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Demla Index Trader
(115641407)

Started: 01/2018
Stocks
Last trade: 4 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 $29.00 per month.

5.8%
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.

(4.0%)
Max Drawdown
111
Num Trades
47.7%
Win Trades
1.8 : 1
Profit Factor
68.8%
Win Months
Hypothetical Monthly Returns (includes system fee and Standard commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2018+0.9%+1.8%+2.8%(2.1%)(0.2%)+0.7%(1.1%)+2.6%+0.1%+0.6%(1.7%)+1.2%+5.5%
2019+0.3%+1.6%(0.2%)+0.3%                                                +2.0%

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.

Trading Record

This strategy has placed 41 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
4/12/19 9:59 SPY SPDR S&P 500 LONG 50 290.33 4/17 10:08 289.67 0.19%
Trade id #123294885
Max drawdown($62)
Time4/15/19 10:46
Quant open50
Worst price289.07
Drawdown as % of equity-0.19%
($34)
Includes Typical Broker Commissions trade costs of $1.00
3/29/19 9:30 VTI VANGUARD TOTAL STOCK MARKET ET LONG 30 144.67 4/2 11:06 146.02 0.06%
Trade id #123125136
Max drawdown($19)
Time3/29/19 10:55
Quant open30
Worst price144.03
Drawdown as % of equity-0.06%
$40
Includes Typical Broker Commissions trade costs of $0.60
3/29/19 9:30 SPY SPDR S&P 500 LONG 30 282.39 4/2 9:30 286.04 0.15%
Trade id #123125054
Max drawdown($48)
Time3/29/19 16:02
Quant open30
Worst price280.78
Drawdown as % of equity-0.15%
$109
Includes Typical Broker Commissions trade costs of $0.60
3/26/19 10:51 QQQ POWERSHARES QQQ LONG 25 180.25 3/27 11:34 177.20 0.23%
Trade id #123077218
Max drawdown($76)
Time3/27/19 11:34
Quant open0
Worst price177.20
Drawdown as % of equity-0.23%
($77)
Includes Typical Broker Commissions trade costs of $0.50
3/21/19 11:42 QQQ POWERSHARES QQQ LONG 55 181.52 3/22 11:13 180.31 0.22%
Trade id #123015116
Max drawdown($73)
Time3/22/19 11:13
Quant open55
Worst price180.19
Drawdown as % of equity-0.22%
($68)
Includes Typical Broker Commissions trade costs of $1.10
3/11/19 12:04 VTI VANGUARD TOTAL STOCK MARKET ET LONG 60 142.67 3/20 10:17 144.80 0.02%
Trade id #122865832
Max drawdown($5)
Time3/11/19 12:24
Quant open60
Worst price142.58
Drawdown as % of equity-0.02%
$127
Includes Typical Broker Commissions trade costs of $1.20
2/22/19 9:30 DIA SPDR DOW JONES INDUSTRIAL AVER LONG 50 259.32 3/4 11:41 258.61 0.11%
Trade id #122640026
Max drawdown($36)
Time3/4/19 11:41
Quant open0
Worst price258.61
Drawdown as % of equity-0.11%
($37)
Includes Typical Broker Commissions trade costs of $1.00
2/22/19 12:03 IWM ISHARES RUSSELL 2000 INDEX LONG 30 158.25 2/26 12:10 157.31 0.09%
Trade id #122645620
Max drawdown($28)
Time2/26/19 12:10
Quant open0
Worst price157.31
Drawdown as % of equity-0.09%
($29)
Includes Typical Broker Commissions trade costs of $0.60
2/15/19 9:30 SPY SPDR S&P 500 LONG 50 276.37 2/25 9:30 280.76 0.04%
Trade id #122541484
Max drawdown($12)
Time2/15/19 11:22
Quant open50
Worst price276.13
Drawdown as % of equity-0.04%
$219
Includes Typical Broker Commissions trade costs of $1.00
2/12/19 11:01 VTI VANGUARD TOTAL STOCK MARKET ET LONG 50 140.82 2/22 10:53 143.55 0.07%
Trade id #122478199
Max drawdown($21)
Time2/14/19 9:47
Quant open50
Worst price140.38
Drawdown as % of equity-0.07%
$136
Includes Typical Broker Commissions trade costs of $1.00
2/11/19 9:30 SPY SPDR S&P 500 LONG 50 271.17 2/12 9:51 272.93 0.18%
Trade id #122454358
Max drawdown($57)
Time2/11/19 14:49
Quant open50
Worst price270.03
Drawdown as % of equity-0.18%
$87
Includes Typical Broker Commissions trade costs of $1.00
2/7/19 9:30 VTI VANGUARD TOTAL STOCK MARKET ET SHORT 45 139.06 2/8 15:25 138.69 0.06%
Trade id #122412745
Max drawdown($19)
Time2/7/19 10:31
Quant open-45
Worst price139.49
Drawdown as % of equity-0.06%
$16
Includes Typical Broker Commissions trade costs of $0.90
2/5/19 9:31 IWM ISHARES RUSSELL 2000 INDEX SHORT 50 151.13 2/8 15:25 149.72 0.07%
Trade id #122363079
Max drawdown($23)
Time2/5/19 10:16
Quant open-50
Worst price151.60
Drawdown as % of equity-0.07%
$70
Includes Typical Broker Commissions trade costs of $1.00
1/30/19 15:23 SPY SPDR S&P 500 LONG 35 267.48 2/4 14:10 271.54 0.05%
Trade id #122278149
Max drawdown($16)
Time1/30/19 15:42
Quant open35
Worst price267.00
Drawdown as % of equity-0.05%
$141
Includes Typical Broker Commissions trade costs of $0.70
1/25/19 12:46 SPY SPDR S&P 500 LONG 30 265.75 1/28 9:33 262.93 0.26%
Trade id #122186322
Max drawdown($85)
Time1/28/19 9:33
Quant open0
Worst price262.93
Drawdown as % of equity-0.26%
($86)
Includes Typical Broker Commissions trade costs of $0.60
1/7/19 11:56 DIA SPDR DOW JONES INDUSTRIAL AVER LONG 35 236.15 1/14 9:30 237.95 0.14%
Trade id #121821860
Max drawdown($43)
Time1/7/19 14:59
Quant open35
Worst price234.91
Drawdown as % of equity-0.14%
$62
Includes Typical Broker Commissions trade costs of $0.70
1/4/19 15:44 VTI VANGUARD TOTAL STOCK MARKET ET LONG 80 128.80 1/8 9:30 131.50 0%
Trade id #121798915
Max drawdown($1)
Time1/4/19 15:55
Quant open80
Worst price128.78
Drawdown as % of equity-0.00%
$214
Includes Typical Broker Commissions trade costs of $1.60
1/3/19 15:58 SPY SPDR S&P 500 SHORT 45 244.26 1/4 9:36 247.85 0.51%
Trade id #121772786
Max drawdown($165)
Time1/4/19 6:25
Quant open-45
Worst price247.93
Drawdown as % of equity-0.51%
($163)
Includes Typical Broker Commissions trade costs of $0.90
12/19/18 14:27 VTI VANGUARD TOTAL STOCK MARKET ET SHORT 40 130.73 12/20 12:15 126.14 0.06%
Trade id #121579397
Max drawdown($20)
Time12/19/18 14:33
Quant open-40
Worst price131.24
Drawdown as % of equity-0.06%
$183
Includes Typical Broker Commissions trade costs of $0.80
12/13/18 13:05 SPY SPDR S&P 500 SHORT 30 264.50 12/17 9:30 259.40 0.15%
Trade id #121486197
Max drawdown($46)
Time12/13/18 15:46
Quant open-30
Worst price266.04
Drawdown as % of equity-0.15%
$152
Includes Typical Broker Commissions trade costs of $0.60
11/30/18 15:22 SPY SPDR S&P 500 LONG 25 275.93 12/4 12:01 276.25 0.04%
Trade id #121285088
Max drawdown($12)
Time11/30/18 15:52
Quant open25
Worst price275.43
Drawdown as % of equity-0.04%
$8
Includes Typical Broker Commissions trade costs of $0.50
11/14/18 15:23 DIA SPDR DOW JONES INDUSTRIAL AVER LONG 75 252.27 11/15 10:34 248.90 0.79%
Trade id #120947907
Max drawdown($253)
Time11/15/18 10:34
Quant open25
Worst price248.90
Drawdown as % of equity-0.79%
($255)
Includes Typical Broker Commissions trade costs of $1.50
11/13/18 14:19 QQQ POWERSHARES QQQ SHORT 65 166.58 11/14 9:36 168.55 0.4%
Trade id #120913677
Max drawdown($128)
Time11/14/18 9:36
Quant open0
Worst price168.55
Drawdown as % of equity-0.40%
($129)
Includes Typical Broker Commissions trade costs of $1.30
11/12/18 15:18 QQQ POWERSHARES QQQ SHORT 30 166.97 11/13 11:18 169.25 0.21%
Trade id #120890926
Max drawdown($68)
Time11/13/18 11:18
Quant open0
Worst price169.25
Drawdown as % of equity-0.21%
($69)
Includes Typical Broker Commissions trade costs of $0.60
10/31/18 11:16 QQQ POWERSHARES QQQ LONG 25 169.49 11/5 10:02 167.81 0.13%
Trade id #120642876
Max drawdown($42)
Time11/5/18 10:02
Quant open0
Worst price167.81
Drawdown as % of equity-0.13%
($43)
Includes Typical Broker Commissions trade costs of $0.50
10/18/18 11:42 SPY SPDR S&P 500 SHORT 25 276.70 10/23 10:06 270.29 0.2%
Trade id #120421199
Max drawdown($64)
Time10/19/18 10:06
Quant open-25
Worst price279.30
Drawdown as % of equity-0.20%
$160
Includes Typical Broker Commissions trade costs of $0.50
10/17/18 10:16 QQQ POWERSHARES QQQ LONG 50 176.53 10/17 10:38 175.88 0.1%
Trade id #120401210
Max drawdown($33)
Time10/17/18 10:38
Quant open0
Worst price175.88
Drawdown as % of equity-0.10%
($34)
Includes Typical Broker Commissions trade costs of $1.00
10/9/18 10:42 QQQ POWERSHARES QQQ SHORT 45 181.00 10/10 10:04 175.84 n/a $231
Includes Typical Broker Commissions trade costs of $0.90
10/5/18 13:41 SPY SPDR S&P 500 SHORT 50 286.76 10/8 11:54 286.05 0.25%
Trade id #120210493
Max drawdown($79)
Time10/5/18 15:50
Quant open-50
Worst price288.36
Drawdown as % of equity-0.25%
$35
Includes Typical Broker Commissions trade costs of $1.00
10/1/18 9:31 DIA SPDR DOW JONES INDUSTRIAL AVER LONG 20 266.25 10/5 11:29 264.50 0.11%
Trade id #120114768
Max drawdown($35)
Time10/5/18 11:29
Quant open0
Worst price264.50
Drawdown as % of equity-0.11%
($35)
Includes Typical Broker Commissions trade costs of $0.40

Statistics

  • Strategy began
    1/2/2018
  • Suggested Minimum Cap
    $35,000
  • Strategy Age (days)
    474.34
  • Age
    16 months ago
  • What it trades
    Stocks
  • # Trades
    111
  • # Profitable
    53
  • % Profitable
    47.70%
  • Avg trade duration
    3.9 days
  • Max peak-to-valley drawdown
    3.99%
  • drawdown period
    March 28, 2018 - Aug 17, 2018
  • Annual Return (Compounded)
    5.8%
  • Avg win
    $122.87
  • Avg loss
    $64.05
  • Model Account Values (Raw)
  • Cash
    $32,861
  • Margin Used
    $0
  • Buying Power
    $32,861
  • Ratios
  • W:L ratio
    1.79:1
  • Sharpe Ratio
    1.167
  • Sortino Ratio
    1.846
  • Calmar Ratio
    2.412
  • CORRELATION STATISTICS
  • Correlation to SP500
    0.02900
  • Return Statistics
  • Ann Return (w trading costs)
    5.8%
  • Ann Return (Compnd, No Fees)
    7.2%
  • 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)
    876
  • C2 Score
    94.4
  • 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
    $64
  • Avg Win
    $123
  • # Winners
    53
  • # Losers
    58
  • % Winners
    47.8%
  • Frequency
  • Avg Position Time (mins)
    5581.02
  • Avg Position Time (hrs)
    93.02
  • Avg Trade Length
    3.9 days
  • Last Trade Ago
    4
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.04689
  • SD
    0.04462
  • Sharpe ratio (Glass type estimate)
    1.05078
  • Sharpe ratio (Hedges UMVUE)
    0.99329
  • df
    14.00000
  • t
    1.17480
  • p
    0.35022
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.76188
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.82803
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.79795
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.78452
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.89553
  • Upside Potential Ratio
    3.56053
  • Upside part of mean
    0.08807
  • Downside part of mean
    -0.04118
  • Upside SD
    0.03781
  • Downside SD
    0.02474
  • 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
    0.03378
  • Mean of criterion
    0.04689
  • SD of predictor
    0.14076
  • SD of criterion
    0.04462
  • Covariance
    -0.00114
  • r
    -0.18162
  • b (slope, estimate of beta)
    -0.05757
  • a (intercept, estimate of alpha)
    0.04883
  • Mean Square Error
    0.00207
  • DF error
    13.00000
  • t(b)
    -0.66590
  • p(b)
    0.61498
  • t(a)
    1.19589
  • p(a)
    0.30294
  • Lowerbound of 95% confidence interval for beta
    -0.24436
  • Upperbound of 95% confidence interval for beta
    0.12921
  • Lowerbound of 95% confidence interval for alpha
    -0.03938
  • Upperbound of 95% confidence interval for alpha
    0.13704
  • Treynor index (mean / b)
    -0.81438
  • Jensen alpha (a)
    0.04883
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.04577
  • SD
    0.04440
  • Sharpe ratio (Glass type estimate)
    1.03085
  • Sharpe ratio (Hedges UMVUE)
    0.97445
  • df
    14.00000
  • t
    1.15253
  • p
    0.35281
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.77991
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.80682
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.81536
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.76427
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.83943
  • Upside Potential Ratio
    3.50318
  • Upside part of mean
    0.08716
  • Downside part of mean
    -0.04140
  • Upside SD
    0.03735
  • Downside SD
    0.02488
  • 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
    0.02447
  • Mean of criterion
    0.04577
  • SD of predictor
    0.14035
  • SD of criterion
    0.04440
  • Covariance
    -0.00115
  • r
    -0.18395
  • b (slope, estimate of beta)
    -0.05819
  • a (intercept, estimate of alpha)
    0.04719
  • Mean Square Error
    0.00205
  • DF error
    13.00000
  • t(b)
    -0.67477
  • p(b)
    0.61644
  • t(a)
    1.16346
  • p(a)
    0.30762
  • Lowerbound of 95% confidence interval for beta
    -0.24449
  • Upperbound of 95% confidence interval for beta
    0.12811
  • Lowerbound of 95% confidence interval for alpha
    -0.04044
  • Upperbound of 95% confidence interval for alpha
    0.13482
  • Treynor index (mean / b)
    -0.78653
  • Jensen alpha (a)
    0.04719
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01712
  • Expected Shortfall on VaR
    0.02236
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00601
  • Expected Shortfall on VaR
    0.01267
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    15.00000
  • Minimum
    0.98400
  • Quartile 1
    0.99982
  • Median
    1.00800
  • Quartile 3
    1.01303
  • Maximum
    1.02794
  • Mean of quarter 1
    0.98976
  • Mean of quarter 2
    1.00483
  • Mean of quarter 3
    1.01011
  • Mean of quarter 4
    1.02122
  • Inter Quartile Range
    0.01321
  • 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)
    -30.60270
  • VaR(95%) (moments method)
    0.00481
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    -2.61035
  • VaR(95%) (regression method)
    0.02221
  • Expected Shortfall (regression method)
    0.02244
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    3.00000
  • Minimum
    0.00150
  • Quartile 1
    0.00808
  • Median
    0.01466
  • Quartile 3
    0.01616
  • Maximum
    0.01766
  • Mean of quarter 1
    0.00150
  • Mean of quarter 2
    0.01466
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.01766
  • Inter Quartile Range
    0.00808
  • 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)
    0.07717
  • Compounded annual return (geometric extrapolation)
    0.07646
  • Calmar ratio (compounded annual return / max draw down)
    4.32957
  • Compounded annual return / average of 25% largest draw downs
    4.32957
  • Compounded annual return / Expected Shortfall lognormal
    3.41968
  • 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
    0.04383
  • SD
    0.03746
  • Sharpe ratio (Glass type estimate)
    1.16986
  • Sharpe ratio (Hedges UMVUE)
    1.16723
  • df
    335.00000
  • t
    1.32480
  • p
    0.09307
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.56399
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.90200
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.56575
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.90022
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.84640
  • Upside Potential Ratio
    9.06924
  • Upside part of mean
    0.21528
  • Downside part of mean
    -0.17145
  • Upside SD
    0.02904
  • Downside SD
    0.02374
  • N nonnegative terms
    142.00000
  • N negative terms
    194.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    336.00000
  • Mean of predictor
    0.04355
  • Mean of criterion
    0.04383
  • SD of predictor
    0.16229
  • SD of criterion
    0.03746
  • Covariance
    0.00011
  • r
    0.01808
  • b (slope, estimate of beta)
    0.00417
  • a (intercept, estimate of alpha)
    0.04400
  • Mean Square Error
    0.00141
  • DF error
    334.00000
  • t(b)
    0.33046
  • p(b)
    0.37063
  • t(a)
    1.31737
  • p(a)
    0.09431
  • Lowerbound of 95% confidence interval for beta
    -0.02067
  • Upperbound of 95% confidence interval for beta
    0.02902
  • Lowerbound of 95% confidence interval for alpha
    -0.02153
  • Upperbound of 95% confidence interval for alpha
    0.10882
  • Treynor index (mean / b)
    10.50150
  • Jensen alpha (a)
    0.04365
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.04312
  • SD
    0.03744
  • Sharpe ratio (Glass type estimate)
    1.15183
  • Sharpe ratio (Hedges UMVUE)
    1.14925
  • df
    335.00000
  • t
    1.30439
  • p
    0.09650
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.58195
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.88390
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.58367
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.88216
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.81213
  • Upside Potential Ratio
    9.02832
  • Upside part of mean
    0.21483
  • Downside part of mean
    -0.17171
  • Upside SD
    0.02895
  • Downside SD
    0.02380
  • N nonnegative terms
    142.00000
  • N negative terms
    194.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    336.00000
  • Mean of predictor
    0.03038
  • Mean of criterion
    0.04312
  • SD of predictor
    0.16263
  • SD of criterion
    0.03744
  • Covariance
    0.00010
  • r
    0.01675
  • b (slope, estimate of beta)
    0.00386
  • a (intercept, estimate of alpha)
    0.04300
  • Mean Square Error
    0.00141
  • DF error
    334.00000
  • t(b)
    0.30612
  • p(b)
    0.37985
  • t(a)
    1.29900
  • p(a)
    0.09742
  • Lowerbound of 95% confidence interval for beta
    -0.02092
  • Upperbound of 95% confidence interval for beta
    0.02863
  • Lowerbound of 95% confidence interval for alpha
    -0.02212
  • Upperbound of 95% confidence interval for alpha
    0.10812
  • Treynor index (mean / b)
    11.18500
  • Jensen alpha (a)
    0.04300
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00363
  • Expected Shortfall on VaR
    0.00460
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00164
  • Expected Shortfall on VaR
    0.00328
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    336.00000
  • Minimum
    0.99095
  • Quartile 1
    0.99936
  • Median
    1.00000
  • Quartile 3
    1.00110
  • Maximum
    1.01093
  • Mean of quarter 1
    0.99777
  • Mean of quarter 2
    0.99985
  • Mean of quarter 3
    1.00042
  • Mean of quarter 4
    1.00306
  • Inter Quartile Range
    0.00174
  • Number outliers low
    17.00000
  • Percentage of outliers low
    0.05060
  • Mean of outliers low
    0.99490
  • Number of outliers high
    20.00000
  • Percentage of outliers high
    0.05952
  • Mean of outliers high
    1.00593
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.23209
  • VaR(95%) (moments method)
    0.00225
  • Expected Shortfall (moments method)
    0.00370
  • Extreme Value Index (regression method)
    0.03521
  • VaR(95%) (regression method)
    0.00249
  • Expected Shortfall (regression method)
    0.00367
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    19.00000
  • Minimum
    0.00020
  • Quartile 1
    0.00094
  • Median
    0.00459
  • Quartile 3
    0.00739
  • Maximum
    0.03052
  • Mean of quarter 1
    0.00045
  • Mean of quarter 2
    0.00208
  • Mean of quarter 3
    0.00576
  • Mean of quarter 4
    0.01497
  • Inter Quartile Range
    0.00645
  • 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
    0.05263
  • Mean of outliers high
    0.03052
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.37378
  • VaR(95%) (moments method)
    0.01739
  • Expected Shortfall (moments method)
    0.03023
  • Extreme Value Index (regression method)
    1.31755
  • VaR(95%) (regression method)
    0.02049
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.07436
  • Compounded annual return (geometric extrapolation)
    0.07361
  • Calmar ratio (compounded annual return / max draw down)
    2.41176
  • Compounded annual return / average of 25% largest draw downs
    4.91613
  • Compounded annual return / Expected Shortfall lognormal
    16.01900
  • 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
    0.01985
  • SD
    0.02313
  • Sharpe ratio (Glass type estimate)
    0.85795
  • Sharpe ratio (Hedges UMVUE)
    0.85299
  • df
    130.00000
  • t
    0.60666
  • p
    0.47343
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.91739
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.63015
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.92076
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.62673
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.31826
  • Upside Potential Ratio
    8.30886
  • Upside part of mean
    0.12508
  • Downside part of mean
    -0.10524
  • Upside SD
    0.01749
  • Downside SD
    0.01505
  • N nonnegative terms
    41.00000
  • N negative terms
    90.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.05545
  • Mean of criterion
    0.01985
  • SD of predictor
    0.18398
  • SD of criterion
    0.02313
  • Covariance
    -0.00028
  • r
    -0.06589
  • b (slope, estimate of beta)
    -0.00828
  • a (intercept, estimate of alpha)
    0.02030
  • Mean Square Error
    0.00054
  • DF error
    129.00000
  • t(b)
    -0.75003
  • p(b)
    0.54192
  • t(a)
    0.61955
  • p(a)
    0.46534
  • Lowerbound of 95% confidence interval for beta
    -0.03014
  • Upperbound of 95% confidence interval for beta
    0.01357
  • Lowerbound of 95% confidence interval for alpha
    -0.04454
  • Upperbound of 95% confidence interval for alpha
    0.08515
  • Treynor index (mean / b)
    -2.39550
  • Jensen alpha (a)
    0.02030
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.01958
  • SD
    0.02313
  • Sharpe ratio (Glass type estimate)
    0.84656
  • Sharpe ratio (Hedges UMVUE)
    0.84167
  • df
    130.00000
  • t
    0.59861
  • p
    0.47379
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.92873
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.61871
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.93203
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.61536
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.29822
  • Upside Potential Ratio
    8.28367
  • Upside part of mean
    0.12492
  • Downside part of mean
    -0.10534
  • Upside SD
    0.01746
  • Downside SD
    0.01508
  • N nonnegative terms
    41.00000
  • N negative terms
    90.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.03867
  • Mean of criterion
    0.01958
  • SD of predictor
    0.18383
  • SD of criterion
    0.02313
  • Covariance
    -0.00028
  • r
    -0.06585
  • b (slope, estimate of beta)
    -0.00828
  • a (intercept, estimate of alpha)
    0.01990
  • Mean Square Error
    0.00054
  • DF error
    129.00000
  • t(b)
    -0.74948
  • p(b)
    0.54189
  • t(a)
    0.60732
  • p(a)
    0.46602
  • Lowerbound of 95% confidence interval for beta
    -0.03015
  • Upperbound of 95% confidence interval for beta
    0.01358
  • Lowerbound of 95% confidence interval for alpha
    -0.04492
  • Upperbound of 95% confidence interval for alpha
    0.08472
  • Treynor index (mean / b)
    -2.36352
  • Jensen alpha (a)
    0.01990
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00227
  • Expected Shortfall on VaR
    0.00287
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00112
  • Expected Shortfall on VaR
    0.00222
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.99441
  • Quartile 1
    0.99981
  • Median
    1.00000
  • Quartile 3
    1.00070
  • Maximum
    1.00598
  • Mean of quarter 1
    0.99871
  • Mean of quarter 2
    0.99998
  • Mean of quarter 3
    1.00010
  • Mean of quarter 4
    1.00194
  • Inter Quartile Range
    0.00090
  • Number outliers low
    9.00000
  • Percentage of outliers low
    0.06870
  • Mean of outliers low
    0.99725
  • Number of outliers high
    11.00000
  • Percentage of outliers high
    0.08397
  • Mean of outliers high
    1.00319
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.28280
  • VaR(95%) (moments method)
    0.00159
  • Expected Shortfall (moments method)
    0.00270
  • Extreme Value Index (regression method)
    0.38269
  • VaR(95%) (regression method)
    0.00163
  • Expected Shortfall (regression method)
    0.00298
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    8.00000
  • Minimum
    0.00020
  • Quartile 1
    0.00083
  • Median
    0.00302
  • Quartile 3
    0.00559
  • Maximum
    0.01650
  • Mean of quarter 1
    0.00025
  • Mean of quarter 2
    0.00123
  • Mean of quarter 3
    0.00497
  • Mean of quarter 4
    0.01141
  • Inter Quartile Range
    0.00476
  • 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
    0.12500
  • Mean of outliers high
    0.01650
  • 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)
    0.04805
  • Compounded annual return (geometric extrapolation)
    0.04863
  • Calmar ratio (compounded annual return / max draw down)
    2.94801
  • Compounded annual return / average of 25% largest draw downs
    4.26081
  • Compounded annual return / Expected Shortfall lognormal
    16.95580

Strategy Description

The investment objective of the strategy is to outperform main US equity indices in all market environments via trading of general market ETFs such as SPY, QQQ, VTI, IWM, DIA.

The strategy is a hybrid rule-based system: the program quantitatively determines entry level, target and stop-loss for each trade by analyzing price and volume patterns of market indices at multi-time frame level and ranks the prospective trades based on their risk/reward. Position sizing is calculated at portfolio level commensurate with the risk of each trade. The strategy can go Long and Short. The strategy will strive to maintain low correlation to US markets along with lower volatility and drawdown.

Capital preservation and risk management are key components of the strategy and the goal will be to achieve capital growth through compounding. Leverage may be rarely used in strong uptrends on a limited basis. Most of the time, signals will be sent out before the market opens the next day therefore the strategy can be easily followed and signals can be entered manually.

Summary Statistics

Includes fees & commissions
Strategy began
2018-01-02
Suggested Minimum Capital
$35,000
# Trades
111
# Profitable
53
% Profitable
47.7%
Net Dividends
Correlation S&P500
0.029
Sharpe Ratio
1.167

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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