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SQZ123
(112625015)

Started: 07/2017
Options
Last trade: 2 days ago
Trading style: Options Premium Collecting

Subscriptions not available

No subscriptions are currently available for this strategy because the strategy manager has capped the maximum number of subscribers.

Subscription terms. You can subscribe to this system for free.

Trading Category: Options
Premium Collecting
Category: Equity

Premium Collecting

A trading strategy that, while typically profitable on a trade-by-trade basis, has some possibility of infrequent, but extremely large, losses.
7.7%
Annual Return (Compounded)

Rate of Return Calculations

Overview

To comply with NFA regulations, we display Cumulative Rate of Return for strategies with a track record of less than one year. For strategies with longer track records, we display Annualized (Compounded) Rate of Return.

How Annualized (Compounded) Rate of Return is calculated

= ((Ending_equity / Starting_equity) ^ (1 / age_in_years)) - 1

Remember that, following NFA requirements, strategy subscription costs and estimated commissions are included in marked-to-market equity calculations.

All results are hypothetical.

(5.3%)
Max Drawdown
94
Num Trades
93.6%
Win Trades
4.2 : 1
Profit Factor
68.2%
Win Months
Hypothetical Monthly Returns (includes system fee and Standard commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2017                                            -  +0.1%+0.7%(0.2%)+0.3%+2.0%+3.0%
2018+0.5%+1.6%  -  +1.2%+0.7%+1.0%+0.8%(0.5%)+2.3%+0.1%+1.6%+1.3%+11.2%
2019(0.3%)(1.5%)+1.5%  -                                                  (0.3%)

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

This strategy has placed 152 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
4/10/19 9:31 BABA1918P172.5 BABA Apr18'19 172.5 put SHORT 3 0.12 4/19 8:05 0.00 0.1%
Trade id #123266301
Max drawdown($57)
Time4/15/19 9:32
Quant open-3
Worst price0.31
Drawdown as % of equity-0.10%
$33
Includes Typical Broker Commissions trade costs of $2.10
4/12/19 9:30 NFLX1912P347.5 NFLX Apr12'19 347.5 put SHORT 5 0.12 4/13 9:35 0.00 1.94%
Trade id #123293667
Max drawdown($1,120)
Time4/12/19 9:51
Quant open-5
Worst price2.36
Drawdown as % of equity-1.94%
$57
Includes Typical Broker Commissions trade costs of $3.50
4/4/19 11:08 SHOP1912P157.5 SHOP Apr12'19 157.5 put SHORT 5 0.06 4/8 11:04 0.23 0.15%
Trade id #123202315
Max drawdown($86)
Time4/8/19 11:04
Quant open0
Worst price0.23
Drawdown as % of equity-0.15%
($93)
Includes Typical Broker Commissions trade costs of $7.00
3/22/19 14:24 SHOP1929O157.5 SHOP Mar29'19 157.5 put SHORT 8 0.10 3/30 9:35 0.00 0.07%
Trade id #123040087
Max drawdown($40)
Time3/22/19 14:42
Quant open-8
Worst price0.15
Drawdown as % of equity-0.07%
$74
Includes Typical Broker Commissions trade costs of $5.60
3/22/19 13:15 AAPL1929C220 AAPL Mar29'19 220 call SHORT 5 0.13 3/25 13:55 0.03 0.03%
Trade id #123038194
Max drawdown($15)
Time3/25/19 9:31
Quant open-5
Worst price0.16
Drawdown as % of equity-0.03%
$43
Includes Typical Broker Commissions trade costs of $7.00
3/14/19 13:55 TSLA1922O215 TSLA Mar22'19 215 put SHORT 10 0.19 3/21 9:32 0.06 0.22%
Trade id #122915179
Max drawdown($129)
Time3/18/19 10:30
Quant open-10
Worst price0.32
Drawdown as % of equity-0.22%
$117
Includes Typical Broker Commissions trade costs of $14.00
3/20/19 9:30 NFLX1929C400 NFLX Mar29'19 400 call SHORT 10 0.32 3/21 9:31 1.77 2.52%
Trade id #122987753
Max drawdown($1,450)
Time3/21/19 9:31
Quant open3
Worst price1.80
Drawdown as % of equity-2.52%
($1,464)
Includes Typical Broker Commissions trade costs of $14.00
3/7/19 9:30 BABA1915O155 BABA Mar15'19 155 put SHORT 10 0.20 3/12 10:34 0.03 0.65%
Trade id #122817286
Max drawdown($380)
Time3/8/19 9:32
Quant open-10
Worst price0.58
Drawdown as % of equity-0.65%
$156
Includes Typical Broker Commissions trade costs of $14.00
3/7/19 9:30 TSLA1915O180 TSLA Mar15'19 180 put SHORT 10 0.23 3/11 11:41 0.04 0.09%
Trade id #122817179
Max drawdown($50)
Time3/7/19 9:57
Quant open-10
Worst price0.28
Drawdown as % of equity-0.09%
$176
Includes Typical Broker Commissions trade costs of $14.00
2/26/19 9:30 TSLA1908O200 TSLA Mar8'19 200 put SHORT 5 0.25 3/6 9:58 0.10 0.06%
Trade id #122684065
Max drawdown($35)
Time3/5/19 10:09
Quant open-5
Worst price0.32
Drawdown as % of equity-0.06%
$68
Includes Typical Broker Commissions trade costs of $7.00
2/25/19 9:50 NVDA1901O135 NVDA Mar1'19 135 put SHORT 10 0.03 3/2 9:35 0.00 0.07%
Trade id #122667173
Max drawdown($40)
Time2/27/19 9:31
Quant open-10
Worst price0.07
Drawdown as % of equity-0.07%
$23
Includes Typical Broker Commissions trade costs of $7.00
2/26/19 9:30 NVDA1908C177.5 NVDA Mar8'19 177.5 call SHORT 5 0.20 3/1 15:55 0.07 0.06%
Trade id #122684108
Max drawdown($35)
Time2/26/19 9:55
Quant open-5
Worst price0.27
Drawdown as % of equity-0.06%
$58
Includes Typical Broker Commissions trade costs of $7.00
2/26/19 9:42 TSLA1908C335 TSLA Mar8'19 335 call SHORT 5 0.43 3/1 11:25 0.55 3.27%
Trade id #122684738
Max drawdown($1,861)
Time2/28/19 15:55
Quant open-5
Worst price4.15
Drawdown as % of equity-3.27%
($69)
Includes Typical Broker Commissions trade costs of $7.00
2/11/19 9:30 BABA1922N130 BABA Feb22'19 130 put SHORT 10 0.21 2/23 9:35 0.00 0.02%
Trade id #122454456
Max drawdown($10)
Time2/11/19 9:37
Quant open-10
Worst price0.22
Drawdown as % of equity-0.02%
$203
Includes Typical Broker Commissions trade costs of $7.00
2/7/19 11:16 TSLA1915B360 TSLA Feb15'19 360 call SHORT 10 0.21 2/13 9:32 0.07 0.07%
Trade id #122416165
Max drawdown($40)
Time2/7/19 12:41
Quant open-10
Worst price0.25
Drawdown as % of equity-0.07%
$130
Includes Typical Broker Commissions trade costs of $14.00
1/30/19 14:22 GOOG1901B1140 GOOG Feb1'19 1140 call SHORT 2 0.14 2/2 9:35 0.00 0.28%
Trade id #122275989
Max drawdown($162)
Time1/31/19 15:37
Quant open-2
Worst price0.95
Drawdown as % of equity-0.28%
$27
Includes Typical Broker Commissions trade costs of $1.40
1/30/19 14:23 CAT1908B140 CAT Feb8'19 140 call SHORT 10 0.23 2/1 12:33 0.14 0.47%
Trade id #122275999
Max drawdown($269)
Time1/31/19 15:55
Quant open-10
Worst price0.50
Drawdown as % of equity-0.47%
$77
Includes Typical Broker Commissions trade costs of $14.00
1/16/19 15:56 TSLA1925M260 TSLA Jan25'19 260 put SHORT 8 0.17 1/24 15:48 0.06 2.76%
Trade id #122018534
Max drawdown($1,596)
Time1/18/19 14:45
Quant open-8
Worst price2.17
Drawdown as % of equity-2.76%
$81
Includes Typical Broker Commissions trade costs of $11.20
1/15/19 10:00 TSLA1918A390 TSLA Jan18'19 390 call SHORT 8 0.15 1/19 9:36 0.00 0.06%
Trade id #121979316
Max drawdown($32)
Time1/15/19 10:45
Quant open-8
Worst price0.19
Drawdown as % of equity-0.06%
$114
Includes Typical Broker Commissions trade costs of $5.60
12/14/18 9:32 TSLA1821X280 TSLA Dec21'18 280 put SHORT 7 0.29 12/21 9:38 0.05 0.22%
Trade id #121498870
Max drawdown($126)
Time12/20/18 14:22
Quant open-7
Worst price0.47
Drawdown as % of equity-0.22%
$158
Includes Typical Broker Commissions trade costs of $9.80
12/19/18 9:41 TSLA1821L400 TSLA Dec21'18 400 call SHORT 10 0.05 12/20 9:32 0.04 0.08%
Trade id #121569107
Max drawdown($48)
Time12/19/18 10:11
Quant open-10
Worst price0.10
Drawdown as % of equity-0.08%
($2)
Includes Typical Broker Commissions trade costs of $14.00
12/19/18 15:03 BIDU1821X150 BIDU Dec21'18 150 put SHORT 5 0.27 12/20 9:30 0.18 0%
Trade id #121580775
Max drawdown$0
Time12/19/18 15:05
Quant open-5
Worst price0.27
Drawdown as % of equity0.00%
$39
Includes Typical Broker Commissions trade costs of $7.00
12/12/18 9:30 TSLA1814X310 TSLA Dec14'18 310 put SHORT 10 0.46 12/15 9:36 0.00 0.05%
Trade id #121460896
Max drawdown($30)
Time12/13/18 9:31
Quant open-10
Worst price0.49
Drawdown as % of equity-0.05%
$453
Includes Typical Broker Commissions trade costs of $7.00
12/6/18 9:32 TSLA1814X250 TSLA Dec14'18 250 put SHORT 3 0.20 12/10 13:46 0.07 0.03%
Trade id #121373850
Max drawdown($18)
Time12/6/18 10:42
Quant open-3
Worst price0.26
Drawdown as % of equity-0.03%
$35
Includes Typical Broker Commissions trade costs of $4.20
12/6/18 9:36 NFLX1814L330 NFLX Dec14'18 330 call SHORT 3 0.22 12/10 10:40 0.05 0.02%
Trade id #121374027
Max drawdown($14)
Time12/6/18 9:41
Quant open-3
Worst price0.27
Drawdown as % of equity-0.02%
$48
Includes Typical Broker Commissions trade costs of $4.20
11/23/18 11:36 TSLA1830W240 TSLA Nov30'18 240 put SHORT 10 0.21 11/27 10:04 0.04 0.07%
Trade id #121137829
Max drawdown($39)
Time11/26/18 9:31
Quant open-10
Worst price0.25
Drawdown as % of equity-0.07%
$158
Includes Typical Broker Commissions trade costs of $14.00
11/14/18 14:04 SPY1816W255 SPY Nov16'18 255 put SHORT 6 0.17 11/17 9:36 0.00 0.01%
Trade id #120944842
Max drawdown($3)
Time11/14/18 14:06
Quant open-3
Worst price0.17
Drawdown as % of equity-0.01%
$95
Includes Typical Broker Commissions trade costs of $4.20
11/12/18 9:30 TSLA1816W230 TSLA Nov16'18 230 put SHORT 10 0.34 11/13 12:10 0.06 1.9%
Trade id #120880233
Max drawdown($1,080)
Time11/13/18 9:31
Quant open-10
Worst price1.42
Drawdown as % of equity-1.90%
$266
Includes Typical Broker Commissions trade costs of $14.00
11/2/18 10:38 ADBE1809W200 ADBE Nov9'18 200 put SHORT 5 0.23 11/10 9:36 0.00 0.07%
Trade id #120696424
Max drawdown($40)
Time11/5/18 9:56
Quant open-5
Worst price0.31
Drawdown as % of equity-0.07%
$112
Includes Typical Broker Commissions trade costs of $3.50
11/2/18 10:28 SPY1809W255 SPY Nov9'18 255 put SHORT 10 0.28 11/10 9:36 0.00 0.58%
Trade id #120695832
Max drawdown($325)
Time11/2/18 13:07
Quant open-10
Worst price0.60
Drawdown as % of equity-0.58%
$268
Includes Typical Broker Commissions trade costs of $7.00

Statistics

  • Strategy began
    7/16/2017
  • Suggested Minimum Cap
    $35,000
  • Strategy Age (days)
    644.6
  • Age
    22 months ago
  • What it trades
    Options
  • # Trades
    94
  • # Profitable
    88
  • % Profitable
    93.60%
  • Avg trade duration
    8.8 days
  • Max peak-to-valley drawdown
    5.31%
  • drawdown period
    Sept 29, 2018 - Oct 11, 2018
  • Annual Return (Compounded)
    7.7%
  • Avg win
    $116.35
  • Avg loss
    $404.00
  • Model Account Values (Raw)
  • Cash
    $57,815
  • Margin Used
    $0
  • Buying Power
    $57,815
  • Ratios
  • W:L ratio
    4.22:1
  • Sharpe Ratio
    0.855
  • Sortino Ratio
    1.36
  • Calmar Ratio
    2.222
  • CORRELATION STATISTICS
  • Correlation to SP500
    0.17300
  • Return Statistics
  • Ann Return (w trading costs)
    7.7%
  • Ann Return (Compnd, No Fees)
    8.6%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    n/a
  • Chance of 20% account loss
    n/a
  • Chance of 30% account loss
    n/a
  • Chance of 40% account loss
    n/a
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    956
  • C2 Score
    36.0
  • Trades-Own-System Certification
  • Trades Own System?
    0
  • TOS percent
    n/a
  • Subscription Price
  • Billing Period (days)
    30
  • Trial Days
    0
  • Win / Loss
  • Avg Loss
    $404
  • Avg Win
    $116
  • # Winners
    88
  • # Losers
    6
  • % Winners
    93.6%
  • Frequency
  • Avg Position Time (mins)
    12646.30
  • Avg Position Time (hrs)
    210.77
  • Avg Trade Length
    8.8 days
  • Last Trade Ago
    2
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.06161
  • SD
    0.06882
  • Sharpe ratio (Glass type estimate)
    0.89534
  • Sharpe ratio (Hedges UMVUE)
    0.85945
  • df
    19.00000
  • t
    1.15588
  • p
    0.33863
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.66022
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.42833
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.68313
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.40203
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.61242
  • Upside Potential Ratio
    3.06356
  • Upside part of mean
    0.11707
  • Downside part of mean
    -0.05545
  • Upside SD
    0.05792
  • Downside SD
    0.03821
  • N nonnegative terms
    15.00000
  • N negative terms
    5.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    20.00000
  • Mean of predictor
    0.08116
  • Mean of criterion
    0.06161
  • SD of predictor
    0.13205
  • SD of criterion
    0.06882
  • Covariance
    0.00472
  • r
    0.51958
  • b (slope, estimate of beta)
    0.27077
  • a (intercept, estimate of alpha)
    0.03964
  • Mean Square Error
    0.00365
  • DF error
    18.00000
  • t(b)
    2.57995
  • p(b)
    0.24021
  • t(a)
    0.83339
  • p(a)
    0.40363
  • Lowerbound of 95% confidence interval for beta
    0.05028
  • Upperbound of 95% confidence interval for beta
    0.49127
  • Lowerbound of 95% confidence interval for alpha
    -0.06029
  • Upperbound of 95% confidence interval for alpha
    0.13956
  • Treynor index (mean / b)
    0.22755
  • Jensen alpha (a)
    0.03964
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.05910
  • SD
    0.06817
  • Sharpe ratio (Glass type estimate)
    0.86704
  • Sharpe ratio (Hedges UMVUE)
    0.83228
  • df
    19.00000
  • t
    1.11934
  • p
    0.34331
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.68659
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.39874
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.70879
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.37335
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.52835
  • Upside Potential Ratio
    2.97807
  • Upside part of mean
    0.11517
  • Downside part of mean
    -0.05606
  • Upside SD
    0.05666
  • Downside SD
    0.03867
  • N nonnegative terms
    15.00000
  • N negative terms
    5.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    20.00000
  • Mean of predictor
    0.07249
  • Mean of criterion
    0.05910
  • SD of predictor
    0.13179
  • SD of criterion
    0.06817
  • Covariance
    0.00471
  • r
    0.52475
  • b (slope, estimate of beta)
    0.27142
  • a (intercept, estimate of alpha)
    0.03943
  • Mean Square Error
    0.00355
  • DF error
    18.00000
  • t(b)
    2.61533
  • p(b)
    0.23763
  • t(a)
    0.84268
  • p(a)
    0.40259
  • Lowerbound of 95% confidence interval for beta
    0.05339
  • Upperbound of 95% confidence interval for beta
    0.48945
  • Lowerbound of 95% confidence interval for alpha
    -0.05887
  • Upperbound of 95% confidence interval for alpha
    0.13773
  • Treynor index (mean / b)
    0.21776
  • Jensen alpha (a)
    0.03943
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02707
  • Expected Shortfall on VaR
    0.03501
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00629
  • Expected Shortfall on VaR
    0.01500
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    20.00000
  • Minimum
    0.97130
  • Quartile 1
    1.00341
  • Median
    1.00764
  • Quartile 3
    1.01203
  • Maximum
    1.05310
  • Mean of quarter 1
    0.98384
  • Mean of quarter 2
    1.00578
  • Mean of quarter 3
    1.00983
  • Mean of quarter 4
    1.03040
  • Inter Quartile Range
    0.00863
  • Number outliers low
    3.00000
  • Percentage of outliers low
    0.15000
  • Mean of outliers low
    0.97454
  • Number of outliers high
    3.00000
  • Percentage of outliers high
    0.15000
  • Mean of outliers high
    1.04189
  • 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)
    -2.74419
  • VaR(95%) (regression method)
    0.03708
  • Expected Shortfall (regression method)
    0.03747
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    4.00000
  • Minimum
    0.00594
  • Quartile 1
    0.01639
  • Median
    0.02385
  • Quartile 3
    0.02804
  • Maximum
    0.02870
  • Mean of quarter 1
    0.00594
  • Mean of quarter 2
    0.01987
  • Mean of quarter 3
    0.02782
  • Mean of quarter 4
    0.02870
  • Inter Quartile Range
    0.01165
  • 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)
    0.09364
  • Compounded annual return (geometric extrapolation)
    0.09091
  • Calmar ratio (compounded annual return / max draw down)
    3.16789
  • Compounded annual return / average of 25% largest draw downs
    3.16789
  • Compounded annual return / Expected Shortfall lognormal
    2.59656
  • 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
    0.06110
  • SD
    0.07131
  • Sharpe ratio (Glass type estimate)
    0.85684
  • Sharpe ratio (Hedges UMVUE)
    0.85537
  • df
    439.00000
  • t
    1.11038
  • p
    0.13372
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.65708
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.36989
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.65811
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.36885
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.36003
  • Upside Potential Ratio
    5.56856
  • Upside part of mean
    0.25019
  • Downside part of mean
    -0.18908
  • Upside SD
    0.05541
  • Downside SD
    0.04493
  • N nonnegative terms
    192.00000
  • N negative terms
    248.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    440.00000
  • Mean of predictor
    0.08195
  • Mean of criterion
    0.06110
  • SD of predictor
    0.14572
  • SD of criterion
    0.07131
  • Covariance
    0.00165
  • r
    0.15849
  • b (slope, estimate of beta)
    0.07757
  • a (intercept, estimate of alpha)
    0.05500
  • Mean Square Error
    0.00497
  • DF error
    438.00000
  • t(b)
    3.35948
  • p(b)
    0.00042
  • t(a)
    1.00585
  • p(a)
    0.15752
  • Lowerbound of 95% confidence interval for beta
    0.03219
  • Upperbound of 95% confidence interval for beta
    0.12294
  • Lowerbound of 95% confidence interval for alpha
    -0.05223
  • Upperbound of 95% confidence interval for alpha
    0.16172
  • Treynor index (mean / b)
    0.78777
  • Jensen alpha (a)
    0.05475
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.05857
  • SD
    0.07103
  • Sharpe ratio (Glass type estimate)
    0.82461
  • Sharpe ratio (Hedges UMVUE)
    0.82320
  • df
    439.00000
  • t
    1.06862
  • p
    0.14291
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.68923
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.33758
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.69020
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.33660
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.29124
  • Upside Potential Ratio
    5.48202
  • Upside part of mean
    0.24865
  • Downside part of mean
    -0.19009
  • Upside SD
    0.05467
  • Downside SD
    0.04536
  • N nonnegative terms
    192.00000
  • N negative terms
    248.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    440.00000
  • Mean of predictor
    0.07131
  • Mean of criterion
    0.05857
  • SD of predictor
    0.14602
  • SD of criterion
    0.07103
  • Covariance
    0.00167
  • r
    0.16113
  • b (slope, estimate of beta)
    0.07838
  • a (intercept, estimate of alpha)
    0.05298
  • Mean Square Error
    0.00492
  • DF error
    438.00000
  • t(b)
    3.41690
  • p(b)
    0.00035
  • t(a)
    0.97787
  • p(a)
    0.16434
  • Lowerbound of 95% confidence interval for beta
    0.03329
  • Upperbound of 95% confidence interval for beta
    0.12346
  • Lowerbound of 95% confidence interval for alpha
    -0.05350
  • Upperbound of 95% confidence interval for alpha
    0.15946
  • Treynor index (mean / b)
    0.74727
  • Jensen alpha (a)
    0.05298
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00697
  • Expected Shortfall on VaR
    0.00879
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00173
  • Expected Shortfall on VaR
    0.00395
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    440.00000
  • Minimum
    0.96700
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00080
  • Maximum
    1.04394
  • Mean of quarter 1
    0.99734
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00031
  • Mean of quarter 4
    1.00371
  • Inter Quartile Range
    0.00080
  • Number outliers low
    42.00000
  • Percentage of outliers low
    0.09545
  • Mean of outliers low
    0.99350
  • Number of outliers high
    54.00000
  • Percentage of outliers high
    0.12273
  • Mean of outliers high
    1.00622
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.29766
  • VaR(95%) (moments method)
    0.00197
  • Expected Shortfall (moments method)
    0.00440
  • Extreme Value Index (regression method)
    0.23749
  • VaR(95%) (regression method)
    0.00316
  • Expected Shortfall (regression method)
    0.00762
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    35.00000
  • Minimum
    0.00001
  • Quartile 1
    0.00032
  • Median
    0.00064
  • Quartile 3
    0.00901
  • Maximum
    0.04064
  • Mean of quarter 1
    0.00020
  • Mean of quarter 2
    0.00048
  • Mean of quarter 3
    0.00313
  • Mean of quarter 4
    0.02289
  • Inter Quartile Range
    0.00869
  • 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
    0.11429
  • Mean of outliers high
    0.03207
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -1.09932
  • VaR(95%) (moments method)
    0.02287
  • Expected Shortfall (moments method)
    0.02442
  • Extreme Value Index (regression method)
    -0.60208
  • VaR(95%) (regression method)
    0.03144
  • Expected Shortfall (regression method)
    0.03635
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.09307
  • Compounded annual return (geometric extrapolation)
    0.09032
  • Calmar ratio (compounded annual return / max draw down)
    2.22247
  • Compounded annual return / average of 25% largest draw downs
    3.94591
  • Compounded annual return / Expected Shortfall lognormal
    10.27880
  • 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
    0.03343
  • SD
    0.06286
  • Sharpe ratio (Glass type estimate)
    0.53178
  • Sharpe ratio (Hedges UMVUE)
    0.52871
  • df
    130.00000
  • t
    0.37603
  • p
    0.48352
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.24174
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.30338
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.24384
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.30126
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.75770
  • Upside Potential Ratio
    4.76973
  • Upside part of mean
    0.21042
  • Downside part of mean
    -0.17700
  • Upside SD
    0.04449
  • Downside SD
    0.04412
  • N nonnegative terms
    52.00000
  • N negative terms
    79.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.05545
  • Mean of criterion
    0.03343
  • SD of predictor
    0.18398
  • SD of criterion
    0.06286
  • Covariance
    -0.00057
  • r
    -0.04965
  • b (slope, estimate of beta)
    -0.01696
  • a (intercept, estimate of alpha)
    0.03437
  • Mean Square Error
    0.00397
  • DF error
    129.00000
  • t(b)
    -0.56466
  • p(b)
    0.53160
  • t(a)
    0.38553
  • p(a)
    0.47841
  • Lowerbound of 95% confidence interval for beta
    -0.07641
  • Upperbound of 95% confidence interval for beta
    0.04248
  • Lowerbound of 95% confidence interval for alpha
    -0.14201
  • Upperbound of 95% confidence interval for alpha
    0.21074
  • Treynor index (mean / b)
    -1.97040
  • Jensen alpha (a)
    0.03437
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.03146
  • SD
    0.06283
  • Sharpe ratio (Glass type estimate)
    0.50079
  • Sharpe ratio (Hedges UMVUE)
    0.49790
  • df
    130.00000
  • t
    0.35412
  • p
    0.48448
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.27265
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.27243
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.27457
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.27037
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.70817
  • Upside Potential Ratio
    4.71375
  • Upside part of mean
    0.20942
  • Downside part of mean
    -0.17796
  • Upside SD
    0.04412
  • Downside SD
    0.04443
  • N nonnegative terms
    52.00000
  • N negative terms
    79.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.03867
  • Mean of criterion
    0.03146
  • SD of predictor
    0.18383
  • SD of criterion
    0.06283
  • Covariance
    -0.00058
  • r
    -0.05059
  • b (slope, estimate of beta)
    -0.01729
  • a (intercept, estimate of alpha)
    0.03213
  • Mean Square Error
    0.00397
  • DF error
    129.00000
  • t(b)
    -0.57532
  • p(b)
    0.53219
  • t(a)
    0.36068
  • p(a)
    0.47980
  • Lowerbound of 95% confidence interval for beta
    -0.07674
  • Upperbound of 95% confidence interval for beta
    0.04217
  • Lowerbound of 95% confidence interval for alpha
    -0.14413
  • Upperbound of 95% confidence interval for alpha
    0.20839
  • Treynor index (mean / b)
    -1.81983
  • Jensen alpha (a)
    0.03213
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00624
  • Expected Shortfall on VaR
    0.00785
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00170
  • Expected Shortfall on VaR
    0.00386
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.98164
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00061
  • Maximum
    1.02242
  • Mean of quarter 1
    0.99756
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00020
  • Mean of quarter 4
    1.00317
  • Inter Quartile Range
    0.00061
  • Number outliers low
    8.00000
  • Percentage of outliers low
    0.06107
  • Mean of outliers low
    0.99052
  • Number of outliers high
    18.00000
  • Percentage of outliers high
    0.13740
  • Mean of outliers high
    1.00509
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.72268
  • VaR(95%) (moments method)
    0.00144
  • Expected Shortfall (moments method)
    0.00303
  • Extreme Value Index (regression method)
    -0.39903
  • VaR(95%) (regression method)
    0.00334
  • Expected Shortfall (regression method)
    0.00873
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    11.00000
  • Minimum
    0.00014
  • Quartile 1
    0.00023
  • Median
    0.00050
  • Quartile 3
    0.01065
  • Maximum
    0.02437
  • Mean of quarter 1
    0.00017
  • Mean of quarter 2
    0.00036
  • Mean of quarter 3
    0.00218
  • Mean of quarter 4
    0.02125
  • Inter Quartile Range
    0.01042
  • 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)
    -3.28228
  • VaR(95%) (moments method)
    0.02330
  • Expected Shortfall (moments method)
    0.02335
  • Extreme Value Index (regression method)
    -0.66398
  • VaR(95%) (regression method)
    0.02523
  • Expected Shortfall (regression method)
    0.02666
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.06026
  • Compounded annual return (geometric extrapolation)
    0.06117
  • Calmar ratio (compounded annual return / max draw down)
    2.51033
  • Compounded annual return / average of 25% largest draw downs
    2.87841
  • Compounded annual return / Expected Shortfall lognormal
    7.78806

Strategy Description

Summary Statistics

Includes fees & commissions
Strategy began
2017-07-16
Suggested Minimum Capital
$35,000
# Trades
94
# Profitable
88
% Profitable
93.6%
Correlation S&P500
0.173
Sharpe Ratio
0.855

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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