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Futures Che
(47706980)

Created by: ValeriyChevtaev ValeriyChevtaev
Started: 03/2010
Futures
Last trade: 2,800 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 $75.00 per month.

-2.0%
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.

24.1%
Max Drawdown
81
Num Trades
39.5%
Win Trades
0.9 : 1
Profit Factor
4.0%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2010              (0.9%)(9.6%)+4.3%+2.6%(14.6%)+0.9%+2.2%  -    -    -  (15.5%)
2011  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2012  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2013  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2014  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2015  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2016  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2017  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2018  -    -    -    -    -                                            0.0

Model Account Details

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

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

Trading Record

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Long
Short
Both
Win
Loss
Both
Show More details Show Fewer details
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
9/21/10 9:47 @ESZ0 E-MINI S&P 500 LONG 1 1137.00 9/21 9:52 1136.25 0.39%
Trade id #53101686
Max drawdown($75)
Time9/21/10 9:51
Quant open1
Worst price1135.50
Drawdown as % of equity-0.39%
($46)
Includes Typical Broker Commissions trade costs of $8.00
9/20/10 12:57 @ESZ0 E-MINI S&P 500 LONG 1 1132.00 9/20 14:42 1135.75 0.4%
Trade id #53065914
Max drawdown($75)
Time9/20/10 13:16
Quant open1
Worst price1130.50
Drawdown as % of equity-0.40%
$180
Includes Typical Broker Commissions trade costs of $8.00
9/17/10 10:41 @ESZ0 E-MINI S&P 500 LONG 1 1119.50 9/19 18:01 1117.50 0.33%
Trade id #53017333
Max drawdown($62)
Time9/17/10 13:17
Quant open1
Worst price1118.25
Drawdown as % of equity-0.33%
($108)
Includes Typical Broker Commissions trade costs of $8.00
9/17/10 9:29 @ESZ0 E-MINI S&P 500 LONG 1 1126.50 9/17 9:43 1123.50 0.72%
Trade id #53013222
Max drawdown($137)
Time9/17/10 9:34
Quant open1
Worst price1123.75
Drawdown as % of equity-0.72%
($158)
Includes Typical Broker Commissions trade costs of $8.00
9/16/10 10:19 @ESZ0 E-MINI S&P 500 SHORT 1 1115.75 9/16 12:32 1115.00 0.59%
Trade id #52976677
Max drawdown($112)
Time9/16/10 10:26
Quant open-1
Worst price1118.00
Drawdown as % of equity-0.59%
$30
Includes Typical Broker Commissions trade costs of $8.00
9/14/10 14:23 @ESZ0 E-MINI S&P 500 LONG 1 1117.50 9/14 15:40 1121.25 0.2%
Trade id #52907251
Max drawdown($37)
Time9/14/10 14:28
Quant open1
Worst price1116.75
Drawdown as % of equity-0.20%
$180
Includes Typical Broker Commissions trade costs of $8.00
9/13/10 14:21 @ESZ0 E-MINI S&P 500 LONG 1 1112.50 9/13 16:30 1116.50 0%
Trade id #52865500
Max drawdown$0
Time9/13/10 14:25
Quant open1
Worst price1112.50
Drawdown as % of equity0.00%
$192
Includes Typical Broker Commissions trade costs of $8.00
9/13/10 14:08 @ESZ0 E-MINI S&P 500 SHORT 1 1112.00 9/13 14:20 1112.75 0.33%
Trade id #52864890
Max drawdown($62)
Time9/13/10 14:20
Quant open-1
Worst price1113.25
Drawdown as % of equity-0.33%
($46)
Includes Typical Broker Commissions trade costs of $8.00
9/13/10 13:05 @ESZ0 E-MINI S&P 500 LONG 1 1112.50 9/13 14:06 1112.00 0.2%
Trade id #52862704
Max drawdown($37)
Time9/13/10 14:04
Quant open1
Worst price1111.75
Drawdown as % of equity-0.20%
($33)
Includes Typical Broker Commissions trade costs of $8.00
9/13/10 12:29 @ESZ0 E-MINI S&P 500 SHORT 1 1112.25 9/13 13:03 1113.50 0.33%
Trade id #52861542
Max drawdown($62)
Time9/13/10 12:38
Quant open-1
Worst price1113.50
Drawdown as % of equity-0.33%
($71)
Includes Typical Broker Commissions trade costs of $8.00
9/13/10 10:12 @ESZ0 E-MINI S&P 500 LONG 1 1116.50 9/13 12:07 1114.00 0.53%
Trade id #52854937
Max drawdown($100)
Time9/13/10 12:04
Quant open1
Worst price1114.50
Drawdown as % of equity-0.53%
($133)
Includes Typical Broker Commissions trade costs of $8.00
9/9/10 11:11 @ESZ0 E-MINI S&P 500 LONG 1 1103.00 9/9 12:58 1100.00 0.59%
Trade id #52773205
Max drawdown($112)
Time9/9/10 12:56
Quant open1
Worst price1100.75
Drawdown as % of equity-0.59%
($158)
Includes Typical Broker Commissions trade costs of $8.00
9/3/10 8:23 @ESU0 E-MINI S&P 500 LONG 1 1089.50 9/3 8:30 1097.25 0.13%
Trade id #52618162
Max drawdown($25)
Time9/3/10 8:28
Quant open1
Worst price1089.00
Drawdown as % of equity-0.13%
$380
Includes Typical Broker Commissions trade costs of $8.00
9/1/10 9:59 @ESU0 E-MINI S&P 500 LONG 1 1064.25 9/1 10:00 1069.25 n/a $242
Includes Typical Broker Commissions trade costs of $8.00
8/30/10 13:32 @ESU0 E-MINI S&P 500 SHORT 1 1054.75 8/30 15:29 1051.00 0.41%
Trade id #52459250
Max drawdown($75)
Time8/30/10 14:33
Quant open-1
Worst price1056.25
Drawdown as % of equity-0.41%
$180
Includes Typical Broker Commissions trade costs of $8.00
8/30/10 12:57 @ESU0 E-MINI S&P 500 LONG 1 1058.00 8/30 13:27 1054.75 0.68%
Trade id #52457498
Max drawdown($125)
Time8/30/10 13:23
Quant open1
Worst price1055.50
Drawdown as % of equity-0.68%
($171)
Includes Typical Broker Commissions trade costs of $8.00
8/26/10 12:58 @ESU0 E-MINI S&P 500 SHORT 1 1052.00 8/26 14:10 1047.50 0.34%
Trade id #52370556
Max drawdown($62)
Time8/26/10 13:01
Quant open-1
Worst price1053.25
Drawdown as % of equity-0.34%
$217
Includes Typical Broker Commissions trade costs of $8.00
8/26/10 12:01 @ESU0 E-MINI S&P 500 LONG 1 1053.75 8/26 12:52 1051.25 0.61%
Trade id #52368504
Max drawdown($112)
Time8/26/10 12:18
Quant open1
Worst price1051.50
Drawdown as % of equity-0.61%
($133)
Includes Typical Broker Commissions trade costs of $8.00
8/26/10 9:41 @ESU0 E-MINI S&P 500 SHORT 1 1056.50 8/26 10:09 1058.75 0.54%
Trade id #52361394
Max drawdown($100)
Time8/26/10 9:44
Quant open-1
Worst price1058.50
Drawdown as % of equity-0.54%
($121)
Includes Typical Broker Commissions trade costs of $8.00
8/26/10 9:29 @ESU0 E-MINI S&P 500 LONG 1 1059.00 8/26 9:30 1057.25 n/a ($96)
Includes Typical Broker Commissions trade costs of $8.00
8/25/10 8:24 @ESU0 E-MINI S&P 500 SHORT 1 1047.25 8/25 8:30 1042.75 n/a $217
Includes Typical Broker Commissions trade costs of $8.00
8/25/10 2:28 @ESU0 E-MINI S&P 500 LONG 1 1049.25 8/25 3:41 1052.75 0.14%
Trade id #52307204
Max drawdown($25)
Time8/25/10 2:30
Quant open1
Worst price1048.75
Drawdown as % of equity-0.14%
$167
Includes Typical Broker Commissions trade costs of $8.00
8/24/10 10:50 @ESU0 E-MINI S&P 500 LONG 1 1052.50 8/24 11:42 1058.00 0.42%
Trade id #52277355
Max drawdown($75)
Time8/24/10 10:54
Quant open1
Worst price1051.00
Drawdown as % of equity-0.42%
$267
Includes Typical Broker Commissions trade costs of $8.00
8/24/10 10:31 @ESU0 E-MINI S&P 500 SHORT 1 1051.25 8/24 10:44 1052.00 0.42%
Trade id #52276224
Max drawdown($75)
Time8/24/10 10:44
Quant open-1
Worst price1052.75
Drawdown as % of equity-0.42%
($46)
Includes Typical Broker Commissions trade costs of $8.00
8/24/10 10:04 @ESU0 E-MINI S&P 500 SHORT 1 1047.75 8/24 10:17 1051.50 0.84%
Trade id #52273707
Max drawdown($150)
Time8/24/10 10:16
Quant open-1
Worst price1050.75
Drawdown as % of equity-0.84%
($196)
Includes Typical Broker Commissions trade costs of $8.00
8/24/10 7:46 @ESU0 E-MINI S&P 500 SHORT 1 1056.75 8/24 8:17 1053.75 0.14%
Trade id #52266196
Max drawdown($25)
Time8/24/10 7:48
Quant open-1
Worst price1057.25
Drawdown as % of equity-0.14%
$142
Includes Typical Broker Commissions trade costs of $8.00
8/23/10 12:28 @ESU0 E-MINI S&P 500 LONG 1 1071.00 8/23 15:36 1067.00 0.9%
Trade id #52237443
Max drawdown($162)
Time8/23/10 15:34
Quant open1
Worst price1067.75
Drawdown as % of equity-0.90%
($208)
Includes Typical Broker Commissions trade costs of $8.00
8/18/10 17:18 @ESU0 E-MINI S&P 500 LONG 1 1087.50 8/19 8:42 1083.25 0.55%
Trade id #52121854
Max drawdown($100)
Time8/18/10 20:01
Quant open1
Worst price1085.50
Drawdown as % of equity-0.55%
($221)
Includes Typical Broker Commissions trade costs of $8.00
8/18/10 8:25 @ESU0 E-MINI S&P 500 SHORT 1 1092.25 8/18 9:55 1085.75 0.21%
Trade id #52105749
Max drawdown($37)
Time8/18/10 8:50
Quant open-1
Worst price1093.00
Drawdown as % of equity-0.21%
$317
Includes Typical Broker Commissions trade costs of $8.00
7/29/10 10:53 @ESU0 E-MINI S&P 500 LONG 1 1106.50 7/29 11:07 1102.25 1.13%
Trade id #51530058
Max drawdown($200)
Time7/29/10 11:07
Quant open1
Worst price1102.50
Drawdown as % of equity-1.13%
($221)
Includes Typical Broker Commissions trade costs of $8.00

Statistics

  • Strategy began
    3/19/2010
  • Suggested Minimum Cap
    $20,000
  • Strategy Age (days)
    2983.51
  • Age
    100 months ago
  • What it trades
    Futures
  • # Trades
    81
  • # Profitable
    32
  • % Profitable
    39.50%
  • Avg trade duration
    7.6 hours
  • Max peak-to-valley drawdown
    24.08%
  • drawdown period
    March 29, 2010 - July 28, 2010
  • Annual Return (Compounded)
    -2.0%
  • Avg win
    $400.72
  • Avg loss
    $282.94
  • Model Account Values (Raw)
  • Cash
    $18,959
  • Margin Used
    $0
  • Buying Power
    $18,959
  • Ratios
  • W:L ratio
    0.92:1
  • Sharpe Ratio
    -0.111
  • Sortino Ratio
    -0.16
  • Calmar Ratio
    0
  • Return Statistics
  • Ann Return (w trading costs)
    -2.0%
  • Ann Return (Compnd, No Fees)
    -0.7%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    100.00%
  • Chance of 20% account loss
    100.00%
  • Chance of 30% account loss
    n/a
  • Chance of 40% account loss
    n/a
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    0
  • Trades-Own-System Certification
  • Trades Own System?
    0
  • TOS percent
    n/a
  • Subscription Price
  • Billing Period (days)
    30
  • Trial Days
    7
  • Win / Loss
  • Avg Loss
    $283
  • Avg Win
    $401
  • # Winners
    32
  • # Losers
    49
  • % Winners
    39.5%
  • Frequency
  • Avg Position Time (mins)
    453.40
  • Avg Position Time (hrs)
    7.56
  • Avg Trade Length
    0.3 days
  • Last Trade Ago
    2798
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.02412
  • SD
    0.08753
  • Sharpe ratio (Glass type estimate)
    -0.27560
  • Sharpe ratio (Hedges UMVUE)
    -0.26928
  • df
    33.00000
  • t
    -0.46390
  • p
    0.67712
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.43984
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.89274
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.43548
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.89693
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.35476
  • Upside Potential Ratio
    0.80655
  • Upside part of mean
    0.05484
  • Downside part of mean
    -0.07896
  • Upside SD
    0.05349
  • Downside SD
    0.06800
  • N nonnegative terms
    3.00000
  • N negative terms
    31.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    34.00000
  • Mean of predictor
    0.28552
  • Mean of criterion
    -0.02412
  • SD of predictor
    0.18940
  • SD of criterion
    0.08753
  • Covariance
    0.00082
  • r
    0.04971
  • b (slope, estimate of beta)
    0.02298
  • a (intercept, estimate of alpha)
    -0.03068
  • Mean Square Error
    0.00788
  • DF error
    32.00000
  • t(b)
    0.28157
  • p(b)
    0.39004
  • t(a)
    -0.53215
  • p(a)
    0.70085
  • Lowerbound of 95% confidence interval for beta
    -0.14323
  • Upperbound of 95% confidence interval for beta
    0.18918
  • Lowerbound of 95% confidence interval for alpha
    -0.14813
  • Upperbound of 95% confidence interval for alpha
    0.08676
  • Treynor index (mean / b)
    -1.04993
  • Jensen alpha (a)
    -0.03068
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.02791
  • SD
    0.08931
  • Sharpe ratio (Glass type estimate)
    -0.31246
  • Sharpe ratio (Hedges UMVUE)
    -0.30529
  • df
    33.00000
  • t
    -0.52594
  • p
    0.69878
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.47694
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.85667
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.47201
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.86142
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.39070
  • Upside Potential Ratio
    0.74674
  • Upside part of mean
    0.05334
  • Downside part of mean
    -0.08125
  • Upside SD
    0.05201
  • Downside SD
    0.07143
  • N nonnegative terms
    3.00000
  • N negative terms
    31.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    34.00000
  • Mean of predictor
    0.26507
  • Mean of criterion
    -0.02791
  • SD of predictor
    0.18402
  • SD of criterion
    0.08931
  • Covariance
    0.00098
  • r
    0.05944
  • b (slope, estimate of beta)
    0.02885
  • a (intercept, estimate of alpha)
    -0.03555
  • Mean Square Error
    0.00820
  • DF error
    32.00000
  • t(b)
    0.33682
  • p(b)
    0.36923
  • t(a)
    -0.60898
  • p(a)
    0.72658
  • Lowerbound of 95% confidence interval for beta
    -0.14561
  • Upperbound of 95% confidence interval for beta
    0.20331
  • Lowerbound of 95% confidence interval for alpha
    -0.15448
  • Upperbound of 95% confidence interval for alpha
    0.08337
  • Treynor index (mean / b)
    -0.96738
  • Jensen alpha (a)
    -0.03555
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.04375
  • Expected Shortfall on VaR
    0.05395
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02167
  • Expected Shortfall on VaR
    0.04506
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    34.00000
  • Minimum
    0.89452
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.05963
  • Mean of quarter 1
    0.98314
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.01806
  • Inter Quartile Range
    0.00000
  • Number outliers low
    4.00000
  • Percentage of outliers low
    0.11765
  • Mean of outliers low
    0.96206
  • Number of outliers high
    4.00000
  • Percentage of outliers high
    0.11765
  • Mean of outliers high
    1.04065
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -25.40020
  • VaR(95%) (moments method)
    0.00075
  • Expected Shortfall (moments method)
    0.00075
  • Extreme Value Index (regression method)
    0.50587
  • VaR(95%) (regression method)
    0.02880
  • Expected Shortfall (regression method)
    0.11474
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    2.00000
  • Minimum
    0.02716
  • Quartile 1
    0.05099
  • Median
    0.07483
  • Quartile 3
    0.09866
  • Maximum
    0.12250
  • Mean of quarter 1
    0.02716
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.12250
  • Inter Quartile Range
    0.04767
  • 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)
    0.00000
  • Compounded annual return (geometric extrapolation)
    0.00000
  • Calmar ratio (compounded annual return / max draw down)
    0.00000
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    0.00000
  • 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
    -0.01670
  • SD
    0.15032
  • Sharpe ratio (Glass type estimate)
    -0.11110
  • Sharpe ratio (Hedges UMVUE)
    -0.11099
  • df
    744.00000
  • t
    -0.18734
  • p
    0.57428
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.27342
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.05122
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.27330
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.05133
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.15982
  • Upside Potential Ratio
    2.28354
  • Upside part of mean
    0.23862
  • Downside part of mean
    -0.25532
  • Upside SD
    0.10792
  • Downside SD
    0.10449
  • N nonnegative terms
    42.00000
  • N negative terms
    703.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    745.00000
  • Mean of predictor
    0.30556
  • Mean of criterion
    -0.01670
  • SD of predictor
    0.24947
  • SD of criterion
    0.15032
  • Covariance
    -0.00413
  • r
    -0.11005
  • b (slope, estimate of beta)
    -0.06631
  • a (intercept, estimate of alpha)
    0.00400
  • Mean Square Error
    0.02235
  • DF error
    743.00000
  • t(b)
    -3.01805
  • p(b)
    0.99868
  • t(a)
    0.04006
  • p(a)
    0.48403
  • Lowerbound of 95% confidence interval for beta
    -0.10944
  • Upperbound of 95% confidence interval for beta
    -0.02318
  • Lowerbound of 95% confidence interval for alpha
    -0.17099
  • Upperbound of 95% confidence interval for alpha
    0.17812
  • Treynor index (mean / b)
    0.25185
  • Jensen alpha (a)
    0.00356
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.02791
  • SD
    0.14967
  • Sharpe ratio (Glass type estimate)
    -0.18646
  • Sharpe ratio (Hedges UMVUE)
    -0.18627
  • df
    744.00000
  • t
    -0.31442
  • p
    0.62336
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.34876
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.97593
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.34862
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.97607
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.25811
  • Upside Potential Ratio
    2.15586
  • Upside part of mean
    0.23310
  • Downside part of mean
    -0.26100
  • Upside SD
    0.10336
  • Downside SD
    0.10812
  • N nonnegative terms
    42.00000
  • N negative terms
    703.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    745.00000
  • Mean of predictor
    0.27414
  • Mean of criterion
    -0.02791
  • SD of predictor
    0.25046
  • SD of criterion
    0.14967
  • Covariance
    -0.00406
  • r
    -0.10818
  • b (slope, estimate of beta)
    -0.06464
  • a (intercept, estimate of alpha)
    -0.01019
  • Mean Square Error
    0.02217
  • DF error
    743.00000
  • t(b)
    -2.96606
  • p(b)
    0.99844
  • t(a)
    -0.11510
  • p(a)
    0.54580
  • Lowerbound of 95% confidence interval for beta
    -0.10743
  • Upperbound of 95% confidence interval for beta
    -0.02186
  • Lowerbound of 95% confidence interval for alpha
    -0.18392
  • Upperbound of 95% confidence interval for alpha
    0.16355
  • Treynor index (mean / b)
    0.43171
  • Jensen alpha (a)
    -0.01019
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01520
  • Expected Shortfall on VaR
    0.01899
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00327
  • Expected Shortfall on VaR
    0.00736
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    745.00000
  • Minimum
    0.90817
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.13661
  • Mean of quarter 1
    0.99652
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.00367
  • Inter Quartile Range
    0.00000
  • Number outliers low
    47.00000
  • Percentage of outliers low
    0.06309
  • Mean of outliers low
    0.98613
  • Number of outliers high
    48.00000
  • Percentage of outliers high
    0.06443
  • Mean of outliers high
    1.01424
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -1.28582
  • VaR(95%) (moments method)
    -0.00037
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.33014
  • VaR(95%) (regression method)
    -0.00168
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    2.00000
  • Minimum
    0.13880
  • Quartile 1
    0.14897
  • Median
    0.15915
  • Quartile 3
    0.16932
  • Maximum
    0.17950
  • Mean of quarter 1
    0.13880
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.17950
  • Inter Quartile Range
    0.02035
  • 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)
    0.00000
  • Compounded annual return (geometric extrapolation)
    0.00000
  • Calmar ratio (compounded annual return / max draw down)
    0.00000
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    0.00000
  • 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
    -0.02791
  • SD
    0.00000
  • Sharpe ratio (Glass type estimate)
    0.00000
  • Sharpe ratio (Hedges UMVUE)
    0.00000
  • df
    0.00000
  • t
    0.00000
  • p
    0.00000
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.00000
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.00000
  • Statistics related to Sortino ratio
  • Sortino ratio
    -16.18640
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    0.00000
  • Downside part of mean
    -0.02791
  • Upside SD
    0.00000
  • Downside SD
    0.00172
  • N nonnegative terms
    0.00000
  • N negative terms
    131.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.72341
  • Mean of criterion
    -0.02791
  • SD of predictor
    0.23931
  • SD of criterion
    0.00000
  • Covariance
    0.00000
  • r
    0.00000
  • b (slope, estimate of beta)
    0.00000
  • a (intercept, estimate of alpha)
    0.00000
  • Mean Square Error
    0.00000
  • DF error
    0.00000
  • t(b)
    0.00000
  • p(b)
    0.00000
  • t(a)
    0.00000
  • p(a)
    0.00000
  • Lowerbound of 95% confidence interval for beta
    0.00000
  • Upperbound of 95% confidence interval for beta
    0.00000
  • Lowerbound of 95% confidence interval for alpha
    0.00000
  • Upperbound of 95% confidence interval for alpha
    0.00000
  • Treynor index (mean / b)
    0.00000
  • Jensen alpha (a)
    0.00000
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.02791
  • SD
    0.00000
  • Sharpe ratio (Glass type estimate)
    -9748420000000000.00000
  • Sharpe ratio (Hedges UMVUE)
    -9692070000000000.00000
  • df
    130.00000
  • t
    -6893170000000000.00000
  • p
    1.00000
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -10870200000000000.00000
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -8513980000000000.00000
  • Statistics related to Sortino ratio
  • Sortino ratio
    -16.18640
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    0.00000
  • Downside part of mean
    -0.02791
  • Upside SD
    0.00000
  • Downside SD
    0.00172
  • N nonnegative terms
    0.00000
  • N negative terms
    131.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.69361
  • Mean of criterion
    -0.02791
  • SD of predictor
    0.24164
  • SD of criterion
    0.00000
  • Covariance
    0.00000
  • r
    0.00000
  • b (slope, estimate of beta)
    0.00000
  • a (intercept, estimate of alpha)
    -0.02791
  • Mean Square Error
    0.00000
  • DF error
    129.00000
  • t(b)
    0.00000
  • p(b)
    0.50000
  • t(a)
    -6760330000000000.00000
  • p(a)
    1.00000
  • Lowerbound of 95% confidence interval for beta
    -0.00000
  • Upperbound of 95% confidence interval for beta
    0.00000
  • Lowerbound of 95% confidence interval for alpha
    -0.02791
  • Upperbound of 95% confidence interval for alpha
    -0.02791
  • Treynor index (mean / b)
    -358238999999999987493664716750848.00000
  • Jensen alpha (a)
    -0.02791
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00011
  • Expected Shortfall on VaR
    0.00011
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00000
  • Expected Shortfall on VaR
    0.00000
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    1.00000
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.00000
  • Mean of quarter 1
    1.00000
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.00000
  • 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 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
    0.00000
  • Minimum
    0.00000
  • Quartile 1
    0.00000
  • Median
    0.00000
  • Quartile 3
    0.00000
  • Maximum
    0.00000
  • 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)
    0.00000
  • Compounded annual return (geometric extrapolation)
    0.00000
  • Calmar ratio (compounded annual return / max draw down)
    0.00000
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    0.00000

Strategy Description

Summary Statistics

Strategy began
2010-03-19
Suggested Minimum Capital
$20,000
# Trades
81
# Profitable
32
% Profitable
39.5%
Correlation S&P500
-0.092
Sharpe Ratio
-0.111

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.