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These are hypothetical performance results that have certain inherent limitations. Learn more

ETF Leverage Reversal
(104155140)

Started: 06/2016
Stocks
Last trade: 15 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 $149.00 per month.

41.4%
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.

(24.0%)
Max Drawdown
40
Num Trades
85.0%
Win Trades
2.7 : 1
Profit Factor
69.7%
Win Months
Hypothetical Monthly Returns (includes system fee and Standard commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2016                                   +0.6%(1.1%)(1.6%)+21.2%+8.9%(9.3%)+14.5%+34.3%
2017+7.1%+4.1%+10.2%(5%)+3.3%+5.5%+1.7%(0.4%)+1.3%(0.8%)+1.2%+1.9%+33.4%
2018+4.7%+3.0%+1.5%+0.6%+0.7%(0.4%)(0.4%)(7.4%)+0.8%+2.6%(1.4%)+21.8%+26.4%
2019+10.7%+1.3%                                                            +12.1%

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 56 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
1/31/19 11:52 INTC INTEL LONG 500 46.31 1/31 15:39 47.16 0.04%
Trade id #122293858
Max drawdown($24)
Time1/31/19 12:08
Quant open500
Worst price46.26
Drawdown as % of equity-0.04%
$415
Includes Typical Broker Commissions trade costs of $10.00
1/25/19 11:24 INTC INTEL LONG 500 46.50 1/30 14:13 47.31 0.37%
Trade id #122181472
Max drawdown($244)
Time1/28/19 9:18
Quant open500
Worst price46.01
Drawdown as % of equity-0.37%
$396
Includes Typical Broker Commissions trade costs of $10.00
1/4/19 12:13 JNUG DIREXION DAILY JR GOLD BULL SHORT 1,766 10.16 1/28 15:14 9.88 0.98%
Trade id #121789497
Max drawdown($626)
Time1/7/19 4:10
Quant open-1,766
Worst price10.52
Drawdown as % of equity-0.98%
$505
Includes Typical Broker Commissions trade costs of $5.00
1/4/19 12:13 JDST DIREXION DAILY JR GOLD BEAR SHORT 401 45.01 1/28 15:14 44.77 5.97%
Trade id #121789516
Max drawdown($3,845)
Time1/22/19 10:26
Quant open-401
Worst price54.60
Drawdown as % of equity-5.97%
$87
Includes Typical Broker Commissions trade costs of $8.02
1/22/19 11:58 INTC INTEL LONG 400 48.32 1/24 9:31 48.89 0.5%
Trade id #122111488
Max drawdown($320)
Time1/23/19 12:09
Quant open400
Worst price47.52
Drawdown as % of equity-0.50%
$220
Includes Typical Broker Commissions trade costs of $8.00
1/15/19 11:24 CENX CENTURY ALUMINUM LONG 1,500 8.14 1/16 11:44 8.63 0.31%
Trade id #121984500
Max drawdown($201)
Time1/15/19 18:31
Quant open1,500
Worst price8.01
Drawdown as % of equity-0.31%
$722
Includes Typical Broker Commissions trade costs of $5.00
1/8/19 12:07 INTC INTEL LONG 500 47.17 1/8 15:59 47.72 0.13%
Trade id #121847622
Max drawdown($83)
Time1/8/19 13:02
Quant open500
Worst price47.00
Drawdown as % of equity-0.13%
$266
Includes Typical Broker Commissions trade costs of $10.00
12/20/18 11:09 CENX CENTURY ALUMINUM LONG 3,500 7.13 1/4/19 10:23 8.27 3.57%
Trade id #121595551
Max drawdown($2,054)
Time12/26/18 10:16
Quant open3,500
Worst price6.54
Drawdown as % of equity-3.57%
$3,985
Includes Typical Broker Commissions trade costs of $7.50
6/14/18 11:36 JNUG DIREXION DAILY JR GOLD BULL SHORT 1,005 14.38 1/3/19 12:03 9.97 n/a $4,428
Includes Typical Broker Commissions trade costs of $5.00
6/14/18 11:35 JDST DIREXION DAILY JR GOLD BEAR SHORT 341 48.48 1/3/19 12:03 46.26 18.19%
Trade id #118437931
Max drawdown($9,306)
Time12/6/18 14:42
Quant open-341
Worst price75.77
Drawdown as % of equity-18.19%
$750
Includes Typical Broker Commissions trade costs of $6.82
12/19/18 15:11 INTC INTEL LONG 1,200 45.73 12/20 12:19 45.37 1.06%
Trade id #121581218
Max drawdown($614)
Time12/20/18 12:18
Quant open1,200
Worst price45.22
Drawdown as % of equity-1.06%
($442)
Includes Typical Broker Commissions trade costs of $5.00
12/19/18 14:12 INTC INTEL LONG 800 46.76 12/19 14:32 47.25 0.06%
Trade id #121578807
Max drawdown($34)
Time12/19/18 14:16
Quant open800
Worst price46.72
Drawdown as % of equity-0.06%
$384
Includes Typical Broker Commissions trade costs of $5.00
12/19/18 11:51 INTC INTEL LONG 500 47.19 12/19 12:51 47.43 0.03%
Trade id #121574078
Max drawdown($18)
Time12/19/18 11:55
Quant open500
Worst price47.15
Drawdown as % of equity-0.03%
$113
Includes Typical Broker Commissions trade costs of $10.00
12/18/18 14:45 CENX CENTURY ALUMINUM LONG 2,000 8.26 12/19 11:40 8.53 0.21%
Trade id #121559108
Max drawdown($118)
Time12/18/18 15:28
Quant open2,000
Worst price8.20
Drawdown as % of equity-0.21%
$535
Includes Typical Broker Commissions trade costs of $5.00
12/17/18 15:33 CENX CENTURY ALUMINUM LONG 2,000 8.26 12/18 11:06 8.42 0.18%
Trade id #121535047
Max drawdown($100)
Time12/17/18 15:50
Quant open2,000
Worst price8.21
Drawdown as % of equity-0.18%
$318
Includes Typical Broker Commissions trade costs of $5.00
12/14/18 13:06 CENX CENTURY ALUMINUM LONG 2,000 8.16 12/17 11:16 8.67 0.42%
Trade id #121505491
Max drawdown($222)
Time12/17/18 9:32
Quant open2,000
Worst price8.05
Drawdown as % of equity-0.42%
$1,012
Includes Typical Broker Commissions trade costs of $5.00
12/10/18 14:34 CENX CENTURY ALUMINUM LONG 2,000 8.26 12/11 9:30 8.53 0.25%
Trade id #121429156
Max drawdown($131)
Time12/10/18 15:13
Quant open2,000
Worst price8.19
Drawdown as % of equity-0.25%
$551
Includes Typical Broker Commissions trade costs of $5.00
4/3/18 12:16 JNUG DIREXION DAILY JR GOLD BULL SHORT 1,340 13.44 6/14 11:20 14.44 4.12%
Trade id #117349871
Max drawdown($2,129)
Time5/15/18 4:06
Quant open-1,340
Worst price15.03
Drawdown as % of equity-4.12%
($1,343)
Includes Typical Broker Commissions trade costs of $5.00
4/3/18 12:17 JDST DIREXION DAILY JR GOLD BEAR SHORT 327 55.05 6/14 11:20 48.39 n/a $2,171
Includes Typical Broker Commissions trade costs of $6.54
2/6/18 11:10 JNUG DIREXION DAILY JR GOLD BULL SHORT 1,164 13.72 4/3 12:06 13.45 2.89%
Trade id #116344698
Max drawdown($1,489)
Time3/26/18 10:22
Quant open-1,164
Worst price15.00
Drawdown as % of equity-2.89%
$315
Includes Typical Broker Commissions trade costs of $5.00
2/6/18 11:10 JDST DIREXION DAILY JR GOLD BEAR SHORT 330 60.48 4/3 12:06 55.18 0.29%
Trade id #116344554
Max drawdown($148)
Time3/16/18 11:01
Quant open-330
Worst price60.93
Drawdown as % of equity-0.29%
$1,742
Includes Typical Broker Commissions trade costs of $6.60
3/5/18 11:22 JNUG DIREXION DAILY JR GOLD BULL SHORT 1,000 13.34 3/5 11:27 13.44 0.26%
Trade id #116863389
Max drawdown($131)
Time3/5/18 11:26
Quant open-1,000
Worst price13.47
Drawdown as % of equity-0.26%
($113)
Includes Typical Broker Commissions trade costs of $12.50
8/31/17 14:48 JDST DIREXION DAILY JR GOLD BEAR SHORT 470 48.10 2/6/18 11:09 60.56 12.02%
Trade id #113476521
Max drawdown($5,945)
Time2/6/18 10:52
Quant open-470
Worst price60.75
Drawdown as % of equity-12.02%
($5,865)
Includes Typical Broker Commissions trade costs of $9.40
4/12/17 14:40 JNUG DIREXION DAILY JR GOLD BULL SHORT 1,741 15.98 2/6/18 11:09 13.71 16.94%
Trade id #110947986
Max drawdown($7,867)
Time1/24/18 14:00
Quant open-1,741
Worst price20.50
Drawdown as % of equity-16.94%
$3,944
Includes Typical Broker Commissions trade costs of $9.91
8/28/17 11:50 JDST DIREXION DAILY JR GOLD BEAR SHORT 380 52.36 8/31 14:47 48.17 1.26%
Trade id #113387063
Max drawdown($566)
Time8/28/17 12:06
Quant open-380
Worst price53.85
Drawdown as % of equity-1.26%
$1,584
Includes Typical Broker Commissions trade costs of $7.60
5/17/17 11:29 JDST DIREXION DAILY JR GOLD BEAR SHORT 260 67.02 8/28 11:50 52.43 2.42%
Trade id #111644160
Max drawdown($1,097)
Time8/8/17 10:52
Quant open-260
Worst price71.24
Drawdown as % of equity-2.42%
$3,788
Includes Typical Broker Commissions trade costs of $5.20
4/12/17 14:40 JDST DIREXION DAILY JR GOLD BEAR SHORT 195 82.81 5/17 11:29 67.08 9.67%
Trade id #110947934
Max drawdown($3,783)
Time5/4/17 11:44
Quant open-75
Worst price103.68
Drawdown as % of equity-9.67%
$3,063
Includes Typical Broker Commissions trade costs of $3.90
1/31/17 10:57 DUST DIREXION DAILY GOLD MINERS BEA SHORT 1,080 30.61 4/12 14:38 25.79 27.13%
Trade id #109172677
Max drawdown($10,432)
Time3/14/17 15:45
Quant open-1,080
Worst price40.27
Drawdown as % of equity-27.13%
$5,201
Includes Typical Broker Commissions trade costs of $5.00
12/16/16 12:05 NUGT DIREXION DAILY GOLD MINERS BUL SHORT 3,000 6.11 4/12/17 14:38 10.69 n/a ($13,745)
Includes Typical Broker Commissions trade costs of $5.00
1/23/17 13:09 DUST DIREXION DAILY GOLD MINERS BEA SHORT 1,000 31.70 1/31 10:57 30.63 11.46%
Trade id #108947512
Max drawdown($4,170)
Time1/27/17 8:09
Quant open-1,000
Worst price35.87
Drawdown as % of equity-11.46%
$1,065
Includes Typical Broker Commissions trade costs of $5.00

Statistics

  • Strategy began
    6/19/2016
  • Suggested Minimum Cap
    $35,000
  • Strategy Age (days)
    978.09
  • Age
    33 months ago
  • What it trades
    Stocks
  • # Trades
    40
  • # Profitable
    34
  • % Profitable
    85.00%
  • Avg trade duration
    49.9 days
  • Max peak-to-valley drawdown
    24.03%
  • drawdown period
    Nov 09, 2016 - Dec 20, 2016
  • Annual Return (Compounded)
    41.4%
  • Avg win
    $1,997
  • Avg loss
    $4,279
  • Model Account Values (Raw)
  • Cash
    $103,281
  • Margin Used
    $68,382
  • Buying Power
    $34,494
  • Ratios
  • W:L ratio
    2.66:1
  • Sharpe Ratio
    1.74
  • Sortino Ratio
    2.707
  • Calmar Ratio
    2.385
  • CORRELATION STATISTICS
  • Correlation to SP500
    0.02400
  • Return Statistics
  • Ann Return (w trading costs)
    41.4%
  • Ann Return (Compnd, No Fees)
    44.4%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    27.50%
  • Chance of 20% account loss
    2.50%
  • Chance of 30% account loss
    1.00%
  • Chance of 40% account loss
    n/a
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    941
  • Popularity (Last 6 weeks)
    994
  • C2 Score
    98.1
  • Trades-Own-System Certification
  • Trades Own System?
    183935
  • TOS percent
    200%
  • Subscription Price
  • Billing Period (days)
    30
  • Trial Days
    0
  • Win / Loss
  • Avg Loss
    $4,279
  • Avg Win
    $1,998
  • # Winners
    34
  • # Losers
    6
  • % Winners
    85.0%
  • Frequency
  • Avg Position Time (mins)
    71803.30
  • Avg Position Time (hrs)
    1196.72
  • Avg Trade Length
    49.9 days
  • Last Trade Ago
    2
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.39326
  • SD
    0.29596
  • Sharpe ratio (Glass type estimate)
    1.32876
  • Sharpe ratio (Hedges UMVUE)
    1.29521
  • df
    30.00000
  • t
    2.13568
  • p
    0.02049
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.05398
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.58305
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.03251
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.55792
  • Statistics related to Sortino ratio
  • Sortino ratio
    4.33777
  • Upside Potential Ratio
    5.61965
  • Upside part of mean
    0.50948
  • Downside part of mean
    -0.11621
  • Upside SD
    0.29906
  • Downside SD
    0.09066
  • N nonnegative terms
    20.00000
  • N negative terms
    11.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    31.00000
  • Mean of predictor
    0.08544
  • Mean of criterion
    0.39326
  • SD of predictor
    0.13539
  • SD of criterion
    0.29596
  • Covariance
    -0.01325
  • r
    -0.33080
  • b (slope, estimate of beta)
    -0.72316
  • a (intercept, estimate of alpha)
    0.45505
  • Mean Square Error
    0.08070
  • DF error
    29.00000
  • t(b)
    -1.88771
  • p(b)
    0.96545
  • t(a)
    2.53159
  • p(a)
    0.00852
  • Lowerbound of 95% confidence interval for beta
    -1.50667
  • Upperbound of 95% confidence interval for beta
    0.06035
  • Lowerbound of 95% confidence interval for alpha
    0.08742
  • Upperbound of 95% confidence interval for alpha
    0.82268
  • Treynor index (mean / b)
    -0.54381
  • Jensen alpha (a)
    0.45505
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.34981
  • SD
    0.26821
  • Sharpe ratio (Glass type estimate)
    1.30427
  • Sharpe ratio (Hedges UMVUE)
    1.27134
  • df
    30.00000
  • t
    2.09632
  • p
    0.02230
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.03124
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.55711
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.01019
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.53249
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.69643
  • Upside Potential Ratio
    4.96752
  • Upside part of mean
    0.47010
  • Downside part of mean
    -0.12029
  • Upside SD
    0.26619
  • Downside SD
    0.09463
  • N nonnegative terms
    20.00000
  • N negative terms
    11.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    31.00000
  • Mean of predictor
    0.07603
  • Mean of criterion
    0.34981
  • SD of predictor
    0.13658
  • SD of criterion
    0.26821
  • Covariance
    -0.01253
  • r
    -0.34196
  • b (slope, estimate of beta)
    -0.67150
  • a (intercept, estimate of alpha)
    0.40086
  • Mean Square Error
    0.06571
  • DF error
    29.00000
  • t(b)
    -1.95964
  • p(b)
    0.97014
  • t(a)
    2.48052
  • p(a)
    0.00958
  • Lowerbound of 95% confidence interval for beta
    -1.37233
  • Upperbound of 95% confidence interval for beta
    0.02933
  • Lowerbound of 95% confidence interval for alpha
    0.07034
  • Upperbound of 95% confidence interval for alpha
    0.73138
  • Treynor index (mean / b)
    -0.52094
  • Jensen alpha (a)
    0.40086
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.09353
  • Expected Shortfall on VaR
    0.12203
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01708
  • Expected Shortfall on VaR
    0.03916
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    31.00000
  • Minimum
    0.89627
  • Quartile 1
    0.99782
  • Median
    1.01393
  • Quartile 3
    1.04199
  • Maximum
    1.35229
  • Mean of quarter 1
    0.96604
  • Mean of quarter 2
    1.00617
  • Mean of quarter 3
    1.02746
  • Mean of quarter 4
    1.13977
  • Inter Quartile Range
    0.04417
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.03226
  • Mean of outliers low
    0.89627
  • Number of outliers high
    4.00000
  • Percentage of outliers high
    0.12903
  • Mean of outliers high
    1.20857
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    1.32920
  • VaR(95%) (moments method)
    0.02931
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.37541
  • VaR(95%) (regression method)
    0.02222
  • Expected Shortfall (regression method)
    0.04784
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    6.00000
  • Minimum
    0.00146
  • Quartile 1
    0.00404
  • Median
    0.00669
  • Quartile 3
    0.05461
  • Maximum
    0.16291
  • Mean of quarter 1
    0.00270
  • Mean of quarter 2
    0.00438
  • Mean of quarter 3
    0.00900
  • Mean of quarter 4
    0.11636
  • Inter Quartile Range
    0.05057
  • 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
    0.16667
  • Mean of outliers high
    0.16291
  • 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)
    0.63995
  • Compounded annual return (geometric extrapolation)
    0.45895
  • Calmar ratio (compounded annual return / max draw down)
    2.81722
  • Compounded annual return / average of 25% largest draw downs
    3.94415
  • Compounded annual return / Expected Shortfall lognormal
    3.76092
  • 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
    0.36942
  • SD
    0.21206
  • Sharpe ratio (Glass type estimate)
    1.74209
  • Sharpe ratio (Hedges UMVUE)
    1.74020
  • df
    690.00000
  • t
    2.82918
  • p
    0.00240
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.53113
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.95186
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.52985
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.95055
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.70725
  • Upside Potential Ratio
    7.73714
  • Upside part of mean
    1.05578
  • Downside part of mean
    -0.68636
  • Upside SD
    0.16372
  • Downside SD
    0.13646
  • N nonnegative terms
    384.00000
  • N negative terms
    307.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    691.00000
  • Mean of predictor
    0.08911
  • Mean of criterion
    0.36942
  • SD of predictor
    0.12872
  • SD of criterion
    0.21206
  • Covariance
    0.00070
  • r
    0.02549
  • b (slope, estimate of beta)
    0.04200
  • a (intercept, estimate of alpha)
    0.36600
  • Mean Square Error
    0.04500
  • DF error
    689.00000
  • t(b)
    0.66934
  • p(b)
    0.25175
  • t(a)
    2.79684
  • p(a)
    0.00265
  • Lowerbound of 95% confidence interval for beta
    -0.08119
  • Upperbound of 95% confidence interval for beta
    0.16518
  • Lowerbound of 95% confidence interval for alpha
    0.10897
  • Upperbound of 95% confidence interval for alpha
    0.62239
  • Treynor index (mean / b)
    8.79659
  • Jensen alpha (a)
    0.36568
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.34663
  • SD
    0.21259
  • Sharpe ratio (Glass type estimate)
    1.63052
  • Sharpe ratio (Hedges UMVUE)
    1.62875
  • df
    690.00000
  • t
    2.64798
  • p
    0.00414
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.42004
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.83990
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.41883
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.83867
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.44980
  • Upside Potential Ratio
    7.36915
  • Upside part of mean
    1.04269
  • Downside part of mean
    -0.69605
  • Upside SD
    0.15990
  • Downside SD
    0.14149
  • N nonnegative terms
    384.00000
  • N negative terms
    307.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    691.00000
  • Mean of predictor
    0.08079
  • Mean of criterion
    0.34663
  • SD of predictor
    0.12899
  • SD of criterion
    0.21259
  • Covariance
    0.00067
  • r
    0.02434
  • b (slope, estimate of beta)
    0.04012
  • a (intercept, estimate of alpha)
    0.34339
  • Mean Square Error
    0.04523
  • DF error
    689.00000
  • t(b)
    0.63913
  • p(b)
    0.26148
  • t(a)
    2.62013
  • p(a)
    0.00449
  • Lowerbound of 95% confidence interval for beta
    -0.08312
  • Upperbound of 95% confidence interval for beta
    0.16336
  • Lowerbound of 95% confidence interval for alpha
    0.08607
  • Upperbound of 95% confidence interval for alpha
    0.60071
  • Treynor index (mean / b)
    8.64063
  • Jensen alpha (a)
    0.34339
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02008
  • Expected Shortfall on VaR
    0.02543
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00537
  • Expected Shortfall on VaR
    0.01231
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    691.00000
  • Minimum
    0.86930
  • Quartile 1
    0.99821
  • Median
    1.00057
  • Quartile 3
    1.00382
  • Maximum
    1.09715
  • Mean of quarter 1
    0.99025
  • Mean of quarter 2
    0.99954
  • Mean of quarter 3
    1.00193
  • Mean of quarter 4
    1.01435
  • Inter Quartile Range
    0.00561
  • Number outliers low
    42.00000
  • Percentage of outliers low
    0.06078
  • Mean of outliers low
    0.97490
  • Number of outliers high
    65.00000
  • Percentage of outliers high
    0.09407
  • Mean of outliers high
    1.02669
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.75759
  • VaR(95%) (moments method)
    0.00875
  • Expected Shortfall (moments method)
    0.03964
  • Extreme Value Index (regression method)
    0.45697
  • VaR(95%) (regression method)
    0.00830
  • Expected Shortfall (regression method)
    0.01880
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    72.00000
  • Minimum
    0.00005
  • Quartile 1
    0.00089
  • Median
    0.00255
  • Quartile 3
    0.00884
  • Maximum
    0.19052
  • Mean of quarter 1
    0.00035
  • Mean of quarter 2
    0.00172
  • Mean of quarter 3
    0.00549
  • Mean of quarter 4
    0.04844
  • Inter Quartile Range
    0.00795
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    8.00000
  • Percentage of outliers high
    0.11111
  • Mean of outliers high
    0.09036
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.80794
  • VaR(95%) (moments method)
    0.04552
  • Expected Shortfall (moments method)
    0.25949
  • Extreme Value Index (regression method)
    0.85704
  • VaR(95%) (regression method)
    0.03708
  • Expected Shortfall (regression method)
    0.26158
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.63901
  • Compounded annual return (geometric extrapolation)
    0.45432
  • Calmar ratio (compounded annual return / max draw down)
    2.38464
  • Compounded annual return / average of 25% largest draw downs
    9.37936
  • Compounded annual return / Expected Shortfall lognormal
    17.86730
  • 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
    0.65422
  • SD
    0.22036
  • Sharpe ratio (Glass type estimate)
    2.96894
  • Sharpe ratio (Hedges UMVUE)
    2.95177
  • df
    130.00000
  • t
    2.09935
  • p
    0.40946
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.16826
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.75854
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.15684
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.74671
  • Statistics related to Sortino ratio
  • Sortino ratio
    5.67862
  • Upside Potential Ratio
    13.86370
  • Upside part of mean
    1.59722
  • Downside part of mean
    -0.94299
  • Upside SD
    0.19117
  • Downside SD
    0.11521
  • N nonnegative terms
    72.00000
  • N negative terms
    59.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.07233
  • Mean of criterion
    0.65422
  • SD of predictor
    0.19087
  • SD of criterion
    0.22036
  • Covariance
    0.00258
  • r
    0.06136
  • b (slope, estimate of beta)
    0.07083
  • a (intercept, estimate of alpha)
    0.65935
  • Mean Square Error
    0.04875
  • DF error
    129.00000
  • t(b)
    0.69820
  • p(b)
    0.46096
  • t(a)
    2.11104
  • p(a)
    0.38432
  • Lowerbound of 95% confidence interval for beta
    -0.12989
  • Upperbound of 95% confidence interval for beta
    0.27156
  • Lowerbound of 95% confidence interval for alpha
    0.04139
  • Upperbound of 95% confidence interval for alpha
    1.27731
  • Treynor index (mean / b)
    9.23602
  • Jensen alpha (a)
    0.65935
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.62955
  • SD
    0.21860
  • Sharpe ratio (Glass type estimate)
    2.87993
  • Sharpe ratio (Hedges UMVUE)
    2.86329
  • df
    130.00000
  • t
    2.03642
  • p
    0.41209
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.08076
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.66829
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.06972
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.65686
  • Statistics related to Sortino ratio
  • Sortino ratio
    5.41447
  • Upside Potential Ratio
    13.58170
  • Upside part of mean
    1.57916
  • Downside part of mean
    -0.94961
  • Upside SD
    0.18818
  • Downside SD
    0.11627
  • N nonnegative terms
    72.00000
  • N negative terms
    59.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.09040
  • Mean of criterion
    0.62955
  • SD of predictor
    0.19086
  • SD of criterion
    0.21860
  • Covariance
    0.00252
  • r
    0.06037
  • b (slope, estimate of beta)
    0.06914
  • a (intercept, estimate of alpha)
    0.63580
  • Mean Square Error
    0.04798
  • DF error
    129.00000
  • t(b)
    0.68692
  • p(b)
    0.46159
  • t(a)
    2.05157
  • p(a)
    0.38744
  • Lowerbound of 95% confidence interval for beta
    -0.13001
  • Upperbound of 95% confidence interval for beta
    0.26830
  • Lowerbound of 95% confidence interval for alpha
    0.02264
  • Upperbound of 95% confidence interval for alpha
    1.24895
  • Treynor index (mean / b)
    9.10493
  • Jensen alpha (a)
    0.63580
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01962
  • Expected Shortfall on VaR
    0.02512
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00779
  • Expected Shortfall on VaR
    0.01519
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.96894
  • Quartile 1
    0.99481
  • Median
    1.00124
  • Quartile 3
    1.00839
  • Maximum
    1.05742
  • Mean of quarter 1
    0.98752
  • Mean of quarter 2
    0.99851
  • Mean of quarter 3
    1.00373
  • Mean of quarter 4
    1.02069
  • Inter Quartile Range
    0.01359
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.00763
  • Mean of outliers low
    0.96894
  • Number of outliers high
    5.00000
  • Percentage of outliers high
    0.03817
  • Mean of outliers high
    1.04192
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.12805
  • VaR(95%) (moments method)
    0.01196
  • Expected Shortfall (moments method)
    0.01526
  • Extreme Value Index (regression method)
    -0.17585
  • VaR(95%) (regression method)
    0.01383
  • Expected Shortfall (regression method)
    0.01769
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    12.00000
  • Minimum
    0.00082
  • Quartile 1
    0.00229
  • Median
    0.00487
  • Quartile 3
    0.03147
  • Maximum
    0.09787
  • Mean of quarter 1
    0.00165
  • Mean of quarter 2
    0.00377
  • Mean of quarter 3
    0.01205
  • Mean of quarter 4
    0.07962
  • Inter Quartile Range
    0.02918
  • 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
    0.16667
  • Mean of outliers high
    0.09290
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -53.39340
  • VaR(95%) (moments method)
    0.08325
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    -2.81095
  • VaR(95%) (regression method)
    0.12958
  • Expected Shortfall (regression method)
    0.13036
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.77839
  • Compounded annual return (geometric extrapolation)
    0.92987
  • Calmar ratio (compounded annual return / max draw down)
    9.50076
  • Compounded annual return / average of 25% largest draw downs
    11.67920
  • Compounded annual return / Expected Shortfall lognormal
    37.01630

Strategy Description

Summary Statistics

Includes fees & commissions
Strategy began
2016-06-19
Suggested Minimum Capital
$35,000
# Trades
40
# Profitable
34
% Profitable
85.0%
Net Dividends
Correlation S&P500
0.024
Sharpe Ratio
1.740

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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