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The Futures So Bright
(120447739)

Created by: RodCasilli RodCasilli
Started: 10/2018
Futures
Last trade: Yesterday
Trading style: Futures Short Term

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 $197.00 per month.

Trading Category: Futures
Short Term
Category: Equity

Short Term

Makes short-term trades or bases analysis on short-term market movements.
9.4%
Cumul. Return

Rate of Return Calculations

Overview

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

How Cumulative Rate of Return is calculated

= (Ending_equity - Starting_equity) / Starting_equity

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

All results are hypothetical.

(13.6%)
Max Drawdown
845
Num Trades
73.6%
Win Trades
1.3 : 1
Profit Factor
50.0%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2018                                                               +19.1%+5.0%(11%)+11.4%
2019(0.7%)+0.2%(1.3%)                                                      (1.8%)

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 1,846 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
3/25/19 11:39 @ESM9 E-MINI S&P 500 LONG 7 2802.71 3/25 16:30 2802.57 1.19%
Trade id #123060306
Max drawdown($2,081)
Time3/25/19 14:28
Quant open3
Worst price2789.50
Drawdown as % of equity-1.19%
($66)
Includes Typical Broker Commissions trade costs of $16.00
3/25/19 15:06 @RTYM9 Russell 2000 CME SHORT 2 1519.85 3/25 15:34 1519.15 0.16%
Trade id #123064928
Max drawdown($285)
Time3/25/19 15:27
Quant open-2
Worst price1522.70
Drawdown as % of equity-0.16%
$58
Includes Typical Broker Commissions trade costs of $12.00
3/25/19 11:55 @TYM9 US T-NOTE 10 YR SHORT 2 124 21/64 3/25 15:16 124 21/64 0.39%
Trade id #123061041
Max drawdown($686)
Time3/25/19 14:11
Quant open-2
Worst price124 43/64
Drawdown as % of equity-0.39%
$4
Includes Typical Broker Commissions trade costs of $12.00
3/25/19 14:43 @RTYM9 Russell 2000 CME SHORT 1 1516.30 3/25 14:54 1516.00 0.03%
Trade id #123064416
Max drawdown($45)
Time3/25/19 14:51
Quant open-1
Worst price1517.20
Drawdown as % of equity-0.03%
$7
Includes Typical Broker Commissions trade costs of $8.00
3/25/19 12:45 @USM9 US T-BOND SHORT 1 149 3/32 3/25 14:52 149 4/32 0.36%
Trade id #123062131
Max drawdown($624)
Time3/25/19 14:11
Quant open-1
Worst price149 23/32
Drawdown as % of equity-0.36%
($39)
Includes Typical Broker Commissions trade costs of $8.00
3/25/19 11:04 @RTYM9 Russell 2000 CME SHORT 8 1514.18 3/25 14:01 1515.31 1.21%
Trade id #123059574
Max drawdown($2,150)
Time3/25/19 11:30
Quant open-3
Worst price1526.90
Drawdown as % of equity-1.21%
($466)
Includes Typical Broker Commissions trade costs of $16.00
3/25/19 10:04 @TYM9 US T-NOTE 10 YR SHORT 1 124 16/64 3/25 10:50 124 15/64 0.04%
Trade id #123057779
Max drawdown($78)
Time3/25/19 10:16
Quant open-1
Worst price124 21/64
Drawdown as % of equity-0.04%
$8
Includes Typical Broker Commissions trade costs of $8.00
3/25/19 10:15 @RTYM9 Russell 2000 CME LONG 1 1498.80 3/25 10:17 1499.90 n/a $47
Includes Typical Broker Commissions trade costs of $8.00
3/25/19 10:04 @NQM9 E-MINI NASDAQ 100 STK IDX LONG 1 7306.00 3/25 10:05 7311.25 n/a $97
Includes Typical Broker Commissions trade costs of $8.00
3/25/19 9:20 @BPM9 BRITISH POUND SHORT 1 1.3291 3/25 9:26 1.3283 0%
Trade id #123056102
Max drawdown($6)
Time3/25/19 9:23
Quant open-1
Worst price1.3292
Drawdown as % of equity-0.00%
$40
Includes Typical Broker Commissions trade costs of $8.00
3/22/19 15:11 @RTYM9 Russell 2000 CME LONG 2 1517.72 3/25 8:35 1511.40 0.52%
Trade id #123040659
Max drawdown($915)
Time3/24/19 21:03
Quant open1
Worst price1499.40
Drawdown as % of equity-0.52%
($644)
Includes Typical Broker Commissions trade costs of $12.00
3/22/19 15:08 @USM9 US T-BOND SHORT 1 148 18/32 3/25 8:25 148 12/32 0.26%
Trade id #123040638
Max drawdown($469)
Time3/24/19 21:01
Quant open-1
Worst price149 1/32
Drawdown as % of equity-0.26%
$179
Includes Typical Broker Commissions trade costs of $8.00
3/22/19 14:35 @RTYM9 Russell 2000 CME LONG 1 1518.50 3/22 14:39 1519.60 0%
Trade id #123040062
Max drawdown($5)
Time3/22/19 14:37
Quant open1
Worst price1518.40
Drawdown as % of equity-0.00%
$47
Includes Typical Broker Commissions trade costs of $8.00
3/22/19 10:59 @RTYM9 Russell 2000 CME LONG 3 1524.33 3/22 14:17 1519.07 0.96%
Trade id #123032562
Max drawdown($1,710)
Time3/22/19 12:44
Quant open2
Worst price1511.90
Drawdown as % of equity-0.96%
($814)
Includes Typical Broker Commissions trade costs of $24.00
3/22/19 13:42 @NQM9 E-MINI NASDAQ 100 STK IDX LONG 1 7388.00 3/22 13:43 7391.75 n/a $67
Includes Typical Broker Commissions trade costs of $8.00
3/22/19 12:20 @YMM9 MINI DOW LONG 1 25588 3/22 12:22 25608 n/a $92
Includes Typical Broker Commissions trade costs of $8.00
3/22/19 11:58 @USM9 US T-BOND SHORT 1 149 3/22 12:02 148 31/32 0.07%
Trade id #123035728
Max drawdown($125)
Time3/22/19 12:00
Quant open-1
Worst price149 4/32
Drawdown as % of equity-0.07%
$23
Includes Typical Broker Commissions trade costs of $8.00
3/22/19 10:46 @NQM9 E-MINI NASDAQ 100 STK IDX LONG 1 7451.00 3/22 10:55 7451.50 0.16%
Trade id #123032122
Max drawdown($280)
Time3/22/19 10:52
Quant open1
Worst price7437.00
Drawdown as % of equity-0.16%
$2
Includes Typical Broker Commissions trade costs of $8.00
3/22/19 9:47 @NQM9 E-MINI NASDAQ 100 STK IDX LONG 1 7484.00 3/22 9:51 7478.75 0.21%
Trade id #123029689
Max drawdown($370)
Time3/22/19 9:50
Quant open1
Worst price7465.50
Drawdown as % of equity-0.21%
($113)
Includes Typical Broker Commissions trade costs of $8.00
3/22/19 9:24 @NQM9 E-MINI NASDAQ 100 STK IDX LONG 1 7491.50 3/22 9:28 7493.92 0.04%
Trade id #123028610
Max drawdown($65)
Time3/22/19 9:27
Quant open1
Worst price7488.25
Drawdown as % of equity-0.04%
$40
Includes Typical Broker Commissions trade costs of $8.00
3/22/19 9:16 @NQM9 E-MINI NASDAQ 100 STK IDX LONG 1 7493.75 3/22 9:19 7495.50 0.03%
Trade id #123028464
Max drawdown($55)
Time3/22/19 9:19
Quant open1
Worst price7491.00
Drawdown as % of equity-0.03%
$27
Includes Typical Broker Commissions trade costs of $8.00
3/21/19 14:05 @NQM9 E-MINI NASDAQ 100 STK IDX SHORT 5 7525.30 3/21 21:23 7527.28 0.58%
Trade id #123018381
Max drawdown($1,045)
Time3/21/19 15:09
Quant open-2
Worst price7535.75
Drawdown as % of equity-0.58%
($238)
Includes Typical Broker Commissions trade costs of $40.00
3/21/19 13:21 @ESM9 E-MINI S&P 500 SHORT 4 2857.44 3/21 15:12 2859.38 0.51%
Trade id #123017589
Max drawdown($916)
Time3/21/19 14:47
Quant open-2
Worst price2864.00
Drawdown as % of equity-0.51%
($420)
Includes Typical Broker Commissions trade costs of $32.00
3/21/19 11:14 @BPM9 BRITISH POUND LONG 1 1.3134 3/21 14:02 1.3114 0.26%
Trade id #123014396
Max drawdown($462)
Time3/21/19 12:29
Quant open1
Worst price1.3060
Drawdown as % of equity-0.26%
($133)
Includes Typical Broker Commissions trade costs of $8.00
3/21/19 13:49 @RTYM9 Russell 2000 CME LONG 1 1565.90 3/21 13:56 1566.10 0.02%
Trade id #123017996
Max drawdown($40)
Time3/21/19 13:56
Quant open1
Worst price1565.10
Drawdown as % of equity-0.02%
$2
Includes Typical Broker Commissions trade costs of $8.00
3/21/19 12:07 @USM9 US T-BOND SHORT 1 147 11/32 3/21 13:21 147 9/32 0.03%
Trade id #123016089
Max drawdown($62)
Time3/21/19 12:28
Quant open-1
Worst price147 13/32
Drawdown as % of equity-0.03%
$55
Includes Typical Broker Commissions trade costs of $8.00
3/21/19 11:02 @ESM9 E-MINI S&P 500 SHORT 1 2847.50 3/21 11:34 2847.00 0.06%
Trade id #123014031
Max drawdown($112)
Time3/21/19 11:05
Quant open-1
Worst price2849.75
Drawdown as % of equity-0.06%
$17
Includes Typical Broker Commissions trade costs of $8.00
3/21/19 11:27 @RTYM9 Russell 2000 CME SHORT 1 1571.90 3/21 11:31 1569.10 n/a $132
Includes Typical Broker Commissions trade costs of $8.00
3/21/19 10:54 @RTYM9 Russell 2000 CME SHORT 1 1564.40 3/21 11:20 1570.27 0.27%
Trade id #123013733
Max drawdown($485)
Time3/21/19 11:05
Quant open-1
Worst price1574.10
Drawdown as % of equity-0.27%
($301)
Includes Typical Broker Commissions trade costs of $8.00
3/21/19 10:23 @BPM9 BRITISH POUND LONG 2 1.3181 3/21 11:09 1.3152 0.2%
Trade id #123012897
Max drawdown($363)
Time3/21/19 11:09
Quant open0
Worst price1.3152
Drawdown as % of equity-0.20%
($379)
Includes Typical Broker Commissions trade costs of $16.00

Statistics

  • Strategy began
    10/19/2018
  • Suggested Minimum Cap
    $140,000
  • Strategy Age (days)
    157.64
  • Age
    158 days ago
  • What it trades
    Futures
  • # Trades
    845
  • # Profitable
    622
  • % Profitable
    73.60%
  • Avg trade duration
    2.9 hours
  • Max peak-to-valley drawdown
    13.6%
  • drawdown period
    Dec 04, 2018 - March 25, 2019
  • Cumul. Return
    9.4%
  • Avg win
    $194.58
  • Avg loss
    $417.69
  • Model Account Values (Raw)
  • Cash
    $178,082
  • Margin Used
    $5,395
  • Buying Power
    $172,486
  • Ratios
  • W:L ratio
    1.30:1
  • Sharpe Ratio
    1.839
  • Sortino Ratio
    3.358
  • Calmar Ratio
    4.038
  • CORRELATION STATISTICS
  • Correlation to SP500
    0.05300
  • Return Statistics
  • Ann Return (w trading costs)
    22.7%
  • Ann Return (Compnd, No Fees)
    45.1%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    42.00%
  • Chance of 20% account loss
    6.00%
  • Chance of 30% account loss
    n/a
  • Chance of 40% account loss
    n/a
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    380
  • Popularity (Last 6 weeks)
    761
  • 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
    $424
  • Avg Win
    $195
  • # Winners
    622
  • # Losers
    223
  • % Winners
    73.6%
  • Frequency
  • Avg Position Time (mins)
    173.27
  • Avg Position Time (hrs)
    2.89
  • Avg Trade Length
    0.1 days
  • Last Trade Ago
    0
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.41445
  • SD
    0.37894
  • Sharpe ratio (Glass type estimate)
    1.09368
  • Sharpe ratio (Hedges UMVUE)
    0.87263
  • df
    4.00000
  • t
    0.70597
  • p
    0.25958
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.09118
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.15530
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.22335
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.96862
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.63093
  • Upside Potential Ratio
    5.18012
  • Upside part of mean
    0.59128
  • Downside part of mean
    -0.17683
  • Upside SD
    0.34083
  • Downside SD
    0.11414
  • N nonnegative terms
    4.00000
  • N negative terms
    1.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    5.00000
  • Mean of predictor
    0.01517
  • Mean of criterion
    0.41445
  • SD of predictor
    0.20435
  • SD of criterion
    0.37894
  • Covariance
    -0.04629
  • r
    -0.59776
  • b (slope, estimate of beta)
    -1.10850
  • a (intercept, estimate of alpha)
    0.43126
  • Mean Square Error
    0.12305
  • DF error
    3.00000
  • t(b)
    -1.29150
  • p(b)
    0.85648
  • t(a)
    0.79336
  • p(a)
    0.24276
  • Lowerbound of 95% confidence interval for beta
    -3.84003
  • Upperbound of 95% confidence interval for beta
    1.62302
  • Lowerbound of 95% confidence interval for alpha
    -1.29869
  • Upperbound of 95% confidence interval for alpha
    2.16122
  • Treynor index (mean / b)
    -0.37388
  • Jensen alpha (a)
    0.43126
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.35606
  • SD
    0.35023
  • Sharpe ratio (Glass type estimate)
    1.01665
  • Sharpe ratio (Hedges UMVUE)
    0.81117
  • df
    4.00000
  • t
    0.65624
  • p
    0.27375
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.15272
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.07046
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.27679
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.89912
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.01026
  • Upside Potential Ratio
    4.55945
  • Upside part of mean
    0.53929
  • Downside part of mean
    -0.18324
  • Upside SD
    0.30773
  • Downside SD
    0.11828
  • N nonnegative terms
    4.00000
  • N negative terms
    1.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    5.00000
  • Mean of predictor
    -0.00154
  • Mean of criterion
    0.35606
  • SD of predictor
    0.20434
  • SD of criterion
    0.35023
  • Covariance
    -0.04328
  • r
    -0.60474
  • b (slope, estimate of beta)
    -1.03649
  • a (intercept, estimate of alpha)
    0.35446
  • Mean Square Error
    0.10373
  • DF error
    3.00000
  • t(b)
    -1.31517
  • p(b)
    0.86003
  • t(a)
    0.71040
  • p(a)
    0.26435
  • Lowerbound of 95% confidence interval for beta
    -3.54458
  • Upperbound of 95% confidence interval for beta
    1.47161
  • Lowerbound of 95% confidence interval for alpha
    -1.23347
  • Upperbound of 95% confidence interval for alpha
    1.94239
  • Treynor index (mean / b)
    -0.34352
  • Jensen alpha (a)
    0.35446
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.12770
  • Expected Shortfall on VaR
    0.16321
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01674
  • Expected Shortfall on VaR
    0.04153
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    5.00000
  • Minimum
    0.92865
  • Quartile 1
    1.00480
  • Median
    1.01097
  • Quartile 3
    1.01835
  • Maximum
    1.22156
  • Mean of quarter 1
    0.96672
  • Mean of quarter 2
    1.01097
  • Mean of quarter 3
    1.01835
  • Mean of quarter 4
    1.22156
  • Inter Quartile Range
    0.01355
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.20000
  • Mean of outliers low
    0.92865
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.20000
  • Mean of outliers high
    1.22156
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    1.00000
  • Minimum
    0.07135
  • Quartile 1
    0.07135
  • Median
    0.07135
  • Quartile 3
    0.07135
  • Maximum
    0.07135
  • Mean of quarter 1
    0.00000
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.00000
  • Inter Quartile Range
    0.00000
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.41638
  • Compounded annual return (geometric extrapolation)
    0.46809
  • Calmar ratio (compounded annual return / max draw down)
    6.56040
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    2.86807
  • 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
    0.36337
  • SD
    0.19625
  • Sharpe ratio (Glass type estimate)
    1.85157
  • Sharpe ratio (Hedges UMVUE)
    1.83880
  • df
    109.00000
  • t
    1.19974
  • p
    0.42748
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.18742
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.88220
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.19587
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.87347
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.35797
  • Upside Potential Ratio
    9.60637
  • Upside part of mean
    1.03953
  • Downside part of mean
    -0.67616
  • Upside SD
    0.16419
  • Downside SD
    0.10821
  • N nonnegative terms
    71.00000
  • N negative terms
    39.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    110.00000
  • Mean of predictor
    0.01753
  • Mean of criterion
    0.36337
  • SD of predictor
    0.19734
  • SD of criterion
    0.19625
  • Covariance
    0.00161
  • r
    0.04152
  • b (slope, estimate of beta)
    0.04129
  • a (intercept, estimate of alpha)
    0.36300
  • Mean Square Error
    0.03880
  • DF error
    108.00000
  • t(b)
    0.43184
  • p(b)
    0.47924
  • t(a)
    1.19285
  • p(a)
    0.44298
  • Lowerbound of 95% confidence interval for beta
    -0.14823
  • Upperbound of 95% confidence interval for beta
    0.23081
  • Lowerbound of 95% confidence interval for alpha
    -0.23997
  • Upperbound of 95% confidence interval for alpha
    0.96527
  • Treynor index (mean / b)
    8.80047
  • Jensen alpha (a)
    0.36265
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.34430
  • SD
    0.19409
  • Sharpe ratio (Glass type estimate)
    1.77395
  • Sharpe ratio (Hedges UMVUE)
    1.76171
  • df
    109.00000
  • t
    1.14944
  • p
    0.43047
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.26401
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.80390
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.27215
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.79558
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.14323
  • Upside Potential Ratio
    9.36970
  • Upside part of mean
    1.02634
  • Downside part of mean
    -0.68203
  • Upside SD
    0.16057
  • Downside SD
    0.10954
  • N nonnegative terms
    71.00000
  • N negative terms
    39.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    110.00000
  • Mean of predictor
    -0.00174
  • Mean of criterion
    0.34430
  • SD of predictor
    0.19715
  • SD of criterion
    0.19409
  • Covariance
    0.00175
  • r
    0.04584
  • b (slope, estimate of beta)
    0.04513
  • a (intercept, estimate of alpha)
    0.34438
  • Mean Square Error
    0.03794
  • DF error
    108.00000
  • t(b)
    0.47687
  • p(b)
    0.47708
  • t(a)
    1.14562
  • p(a)
    0.44521
  • Lowerbound of 95% confidence interval for beta
    -0.14245
  • Upperbound of 95% confidence interval for beta
    0.23270
  • Lowerbound of 95% confidence interval for alpha
    -0.25147
  • Upperbound of 95% confidence interval for alpha
    0.94024
  • Treynor index (mean / b)
    7.62965
  • Jensen alpha (a)
    0.34438
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01824
  • Expected Shortfall on VaR
    0.02314
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00457
  • Expected Shortfall on VaR
    0.01036
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    110.00000
  • Minimum
    0.96245
  • Quartile 1
    0.99818
  • Median
    1.00129
  • Quartile 3
    1.00268
  • Maximum
    1.06853
  • Mean of quarter 1
    0.99020
  • Mean of quarter 2
    1.00024
  • Mean of quarter 3
    1.00194
  • Mean of quarter 4
    1.01356
  • Inter Quartile Range
    0.00450
  • Number outliers low
    11.00000
  • Percentage of outliers low
    0.10000
  • Mean of outliers low
    0.98145
  • Number of outliers high
    14.00000
  • Percentage of outliers high
    0.12727
  • Mean of outliers high
    1.02271
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.67480
  • VaR(95%) (moments method)
    0.00914
  • Expected Shortfall (moments method)
    0.03171
  • Extreme Value Index (regression method)
    0.47013
  • VaR(95%) (regression method)
    0.01002
  • Expected Shortfall (regression method)
    0.02340
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    5.00000
  • Minimum
    0.00270
  • Quartile 1
    0.00760
  • Median
    0.02324
  • Quartile 3
    0.04199
  • Maximum
    0.11169
  • Mean of quarter 1
    0.00515
  • Mean of quarter 2
    0.02324
  • Mean of quarter 3
    0.04199
  • Mean of quarter 4
    0.11169
  • Inter Quartile Range
    0.03439
  • 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
    0.20000
  • Mean of outliers high
    0.11169
  • 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)
    0.40287
  • Compounded annual return (geometric extrapolation)
    0.45094
  • Calmar ratio (compounded annual return / max draw down)
    4.03758
  • Compounded annual return / average of 25% largest draw downs
    4.03758
  • Compounded annual return / Expected Shortfall lognormal
    19.48930

Strategy Description

Summary Statistics

Strategy began
2018-10-19
Suggested Minimum Capital
$140,000
# Trades
845
# Profitable
622
% Profitable
73.6%
Correlation S&P500
0.053
Sharpe Ratio
1.839

Latest Activity

#PERSONNAME#
subscribed on started simulation #SUBSCRIBEDDATE#

Most values on this page (including the Strategy Equity Chart, above) have been adjusted by estimated trading commissions and subscription costs.

Some advanced users find it useful to see "raw" Model Account values. These numbers do not include any commissions, fees, subscription costs, or dividend actions.

Strategy developers can "archive" strategies at any time. This means the strategy Model Account is reset to its initial level and the trade list cleared. However, all archived track records are permanently preserved for evaluation by potential subscribers.

About the results you see on this Web site

Past results are not necessarily indicative of future results.

These results are based on simulated or hypothetical performance results that have certain inherent limitations. Unlike the results shown in an actual performance record, these results do not represent actual trading. Also, because these trades have not actually been executed, these results may have under-or over-compensated for the impact, if any, of certain market factors, such as lack of liquidity. Simulated or hypothetical trading programs in general are also subject to the fact that they are designed with the benefit of hindsight. No representation is being made that any account will or is likely to achieve profits or losses similar to these being shown.

In addition, hypothetical trading does not involve financial risk, and no hypothetical trading record can completely account for the impact of financial risk in actual trading. For example, the ability to withstand losses or to adhere to a particular trading program in spite of trading losses are material points which can also adversely affect actual trading results. There are numerous other factors related to the markets in general or to the implementation of any specific trading program, which cannot be fully accounted for in the preparation of hypothetical performance results and all of which can adversely affect actual trading results.

Material assumptions and methods used when calculating results

The following are material assumptions used when calculating any hypothetical monthly results that appear on our web site.

  • Profits are reinvested. We assume profits (when there are profits) are reinvested in the trading strategy.
  • Starting investment size. For any trading strategy on our site, hypothetical results are based on the assumption that you invested the starting amount shown on the strategy's performance chart. In some cases, nominal dollar amounts on the equity chart have been re-scaled downward to make current go-forward trading sizes more manageable. In these cases, it may not have been possible to trade the strategy historically at the equity levels shown on the chart, and a higher minimum capital was required in the past.
  • All fees are included. When calculating cumulative returns, we try to estimate and include all the fees a typical trader incurs when AutoTrading using AutoTrade technology. This includes the subscription cost of the strategy, plus any per-trade AutoTrade fees, plus estimated broker commissions if any.
  • "Max Drawdown" Calculation Method. We calculate the Max Drawdown statistic as follows. Our computer software looks at the equity chart of the system in question and finds the largest percentage amount that the equity chart ever declines from a local "peak" to a subsequent point in time (thus this is formally called "Maximum Peak to Valley Drawdown.") While this is useful information when evaluating trading systems, you should keep in mind that past performance does not guarantee future results. Therefore, future drawdowns may be larger than the historical maximum drawdowns you see here.

Trading is risky

There is a substantial risk of loss in futures and forex trading. Online trading of stocks and options is extremely risky. Assume you will lose money. Don't trade with money you cannot afford to lose.

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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.