidence interval for beta
    -0.00000
  • Upperbound of 95% confidence interval for beta
    0.00000
  • Lowerbound of 95% confidence interval for alpha
    -0.02791
  • Upperbound of 95% confidence interval for alpha
    -0.02791
  • Treynor index (mean / b)
    -751583999999999952011664681861120.00000
  • Jensen alpha (a)
    -0.02791
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00011
  • Expected Shortfall on VaR
    0.00011
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00000
  • Expected Shortfall on VaR
    0.00000
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    1.00000
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.00000
  • Mean of quarter 1
    1.00000
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.00000
  • 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 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)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    0.00000
  • Minimum
    0.00000
  • Quartile 1
    0.00000
  • Median
    0.00000
  • Quartile 3
    0.00000
  • Maximum
    0.00000
  • 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?
    -314810000
  • Max Equity Drawdown (num days)
    21
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.00000
  • Compounded annual return (geometric extrapolation)
    0.00000
  • Calmar ratio (compounded annual return / max draw down)
    0.00000
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    0.00000

Strategy Description

SPREVE is a fully mechanical trading system, being actually traded, using 30 minutes intraday period. It has been tested on the dax, eurotoxx50, mini dow jones, mini sp500, mini nasdaq for the last 15 years, using the same exact parameters. The system has 2 differents entries, both on the long and short side.

Summary Statistics

Strategy began
2014-09-17
Suggested Minimum Capital
$50,000
# Trades
48
# Profitable
32
% Profitable
66.7%
Correlation S&P500
0.129
Sharpe Ratio
0.82
Sortino Ratio
1.88
Beta
0.27
Alpha
0.09

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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