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This is an archived track record. This track record was archived on 4/4/18 11:09 ET. (See latest track record)
These are hypothetical performance results that have certain inherent limitations. Learn more

SP500 Momentum Enhanced
(114588501)

Created by: RFC-Agathos RFC-Agathos
Started: 10/2017
Futures
Last trade: 2,185 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 $99.00 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.

-13.1%
Cumul. Return

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 Cumulative Rate of Return is calculated

= (Ending_equity - Starting_equity) / Starting_equity

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

All results are hypothetical.

(18.3%)
Max Drawdown
57
Num Trades
73.7%
Win Trades
0.9 : 1
Profit Factor
5.2%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2017                                                               +0.1%+3.8%+1.2%+5.2%
2018(1.6%)(7.5%)(5.2%)+3.1%  -    -    -    -    -    -    -    -  (10.9%)
2019  -    -    -    -    -    -    -    -    -    -    -  0.0
2020  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2021  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2022  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2023  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2024  -    -    -                                                        0.0

Model Account Details

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

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

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

Trading Record

This strategy has placed 50 trades in real-life brokerage accounts. The most recent trade in a real-money brokerage account occurred more than 2242 days ago.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
4/4/18 7:32 @ESM8 E-MINI S&P 500 LONG 1 2575.75 4/4 11:01 2598.25 n/a $1,117
Includes Typical Broker Commissions trade costs of $8.00
4/3/18 9:56 @ESM8 E-MINI S&P 500 LONG 1 2588.25 4/3 10:13 2577.50 1.13%
Trade id #117344801
Max drawdown($538)
Time4/3/18 10:13
Quant open0
Worst price2577.50
Drawdown as % of equity-1.13%
($546)
Includes Typical Broker Commissions trade costs of $8.00
4/2/18 9:26 @ESM8 E-MINI S&P 500 SHORT 1 2631.50 4/2 10:28 2614.50 0.7%
Trade id #117323031
Max drawdown($325)
Time4/2/18 9:40
Quant open-1
Worst price2638.00
Drawdown as % of equity-0.70%
$842
Includes Typical Broker Commissions trade costs of $8.00
3/28/18 11:06 @ESM8 E-MINI S&P 500 LONG 1 2610.00 3/28 12:11 2620.00 1.43%
Trade id #117278461
Max drawdown($662)
Time3/28/18 11:33
Quant open1
Worst price2596.75
Drawdown as % of equity-1.43%
$492
Includes Typical Broker Commissions trade costs of $8.00
3/28/18 11:03 @ESM8 E-MINI S&P 500 LONG 1 2610.75 3/28 11:03 2611.00 n/a $5
Includes Typical Broker Commissions trade costs of $8.00
3/28/18 9:00 @ESM8 E-MINI S&P 500 LONG 1 2612.00 3/28 9:57 2616.25 0.98%
Trade id #117273929
Max drawdown($450)
Time3/28/18 9:43
Quant open1
Worst price2603.00
Drawdown as % of equity-0.98%
$205
Includes Typical Broker Commissions trade costs of $8.00
3/27/18 19:46 @ESM8 E-MINI S&P 500 LONG 1 2612.75 3/28 7:46 2621.25 1.39%
Trade id #117266403
Max drawdown($637)
Time3/28/18 4:08
Quant open1
Worst price2600.00
Drawdown as % of equity-1.39%
$417
Includes Typical Broker Commissions trade costs of $8.00
3/23/18 8:07 @ESM8 E-MINI S&P 500 LONG 1 2650.00 3/23 14:58 2610.00 4.29%
Trade id #117200954
Max drawdown($2,000)
Time3/23/18 14:58
Quant open0
Worst price2610.00
Drawdown as % of equity-4.29%
($2,008)
Includes Typical Broker Commissions trade costs of $8.00
3/22/18 8:54 @ESM8 E-MINI S&P 500 LONG 1 2690.25 3/22 15:45 2650.00 4.12%
Trade id #117177198
Max drawdown($2,013)
Time3/22/18 15:45
Quant open0
Worst price2650.00
Drawdown as % of equity-4.12%
($2,021)
Includes Typical Broker Commissions trade costs of $8.00
3/20/18 13:20 @ESM8 E-MINI S&P 500 LONG 1 2716.00 3/20 14:44 2722.00 0.33%
Trade id #117140676
Max drawdown($162)
Time3/20/18 14:01
Quant open1
Worst price2712.75
Drawdown as % of equity-0.33%
$292
Includes Typical Broker Commissions trade costs of $8.00
3/20/18 11:48 @ESM8 E-MINI S&P 500 LONG 1 2716.00 3/20 12:38 2721.25 0.26%
Trade id #117138968
Max drawdown($125)
Time3/20/18 11:53
Quant open1
Worst price2713.50
Drawdown as % of equity-0.26%
$255
Includes Typical Broker Commissions trade costs of $8.00
3/20/18 10:21 @ESM8 E-MINI S&P 500 LONG 1 2720.25 3/20 10:30 2726.00 0.13%
Trade id #117135934
Max drawdown($62)
Time3/20/18 10:27
Quant open1
Worst price2719.00
Drawdown as % of equity-0.13%
$280
Includes Typical Broker Commissions trade costs of $8.00
3/1/18 16:37 @ESH8 E-MINI S&P 500 LONG 1 2680.00 3/2 9:38 2652.00 2.79%
Trade id #116813280
Max drawdown($1,400)
Time3/2/18 9:38
Quant open0
Worst price2652.00
Drawdown as % of equity-2.79%
($1,408)
Includes Typical Broker Commissions trade costs of $8.00
2/28/18 16:12 @ESH8 E-MINI S&P 500 LONG 1 2719.75 3/1 10:35 2730.00 2.19%
Trade id #116785620
Max drawdown($1,087)
Time3/1/18 6:51
Quant open1
Worst price2698.00
Drawdown as % of equity-2.19%
$505
Includes Typical Broker Commissions trade costs of $8.00
2/26/18 0:37 @ESH8 E-MINI S&P 500 LONG 1 2752.00 2/26 3:53 2759.00 0.18%
Trade id #116715676
Max drawdown($87)
Time2/26/18 2:10
Quant open1
Worst price2750.25
Drawdown as % of equity-0.18%
$342
Includes Typical Broker Commissions trade costs of $8.00
2/14/18 8:40 @ESH8 E-MINI S&P 500 LONG 1 2633.25 2/14 9:30 2652.00 0.23%
Trade id #116499357
Max drawdown($112)
Time2/14/18 8:50
Quant open1
Worst price2631.00
Drawdown as % of equity-0.23%
$930
Includes Typical Broker Commissions trade costs of $8.00
1/29/18 10:03 @ESH8 E-MINI S&P 500 LONG 1 2865.75 2/6 9:34 2619.25 33.56%
Trade id #116150329
Max drawdown($16,837)
Time2/5/18 23:26
Quant open1
Worst price2529.00
Drawdown as % of equity-33.56%
($12,333)
Includes Typical Broker Commissions trade costs of $8.00
2/2/18 9:34 SPY1807N279 SPY Feb7'18 279 put LONG 5 1.32 2/6 9:34 12.23 0.13%
Trade id #116247123
Max drawdown($68)
Time2/2/18 9:36
Quant open5
Worst price1.18
Drawdown as % of equity-0.13%
$5,448
Includes Typical Broker Commissions trade costs of $7.60
1/29/18 9:35 SPY1802N281 SPY Feb2'18 281 put LONG 5 0.25 2/2 9:34 1.32 0.04%
Trade id #116149055
Max drawdown($23)
Time1/29/18 9:44
Quant open5
Worst price0.20
Drawdown as % of equity-0.04%
$531
Includes Typical Broker Commissions trade costs of $7.00
1/29/18 3:45 @ESH8 E-MINI S&P 500 LONG 1 2869.00 1/29 9:58 2869.25 0.5%
Trade id #116145637
Max drawdown($275)
Time1/29/18 9:20
Quant open1
Worst price2863.50
Drawdown as % of equity-0.50%
$5
Includes Typical Broker Commissions trade costs of $8.00
1/23/18 9:36 SPY1826M276 SPY Jan26'18 276 put LONG 5 0.07 1/27 9:35 0.00 0.06%
Trade id #116046532
Max drawdown($35)
Time1/27/18 9:35
Quant open0
Worst price0.00
Drawdown as % of equity-0.06%
($39)
Includes Typical Broker Commissions trade costs of $3.50
1/23/18 9:32 @ESH8 E-MINI S&P 500 LONG 1 2835.25 1/23 15:34 2841.50 0.3%
Trade id #116046220
Max drawdown($162)
Time1/23/18 9:58
Quant open1
Worst price2832.00
Drawdown as % of equity-0.30%
$305
Includes Typical Broker Commissions trade costs of $8.00
1/22/18 8:56 @ESH8 E-MINI S&P 500 LONG 1 2808.17 1/22 9:43 2811.83 0.06%
Trade id #116019239
Max drawdown($33)
Time1/22/18 9:18
Quant open1
Worst price2807.50
Drawdown as % of equity-0.06%
$175
Includes Typical Broker Commissions trade costs of $8.00
1/21/18 18:03 @ESH8 E-MINI S&P 500 LONG 1 2806.42 1/22 8:33 2810.75 0.06%
Trade id #116007025
Max drawdown($33)
Time1/21/18 18:05
Quant open1
Worst price2805.75
Drawdown as % of equity-0.06%
$209
Includes Typical Broker Commissions trade costs of $8.00
1/16/18 13:47 SPY1819M273 SPY Jan19'18 273 put LONG 5 0.16 1/20 9:35 0.00 0.15%
Trade id #115909839
Max drawdown($80)
Time1/20/18 9:35
Quant open0
Worst price0.00
Drawdown as % of equity-0.15%
($84)
Includes Typical Broker Commissions trade costs of $3.50
1/18/18 15:52 @ESH8 E-MINI S&P 500 LONG 1 2800.17 1/19 10:14 2803.67 0.78%
Trade id #115967683
Max drawdown($420)
Time1/18/18 22:40
Quant open1
Worst price2791.75
Drawdown as % of equity-0.78%
$167
Includes Typical Broker Commissions trade costs of $8.00
1/16/18 13:45 @ESH8 E-MINI S&P 500 LONG 1 2789.75 1/17 11:18 2792.62 1.91%
Trade id #115909708
Max drawdown($1,025)
Time1/16/18 14:47
Quant open1
Worst price2769.25
Drawdown as % of equity-1.91%
$136
Includes Typical Broker Commissions trade costs of $8.00
1/8/18 9:38 SPY1812M268 SPY Jan12'18 268 put LONG 5 0.08 1/13 9:35 0.00 0.07%
Trade id #115745954
Max drawdown($39)
Time1/13/18 9:35
Quant open0
Worst price0.00
Drawdown as % of equity-0.07%
($43)
Includes Typical Broker Commissions trade costs of $3.50
1/10/18 9:29 @ESH8 E-MINI S&P 500 LONG 1 2744.50 1/10 10:40 2747.88 0.75%
Trade id #115797552
Max drawdown($400)
Time1/10/18 9:54
Quant open1
Worst price2736.50
Drawdown as % of equity-0.75%
$161
Includes Typical Broker Commissions trade costs of $8.00
1/8/18 9:29 @ESH8 E-MINI S&P 500 LONG 1 2740.00 1/8 16:01 2746.50 0.28%
Trade id #115745142
Max drawdown($150)
Time1/8/18 9:40
Quant open1
Worst price2737.00
Drawdown as % of equity-0.28%
$317
Includes Typical Broker Commissions trade costs of $8.00

Statistics

  • Strategy began
    10/29/2017
  • Suggested Minimum Cap
    $50,000
  • Strategy Age (days)
    2341.38
  • Age
    78 months ago
  • What it trades
    Futures
  • # Trades
    57
  • # Profitable
    42
  • % Profitable
    73.70%
  • Avg trade duration
    1.1 days
  • Max peak-to-valley drawdown
    18.34%
  • drawdown period
    Jan 23, 2018 - March 28, 2018
  • Cumul. Return
    -5.9%
  • Avg win
    $412.95
  • Avg loss
    $1,280
  • Model Account Values (Raw)
  • Cash
    $48,136
  • Margin Used
    $0
  • Buying Power
    $48,136
  • Ratios
  • W:L ratio
    0.90:1
  • Sharpe Ratio
    -0.62
  • Sortino Ratio
    -0.69
  • Calmar Ratio
    -0.177
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -6.73%
  • Correlation to SP500
    0.04270
  • Return Percent SP500 (cumu) during strategy life
    103.45%
  • Return Statistics
  • Ann Return (w trading costs)
    -13.1%
  • Slump
  • Current Slump as Pcnt Equity
    15.20%
  • Instruments
  • Percent Trades Futures
    0.84%
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.96%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    -0.059%
  • Instruments
  • Percent Trades Options
    0.16%
  • Percent Trades Stocks
    n/a
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    -0.6%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    38.00%
  • Chance of 20% account loss
    n/a
  • 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)
    784
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • Popularity (7 days, Percentile 1000 scale)
    0
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $1,280
  • Avg Win
    $413
  • Sum Trade PL (losers)
    $19,202.000
  • Age
  • Num Months filled monthly returns table
    78
  • Win / Loss
  • Sum Trade PL (winners)
    $17,344.000
  • # Winners
    42
  • Num Months Winners
    4
  • Dividends
  • Dividends Received in Model Acct
    0
  • Win / Loss
  • # Losers
    15
  • % Winners
    73.7%
  • Frequency
  • Avg Position Time (mins)
    1613.83
  • Avg Position Time (hrs)
    26.90
  • Avg Trade Length
    1.1 days
  • Last Trade Ago
    2185
  • Regression
  • Alpha
    -0.01
  • Beta
    0.01
  • Treynor Index
    -0.94
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.01
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    44.18
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    24.14
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    1.06
  • MAE:Equity, average, winning trades
    0.01
  • MAE:Equity, average, losing trades
    0.03
  • Avg(MAE) / Avg(PL) - All trades
    -11.997
  • 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
    0.04
  • Avg(MAE) / Avg(PL) - Winning trades
    0.669
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.308
  • Hold-and-Hope Ratio
    -0.083
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.12225
  • SD
    0.16832
  • Sharpe ratio (Glass type estimate)
    -0.72631
  • Sharpe ratio (Hedges UMVUE)
    -0.57951
  • df
    4.00000
  • t
    -0.46883
  • p
    0.66820
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.75893
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.39100
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.64231
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.48329
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.91249
  • Upside Potential Ratio
    1.15240
  • Upside part of mean
    0.15440
  • Downside part of mean
    -0.27665
  • Upside SD
    0.07721
  • Downside SD
    0.13398
  • N nonnegative terms
    2.00000
  • N negative terms
    3.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    5.00000
  • Mean of predictor
    0.04606
  • Mean of criterion
    -0.12225
  • SD of predictor
    0.13650
  • SD of criterion
    0.16832
  • Covariance
    0.01805
  • r
    0.78578
  • b (slope, estimate of beta)
    0.96894
  • a (intercept, estimate of alpha)
    -0.16688
  • Mean Square Error
    0.01445
  • DF error
    3.00000
  • t(b)
    2.20046
  • p(b)
    0.05756
  • t(a)
    -0.89080
  • p(a)
    0.78067
  • Lowerbound of 95% confidence interval for beta
    -0.43240
  • Upperbound of 95% confidence interval for beta
    2.37029
  • Lowerbound of 95% confidence interval for alpha
    -0.76307
  • Upperbound of 95% confidence interval for alpha
    0.42931
  • Treynor index (mean / b)
    -0.12617
  • Jensen alpha (a)
    -0.16688
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.13460
  • SD
    0.17178
  • Sharpe ratio (Glass type estimate)
    -0.78360
  • Sharpe ratio (Hedges UMVUE)
    -0.62522
  • df
    4.00000
  • t
    -0.50581
  • p
    0.68020
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.81934
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.34312
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.69234
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.44189
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.96640
  • Upside Potential Ratio
    1.08770
  • Upside part of mean
    0.15150
  • Downside part of mean
    -0.28610
  • Upside SD
    0.07560
  • Downside SD
    0.13928
  • N nonnegative terms
    2.00000
  • N negative terms
    3.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    5.00000
  • Mean of predictor
    0.03851
  • Mean of criterion
    -0.13460
  • SD of predictor
    0.13677
  • SD of criterion
    0.17178
  • Covariance
    0.01874
  • r
    0.79751
  • b (slope, estimate of beta)
    1.00162
  • a (intercept, estimate of alpha)
    -0.17318
  • Mean Square Error
    0.01432
  • DF error
    3.00000
  • t(b)
    2.28960
  • p(b)
    0.05300
  • t(a)
    -0.93033
  • p(a)
    0.78959
  • Lowerbound of 95% confidence interval for beta
    -0.39059
  • Upperbound of 95% confidence interval for beta
    2.39382
  • Lowerbound of 95% confidence interval for alpha
    -0.76559
  • Upperbound of 95% confidence interval for alpha
    0.41923
  • Treynor index (mean / b)
    -0.13439
  • Jensen alpha (a)
    -0.17318
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.08861
  • Expected Shortfall on VaR
    0.10715
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.05948
  • Expected Shortfall on VaR
    0.09975
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    5.00000
  • Minimum
    0.91884
  • Quartile 1
    0.97048
  • Median
    0.99541
  • Quartile 3
    1.01777
  • Maximum
    1.04656
  • Mean of quarter 1
    0.94466
  • Mean of quarter 2
    0.99541
  • Mean of quarter 3
    1.01777
  • Mean of quarter 4
    1.04656
  • Inter Quartile Range
    0.04729
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    1.00000
  • Minimum
    0.11238
  • Quartile 1
    0.11238
  • Median
    0.11238
  • Quartile 3
    0.11238
  • Maximum
    0.11238
  • Mean of quarter 1
    0.00000
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.00000
  • Inter Quartile Range
    0.00000
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.13090
  • Compounded annual return (geometric extrapolation)
    -0.12594
  • Calmar ratio (compounded annual return / max draw down)
    -1.12066
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    -1.17537
  • 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
    -0.13028
  • SD
    0.14787
  • Sharpe ratio (Glass type estimate)
    -0.88109
  • Sharpe ratio (Hedges UMVUE)
    -0.87501
  • df
    109.00000
  • t
    -0.57091
  • p
    0.53474
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.90617
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.14795
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.90208
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.15206
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.97635
  • Upside Potential Ratio
    3.74155
  • Upside part of mean
    0.49927
  • Downside part of mean
    -0.62955
  • Upside SD
    0.06265
  • Downside SD
    0.13344
  • N nonnegative terms
    83.00000
  • N negative terms
    27.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    110.00000
  • Mean of predictor
    0.03910
  • Mean of criterion
    -0.13028
  • SD of predictor
    0.16010
  • SD of criterion
    0.14787
  • Covariance
    0.00327
  • r
    0.13803
  • b (slope, estimate of beta)
    0.12749
  • a (intercept, estimate of alpha)
    -0.05900
  • Mean Square Error
    0.02165
  • DF error
    108.00000
  • t(b)
    1.44834
  • p(b)
    0.43098
  • t(a)
    -0.59566
  • p(a)
    0.52861
  • Lowerbound of 95% confidence interval for beta
    -0.04699
  • Upperbound of 95% confidence interval for beta
    0.30196
  • Lowerbound of 95% confidence interval for alpha
    -0.58540
  • Upperbound of 95% confidence interval for alpha
    0.31487
  • Treynor index (mean / b)
    -1.02194
  • Jensen alpha (a)
    -0.13527
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.14136
  • SD
    0.14998
  • Sharpe ratio (Glass type estimate)
    -0.94251
  • Sharpe ratio (Hedges UMVUE)
    -0.93601
  • df
    109.00000
  • t
    -0.61070
  • p
    0.53715
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.96778
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.08700
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.96340
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.09138
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.03977
  • Upside Potential Ratio
    3.65807
  • Upside part of mean
    0.49732
  • Downside part of mean
    -0.63868
  • Upside SD
    0.06232
  • Downside SD
    0.13595
  • N nonnegative terms
    83.00000
  • N negative terms
    27.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    110.00000
  • Mean of predictor
    0.02629
  • Mean of criterion
    -0.14136
  • SD of predictor
    0.16108
  • SD of criterion
    0.14998
  • Covariance
    0.00341
  • r
    0.14105
  • b (slope, estimate of beta)
    0.13133
  • a (intercept, estimate of alpha)
    -0.14481
  • Mean Square Error
    0.02225
  • DF error
    108.00000
  • t(b)
    1.48064
  • p(b)
    0.42947
  • t(a)
    -0.62900
  • p(a)
    0.53021
  • Lowerbound of 95% confidence interval for beta
    -0.04448
  • Upperbound of 95% confidence interval for beta
    0.30715
  • Lowerbound of 95% confidence interval for alpha
    -0.60116
  • Upperbound of 95% confidence interval for alpha
    0.31154
  • Treynor index (mean / b)
    -1.07636
  • Jensen alpha (a)
    -0.14481
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01566
  • Expected Shortfall on VaR
    0.01945
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00306
  • Expected Shortfall on VaR
    0.00801
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    110.00000
  • Minimum
    0.95171
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00249
  • Maximum
    1.01756
  • Mean of quarter 1
    0.99056
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00092
  • Mean of quarter 4
    1.00660
  • Inter Quartile Range
    0.00249
  • Number outliers low
    12.00000
  • Percentage of outliers low
    0.10909
  • Mean of outliers low
    0.97948
  • Number of outliers high
    10.00000
  • Percentage of outliers high
    0.09091
  • Mean of outliers high
    1.01068
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.84477
  • VaR(95%) (moments method)
    0.00487
  • Expected Shortfall (moments method)
    0.03918
  • Extreme Value Index (regression method)
    0.28341
  • VaR(95%) (regression method)
    0.00767
  • Expected Shortfall (regression method)
    0.01681
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    9.00000
  • Minimum
    0.00018
  • Quartile 1
    0.00124
  • Median
    0.00353
  • Quartile 3
    0.00473
  • Maximum
    0.16668
  • Mean of quarter 1
    0.00058
  • Mean of quarter 2
    0.00315
  • Mean of quarter 3
    0.00417
  • Mean of quarter 4
    0.08673
  • Inter Quartile Range
    0.00349
  • 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
    0.11111
  • Mean of outliers high
    0.16668
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    1.71156
  • VaR(95%) (moments method)
    0.06890
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    5.29165
  • VaR(95%) (regression method)
    1.18834
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.13725
  • Compounded annual return (geometric extrapolation)
    -0.13182
  • Calmar ratio (compounded annual return / max draw down)
    -0.79085
  • Compounded annual return / average of 25% largest draw downs
    -1.51997
  • Compounded annual return / Expected Shortfall lognormal
    -6.77583
  • Analysis based on DAILY values, last 6 months only
  • RATIO STATISTICS
  • Ratio statistics of excess log return rates
  • Statistics related to linear regression on benchmark
  • VAR (95 Confidence Intrvl)
    0.00900
  • DRAW DOWN STATISTICS
  • Risk estimates based on draw downs (based on Extreme Value T
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • Last 4 Months - Pcnt Negative
    n/a
  • Max Equity Drawdown (num days)
    64

Strategy Description

Key Points:
- SP500 Enhanced is an algorithm based strategy that attempts to outperform the S&P500 index while limiting excessive loss during extreme market declines (“tail” risk).

- The model driving the algorithm analyzes price data of the S&P500 and derives daily signals. Also included are technical signals from oscillators, seasonal aspects, and investor sentiment, however, most of the trading is mechanical, not discretionary.

Summary Statistics

Strategy began
2017-10-29
Suggested Minimum Capital
$45,000
# Trades
57
# Profitable
42
% Profitable
73.7%
Correlation S&P500
0.043
Sharpe Ratio
-0.62
Sortino Ratio
-0.69
Beta
0.01
Alpha
-0.01

Latest Activity

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subscribed on started simulation #SUBSCRIBEDDATE#

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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