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US Market Neutral
(91265459)

Created by: RonEichel RonEichel
Started: 02/2015
Stocks
Last trade: 1,193 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.

1.0%
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.

(32.4%)
Max Drawdown
250
Num Trades
45.6%
Win Trades
1.9 : 1
Profit Factor
61.3%
Win Months
Hypothetical Monthly Returns (includes system fee and Interactive Brokers commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2015         -  +0.5%(0.3%)+0.8%+0.6%+3.3%(0.6%)+0.4%(2.5%)(1%)(0.1%)+0.8%
2016(0.6%)(2%)(0.3%)+0.7%+2.4%+1.1%(1.3%)(1.1%)(0.7%)(0.7%)+0.9%+0.9%(0.8%)
2017+2.1%+4.0%+1.0%+1.7%+0.3%+1.1%+1.1%(0.5%)+1.7%+2.6%+3.7%+2.3%+23.1%
2018+3.8%(2.9%)(1.6%)+0.8%+1.6%+1.6%+3.4%+2.2%(0.7%)(7.8%)+2.9%(6.9%)(4.4%)
2019+7.7%+5.3%+2.3%+2.1%+0.2%  -  (2.9%)+3.9%+1.9%+2.4%+3.0%+28.1%
2020+1.6%(9.9%)(23.7%)  -                                                  (30.2%)

Model Account Details

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

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

System developer has asked us to delay this information by 48 hours.

Trading Record

This strategy has placed 597 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
8/31/16 10:35 SJM J.M. SMUCKER LONG 7 140.52 12/30 14:04 127.85 0.3%
Trade id #105551743
Max drawdown($122)
Time12/1/16 16:37
Quant open7
Worst price123.00
Drawdown as % of equity-0.30%
($91)
Includes Typical Broker Commissions trade costs of $2.00
8/31/16 10:36 WEC WEC ENERGY GROUP LONG 17 59.55 12/30 14:04 58.92 0.19%
Trade id #105551781
Max drawdown($78)
Time12/5/16 10:05
Quant open17
Worst price54.96
Drawdown as % of equity-0.19%
($13)
Includes Typical Broker Commissions trade costs of $2.00
8/31/16 10:35 LLTC LINEAR TECHNOLOGY LONG 17 58.37 12/30 14:04 62.29 n/a $65
Includes Typical Broker Commissions trade costs of $2.00
8/31/16 10:34 GRMN GARMIN LONG 20 49.31 12/30 14:04 48.53 0.08%
Trade id #105551640
Max drawdown($32)
Time12/27/16 16:02
Quant open20
Worst price47.68
Drawdown as % of equity-0.08%
($18)
Includes Typical Broker Commissions trade costs of $2.00
8/31/16 10:37 BAX BAXTER INTERNATIONAL LONG 21 46.65 12/30 14:04 44.46 0.18%
Trade id #105551853
Max drawdown($73)
Time12/7/16 9:41
Quant open21
Worst price43.13
Drawdown as % of equity-0.18%
($48)
Includes Typical Broker Commissions trade costs of $2.00
8/31/16 10:37 CMS CMS ENERGY LONG 24 41.84 12/30 14:04 41.79 0.14%
Trade id #105551866
Max drawdown($58)
Time12/5/16 10:05
Quant open24
Worst price39.42
Drawdown as % of equity-0.14%
($3)
Includes Typical Broker Commissions trade costs of $2.00
8/31/16 10:44 AVY AVERY DENNISON SHORT 1 77.06 12/30 14:03 70.43 n/a $5
Includes Typical Broker Commissions trade costs of $2.00
8/31/16 10:42 ALXN ALEXION PHARMACEUTICALS SHORT 4 126.26 12/30 14:03 122.73 0.07%
Trade id #105552054
Max drawdown($31)
Time12/9/16 13:56
Quant open-4
Worst price134.06
Drawdown as % of equity-0.07%
$12
Includes Typical Broker Commissions trade costs of $2.00
8/31/16 10:40 VRTX VERTEX SHORT 5 94.86 12/30 14:03 74.28 n/a $101
Includes Typical Broker Commissions trade costs of $2.00
8/31/16 10:39 TRIP TRIPADVISOR SHORT 8 61.02 12/30 14:03 46.43 n/a $115
Includes Typical Broker Commissions trade costs of $2.00
8/31/16 10:39 LM LEGG MASON SHORT 14 34.78 12/30 14:03 29.90 n/a $66
Includes Typical Broker Commissions trade costs of $2.00
8/31/16 10:43 GNW GENWORTH FINANCIAL SHORT 104 4.78 12/30 14:02 3.85 n/a $95
Includes Typical Broker Commissions trade costs of $2.00
8/31/16 10:41 DVN DEVON ENERGY SHORT 11 43.35 12/30 14:02 46.04 0.22%
Trade id #105552024
Max drawdown($95)
Time12/12/16 8:01
Quant open-11
Worst price52.00
Drawdown as % of equity-0.22%
($32)
Includes Typical Broker Commissions trade costs of $2.00
8/31/16 10:46 HRB H&R BLOCK SHORT 24 20.85 12/30 14:02 23.02 0.25%
Trade id #105552263
Max drawdown($105)
Time12/7/16 16:36
Quant open-24
Worst price25.25
Drawdown as % of equity-0.25%
($54)
Includes Typical Broker Commissions trade costs of $2.00
8/31/16 10:41 ENDP ENDO INTERNATIONAL PLC ORDINAR SHORT 24 20.64 12/30 14:02 16.40 n/a $100
Includes Typical Broker Commissions trade costs of $2.00
8/31/16 10:39 CF CF INDUSTRIES HOLDINGS SHORT 19 25.78 12/30 14:02 31.27 0.31%
Trade id #105551927
Max drawdown($129)
Time12/28/16 9:37
Quant open-19
Worst price32.61
Drawdown as % of equity-0.31%
($106)
Includes Typical Broker Commissions trade costs of $2.00
8/31/16 10:41 SPLS STAPLES SHORT 58 8.55 12/9 13:04 9.95 0.21%
Trade id #105552039
Max drawdown($90)
Time12/8/16 12:47
Quant open-58
Worst price10.11
Drawdown as % of equity-0.21%
($83)
Includes Typical Broker Commissions trade costs of $2.00
8/31/16 10:40 COP CONOCOPHILLIPS SHORT 12 41.55 12/7 10:13 49.82 0.25%
Trade id #105552002
Max drawdown($103)
Time12/1/16 9:31
Quant open-12
Worst price50.15
Drawdown as % of equity-0.25%
($101)
Includes Typical Broker Commissions trade costs of $2.00
8/31/16 10:46 MRO MARATHON OIL SHORT 33 15.18 12/7 10:03 18.39 0.33%
Trade id #105552236
Max drawdown($137)
Time12/1/16 9:12
Quant open-33
Worst price19.35
Drawdown as % of equity-0.33%
($108)
Includes Typical Broker Commissions trade costs of $2.00
8/31/16 10:40 APC ANADARKO PETROLEUM SHORT 9 54.25 12/7 10:02 68.51 0.37%
Trade id #105551995
Max drawdown($152)
Time12/1/16 9:10
Quant open-9
Worst price71.23
Drawdown as % of equity-0.37%
($130)
Includes Typical Broker Commissions trade costs of $2.00
8/31/16 10:44 FTI TECHNICFMC PLC SHORT 18 28.38 12/7 10:01 35.80 0.35%
Trade id #105552157
Max drawdown($146)
Time12/5/16 14:54
Quant open-18
Worst price36.51
Drawdown as % of equity-0.35%
($136)
Includes Typical Broker Commissions trade costs of $2.00
8/31/16 10:35 EW EDWARDS LIFESCIENCES LONG 9 114.88 12/7 10:01 82.04 0.73%
Trade id #105551707
Max drawdown($303)
Time12/1/16 13:10
Quant open9
Worst price81.12
Drawdown as % of equity-0.73%
($298)
Includes Typical Broker Commissions trade costs of $2.00
8/31/16 10:36 O REALTY INCOME LONG 21 65.50 12/7 10:01 55.08 0.65%
Trade id #105551801
Max drawdown($268)
Time11/10/16 9:51
Quant open21
Worst price52.72
Drawdown as % of equity-0.65%
($221)
Includes Typical Broker Commissions trade costs of $2.00
8/31/16 10:46 RIG TRANSOCEAN SHORT 51 9.65 12/7 10:00 14.35 0.58%
Trade id #105552261
Max drawdown($244)
Time12/6/16 14:38
Quant open-51
Worst price14.44
Drawdown as % of equity-0.58%
($242)
Includes Typical Broker Commissions trade costs of $2.00
7/25/16 9:30 REM ISHARES MORTGAGE REAL ESTATE CAPPED ETF LONG 200 42.16 11/8 9:31 42.59 15.19%
Trade id #104803100
Max drawdown($6,342)
Time7/27/16 14:04
Quant open200
Worst price10.45
Drawdown as % of equity-15.19%
$83
Includes Typical Broker Commissions trade costs of $3.00
6/3/16 11:15 SPY SPDR S&P 500 LONG 96 209.45 10/12 10:07 213.75 n/a $411
Includes Typical Broker Commissions trade costs of $2.00
8/31/16 10:42 CHK CHESAPEAKE ENERGY SHORT 78 6.37 9/6 13:41 6.87 0.1%
Trade id #105552068
Max drawdown($43)
Time9/6/16 4:01
Quant open-78
Worst price6.93
Drawdown as % of equity-0.10%
($41)
Includes Typical Broker Commissions trade costs of $2.00
8/31/16 10:35 CPB CAMPBELL SOUP LONG 17 60.42 9/6 13:40 57.70 0.15%
Trade id #105551729
Max drawdown($63)
Time9/1/16 12:07
Quant open17
Worst price56.67
Drawdown as % of equity-0.15%
($48)
Includes Typical Broker Commissions trade costs of $2.00
8/31/16 10:38 AVY AVERY DENNISON LONG 13 77.18 8/31 10:44 77.10 0%
Trade id #105551876
Max drawdown($1)
Time8/31/16 10:44
Quant open13
Worst price77.09
Drawdown as % of equity-0.00%
($3)
Includes Typical Broker Commissions trade costs of $2.00
6/3/16 11:23 WMB WILLIAMS COMPANIES SHORT 45 22.29 8/26 11:35 27.96 0.73%
Trade id #102675203
Max drawdown($306)
Time8/18/16 13:27
Quant open-45
Worst price29.09
Drawdown as % of equity-0.73%
($257)
Includes Typical Broker Commissions trade costs of $2.00

Statistics

  • Strategy began
    2/27/2015
  • Suggested Minimum Cap
    $40,000
  • Strategy Age (days)
    1860.37
  • Age
    62 months ago
  • What it trades
    Stocks
  • # Trades
    250
  • # Profitable
    114
  • % Profitable
    45.60%
  • Avg trade duration
    71.0 days
  • Max peak-to-valley drawdown
    32.41%
  • drawdown period
    Feb 18, 2020 - March 31, 2020
  • Annual Return (Compounded)
    1.5%
  • Avg win
    $130.19
  • Avg loss
    $125.07
  • Model Account Values (Raw)
  • Cash
    $25,514
  • Margin Used
    $0
  • Buying Power
    $22,943
  • Ratios
  • W:L ratio
    1.85:1
  • Sharpe Ratio
    0.03
  • Sortino Ratio
    0.03
  • Calmar Ratio
    0.132
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -9.41%
  • Correlation to SP500
    0.66740
  • Return Percent SP500 (cumu) during strategy life
    24.93%
  • Return Statistics
  • Ann Return (w trading costs)
    1.5%
  • Slump
  • Current Slump as Pcnt Equity
    0.48%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.02%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.015%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    2.0%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    13.33%
  • Chance of 20% account loss
    n/a
  • 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
    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
    1
  • 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
    $123
  • Avg Win
    $133
  • Sum Trade PL (losers)
    $17,015.000
  • Age
  • Num Months filled monthly returns table
    62
  • Win / Loss
  • Sum Trade PL (winners)
    $14,844.000
  • # Winners
    112
  • Num Months Winners
    40
  • Dividends
  • Dividends Received in Model Acct
    6479
  • Win / Loss
  • # Losers
    138
  • % Winners
    44.8%
  • Frequency
  • Avg Position Time (mins)
    100896.00
  • Avg Position Time (hrs)
    1681.60
  • Avg Trade Length
    70.1 days
  • Last Trade Ago
    1188
  • Regression
  • Alpha
    -0.00
  • Beta
    0.58
  • Treynor Index
    0.00
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.00
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    54.08
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    99.14
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -22.32
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.01
  • Avg(MAE) / Avg(PL) - All trades
    -12.113
  • 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
    0.924
  • Avg(MAE) / Avg(PL) - Losing trades
    -2.131
  • Hold-and-Hope Ratio
    -0.025
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.14696
  • SD
    0.16383
  • Sharpe ratio (Glass type estimate)
    0.89705
  • Sharpe ratio (Hedges UMVUE)
    0.87277
  • df
    28.00000
  • t
    1.39453
  • p
    0.08706
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.39291
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.17165
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.40856
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.15411
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.25585
  • Upside Potential Ratio
    3.49179
  • Upside part of mean
    0.22748
  • Downside part of mean
    -0.08052
  • Upside SD
    0.15320
  • Downside SD
    0.06515
  • N nonnegative terms
    18.00000
  • N negative terms
    11.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    29.00000
  • Mean of predictor
    0.13741
  • Mean of criterion
    0.14696
  • SD of predictor
    0.19671
  • SD of criterion
    0.16383
  • Covariance
    0.02570
  • r
    0.79747
  • b (slope, estimate of beta)
    0.66416
  • a (intercept, estimate of alpha)
    0.05570
  • Mean Square Error
    0.01013
  • DF error
    27.00000
  • t(b)
    6.86784
  • p(b)
    0.00000
  • t(a)
    0.84263
  • p(a)
    0.20342
  • Lowerbound of 95% confidence interval for beta
    0.46573
  • Upperbound of 95% confidence interval for beta
    0.86258
  • Lowerbound of 95% confidence interval for alpha
    -0.07993
  • Upperbound of 95% confidence interval for alpha
    0.19133
  • Treynor index (mean / b)
    0.22127
  • Jensen alpha (a)
    0.05570
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.13379
  • SD
    0.15536
  • Sharpe ratio (Glass type estimate)
    0.86114
  • Sharpe ratio (Hedges UMVUE)
    0.83783
  • df
    28.00000
  • t
    1.33869
  • p
    0.09572
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.42689
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.13435
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.44191
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.11756
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.97460
  • Upside Potential Ratio
    3.19315
  • Upside part of mean
    0.21635
  • Downside part of mean
    -0.08256
  • Upside SD
    0.14215
  • Downside SD
    0.06775
  • N nonnegative terms
    18.00000
  • N negative terms
    11.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    29.00000
  • Mean of predictor
    0.11851
  • Mean of criterion
    0.13379
  • SD of predictor
    0.19118
  • SD of criterion
    0.15536
  • Covariance
    0.02332
  • r
    0.78506
  • b (slope, estimate of beta)
    0.63799
  • a (intercept, estimate of alpha)
    0.05818
  • Mean Square Error
    0.00960
  • DF error
    27.00000
  • t(b)
    6.58570
  • p(b)
    0.00000
  • t(a)
    0.90790
  • p(a)
    0.18598
  • Lowerbound of 95% confidence interval for beta
    0.43922
  • Upperbound of 95% confidence interval for beta
    0.83676
  • Lowerbound of 95% confidence interval for alpha
    -0.07330
  • Upperbound of 95% confidence interval for alpha
    0.18965
  • Treynor index (mean / b)
    0.20970
  • Jensen alpha (a)
    0.05818
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.06070
  • Expected Shortfall on VaR
    0.07801
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01239
  • Expected Shortfall on VaR
    0.02833
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    29.00000
  • Minimum
    0.91033
  • Quartile 1
    0.99709
  • Median
    1.00437
  • Quartile 3
    1.02329
  • Maximum
    1.19960
  • Mean of quarter 1
    0.97899
  • Mean of quarter 2
    1.00199
  • Mean of quarter 3
    1.01131
  • Mean of quarter 4
    1.07110
  • Inter Quartile Range
    0.02619
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.03448
  • Mean of outliers low
    0.91033
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.06897
  • Mean of outliers high
    1.14955
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.87267
  • VaR(95%) (moments method)
    0.01807
  • Expected Shortfall (moments method)
    0.15725
  • Extreme Value Index (regression method)
    0.98478
  • VaR(95%) (regression method)
    0.03090
  • Expected Shortfall (regression method)
    2.27269
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    2.00000
  • Minimum
    0.04088
  • Quartile 1
    0.05308
  • Median
    0.06527
  • Quartile 3
    0.07747
  • Maximum
    0.08967
  • Mean of quarter 1
    0.04088
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.08967
  • Inter Quartile Range
    0.02440
  • 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)
    0.19784
  • Compounded annual return (geometric extrapolation)
    0.17550
  • Calmar ratio (compounded annual return / max draw down)
    1.95719
  • Compounded annual return / average of 25% largest draw downs
    1.95719
  • Compounded annual return / Expected Shortfall lognormal
    2.24965
  • 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
    0.03940
  • SD
    0.21686
  • Sharpe ratio (Glass type estimate)
    0.18168
  • Sharpe ratio (Hedges UMVUE)
    0.18147
  • df
    649.00000
  • t
    0.28616
  • p
    0.38743
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.06276
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.42602
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.06292
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.42585
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.20271
  • Upside Potential Ratio
    3.38795
  • Upside part of mean
    0.65846
  • Downside part of mean
    -0.61906
  • Upside SD
    0.09586
  • Downside SD
    0.19435
  • N nonnegative terms
    343.00000
  • N negative terms
    307.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    650.00000
  • Mean of predictor
    0.06365
  • Mean of criterion
    0.03940
  • SD of predictor
    0.22620
  • SD of criterion
    0.21686
  • Covariance
    0.03751
  • r
    0.76462
  • b (slope, estimate of beta)
    0.73305
  • a (intercept, estimate of alpha)
    -0.00700
  • Mean Square Error
    0.01956
  • DF error
    648.00000
  • t(b)
    30.20140
  • p(b)
    0.00000
  • t(a)
    -0.08173
  • p(a)
    0.53256
  • Lowerbound of 95% confidence interval for beta
    0.68539
  • Upperbound of 95% confidence interval for beta
    0.78071
  • Lowerbound of 95% confidence interval for alpha
    -0.18166
  • Upperbound of 95% confidence interval for alpha
    0.16714
  • Treynor index (mean / b)
    0.05375
  • Jensen alpha (a)
    -0.00726
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.01334
  • SD
    0.23478
  • Sharpe ratio (Glass type estimate)
    0.05681
  • Sharpe ratio (Hedges UMVUE)
    0.05674
  • df
    649.00000
  • t
    0.08948
  • p
    0.46436
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.18754
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.30116
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.18761
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.30110
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.06215
  • Upside Potential Ratio
    3.04668
  • Upside part of mean
    0.65386
  • Downside part of mean
    -0.64053
  • Upside SD
    0.09474
  • Downside SD
    0.21462
  • N nonnegative terms
    343.00000
  • N negative terms
    307.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    650.00000
  • Mean of predictor
    0.03672
  • Mean of criterion
    0.01334
  • SD of predictor
    0.23542
  • SD of criterion
    0.23478
  • Covariance
    0.04323
  • r
    0.78220
  • b (slope, estimate of beta)
    0.78007
  • a (intercept, estimate of alpha)
    -0.01531
  • Mean Square Error
    0.02143
  • DF error
    648.00000
  • t(b)
    31.95910
  • p(b)
    0.00000
  • t(a)
    -0.16472
  • p(a)
    0.56539
  • Lowerbound of 95% confidence interval for beta
    0.73214
  • Upperbound of 95% confidence interval for beta
    0.82800
  • Lowerbound of 95% confidence interval for alpha
    -0.19781
  • Upperbound of 95% confidence interval for alpha
    0.16720
  • Treynor index (mean / b)
    0.01710
  • Jensen alpha (a)
    -0.01531
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02353
  • Expected Shortfall on VaR
    0.02941
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00496
  • Expected Shortfall on VaR
    0.01190
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    650.00000
  • Minimum
    0.76081
  • Quartile 1
    0.99827
  • Median
    1.00036
  • Quartile 3
    1.00269
  • Maximum
    1.05064
  • Mean of quarter 1
    0.99145
  • Mean of quarter 2
    0.99935
  • Mean of quarter 3
    1.00134
  • Mean of quarter 4
    1.00889
  • Inter Quartile Range
    0.00442
  • Number outliers low
    27.00000
  • Percentage of outliers low
    0.04154
  • Mean of outliers low
    0.96644
  • Number of outliers high
    51.00000
  • Percentage of outliers high
    0.07846
  • Mean of outliers high
    1.01831
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.80861
  • VaR(95%) (moments method)
    0.00718
  • Expected Shortfall (moments method)
    0.03887
  • Extreme Value Index (regression method)
    0.79675
  • VaR(95%) (regression method)
    0.00506
  • Expected Shortfall (regression method)
    0.02309
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    32.00000
  • Minimum
    0.00028
  • Quartile 1
    0.00236
  • Median
    0.00491
  • Quartile 3
    0.01213
  • Maximum
    0.31847
  • Mean of quarter 1
    0.00099
  • Mean of quarter 2
    0.00341
  • Mean of quarter 3
    0.00914
  • Mean of quarter 4
    0.08700
  • Inter Quartile Range
    0.00977
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    4.00000
  • Percentage of outliers high
    0.12500
  • Mean of outliers high
    0.15408
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.77665
  • VaR(95%) (moments method)
    0.06603
  • Expected Shortfall (moments method)
    0.34030
  • Extreme Value Index (regression method)
    0.97006
  • VaR(95%) (regression method)
    0.11346
  • Expected Shortfall (regression method)
    4.29859
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.04343
  • Compounded annual return (geometric extrapolation)
    0.04211
  • Calmar ratio (compounded annual return / max draw down)
    0.13222
  • Compounded annual return / average of 25% largest draw downs
    0.48397
  • Compounded annual return / Expected Shortfall lognormal
    1.43162
  • 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
    0.08686
  • SD
    0.47143
  • Sharpe ratio (Glass type estimate)
    0.18425
  • Sharpe ratio (Hedges UMVUE)
    0.18318
  • df
    130.00000
  • t
    0.13028
  • p
    0.49429
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.58789
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.95590
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.58871
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.95508
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.20370
  • Upside Potential Ratio
    4.61616
  • Upside part of mean
    1.96838
  • Downside part of mean
    -1.88152
  • Upside SD
    0.19686
  • Downside SD
    0.42641
  • N nonnegative terms
    77.00000
  • N negative terms
    54.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.14759
  • Mean of criterion
    0.08686
  • SD of predictor
    0.42077
  • SD of criterion
    0.47143
  • Covariance
    0.18408
  • r
    0.92799
  • b (slope, estimate of beta)
    1.03972
  • a (intercept, estimate of alpha)
    -0.06659
  • Mean Square Error
    0.03110
  • DF error
    129.00000
  • t(b)
    28.28650
  • p(b)
    0.01147
  • t(a)
    -0.26697
  • p(a)
    0.51496
  • Lowerbound of 95% confidence interval for beta
    0.96700
  • Upperbound of 95% confidence interval for beta
    1.11245
  • Lowerbound of 95% confidence interval for alpha
    -0.56012
  • Upperbound of 95% confidence interval for alpha
    0.42693
  • Treynor index (mean / b)
    0.08354
  • Jensen alpha (a)
    -0.06659
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.03622
  • SD
    0.51250
  • Sharpe ratio (Glass type estimate)
    -0.07068
  • Sharpe ratio (Hedges UMVUE)
    -0.07027
  • df
    130.00000
  • t
    -0.04998
  • p
    0.50219
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.84238
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.70126
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.84209
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.70155
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.07673
  • Upside Potential Ratio
    4.12847
  • Upside part of mean
    1.94913
  • Downside part of mean
    -1.98535
  • Upside SD
    0.19433
  • Downside SD
    0.47212
  • N nonnegative terms
    77.00000
  • N negative terms
    54.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.05296
  • Mean of criterion
    -0.03622
  • SD of predictor
    0.44512
  • SD of criterion
    0.51250
  • Covariance
    0.21269
  • r
    0.93232
  • b (slope, estimate of beta)
    1.07346
  • a (intercept, estimate of alpha)
    -0.09308
  • Mean Square Error
    0.03462
  • DF error
    129.00000
  • t(b)
    29.28120
  • p(b)
    0.01046
  • t(a)
    -0.35373
  • p(a)
    0.51981
  • VAR (95 Confidence Intrvl)
    0.02400
  • Lowerbound of 95% confidence interval for beta
    1.00093
  • Upperbound of 95% confidence interval for beta
    1.14599
  • Lowerbound of 95% confidence interval for alpha
    -0.61369
  • Upperbound of 95% confidence interval for alpha
    0.42754
  • Treynor index (mean / b)
    -0.03375
  • Jensen alpha (a)
    -0.09308
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.05088
  • Expected Shortfall on VaR
    0.06329
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01382
  • Expected Shortfall on VaR
    0.03276
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.76081
  • Quartile 1
    0.99644
  • Median
    1.00318
  • Quartile 3
    1.01313
  • Maximum
    1.05064
  • Mean of quarter 1
    0.97267
  • Mean of quarter 2
    0.99981
  • Mean of quarter 3
    1.00809
  • Mean of quarter 4
    1.02141
  • Inter Quartile Range
    0.01669
  • Number outliers low
    8.00000
  • Percentage of outliers low
    0.06107
  • Mean of outliers low
    0.91865
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.01527
  • Mean of outliers high
    1.04611
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.98063
  • VaR(95%) (moments method)
    0.02291
  • Expected Shortfall (moments method)
    1.25828
  • Extreme Value Index (regression method)
    0.83252
  • VaR(95%) (regression method)
    0.02067
  • Expected Shortfall (regression method)
    0.13523
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    18.00000
  • Minimum
    0.00028
  • Quartile 1
    0.00372
  • Median
    0.00891
  • Quartile 3
    0.01689
  • Maximum
    0.31847
  • Mean of quarter 1
    0.00140
  • Mean of quarter 2
    0.00532
  • Mean of quarter 3
    0.01127
  • Mean of quarter 4
    0.11934
  • Inter Quartile Range
    0.01317
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    3.00000
  • Percentage of outliers high
    0.16667
  • Mean of outliers high
    0.18406
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.46799
  • VaR(95%) (moments method)
    0.08618
  • Expected Shortfall (moments method)
    0.20477
  • Extreme Value Index (regression method)
    0.90141
  • VaR(95%) (regression method)
    0.21059
  • Last 4 Months - Pcnt Negative
    0.50%
  • Expected Shortfall (regression method)
    2.47392
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -277898000
  • Max Equity Drawdown (num days)
    42
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.00830
  • Compounded annual return (geometric extrapolation)
    -0.00828
  • Calmar ratio (compounded annual return / max draw down)
    -0.02601
  • Compounded annual return / average of 25% largest draw downs
    -0.06941
  • Compounded annual return / Expected Shortfall lognormal
    -0.13088

Strategy Description

The System seeks to deliver positive near absolute returns by taking long and short positions in equity and equity-related instruments in the US market that, based on proprietary quantitative models, are deemed to be either undervalued (and likely to increase in price) or overvalued (and likely to decrease in price).

It designed to be closely to market neutral, targeting a portfolio beta to equity markets of zero over a normal business cycle. The system can be market neutral with range of 50% until 100%. We construct the portfolio based on our US security selection, employing the following indicators:

* Business Cycle and Momentum indicators, to identify investments with strong short-term performance.
* Value indicators to identify investments that appear cheap based on fundamental measures, such as price-to-earnings and price-to-book ratios.
* Quality indicators to identify stable companies in good business health, including those with strong profitability and stable earnings.

Applying these and other proprietary indicators, we take long or short positions in industries, sectors and companies that we believe are conditionally attractive or unattractive. The result is a portfolio that seeks positive absolute returns with close to zero equity market beta.

Summary Statistics

Strategy began
2015-02-27
Suggested Minimum Capital
$25,000
# Trades
250
# Profitable
114
% Profitable
45.6%
Net Dividends
Correlation S&P500
0.667
Sharpe Ratio
0.03
Sortino Ratio
0.03
Beta
0.58
Alpha
-0.00

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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