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These are hypothetical performance results that have certain inherent limitations. Learn more
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First market neutral
(96255128)

Created by: ViktorK ViktorK
Started: 08/2015
Stocks
Last trade: 37 days ago
Subscriptions not currently available.

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 $36.00 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.

26.2%
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.

(34.2%)
Max Drawdown
169
Num Trades
71.0%
Win Trades
24.1 : 1
Profit Factor
64.4%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2015                                                 (0.1%)+3.0%+4.0%+2.2%(2.1%)+7.1%
2016(7.3%)+2.8%+15.4%+2.5%+3.3%+4.4%+5.8%+3.2%(3.5%)(3.5%)+14.4%+10.4%+55.9%
2017(3%)+13.4%(4.4%)(3.2%)+1.3%+4.6%+1.1%(1.4%)+2.3%(2.1%)+3.6%+7.7%+20.0%
2018(4.4%)(2.4%)(5.2%)+3.6%+5.0%+3.6%+10.6%+7.6%+13.8%(18.3%)+2.4%(13.1%)(1.7%)
2019+8.6%+13.2%+4.8%+2.7%(0.4%)+2.1%+3.2%(0.3%)(1.4%)+8.1%+6.2%+7.8%+68.7%
2020+7.2%  -  (16.4%)+8.3%(3.4%)+21.0%+20.1%(7.9%)+2.2%+10.2%+2.3%+46.7%
2021(3.4%)+2.9%+1.0%+4.6%(2.1%)+2.7%+4.2%+10.6%(4.2%)  -  
2022+1.0%+4.3%+0.1%(12.2%)+7.3%+1.1%  -  (7%)(4.4%)+20.5%(9.7%)(0.1%)
2023+7.1%(0.9%)+8.9%(2.5%)+8.9%+2.2%+3.8%(4.7%)(6%)(3.6%)+18.6%+12.7%+50.4%
2024+12.2%+12.8%(6.8%)(11.6%)                                                +4.2%

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 168 hours.

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
12/7/15 15:38 HAR HARMAN INTERNATIONAL INDS LONG 40 98.00 1/15/16 13:18 77.72 0.93%
Trade id #98672662
Max drawdown($844)
Time1/15/16 12:26
Quant open40
Worst price76.88
Drawdown as % of equity-0.93%
 ($812)
Includes Typical Broker Commissions trade costs of $0.80
12/7/15 9:49 BOH BANK OF HAWAII LONG 58 67.07 1/15/16 13:18 57.10 0.7%
Trade id #98664599
Max drawdown($631)
Time1/15/16 12:43
Quant open58
Worst price56.18
Drawdown as % of equity-0.70%
 ($579)
Includes Typical Broker Commissions trade costs of $1.16
12/7/15 10:52 CI THE CIGNA GROUP LONG 28 138.14 1/15/16 13:18 135.74 0.11%
Trade id #98666622
Max drawdown($98)
Time1/15/16 12:27
Quant open28
Worst price134.62
Drawdown as % of equity-0.11%
 ($68)
Includes Typical Broker Commissions trade costs of $0.56
12/7/15 12:47 FRT FEDERAL REALTY INVESTMENT LONG 26 143.64 1/15/16 13:18 147.05 0%
Trade id #98669365
Max drawdown($4)
Time1/4/16 11:12
Quant open26
Worst price143.46
Drawdown as % of equity-0.00%
 $88
Includes Typical Broker Commissions trade costs of $0.52
12/7/15 9:47 MBI MBIA LONG 650 6.11 12/7 9:47 6.10 0.01%
Trade id #98664490
Max drawdown($7)
Time12/7/15 9:47
Quant open0
Worst price6.10
Drawdown as % of equity-0.01%
 ($12)
Includes Typical Broker Commissions trade costs of $5.00
11/10/15 10:37 CVX CHEVRON LONG 60 92.02 11/30 10:10 91.42 0.26%
Trade id #98275209
Max drawdown($268)
Time11/16/15 9:11
Quant open60
Worst price87.55
Drawdown as % of equity-0.26%
 ($37)
Includes Typical Broker Commissions trade costs of $1.20
11/10/15 12:47 ED CONSOLIDATED EDISON LONG 88 62.73 11/30 10:10 62.30 0.13%
Trade id #98291136
Max drawdown($132)
Time11/16/15 9:31
Quant open88
Worst price61.23
Drawdown as % of equity-0.13%
 ($40)
Includes Typical Broker Commissions trade costs of $1.76
11/11/15 11:26 FL FOOT LOCKER LONG 67 63.50 11/30 10:10 65.24 0.41%
Trade id #98323086
Max drawdown($420)
Time11/16/15 9:37
Quant open67
Worst price57.23
Drawdown as % of equity-0.41%
 $116
Includes Typical Broker Commissions trade costs of $1.34
11/9/15 13:43 BC BRUNSWICK LONG 100 54.04 11/30 10:10 53.66 0.19%
Trade id #98258599
Max drawdown($191)
Time11/16/15 9:32
Quant open100
Worst price52.12
Drawdown as % of equity-0.19%
 ($40)
Includes Typical Broker Commissions trade costs of $2.00
11/9/15 14:10 BIO BIO-RAD LABORATORIES LONG 39 139.93 11/30 10:09 140.44 0.19%
Trade id #98259094
Max drawdown($199)
Time11/13/15 9:34
Quant open39
Worst price134.81
Drawdown as % of equity-0.19%
 $19
Includes Typical Broker Commissions trade costs of $0.78
11/10/15 9:33 BKH BLACK HILLS LONG 122 44.89 11/30 10:09 43.00 0.59%
Trade id #98272539
Max drawdown($608)
Time11/18/15 8:36
Quant open122
Worst price39.90
Drawdown as % of equity-0.59%
 ($233)
Includes Typical Broker Commissions trade costs of $2.44
11/10/15 12:26 DIS WALT DISNEY LONG 47 116.85 11/30 10:09 114.25 0.18%
Trade id #98290642
Max drawdown($180)
Time11/16/15 4:01
Quant open47
Worst price113.00
Drawdown as % of equity-0.18%
 ($123)
Includes Typical Broker Commissions trade costs of $0.94
11/9/15 10:42 APD AIR PRODUCTS & CHEMICALS LONG 40 136.65 11/30 10:09 138.00 0.1%
Trade id #98248495
Max drawdown($98)
Time11/13/15 10:22
Quant open40
Worst price134.18
Drawdown as % of equity-0.10%
 $53
Includes Typical Broker Commissions trade costs of $0.80
11/9/15 10:06 AMSWA AMERICAN SOFTWARE LONG 550 10.19 11/30 10:08 10.37 0.28%
Trade id #98246729
Max drawdown($297)
Time11/11/15 9:31
Quant open550
Worst price9.65
Drawdown as % of equity-0.28%
 $94
Includes Typical Broker Commissions trade costs of $5.00
11/10/15 11:56 DE DEERE LONG 72 76.37 11/30 10:08 79.37 0.23%
Trade id #98277262
Max drawdown($235)
Time11/13/15 10:09
Quant open72
Worst price73.10
Drawdown as % of equity-0.23%
 $215
Includes Typical Broker Commissions trade costs of $1.44
11/10/15 10:31 CVS CVS HEALTH CORP LONG 56 98.08 11/30 10:08 94.71 0.41%
Trade id #98274939
Max drawdown($446)
Time11/23/15 10:05
Quant open56
Worst price90.10
Drawdown as % of equity-0.41%
 ($190)
Includes Typical Broker Commissions trade costs of $1.12
11/10/15 9:34 CBRL CRACKER BARREL OLD LONG 41 135.20 11/30 10:08 127.91 0.27%
Trade id #98272580
Max drawdown($303)
Time11/30/15 10:06
Quant open41
Worst price127.81
Drawdown as % of equity-0.27%
 ($300)
Includes Typical Broker Commissions trade costs of $0.82
11/10/15 9:35 CLFD CLEARFIELD LONG 335 16.40 11/30 10:07 13.78 1.51%
Trade id #98272698
Max drawdown($1,611)
Time11/12/15 9:59
Quant open335
Worst price11.59
Drawdown as % of equity-1.51%
 ($885)
Includes Typical Broker Commissions trade costs of $6.70
11/11/15 11:26 FRT FEDERAL REALTY INVESTMENT LONG 38 143.97 11/30 10:07 148.12 0.1%
Trade id #98323097
Max drawdown($106)
Time11/16/15 9:34
Quant open38
Worst price141.16
Drawdown as % of equity-0.10%
 $157
Includes Typical Broker Commissions trade costs of $0.76
11/11/15 11:27 GD GENERAL DYNAMICS LONG 38 144.13 11/30 10:07 146.73 0.15%
Trade id #98323114
Max drawdown($150)
Time11/13/15 11:18
Quant open38
Worst price140.18
Drawdown as % of equity-0.15%
 $98
Includes Typical Broker Commissions trade costs of $0.76
11/9/15 12:39 AVY AVERY DENNISON LONG 85 65.24 11/30 10:07 65.73 0.27%
Trade id #98255335
Max drawdown($272)
Time11/13/15 10:22
Quant open85
Worst price62.03
Drawdown as % of equity-0.27%
 $40
Includes Typical Broker Commissions trade costs of $1.70
11/9/15 9:58 AME AMETEK LONG 100 55.88 11/30 10:06 56.48 0.23%
Trade id #98246229
Max drawdown($238)
Time11/12/15 16:01
Quant open100
Worst price53.50
Drawdown as % of equity-0.23%
 $58
Includes Typical Broker Commissions trade costs of $2.00
11/9/15 9:57 ALCO ALICO LONG 130 42.49 11/30 10:06 42.35 0.42%
Trade id #98246202
Max drawdown($440)
Time11/18/15 15:41
Quant open130
Worst price39.10
Drawdown as % of equity-0.42%
 ($21)
Includes Typical Broker Commissions trade costs of $2.60
11/9/15 9:57 AET AETNA LONG 52 106.79 11/30 10:04 103.33 0.4%
Trade id #98246194
Max drawdown($422)
Time11/19/15 13:11
Quant open52
Worst price98.67
Drawdown as % of equity-0.40%
 ($181)
Includes Typical Broker Commissions trade costs of $1.04
11/9/15 9:55 ADP AUTOMATIC DATA PROCESSING LONG 64 86.32 11/30 10:04 86.60 0.08%
Trade id #98246130
Max drawdown($84)
Time11/13/15 15:59
Quant open64
Worst price85.00
Drawdown as % of equity-0.08%
 $17
Includes Typical Broker Commissions trade costs of $1.28
11/9/15 9:54 ADI ANALOG DEVICES LONG 90 61.17 11/30 10:03 60.86 0.47%
Trade id #98246107
Max drawdown($478)
Time11/13/15 19:12
Quant open90
Worst price55.85
Drawdown as % of equity-0.47%
 ($30)
Includes Typical Broker Commissions trade costs of $1.80
11/9/15 13:32 AZZ AZZ INC LONG 100 57.77 11/27 13:29 59.85 0.2%
Trade id #98258383
Max drawdown($203)
Time11/13/15 10:17
Quant open100
Worst price55.74
Drawdown as % of equity-0.20%
 $206
Includes Typical Broker Commissions trade costs of $2.00
11/10/15 12:33 DOV DOVER CORP LONG 87 63.53 11/24 15:27 66.03 0.09%
Trade id #98290839
Max drawdown($94)
Time11/12/15 9:43
Quant open87
Worst price62.44
Drawdown as % of equity-0.09%
 $216
Includes Typical Broker Commissions trade costs of $1.74
11/10/15 10:13 CPB CAMPBELL SOUP LONG 115 48.71 11/24 11:33 51.24 0.11%
Trade id #98274201
Max drawdown($108)
Time11/16/15 9:31
Quant open115
Worst price47.77
Drawdown as % of equity-0.11%
 $289
Includes Typical Broker Commissions trade costs of $2.30
11/10/15 9:34 BMS BEMIS LONG 122 45.55 11/23 10:19 47.30 0.15%
Trade id #98272558
Max drawdown($154)
Time11/13/15 10:32
Quant open122
Worst price44.28
Drawdown as % of equity-0.15%
 $212
Includes Typical Broker Commissions trade costs of $2.44
Next

Statistics

  • Strategy began
    8/3/2015
  • Suggested Minimum Cap
    $100,000
  • Strategy Age (days)
    3185.24
  • Age
    106 months ago
  • What it trades
    Stocks
  • # Trades
    169
  • # Profitable
    120
  • % Profitable
    71.00%
  • Avg trade duration
    294.1 days
  • Max peak-to-valley drawdown
    34.24%
  • drawdown period
    Feb 07, 2022 - Oct 15, 2022
  • Annual Return (Compounded)
    26.2%
  • Avg win
    $5,533
  • Avg loss
    $659.41
  • Model Account Values (Raw)
  • Cash
    $62,906
  • Margin Used
    $5,976
  • Buying Power
    $684,196
  • Ratios
  • W:L ratio
    24.10:1
  • Sharpe Ratio
    0.84
  • Sortino Ratio
    1.35
  • Calmar Ratio
    6.914
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    524.28%
  • Correlation to SP500
    0.61660
  • Return Percent SP500 (cumu) during strategy life
    140.63%
  • Return Statistics
  • Ann Return (w trading costs)
    26.2%
  • Slump
  • Current Slump as Pcnt Equity
    23.40%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.01%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.262%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    26.2%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    100.00%
  • Chance of 20% account loss
    100.00%
  • Chance of 30% account loss
    n/a
  • Chance of 40% account loss
    n/a
  • Chance of 60% account loss (Monte Carlo)
    n/a
  • Chance of 70% account loss (Monte Carlo)
    n/a
  • Chance of 80% account loss (Monte Carlo)
    n/a
  • Chance of 90% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    n/a
  • Risk of Ruin (Monte-Carlo)
  • 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
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $663
  • Avg Win
    $5,424
  • Sum Trade PL (losers)
    $32,496.000
  • Age
  • Num Months filled monthly returns table
    105
  • Win / Loss
  • Sum Trade PL (winners)
    $650,932.000
  • # Winners
    120
  • Num Months Winners
    65
  • Dividends
  • Dividends Received in Model Acct
    45465
  • Win / Loss
  • # Losers
    49
  • % Winners
    71.0%
  • Frequency
  • Avg Position Time (mins)
    1215570.00
  • Avg Position Time (hrs)
    20259.60
  • Avg Trade Length
    844.1 days
  • Last Trade Ago
    34
  • Regression
  • Alpha
    0.04
  • Beta
    1.04
  • Treynor Index
    0.07
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.00
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    32.57
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    67.27
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -0.10
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.00
  • Avg(MAE) / Avg(PL) - All trades
    0.128
  • 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
    0.068
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.753
  • Hold-and-Hope Ratio
    12.301
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    1.30521
  • SD
    0.61168
  • Sharpe ratio (Glass type estimate)
    2.13381
  • Sharpe ratio (Hedges UMVUE)
    2.05261
  • df
    20.00000
  • t
    2.82277
  • p
    0.23312
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.49089
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.73233
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.44024
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.66498
  • Statistics related to Sortino ratio
  • Sortino ratio
    7.57195
  • Upside Potential Ratio
    8.86987
  • Upside part of mean
    1.52894
  • Downside part of mean
    -0.22373
  • Upside SD
    0.68454
  • Downside SD
    0.17237
  • N nonnegative terms
    15.00000
  • N negative terms
    6.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    21.00000
  • Mean of predictor
    0.49545
  • Mean of criterion
    1.30521
  • SD of predictor
    0.31576
  • SD of criterion
    0.61168
  • Covariance
    0.15080
  • r
    0.78079
  • b (slope, estimate of beta)
    1.51254
  • a (intercept, estimate of alpha)
    0.55582
  • Mean Square Error
    0.15375
  • DF error
    19.00000
  • t(b)
    5.44714
  • p(b)
    0.05954
  • t(a)
    1.70092
  • p(a)
    0.27378
  • Lowerbound of 95% confidence interval for beta
    0.93136
  • Upperbound of 95% confidence interval for beta
    2.09372
  • Lowerbound of 95% confidence interval for alpha
    -0.12813
  • Upperbound of 95% confidence interval for alpha
    1.23977
  • Treynor index (mean / b)
    0.86293
  • Jensen alpha (a)
    0.55582
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    1.09772
  • SD
    0.53505
  • Sharpe ratio (Glass type estimate)
    2.05163
  • Sharpe ratio (Hedges UMVUE)
    1.97355
  • df
    20.00000
  • t
    2.71405
  • p
    0.24059
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.41939
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.64065
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.37069
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.57642
  • Statistics related to Sortino ratio
  • Sortino ratio
    5.81425
  • Upside Potential Ratio
    7.08516
  • Upside part of mean
    1.33767
  • Downside part of mean
    -0.23995
  • Upside SD
    0.58087
  • Downside SD
    0.18880
  • N nonnegative terms
    15.00000
  • N negative terms
    6.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    21.00000
  • Mean of predictor
    0.44124
  • Mean of criterion
    1.09772
  • SD of predictor
    0.30042
  • SD of criterion
    0.53505
  • Covariance
    0.12782
  • r
    0.79520
  • b (slope, estimate of beta)
    1.41623
  • a (intercept, estimate of alpha)
    0.47283
  • Mean Square Error
    0.11079
  • DF error
    19.00000
  • t(b)
    5.71650
  • p(b)
    0.05389
  • t(a)
    1.72356
  • p(a)
    0.27130
  • Lowerbound of 95% confidence interval for beta
    0.89769
  • Upperbound of 95% confidence interval for beta
    1.93476
  • Lowerbound of 95% confidence interval for alpha
    -0.10136
  • Upperbound of 95% confidence interval for alpha
    1.04702
  • Treynor index (mean / b)
    0.77510
  • Jensen alpha (a)
    0.47283
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.15005
  • Expected Shortfall on VaR
    0.20190
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02782
  • Expected Shortfall on VaR
    0.06648
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    21.00000
  • Minimum
    0.80145
  • Quartile 1
    1.00082
  • Median
    1.05049
  • Quartile 3
    1.16954
  • Maximum
    1.52537
  • Mean of quarter 1
    0.93707
  • Mean of quarter 2
    1.03553
  • Mean of quarter 3
    1.14371
  • Mean of quarter 4
    1.36287
  • Inter Quartile Range
    0.16873
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.04762
  • Mean of outliers high
    1.52537
  • 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)
    0.12809
  • VaR(95%) (regression method)
    0.03838
  • Expected Shortfall (regression method)
    0.07036
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    3.00000
  • Minimum
    0.05800
  • Quartile 1
    0.08806
  • Median
    0.11811
  • Quartile 3
    0.15833
  • Maximum
    0.19855
  • Mean of quarter 1
    0.05800
  • Mean of quarter 2
    0.11811
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.19855
  • Inter Quartile Range
    0.07027
  • 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)
    3.52547
  • Compounded annual return (geometric extrapolation)
    2.08215
  • Calmar ratio (compounded annual return / max draw down)
    10.48680
  • Compounded annual return / average of 25% largest draw downs
    10.48680
  • Compounded annual return / Expected Shortfall lognormal
    10.31290
  • 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
    1.28350
  • SD
    0.58929
  • Sharpe ratio (Glass type estimate)
    2.17805
  • Sharpe ratio (Hedges UMVUE)
    2.17455
  • df
    467.00000
  • t
    2.91098
  • p
    0.00189
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.70381
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.65001
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.70145
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.64764
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.60572
  • Upside Potential Ratio
    10.11850
  • Upside part of mean
    3.60180
  • Downside part of mean
    -2.31830
  • Upside SD
    0.47550
  • Downside SD
    0.35596
  • N nonnegative terms
    247.00000
  • N negative terms
    221.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    468.00000
  • Mean of predictor
    0.51083
  • Mean of criterion
    1.28350
  • SD of predictor
    0.31887
  • SD of criterion
    0.58929
  • Covariance
    0.12741
  • r
    0.67805
  • b (slope, estimate of beta)
    1.25307
  • a (intercept, estimate of alpha)
    0.64300
  • Mean Square Error
    0.18801
  • DF error
    466.00000
  • t(b)
    19.91370
  • p(b)
    0.00000
  • t(a)
    1.97349
  • p(a)
    0.02451
  • Lowerbound of 95% confidence interval for beta
    1.12941
  • Upperbound of 95% confidence interval for beta
    1.37672
  • Lowerbound of 95% confidence interval for alpha
    0.00275
  • Upperbound of 95% confidence interval for alpha
    1.28404
  • Treynor index (mean / b)
    1.02429
  • Jensen alpha (a)
    0.64340
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    1.11037
  • SD
    0.58257
  • Sharpe ratio (Glass type estimate)
    1.90599
  • Sharpe ratio (Hedges UMVUE)
    1.90293
  • df
    467.00000
  • t
    2.54738
  • p
    0.00559
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.43345
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.37654
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.43139
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.37448
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.97774
  • Upside Potential Ratio
    9.37485
  • Upside part of mean
    3.49581
  • Downside part of mean
    -2.38543
  • Upside SD
    0.45202
  • Downside SD
    0.37289
  • N nonnegative terms
    247.00000
  • N negative terms
    221.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    468.00000
  • Mean of predictor
    0.45945
  • Mean of criterion
    1.11037
  • SD of predictor
    0.31973
  • SD of criterion
    0.58257
  • Covariance
    0.12804
  • r
    0.68742
  • b (slope, estimate of beta)
    1.25251
  • a (intercept, estimate of alpha)
    0.53491
  • Mean Square Error
    0.17940
  • DF error
    466.00000
  • t(b)
    20.43240
  • p(b)
    0.00000
  • t(a)
    1.68126
  • p(a)
    0.04669
  • Lowerbound of 95% confidence interval for beta
    1.13205
  • Upperbound of 95% confidence interval for beta
    1.37297
  • Lowerbound of 95% confidence interval for alpha
    -0.09030
  • Upperbound of 95% confidence interval for alpha
    1.16011
  • Treynor index (mean / b)
    0.88652
  • Jensen alpha (a)
    0.53491
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.05348
  • Expected Shortfall on VaR
    0.06752
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01929
  • Expected Shortfall on VaR
    0.04118
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    468.00000
  • Minimum
    0.83599
  • Quartile 1
    0.99303
  • Median
    1.00140
  • Quartile 3
    1.01662
  • Maximum
    1.25296
  • Mean of quarter 1
    0.96614
  • Mean of quarter 2
    0.99873
  • Mean of quarter 3
    1.00866
  • Mean of quarter 4
    1.04649
  • Inter Quartile Range
    0.02359
  • Number outliers low
    27.00000
  • Percentage of outliers low
    0.05769
  • Mean of outliers low
    0.92665
  • Number of outliers high
    33.00000
  • Percentage of outliers high
    0.07051
  • Mean of outliers high
    1.08954
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.01790
  • VaR(95%) (moments method)
    0.02213
  • Expected Shortfall (moments method)
    0.03189
  • Extreme Value Index (regression method)
    0.14770
  • VaR(95%) (regression method)
    0.02915
  • Expected Shortfall (regression method)
    0.04731
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    38.00000
  • Minimum
    0.00132
  • Quartile 1
    0.01450
  • Median
    0.04162
  • Quartile 3
    0.07993
  • Maximum
    0.30683
  • Mean of quarter 1
    0.00593
  • Mean of quarter 2
    0.03012
  • Mean of quarter 3
    0.05962
  • Mean of quarter 4
    0.17276
  • Inter Quartile Range
    0.06543
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    5.00000
  • Percentage of outliers high
    0.13158
  • Mean of outliers high
    0.23184
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -0.66312
  • VaR(95%) (moments method)
    0.17786
  • Expected Shortfall (moments method)
    0.19933
  • Extreme Value Index (regression method)
    -0.55699
  • VaR(95%) (regression method)
    0.18534
  • Expected Shortfall (regression method)
    0.21055
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    3.71671
  • Compounded annual return (geometric extrapolation)
    2.12140
  • Calmar ratio (compounded annual return / max draw down)
    6.91387
  • Compounded annual return / average of 25% largest draw downs
    12.27960
  • Compounded annual return / Expected Shortfall lognormal
    31.41660
  • 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
    2.43935
  • SD
    0.91738
  • Sharpe ratio (Glass type estimate)
    2.65904
  • Sharpe ratio (Hedges UMVUE)
    2.64367
  • df
    130.00000
  • t
    1.88023
  • p
    0.41864
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.13653
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.44465
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.14670
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.43404
  • Statistics related to Sortino ratio
  • Sortino ratio
    4.48217
  • Upside Potential Ratio
    11.98490
  • Upside part of mean
    6.52260
  • Downside part of mean
    -4.08325
  • Upside SD
    0.74945
  • Downside SD
    0.54424
  • N nonnegative terms
    70.00000
  • N negative terms
    61.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    1.12819
  • Mean of criterion
    2.43935
  • SD of predictor
    0.50125
  • SD of criterion
    0.91738
  • Covariance
    0.32601
  • r
    0.70897
  • b (slope, estimate of beta)
    1.29755
  • a (intercept, estimate of alpha)
    0.97547
  • Mean Square Error
    0.42182
  • DF error
    129.00000
  • t(b)
    11.41790
  • p(b)
    0.09001
  • t(a)
    1.05183
  • p(a)
    0.44138
  • Lowerbound of 95% confidence interval for beta
    1.07270
  • Upperbound of 95% confidence interval for beta
    1.52239
  • Lowerbound of 95% confidence interval for alpha
    -0.85942
  • Upperbound of 95% confidence interval for alpha
    2.81036
  • Treynor index (mean / b)
    1.87997
  • Jensen alpha (a)
    0.97547
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    2.02049
  • SD
    0.90563
  • Sharpe ratio (Glass type estimate)
    2.23104
  • Sharpe ratio (Hedges UMVUE)
    2.21814
  • df
    130.00000
  • t
    1.57758
  • p
    0.43147
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.55813
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.01184
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.56675
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.00303
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.50711
  • Upside Potential Ratio
    10.87120
  • Upside part of mean
    6.26301
  • Downside part of mean
    -4.24252
  • Upside SD
    0.70539
  • Downside SD
    0.57611
  • N nonnegative terms
    70.00000
  • N negative terms
    61.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    1.00077
  • Mean of criterion
    2.02049
  • SD of predictor
    0.50316
  • SD of criterion
    0.90563
  • Covariance
    0.32955
  • r
    0.72322
  • b (slope, estimate of beta)
    1.30171
  • a (intercept, estimate of alpha)
    0.71778
  • Mean Square Error
    0.39421
  • DF error
    129.00000
  • t(b)
    11.89390
  • p(b)
    0.08368
  • t(a)
    0.80229
  • p(a)
    0.45518
  • VAR (95 Confidence Intrvl)
    0.05300
  • Lowerbound of 95% confidence interval for beta
    1.08517
  • Upperbound of 95% confidence interval for beta
    1.51824
  • Lowerbound of 95% confidence interval for alpha
    -1.05233
  • Upperbound of 95% confidence interval for alpha
    2.48789
  • Treynor index (mean / b)
    1.55218
  • Jensen alpha (a)
    0.71778
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.08086
  • Expected Shortfall on VaR
    0.10191
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.03413
  • Expected Shortfall on VaR
    0.06917
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.83599
  • Quartile 1
    0.97752
  • Median
    1.00395
  • Quartile 3
    1.03620
  • Maximum
    1.25296
  • Mean of quarter 1
    0.94505
  • Mean of quarter 2
    0.99372
  • Mean of quarter 3
    1.02175
  • Mean of quarter 4
    1.07751
  • Inter Quartile Range
    0.05868
  • Number outliers low
    4.00000
  • Percentage of outliers low
    0.03053
  • Mean of outliers low
    0.85737
  • Number of outliers high
    3.00000
  • Percentage of outliers high
    0.02290
  • Mean of outliers high
    1.18639
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.31368
  • VaR(95%) (moments method)
    0.05732
  • Expected Shortfall (moments method)
    0.09736
  • Extreme Value Index (regression method)
    0.23369
  • VaR(95%) (regression method)
    0.05724
  • Expected Shortfall (regression method)
    0.09057
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    13.00000
  • Minimum
    0.00166
  • Quartile 1
    0.04202
  • Median
    0.06296
  • Quartile 3
    0.15760
  • Maximum
    0.30683
  • Mean of quarter 1
    0.02502
  • Mean of quarter 2
    0.06046
  • Mean of quarter 3
    0.11844
  • Mean of quarter 4
    0.22605
  • Inter Quartile Range
    0.11557
  • 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)
    -0.14045
  • VaR(95%) (moments method)
    0.23952
  • Expected Shortfall (moments method)
    0.28163
  • Extreme Value Index (regression method)
    0.70233
  • VaR(95%) (regression method)
    0.25856
  • Last 4 Months - Pcnt Negative
    0.50%
  • Expected Shortfall (regression method)
    0.59600
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -455351000
  • Max Equity Drawdown (num days)
    250
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    3.56971
  • Compounded annual return (geometric extrapolation)
    6.75542
  • Calmar ratio (compounded annual return / max draw down)
    22.01670
  • Compounded annual return / average of 25% largest draw downs
    29.88430
  • Compounded annual return / Expected Shortfall lognormal
    66.28950

Strategy Description

Trade this strategy at Interactive Brokers

Summary Statistics

Strategy began
2015-08-03
Suggested Minimum Capital
$100,000
# Trades
169
# Profitable
120
% Profitable
71.0%
Net Dividends
$45,506
Correlation S&P500
0.617
Sharpe Ratio
0.84
Sortino Ratio
1.35
Beta
1.04
Alpha
0.04

Latest Activity

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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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