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Albertson Portfolio
(115195169)

Started: 09/2016
Stocks, Options
Last trade: 4 days ago
Trading style: Equity Hedged Equity

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.

Trading Category: Equity
Hedged Equity
Category: Equity

Hedged Equity

Core holding of long equities hedged at all times with short sales of stocks and/or stock index options.
154.9%
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.

(47.1%)
Max Drawdown
645
Num Trades
69.5%
Win Trades
2.4 : 1
Profit Factor
62.5%
Win Months
Hypothetical Monthly Returns (includes system fee and Standard commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2016                                                        +1.1%(1.3%)+0.6%+1.1%+1.5%
2017+0.2%+4.6%(3.8%)+0.8%(4.4%)+3.6%(0.6%)+127.0%+1.8%(3.2%)+22.0%(10.9%)+143.3%
2018+246.2%(11%)+15.9%(29.7%)+59.0%+25.7%(5.5%)+1.8%(0.2%)(4.3%)+0.8%(4.2%)+345.5%
2019+2.0%+0.7%+1.8%+1.8%                                                +6.4%

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 96 hours.

Trading Record

This strategy has placed 341 trades in real-life brokerage accounts.

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Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
4/5/19 11:58 QQQ1926P190 QQQ Apr26'19 190 put LONG 1 5.86 4/17 13:54 3.28 0.02%
Trade id #123221514
Max drawdown($311)
Time4/17/19 9:33
Quant open1
Worst price2.75
Drawdown as % of equity-0.02%
($260)
Includes Typical Broker Commissions trade costs of $2.00
4/16/19 11:12 NFLX1918P325 NFLX Apr18'19 325 put LONG 10 2.12 4/17 9:30 0.09 0.15%
Trade id #123328681
Max drawdown($2,030)
Time4/17/19 9:30
Quant open0
Worst price0.09
Drawdown as % of equity-0.15%
($2,044)
Includes Typical Broker Commissions trade costs of $14.00
4/9/19 15:54 TSLA1926D290 TSLA Apr26'19 290 call SHORT 8 5.35 4/15 11:35 3.30 0.08%
Trade id #123259418
Max drawdown($1,096)
Time4/12/19 10:20
Quant open-8
Worst price6.72
Drawdown as % of equity-0.08%
$1,629
Includes Typical Broker Commissions trade costs of $11.20
4/10/19 12:49 TSLA1926P225 TSLA Apr26'19 225 put LONG 3 0.81 4/15 10:26 2.78 0%
Trade id #123270493
Max drawdown($18)
Time4/10/19 14:49
Quant open3
Worst price0.75
Drawdown as % of equity-0.00%
$587
Includes Typical Broker Commissions trade costs of $4.20
4/1/19 12:45 TSLA1912P260 TSLA Apr12'19 260 put SHORT 10 3.48 4/13 9:35 0.21 0.48%
Trade id #123155062
Max drawdown($6,525)
Time4/4/19 9:31
Quant open-10
Worst price10.00
Drawdown as % of equity-0.48%
$3,252
Includes Typical Broker Commissions trade costs of $8.00
4/3/19 13:16 TSLA1912P265 TSLA Apr12'19 265 put SHORT 10 2.88 4/13 9:35 0.00 0.65%
Trade id #123189848
Max drawdown($8,820)
Time4/4/19 9:31
Quant open-10
Worst price11.70
Drawdown as % of equity-0.65%
$2,873
Includes Typical Broker Commissions trade costs of $7.00
4/1/19 12:42 TSLA1912D285 TSLA Apr12'19 285 call SHORT 8 12.60 4/9 15:52 0.69 0.32%
Trade id #123155012
Max drawdown($4,280)
Time4/3/19 10:45
Quant open-8
Worst price17.95
Drawdown as % of equity-0.32%
$9,517
Includes Typical Broker Commissions trade costs of $11.20
4/8/19 12:32 AMZN1926P1677.5 AMZN Apr26'19 1677.5 put SHORT 1 9.15 4/8 13:51 7.90 n/a $123
Includes Typical Broker Commissions trade costs of $2.00
3/20/19 9:34 TSLA1905P270 TSLA Apr5'19 270 put SHORT 1 14.75 4/5 13:32 0.05 0.05%
Trade id #122988050
Max drawdown($601)
Time3/25/19 9:35
Quant open-1
Worst price20.76
Drawdown as % of equity-0.05%
$1,468
Includes Typical Broker Commissions trade costs of $2.00
3/28/19 13:23 BBBY1912P16 BBBY Apr12'19 16 put SHORT 20 0.77 4/4 10:01 0.63 0.01%
Trade id #123116849
Max drawdown($160)
Time4/1/19 13:40
Quant open-20
Worst price0.85
Drawdown as % of equity-0.01%
$252
Includes Typical Broker Commissions trade costs of $28.00
3/29/19 10:28 NVDA1926P175 NVDA Apr26'19 175 put SHORT 1 5.15 4/4 9:58 1.87 0%
Trade id #123126878
Max drawdown($33)
Time3/29/19 13:44
Quant open-1
Worst price5.48
Drawdown as % of equity-0.00%
$326
Includes Typical Broker Commissions trade costs of $2.00
3/28/19 13:14 STZ1905P162.5 STZ Apr5'19 162.5 put SHORT 5 2.30 4/4 9:40 0.05 0%
Trade id #123116723
Max drawdown($25)
Time3/28/19 13:49
Quant open-5
Worst price2.35
Drawdown as % of equity-0.00%
$1,118
Includes Typical Broker Commissions trade costs of $7.30
3/20/19 9:43 TSLA1905P260 TSLA Apr5'19 260 put SHORT 9 10.60 4/4 9:40 2.88 0.45%
Trade id #122988394
Max drawdown($5,886)
Time3/25/19 9:33
Quant open-9
Worst price17.14
Drawdown as % of equity-0.45%
$6,935
Includes Typical Broker Commissions trade costs of $12.60
3/20/19 11:50 NVDA1905P170 NVDA Apr5'19 170 put SHORT 1 3.35 4/3 13:09 0.02 0.01%
Trade id #122994525
Max drawdown($185)
Time3/25/19 10:25
Quant open-1
Worst price5.20
Drawdown as % of equity-0.01%
$331
Includes Typical Broker Commissions trade costs of $2.00
3/25/19 9:37 TSLA1905D280 TSLA Apr5'19 280 call SHORT 8 4.19 4/1 12:37 12.50 0.51%
Trade id #123056784
Max drawdown($6,845)
Time4/1/19 11:40
Quant open-8
Worst price12.75
Drawdown as % of equity-0.51%
($6,657)
Includes Typical Broker Commissions trade costs of $11.50
3/20/19 12:08 NKE1929O83 NKE Mar29'19 83 put SHORT 2 1.06 3/30 9:35 0.00 0.02%
Trade id #122995158
Max drawdown($298)
Time3/25/19 12:47
Quant open-2
Worst price2.55
Drawdown as % of equity-0.02%
$211
Includes Typical Broker Commissions trade costs of $1.40
3/21/19 9:56 TSLA1929O235 TSLA Mar29'19 235 put SHORT 1 1.12 3/30 9:35 0.00 0.01%
Trade id #123012218
Max drawdown($121)
Time3/25/19 9:36
Quant open-1
Worst price2.33
Drawdown as % of equity-0.01%
$111
Includes Typical Broker Commissions trade costs of $1.00
3/18/19 10:18 NFLX1929C340 NFLX Mar29'19 340 call SHORT 4 31.90 3/30 9:35 0.00 0.17%
Trade id #122951818
Max drawdown($2,280)
Time3/21/19 14:18
Quant open-4
Worst price37.60
Drawdown as % of equity-0.17%
$12,757
Includes Typical Broker Commissions trade costs of $2.80
3/8/19 10:09 NFLX NETFLIX LONG 400 343.84 3/30 9:35 340.00 0.11%
Trade id #122835296
Max drawdown($1,536)
Time3/30/19 9:35
Quant open0
Worst price340.00
Drawdown as % of equity-0.11%
($1,544)
Includes Typical Broker Commissions trade costs of $8.00
3/21/19 9:44 FIVE1929O110 FIVE Mar29'19 110 put SHORT 5 2.40 3/30 9:35 0.00 0%
Trade id #123011875
Max drawdown($60)
Time3/21/19 10:41
Quant open-5
Worst price2.52
Drawdown as % of equity-0.00%
$1,197
Includes Typical Broker Commissions trade costs of $3.50
3/20/19 12:10 TSLA1929O240 TSLA Mar29'19 240 put SHORT 10 2.03 3/30 9:35 0.00 0.1%
Trade id #122995234
Max drawdown($1,365)
Time3/25/19 9:34
Quant open-10
Worst price3.40
Drawdown as % of equity-0.10%
$2,028
Includes Typical Broker Commissions trade costs of $7.00
3/21/19 9:51 LULU1929O138 LULU Mar29'19 138 put SHORT 4 4.00 3/30 9:35 0.00 0.05%
Trade id #123012078
Max drawdown($600)
Time3/25/19 9:31
Quant open-4
Worst price5.50
Drawdown as % of equity-0.05%
$1,597
Includes Typical Broker Commissions trade costs of $2.80
2/26/19 12:28 NVDA NVIDIA LONG 1,000 151.30 3/29 9:31 171.42 0.3%
Trade id #122689361
Max drawdown($3,923)
Time3/8/19 9:33
Quant open300
Worst price144.80
Drawdown as % of equity-0.30%
$20,108
Includes Typical Broker Commissions trade costs of $15.50
3/13/19 14:03 NVDA1929C150 NVDA Mar29'19 150 call SHORT 7 19.95 3/28 13:03 27.95 0.75%
Trade id #122897227
Max drawdown($9,849)
Time3/21/19 14:40
Quant open-7
Worst price34.02
Drawdown as % of equity-0.75%
($5,610)
Includes Typical Broker Commissions trade costs of $9.80
3/18/19 10:08 TSLA1905D295 TSLA Apr5'19 295 call SHORT 7 4.83 3/25 9:37 1.72 0.02%
Trade id #122951637
Max drawdown($270)
Time3/21/19 15:26
Quant open-6
Worst price5.55
Drawdown as % of equity-0.02%
$2,166
Includes Typical Broker Commissions trade costs of $10.10
3/8/19 15:11 ULTA1922C280 ULTA Mar22'19 280 call SHORT 2 29.60 3/23 9:35 0.00 0.47%
Trade id #122840943
Max drawdown($6,280)
Time3/15/19 12:12
Quant open-2
Worst price61.00
Drawdown as % of equity-0.47%
$5,919
Includes Typical Broker Commissions trade costs of $1.40
3/8/19 15:08 ULTA ULTA BEAUTY INC LONG 200 305.45 3/23 9:35 280.00 0.39%
Trade id #122840898
Max drawdown($5,090)
Time3/23/19 9:35
Quant open0
Worst price280.00
Drawdown as % of equity-0.39%
($5,094)
Includes Typical Broker Commissions trade costs of $4.00
3/20/19 9:49 GOOGL1929O1180 GOOGL Mar29'19 1180 put SHORT 2 5.30 3/20 11:41 4.70 0%
Trade id #122988557
Max drawdown($30)
Time3/20/19 9:51
Quant open-2
Worst price5.45
Drawdown as % of equity-0.00%
$117
Includes Typical Broker Commissions trade costs of $2.80
3/8/19 10:11 NFLX1929C320 NFLX Mar29'19 320 call SHORT 4 30.00 3/18 10:14 50.25 0.62%
Trade id #122835402
Max drawdown($8,100)
Time3/18/19 10:14
Quant open0
Worst price50.25
Drawdown as % of equity-0.62%
($8,106)
Includes Typical Broker Commissions trade costs of $5.60
3/12/19 12:10 TSLA1929C300 TSLA Mar29'19 300 call SHORT 6 5.25 3/18 10:06 1.72 0.14%
Trade id #122880967
Max drawdown($1,815)
Time3/14/19 9:58
Quant open-5
Worst price9.33
Drawdown as % of equity-0.14%
$2,109
Includes Typical Broker Commissions trade costs of $8.70

Statistics

  • Strategy began
    9/7/2016
  • Suggested Minimum Cap
    $35,000
  • Strategy Age (days)
    956.73
  • Age
    32 months ago
  • What it trades
    Stocks, Options
  • # Trades
    645
  • # Profitable
    448
  • % Profitable
    69.50%
  • Avg trade duration
    27.0 days
  • Max peak-to-valley drawdown
    47.07%
  • drawdown period
    March 21, 2018 - April 04, 2018
  • Annual Return (Compounded)
    154.9%
  • Avg win
    $5,054
  • Avg loss
    $4,961
  • Model Account Values (Raw)
  • Cash
    $1,248,190
  • Margin Used
    $102,060
  • Buying Power
    $1,124,036
  • Ratios
  • W:L ratio
    2.38:1
  • Sharpe Ratio
    1.804
  • Sortino Ratio
    5.379
  • Calmar Ratio
    12.028
  • CORRELATION STATISTICS
  • Correlation to SP500
    0.11000
  • Return Statistics
  • Ann Return (w trading costs)
    154.9%
  • Ann Return (Compnd, No Fees)
    156.3%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    39.00%
  • Chance of 20% account loss
    28.50%
  • Chance of 30% account loss
    17.00%
  • Chance of 40% account loss
    10.00%
  • Chance of 50% account loss
    5.00%
  • Popularity
  • Popularity (Today)
    423
  • Popularity (Last 6 weeks)
    909
  • C2 Score
    39.7
  • Trades-Own-System Certification
  • Trades Own System?
    184451
  • TOS percent
    100%
  • Subscription Price
  • Billing Period (days)
    30
  • Trial Days
    0
  • Win / Loss
  • Avg Loss
    $4,992
  • Avg Win
    $5,055
  • # Winners
    448
  • # Losers
    197
  • % Winners
    69.5%
  • Frequency
  • Avg Position Time (mins)
    38918.60
  • Avg Position Time (hrs)
    648.64
  • Avg Trade Length
    27.0 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
    2.93699
  • SD
    1.69400
  • Sharpe ratio (Glass type estimate)
    1.73376
  • Sharpe ratio (Hedges UMVUE)
    1.63890
  • df
    14.00000
  • t
    1.93840
  • p
    0.27000
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.15825
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.57160
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.21627
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.49407
  • Statistics related to Sortino ratio
  • Sortino ratio
    14.47730
  • Upside Potential Ratio
    15.81520
  • Upside part of mean
    3.20840
  • Downside part of mean
    -0.27141
  • Upside SD
    1.83194
  • Downside SD
    0.20287
  • N nonnegative terms
    10.00000
  • N negative terms
    5.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    15.00000
  • Mean of predictor
    0.19614
  • Mean of criterion
    2.93699
  • SD of predictor
    0.17606
  • SD of criterion
    1.69400
  • Covariance
    0.07024
  • r
    0.23552
  • b (slope, estimate of beta)
    2.26610
  • a (intercept, estimate of alpha)
    2.49251
  • Mean Square Error
    2.91896
  • DF error
    13.00000
  • t(b)
    0.87377
  • p(b)
    0.35146
  • t(a)
    1.54759
  • p(a)
    0.25557
  • Lowerbound of 95% confidence interval for beta
    -3.33676
  • Upperbound of 95% confidence interval for beta
    7.86896
  • Lowerbound of 95% confidence interval for alpha
    -0.98692
  • Upperbound of 95% confidence interval for alpha
    5.97194
  • Treynor index (mean / b)
    1.29606
  • Jensen alpha (a)
    2.49251
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    1.93363
  • SD
    1.14878
  • Sharpe ratio (Glass type estimate)
    1.68320
  • Sharpe ratio (Hedges UMVUE)
    1.59111
  • df
    14.00000
  • t
    1.88188
  • p
    0.27534
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.20194
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.51539
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.25834
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.44057
  • Statistics related to Sortino ratio
  • Sortino ratio
    8.55693
  • Upside Potential Ratio
    9.86017
  • Upside part of mean
    2.22812
  • Downside part of mean
    -0.29450
  • Upside SD
    1.22157
  • Downside SD
    0.22597
  • N nonnegative terms
    10.00000
  • N negative terms
    5.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    15.00000
  • Mean of predictor
    0.17984
  • Mean of criterion
    1.93363
  • SD of predictor
    0.17588
  • SD of criterion
    1.14878
  • Covariance
    0.04592
  • r
    0.22726
  • b (slope, estimate of beta)
    1.48433
  • a (intercept, estimate of alpha)
    1.66668
  • Mean Square Error
    1.34781
  • DF error
    13.00000
  • t(b)
    0.84139
  • p(b)
    0.35658
  • t(a)
    1.53501
  • p(a)
    0.25716
  • Lowerbound of 95% confidence interval for beta
    -2.32685
  • Upperbound of 95% confidence interval for beta
    5.29551
  • Lowerbound of 95% confidence interval for alpha
    -0.67899
  • Upperbound of 95% confidence interval for alpha
    4.01235
  • Treynor index (mean / b)
    1.30269
  • Jensen alpha (a)
    1.66668
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.31910
  • Expected Shortfall on VaR
    0.40295
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.03824
  • Expected Shortfall on VaR
    0.08769
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    15.00000
  • Minimum
    0.78677
  • Quartile 1
    0.98343
  • Median
    1.01716
  • Quartile 3
    1.33756
  • Maximum
    2.50161
  • Mean of quarter 1
    0.91960
  • Mean of quarter 2
    1.00604
  • Mean of quarter 3
    1.04318
  • Mean of quarter 4
    1.96852
  • Inter Quartile Range
    0.35413
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.13333
  • Mean of outliers high
    2.23019
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.84078
  • VaR(95%) (moments method)
    0.09258
  • Expected Shortfall (moments method)
    0.59471
  • Extreme Value Index (regression method)
    4.70011
  • VaR(95%) (regression method)
    0.20024
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    2.00000
  • Minimum
    0.02734
  • Quartile 1
    0.08821
  • Median
    0.14907
  • Quartile 3
    0.20994
  • Maximum
    0.27081
  • Mean of quarter 1
    0.02734
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.27081
  • Inter Quartile Range
    0.12174
  • 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)
    8.48847
  • Compounded annual return (geometric extrapolation)
    6.11022
  • Calmar ratio (compounded annual return / max draw down)
    22.56270
  • Compounded annual return / average of 25% largest draw downs
    22.56270
  • Compounded annual return / Expected Shortfall lognormal
    15.16380
  • 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
    2.61598
  • SD
    1.44658
  • Sharpe ratio (Glass type estimate)
    1.80839
  • Sharpe ratio (Hedges UMVUE)
    1.80443
  • df
    342.00000
  • t
    2.06914
  • p
    0.01964
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.08877
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.52543
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.08612
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.52273
  • Statistics related to Sortino ratio
  • Sortino ratio
    5.37869
  • Upside Potential Ratio
    9.30300
  • Upside part of mean
    4.52461
  • Downside part of mean
    -1.90863
  • Upside SD
    1.36969
  • Downside SD
    0.48636
  • N nonnegative terms
    179.00000
  • N negative terms
    164.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    343.00000
  • Mean of predictor
    0.20247
  • Mean of criterion
    2.61598
  • SD of predictor
    0.16216
  • SD of criterion
    1.44658
  • Covariance
    0.02590
  • r
    0.11042
  • b (slope, estimate of beta)
    0.98505
  • a (intercept, estimate of alpha)
    2.41700
  • Mean Square Error
    2.07313
  • DF error
    341.00000
  • t(b)
    2.05160
  • p(b)
    0.02049
  • t(a)
    1.91463
  • p(a)
    0.02819
  • Lowerbound of 95% confidence interval for beta
    0.04065
  • Upperbound of 95% confidence interval for beta
    1.92946
  • Lowerbound of 95% confidence interval for alpha
    -0.06603
  • Upperbound of 95% confidence interval for alpha
    4.89911
  • Treynor index (mean / b)
    2.65568
  • Jensen alpha (a)
    2.41654
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    1.85877
  • SD
    1.15593
  • Sharpe ratio (Glass type estimate)
    1.60803
  • Sharpe ratio (Hedges UMVUE)
    1.60450
  • df
    342.00000
  • t
    1.83989
  • p
    0.03333
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.11034
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.32409
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.11269
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.32169
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.02879
  • Upside Potential Ratio
    6.39977
  • Upside part of mean
    3.92755
  • Downside part of mean
    -2.06877
  • Upside SD
    0.98430
  • Downside SD
    0.61370
  • N nonnegative terms
    179.00000
  • N negative terms
    164.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    343.00000
  • Mean of predictor
    0.18926
  • Mean of criterion
    1.85877
  • SD of predictor
    0.16229
  • SD of criterion
    1.15593
  • Covariance
    0.02897
  • r
    0.15441
  • b (slope, estimate of beta)
    1.09983
  • a (intercept, estimate of alpha)
    1.65062
  • Mean Square Error
    1.30815
  • DF error
    341.00000
  • t(b)
    2.88596
  • p(b)
    0.00208
  • t(a)
    1.64698
  • p(a)
    0.05024
  • Lowerbound of 95% confidence interval for beta
    0.35023
  • Upperbound of 95% confidence interval for beta
    1.84943
  • Lowerbound of 95% confidence interval for alpha
    -0.32067
  • Upperbound of 95% confidence interval for alpha
    3.62192
  • Treynor index (mean / b)
    1.69006
  • Jensen alpha (a)
    1.65062
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.10450
  • Expected Shortfall on VaR
    0.13052
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01554
  • Expected Shortfall on VaR
    0.03653
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    343.00000
  • Minimum
    0.53463
  • Quartile 1
    0.99501
  • Median
    1.00046
  • Quartile 3
    1.00632
  • Maximum
    2.33013
  • Mean of quarter 1
    0.97272
  • Mean of quarter 2
    0.99846
  • Mean of quarter 3
    1.00238
  • Mean of quarter 4
    1.06672
  • Inter Quartile Range
    0.01131
  • Number outliers low
    24.00000
  • Percentage of outliers low
    0.06997
  • Mean of outliers low
    0.92896
  • Number of outliers high
    41.00000
  • Percentage of outliers high
    0.11953
  • Mean of outliers high
    1.12673
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.83467
  • VaR(95%) (moments method)
    0.02427
  • Expected Shortfall (moments method)
    0.15574
  • Extreme Value Index (regression method)
    0.72374
  • VaR(95%) (regression method)
    0.01794
  • Expected Shortfall (regression method)
    0.06692
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    19.00000
  • Minimum
    0.00185
  • Quartile 1
    0.01645
  • Median
    0.02830
  • Quartile 3
    0.10312
  • Maximum
    0.46537
  • Mean of quarter 1
    0.01049
  • Mean of quarter 2
    0.02343
  • Mean of quarter 3
    0.05841
  • Mean of quarter 4
    0.27670
  • Inter Quartile Range
    0.08668
  • 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
    0.21053
  • Mean of outliers high
    0.31729
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -6.81272
  • VaR(95%) (moments method)
    0.24400
  • Expected Shortfall (moments method)
    0.24400
  • Extreme Value Index (regression method)
    -0.65523
  • VaR(95%) (regression method)
    0.24542
  • Expected Shortfall (regression method)
    0.27316
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    8.26643
  • Compounded annual return (geometric extrapolation)
    5.59744
  • Calmar ratio (compounded annual return / max draw down)
    12.02800
  • Compounded annual return / average of 25% largest draw downs
    20.22930
  • Compounded annual return / Expected Shortfall lognormal
    42.88460
  • 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
    0.04739
  • SD
    0.10051
  • Sharpe ratio (Glass type estimate)
    0.47145
  • Sharpe ratio (Hedges UMVUE)
    0.46872
  • df
    130.00000
  • t
    0.33336
  • p
    0.48539
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.30180
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.24300
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.30367
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.24111
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.66771
  • Upside Potential Ratio
    8.54828
  • Upside part of mean
    0.60668
  • Downside part of mean
    -0.55929
  • Upside SD
    0.07070
  • Downside SD
    0.07097
  • N nonnegative terms
    71.00000
  • N negative terms
    60.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.08665
  • Mean of criterion
    0.04739
  • SD of predictor
    0.18669
  • SD of criterion
    0.10051
  • Covariance
    0.01039
  • r
    0.55370
  • b (slope, estimate of beta)
    0.29811
  • a (intercept, estimate of alpha)
    0.02156
  • Mean Square Error
    0.00706
  • DF error
    129.00000
  • t(b)
    7.55209
  • p(b)
    0.16645
  • t(a)
    0.18134
  • p(a)
    0.48984
  • Lowerbound of 95% confidence interval for beta
    0.22001
  • Upperbound of 95% confidence interval for beta
    0.37621
  • Lowerbound of 95% confidence interval for alpha
    -0.21365
  • Upperbound of 95% confidence interval for alpha
    0.25676
  • Treynor index (mean / b)
    0.15896
  • Jensen alpha (a)
    0.02156
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.04236
  • SD
    0.10055
  • Sharpe ratio (Glass type estimate)
    0.42134
  • Sharpe ratio (Hedges UMVUE)
    0.41890
  • df
    130.00000
  • t
    0.29793
  • p
    0.48694
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.35167
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.19289
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.35337
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.19117
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.59321
  • Upside Potential Ratio
    8.45944
  • Upside part of mean
    0.60414
  • Downside part of mean
    -0.56177
  • Upside SD
    0.07028
  • Downside SD
    0.07142
  • N nonnegative terms
    71.00000
  • N negative terms
    60.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.06936
  • Mean of criterion
    0.04236
  • SD of predictor
    0.18650
  • SD of criterion
    0.10055
  • Covariance
    0.01041
  • r
    0.55506
  • b (slope, estimate of beta)
    0.29924
  • a (intercept, estimate of alpha)
    0.02161
  • Mean Square Error
    0.00705
  • DF error
    129.00000
  • t(b)
    7.57898
  • p(b)
    0.16573
  • t(a)
    0.18194
  • p(a)
    0.48980
  • Lowerbound of 95% confidence interval for beta
    0.22113
  • Upperbound of 95% confidence interval for beta
    0.37736
  • Lowerbound of 95% confidence interval for alpha
    -0.21338
  • Upperbound of 95% confidence interval for alpha
    0.25660
  • Treynor index (mean / b)
    0.14157
  • Jensen alpha (a)
    0.02161
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01001
  • Expected Shortfall on VaR
    0.01257
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00465
  • Expected Shortfall on VaR
    0.00923
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.97766
  • Quartile 1
    0.99748
  • Median
    1.00048
  • Quartile 3
    1.00340
  • Maximum
    1.01974
  • Mean of quarter 1
    0.99259
  • Mean of quarter 2
    0.99920
  • Mean of quarter 3
    1.00179
  • Mean of quarter 4
    1.00763
  • Inter Quartile Range
    0.00592
  • Number outliers low
    4.00000
  • Percentage of outliers low
    0.03053
  • Mean of outliers low
    0.98360
  • Number of outliers high
    3.00000
  • Percentage of outliers high
    0.02290
  • Mean of outliers high
    1.01806
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.33014
  • VaR(95%) (moments method)
    0.00659
  • Expected Shortfall (moments method)
    0.00803
  • Extreme Value Index (regression method)
    -0.07810
  • VaR(95%) (regression method)
    0.00736
  • Expected Shortfall (regression method)
    0.00994
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    6.00000
  • Minimum
    0.00007
  • Quartile 1
    0.00381
  • Median
    0.01689
  • Quartile 3
    0.03960
  • Maximum
    0.07254
  • Mean of quarter 1
    0.00112
  • Mean of quarter 2
    0.00870
  • Mean of quarter 3
    0.02508
  • Mean of quarter 4
    0.05849
  • Inter Quartile Range
    0.03579
  • 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)
    0.07152
  • Compounded annual return (geometric extrapolation)
    0.07280
  • Calmar ratio (compounded annual return / max draw down)
    1.00360
  • Compounded annual return / average of 25% largest draw downs
    1.24465
  • Compounded annual return / Expected Shortfall lognormal
    5.79185

Strategy Description

Summary Statistics

Includes fees & commissions
Strategy began
2016-09-07
Suggested Minimum Capital
$35,000
# Trades
645
# Profitable
448
% Profitable
69.5%
Net Dividends
Correlation S&P500
0.110
Sharpe Ratio
1.804

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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