Collective2 Collective2
Featured Strategy Easiest +108.7% Annual Return (Compounded) since Mar 27, 2023 Hypothetical

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OI
(80601005)

Created by: TTJ TTJ
Started: 04/2013
Options
Last trade: 3,806 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 $40.00 per month.

C2Star

C2Star is a certification program for trading strategies. In order to become "C2Star Certified," a strategy must apply tight risk controls, and must exhibit excellent performance characteristics, including low drawdowns.

You can read more about C2Star certification requirements here.

Note that: all trading strategies are risky, and C2Star Certification does not imply that a strategy is low risk.

-1.2%
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.

(34.2%)
Max Drawdown
92
Num Trades
44.6%
Win Trades
1.0 : 1
Profit Factor
2.3%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2013                       -  +10.9%+1.5%+8.4%(6.5%)(7%)(3.6%)(14.2%)  -  (12.3%)
2014  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2015  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2016  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2017  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2018  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2019  -    -    -    -    -    -    -    -    -    -  0.0
2020  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2021  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2022  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2023  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2024  -    -    -    -                                                  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

Download CSV
Long
Short
Both
Win
Loss
Both
Show More details Show Fewer details
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
10/4/13 11:06 SPY1316W162 SPY Nov16'13 162 put SHORT 20 1.63 11/17 11:01 0.00 1.79%
Trade id #83305809
Max drawdown($420)
Time10/10/13 9:31
Quant open-20
Worst price1.84
Drawdown as % of equity-1.79%
 $3,246
Includes Typical Broker Commissions trade costs of $14.00
10/4/13 11:06 SPY1316W155 SPY Nov16'13 155 put LONG 20 0.75 11/17 11:01 0.00 7.34%
Trade id #83305799
Max drawdown($1,500)
Time11/17/13 11:01
Quant open0
Worst price0.00
Drawdown as % of equity-7.34%
 ($1,514)
Includes Typical Broker Commissions trade costs of $14.00
11/17/13 11:00 SPY SPDR S&P 500 LONG 2,000 178.00 11/17 11:00 175.00 29.37%
Trade id #84119621
Max drawdown($6,000)
Time11/17/13 11:00
Quant open0
Worst price175.00
Drawdown as % of equity-29.37%
 ($6,005)
Includes Typical Broker Commissions trade costs of $5.00
10/4/13 11:19 SPY1316K175 SPY Nov16'13 175 call SHORT 20 0.65 11/17 11:00 0.00 42.8%
Trade id #83306220
Max drawdown($8,760)
Time11/15/13 15:40
Quant open-20
Worst price5.03
Drawdown as % of equity-42.80%
 $1,286
Includes Typical Broker Commissions trade costs of $14.00
10/4/13 11:08 SPY1316K178 SPY Nov16'13 178 call LONG 20 0.23 11/17 11:00 0.00 2.25%
Trade id #83305871
Max drawdown($460)
Time11/17/13 11:00
Quant open0
Worst price0.00
Drawdown as % of equity-2.25%
 ($474)
Includes Typical Broker Commissions trade costs of $14.00
7/31/13 14:16 WMT1321U75 WMT Sep21'13 75 put SHORT 5 0.70 9/3 12:06 2.40 4.25%
Trade id #82289081
Max drawdown($1,090)
Time8/28/13 14:49
Quant open-5
Worst price2.88
Drawdown as % of equity-4.25%
 ($859)
Includes Typical Broker Commissions trade costs of $7.00
7/31/13 13:28 KO1321U39 KO Sep21'13 39 put SHORT 13 0.50 9/3 12:06 1.55 5.36%
Trade id #82287879
Max drawdown($1,361)
Time9/3/13 12:06
Quant open4
Worst price1.55
Drawdown as % of equity-5.36%
 ($1,379)
Includes Typical Broker Commissions trade costs of $18.20
8/19/13 11:47 BIIB1321I220 BIIB Sep21'13 220 call SHORT 5 4.50 9/3 12:06 6.30 3.54%
Trade id #82595061
Max drawdown($900)
Time9/3/13 11:12
Quant open-5
Worst price6.30
Drawdown as % of equity-3.54%
 ($907)
Includes Typical Broker Commissions trade costs of $7.30
8/19/13 11:44 VIX1318I20 VIX Sep18'13 20 call SHORT 14 0.62 9/3 11:50 0.75 2.7%
Trade id #82594988
Max drawdown($672)
Time8/30/13 13:09
Quant open-14
Worst price1.10
Drawdown as % of equity-2.70%
 ($202)
Includes Typical Broker Commissions trade costs of $19.60
7/24/13 12:11 DIS1321U62.5 DIS Sep21'13 62.5 put SHORT 3 1.24 9/3 11:49 2.01 1.44%
Trade id #82168259
Max drawdown($375)
Time8/28/13 9:31
Quant open-3
Worst price2.49
Drawdown as % of equity-1.44%
 ($235)
Includes Typical Broker Commissions trade costs of $4.20
7/31/13 14:03 KO1321U37 KO Sep21'13 37 put LONG 13 0.16 9/3 11:48 0.30 0.24%
Trade id #82288561
Max drawdown($65)
Time8/5/13 9:47
Quant open13
Worst price0.11
Drawdown as % of equity-0.24%
 $164
Includes Typical Broker Commissions trade costs of $18.20
7/31/13 13:43 WMT1321U70 WMT Sep21'13 70 put LONG 5 0.14 9/3 11:48 0.20 0.07%
Trade id #82288144
Max drawdown($20)
Time8/5/13 10:19
Quant open5
Worst price0.10
Drawdown as % of equity-0.07%
 $23
Includes Typical Broker Commissions trade costs of $7.00
7/24/13 14:54 DIS1321U55 DIS Sep21'13 55 put LONG 3 0.21 9/3 11:48 0.06 0.16%
Trade id #82171483
Max drawdown($45)
Time8/7/13 13:20
Quant open3
Worst price0.06
Drawdown as % of equity-0.16%
 ($49)
Includes Typical Broker Commissions trade costs of $4.20
7/1/13 15:30 EBAY1317T45 EBAY Aug17'13 45 put LONG 6 0.26 8/18 9:06 0.00 0.59%
Trade id #81796468
Max drawdown($156)
Time8/18/13 9:06
Quant open0
Worst price0.00
Drawdown as % of equity-0.59%
 ($160)
Includes Typical Broker Commissions trade costs of $4.20
7/1/13 11:57 WMT1317T70 WMT Aug17'13 70 put LONG 12 0.38 8/18 9:06 0.00 1.73%
Trade id #81792294
Max drawdown($456)
Time8/18/13 9:06
Quant open0
Worst price0.00
Drawdown as % of equity-1.73%
 ($464)
Includes Typical Broker Commissions trade costs of $8.40
7/1/13 10:53 WMT1317T72.5 WMT Aug17'13 72.5 put SHORT 12 0.90 8/18 9:06 0.00 0.24%
Trade id #81790606
Max drawdown($60)
Time7/5/13 10:38
Quant open-12
Worst price0.95
Drawdown as % of equity-0.24%
 $1,072
Includes Typical Broker Commissions trade costs of $8.40
7/1/13 10:44 GILD1317T50 GILD Aug17'13 50 put SHORT 13 1.52 8/18 9:06 0.00 0.63%
Trade id #81790306
Max drawdown($156)
Time7/3/13 10:01
Quant open-13
Worst price1.64
Drawdown as % of equity-0.63%
 $1,967
Includes Typical Broker Commissions trade costs of $9.10
7/1/13 10:39 EBAY1317T50 EBAY Aug17'13 50 put SHORT 6 1.00 8/18 9:06 0.00 0.22%
Trade id #81790217
Max drawdown($54)
Time7/3/13 9:31
Quant open-6
Worst price1.09
Drawdown as % of equity-0.22%
 $596
Includes Typical Broker Commissions trade costs of $4.20
7/1/13 10:17 SBUX1317T60 SBUX Aug17'13 60 put LONG 12 0.58 8/18 9:06 0.00 2.64%
Trade id #81789339
Max drawdown($696)
Time8/18/13 9:06
Quant open0
Worst price0.00
Drawdown as % of equity-2.64%
 ($704)
Includes Typical Broker Commissions trade costs of $8.40
7/1/13 10:51 GILD1317T47.5 GILD Aug17'13 47.5 put LONG 13 0.88 8/18 9:06 0.00 4.34%
Trade id #81790572
Max drawdown($1,144)
Time8/18/13 9:06
Quant open0
Worst price0.00
Drawdown as % of equity-4.34%
 ($1,153)
Includes Typical Broker Commissions trade costs of $9.10
7/1/13 10:15 SBUX1317T62.5 SBUX Aug17'13 62.5 put SHORT 12 1.05 8/18 9:06 0.00 0.05%
Trade id #81789258
Max drawdown($12)
Time7/1/13 10:30
Quant open-12
Worst price1.06
Drawdown as % of equity-0.05%
 $1,252
Includes Typical Broker Commissions trade costs of $8.40
6/28/13 10:32 VXX1320S20 VXX Jul20'13 20 put SHORT 40 0.75 6/28 11:04 0.92 2.62%
Trade id #81763308
Max drawdown($680)
Time6/28/13 11:04
Quant open0
Worst price0.92
Drawdown as % of equity-2.62%
 ($736)
Includes Typical Broker Commissions trade costs of $56.00
6/28/13 10:39 NFLX1320S200 NFLX Jul20'13 200 put LONG 8 4.40 6/28 11:03 3.80 1.85%
Trade id #81763557
Max drawdown($480)
Time6/28/13 11:03
Quant open0
Worst price3.80
Drawdown as % of equity-1.85%
 ($491)
Includes Typical Broker Commissions trade costs of $11.20
6/27/13 9:40 BBRY1328R14.5 BBRY Jun28'13 14.5 put SHORT 12 0.56 6/27 12:24 0.83 1.23%
Trade id #81737446
Max drawdown($324)
Time6/27/13 12:24
Quant open0
Worst price0.83
Drawdown as % of equity-1.23%
 ($341)
Includes Typical Broker Commissions trade costs of $16.80
6/6/13 10:50 VXX1328R22 VXX Jun28'13 22 put SHORT 70 2.55 6/26 14:46 0.66 24.4%
Trade id #81340610
Max drawdown($6,510)
Time6/10/13 10:01
Quant open-70
Worst price3.48
Drawdown as % of equity-24.40%
 $13,132
Includes Typical Broker Commissions trade costs of $98.00
6/6/13 10:49 VXX1328R21.5 VXX Jun28'13 21.5 put LONG 70 2.21 6/26 14:45 0.36 48.88%
Trade id #81340527
Max drawdown($13,510)
Time6/26/13 11:11
Quant open70
Worst price0.28
Drawdown as % of equity-48.88%
 ($13,048)
Includes Typical Broker Commissions trade costs of $98.00
6/26/13 14:21 SPY1328R161 SPY Jun28'13 161 put SHORT 70 1.31 6/26 14:43 1.30 0.51%
Trade id #81722987
Max drawdown($140)
Time6/26/13 14:24
Quant open-70
Worst price1.33
Drawdown as % of equity-0.51%
 ($28)
Includes Typical Broker Commissions trade costs of $98.00
6/26/13 14:17 SPY1328R160.5 SPY Jun28'13 160.5 put LONG 70 1.10 6/26 14:43 0.99 3.29%
Trade id #81722889
Max drawdown($910)
Time6/26/13 14:32
Quant open70
Worst price0.97
Drawdown as % of equity-3.29%
 ($868)
Includes Typical Broker Commissions trade costs of $98.00
6/20/13 10:37 SPY1322F165 SPY Jun22'13 165 call LONG 22 0.05 6/23 9:19 0.00 0.4%
Trade id #81615590
Max drawdown($110)
Time6/23/13 9:19
Quant open0
Worst price0.00
Drawdown as % of equity-0.40%
 ($125)
Includes Typical Broker Commissions trade costs of $15.40
6/20/13 10:37 SPY1322F161 SPY Jun22'13 161 call SHORT 22 0.72 6/23 9:19 0.00 1.42%
Trade id #81615603
Max drawdown($330)
Time6/20/13 10:51
Quant open-22
Worst price0.87
Drawdown as % of equity-1.42%
 $1,569
Includes Typical Broker Commissions trade costs of $15.40
Next

Statistics

  • Strategy began
    4/30/2013
  • Suggested Minimum Cap
    $20,000
  • Strategy Age (days)
    4005.43
  • Age
    134 months ago
  • What it trades
    Options
  • # Trades
    92
  • # Profitable
    41
  • % Profitable
    44.60%
  • Avg trade duration
    14.6 days
  • Max peak-to-valley drawdown
    34.21%
  • drawdown period
    June 17, 2013 - Nov 17, 2013
  • Annual Return (Compounded)
    -1.2%
  • Avg win
    $1,316
  • Avg loss
    $1,048
  • Model Account Values (Raw)
  • Cash
    $20,528
  • Margin Used
    $0
  • Buying Power
    $20,528
  • Ratios
  • W:L ratio
    1.01:1
  • Sharpe Ratio
    -0.31
  • Sortino Ratio
    -0.43
  • Calmar Ratio
    0.025
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -226.69%
  • Correlation to SP500
    -0.00660
  • Return Percent SP500 (cumu) during strategy life
    213.67%
  • Return Statistics
  • Ann Return (w trading costs)
    -1.2%
  • Slump
  • Current Slump as Pcnt Equity
    51.10%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.99%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    -0.012%
  • Instruments
  • Percent Trades Options
    0.98%
  • Percent Trades Stocks
    0.02%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    0.2%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    100.00%
  • Chance of 20% account loss
    100.00%
  • Chance of 30% account loss
    100.00%
  • Chance of 40% account loss
    n/a
  • Chance of 60% account loss (Monte Carlo)
    n/a
  • Chance of 70% account loss (Monte Carlo)
    n/a
  • Chance of 80% account loss (Monte Carlo)
    n/a
  • Chance of 90% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    0
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Popularity
  • Popularity (7 days, Percentile 1000 scale)
    0
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $1,048
  • Avg Win
    $1,317
  • Sum Trade PL (losers)
    $53,453.000
  • Age
  • Num Months filled monthly returns table
    133
  • Win / Loss
  • Sum Trade PL (winners)
    $53,981.000
  • # Winners
    41
  • Num Months Winners
    4
  • Dividends
  • Dividends Received in Model Acct
    0
  • Win / Loss
  • # Losers
    51
  • % Winners
    44.6%
  • Frequency
  • Avg Position Time (mins)
    20953.10
  • Avg Position Time (hrs)
    349.22
  • Avg Trade Length
    14.6 days
  • Last Trade Ago
    3804
  • Regression
  • Alpha
    -0.01
  • Beta
    -0.00
  • Treynor Index
    2.53
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.05
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    27.07
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    13.55
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -0.31
  • MAE:Equity, average, winning trades
    0.05
  • MAE:Equity, average, losing trades
    0.05
  • Avg(MAE) / Avg(PL) - All trades
    -237.631
  • MAE:Equity, losing trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, win trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, 95th Percentile Value for this strat
    0.04
  • Avg(MAE) / Avg(PL) - Winning trades
    0.729
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.090
  • Hold-and-Hope Ratio
    -0.004
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.01477
  • SD
    0.11716
  • Sharpe ratio (Glass type estimate)
    -0.12609
  • Sharpe ratio (Hedges UMVUE)
    -0.12407
  • df
    47.00000
  • t
    -0.25218
  • p
    0.59900
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.10573
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.85486
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.10437
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.85624
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.20658
  • Upside Potential Ratio
    1.07534
  • Upside part of mean
    0.07690
  • Downside part of mean
    -0.09167
  • Upside SD
    0.09135
  • Downside SD
    0.07151
  • N nonnegative terms
    3.00000
  • N negative terms
    45.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    48.00000
  • Mean of predictor
    0.27581
  • Mean of criterion
    -0.01477
  • SD of predictor
    0.23675
  • SD of criterion
    0.11716
  • Covariance
    0.00033
  • r
    0.01185
  • b (slope, estimate of beta)
    0.00586
  • a (intercept, estimate of alpha)
    -0.01639
  • Mean Square Error
    0.01402
  • DF error
    46.00000
  • t(b)
    0.08036
  • p(b)
    0.46815
  • t(a)
    -0.26209
  • p(a)
    0.60279
  • Lowerbound of 95% confidence interval for beta
    -0.14099
  • Upperbound of 95% confidence interval for beta
    0.15272
  • Lowerbound of 95% confidence interval for alpha
    -0.14227
  • Upperbound of 95% confidence interval for alpha
    0.10949
  • Treynor index (mean / b)
    -2.51961
  • Jensen alpha (a)
    -0.01639
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.02129
  • SD
    0.11500
  • Sharpe ratio (Glass type estimate)
    -0.18515
  • Sharpe ratio (Hedges UMVUE)
    -0.18218
  • df
    47.00000
  • t
    -0.37030
  • p
    0.64359
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.16490
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.79650
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.16285
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.79849
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.28611
  • Upside Potential Ratio
    0.97904
  • Upside part of mean
    0.07286
  • Downside part of mean
    -0.09415
  • Upside SD
    0.08631
  • Downside SD
    0.07442
  • N nonnegative terms
    3.00000
  • N negative terms
    45.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    48.00000
  • Mean of predictor
    0.24555
  • Mean of criterion
    -0.02129
  • SD of predictor
    0.23402
  • SD of criterion
    0.11500
  • Covariance
    0.00036
  • r
    0.01320
  • b (slope, estimate of beta)
    0.00649
  • a (intercept, estimate of alpha)
    -0.02289
  • Mean Square Error
    0.01351
  • DF error
    46.00000
  • t(b)
    0.08953
  • p(b)
    0.46452
  • t(a)
    -0.37654
  • p(a)
    0.64587
  • Lowerbound of 95% confidence interval for beta
    -0.13934
  • Upperbound of 95% confidence interval for beta
    0.15232
  • Lowerbound of 95% confidence interval for alpha
    -0.14523
  • Upperbound of 95% confidence interval for alpha
    0.09946
  • Treynor index (mean / b)
    -3.28257
  • Jensen alpha (a)
    -0.02289
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.05482
  • Expected Shortfall on VaR
    0.06777
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02558
  • Expected Shortfall on VaR
    0.05180
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    48.00000
  • Minimum
    0.89885
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.13973
  • Mean of quarter 1
    0.97817
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.02622
  • Inter Quartile Range
    0.00000
  • Number outliers low
    4.00000
  • Percentage of outliers low
    0.08333
  • Mean of outliers low
    0.93452
  • Number of outliers high
    3.00000
  • Percentage of outliers high
    0.06250
  • Mean of outliers high
    1.10486
  • 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)
    -0.74309
  • VaR(95%) (regression method)
    0.04211
  • Expected Shortfall (regression method)
    0.06779
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    1.00000
  • Minimum
    0.23811
  • Quartile 1
    0.23811
  • Median
    0.23811
  • Quartile 3
    0.23811
  • Maximum
    0.23811
  • 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)
    0.00670
  • Compounded annual return (geometric extrapolation)
    0.00664
  • Calmar ratio (compounded annual return / max draw down)
    0.02787
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    0.09792
  • 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
    -0.01506
  • SD
    0.11253
  • Sharpe ratio (Glass type estimate)
    -0.13385
  • Sharpe ratio (Hedges UMVUE)
    -0.13376
  • df
    1055.00000
  • t
    -0.26872
  • p
    0.50527
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.11010
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.84246
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.11004
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.84252
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.19692
  • Upside Potential Ratio
    2.65244
  • Upside part of mean
    0.20288
  • Downside part of mean
    -0.21794
  • Upside SD
    0.08247
  • Downside SD
    0.07649
  • N nonnegative terms
    62.00000
  • N negative terms
    994.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1056.00000
  • Mean of predictor
    0.29647
  • Mean of criterion
    -0.01506
  • SD of predictor
    0.27505
  • SD of criterion
    0.11253
  • Covariance
    -0.00013
  • r
    -0.00418
  • b (slope, estimate of beta)
    -0.00171
  • a (intercept, estimate of alpha)
    -0.01500
  • Mean Square Error
    0.01267
  • DF error
    1054.00000
  • t(b)
    -0.13576
  • p(b)
    0.50209
  • t(a)
    -0.25898
  • p(a)
    0.50399
  • Lowerbound of 95% confidence interval for beta
    -0.02644
  • Upperbound of 95% confidence interval for beta
    0.02302
  • Lowerbound of 95% confidence interval for alpha
    -0.12483
  • Upperbound of 95% confidence interval for alpha
    0.09572
  • Treynor index (mean / b)
    8.80419
  • Jensen alpha (a)
    -0.01455
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.02134
  • SD
    0.11198
  • Sharpe ratio (Glass type estimate)
    -0.19059
  • Sharpe ratio (Hedges UMVUE)
    -0.19045
  • df
    1055.00000
  • t
    -0.38263
  • p
    0.50750
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.16686
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.78574
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.16675
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.78584
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.27277
  • Upside Potential Ratio
    2.55079
  • Upside part of mean
    0.19959
  • Downside part of mean
    -0.22093
  • Upside SD
    0.08005
  • Downside SD
    0.07824
  • N nonnegative terms
    62.00000
  • N negative terms
    994.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1056.00000
  • Mean of predictor
    0.25627
  • Mean of criterion
    -0.02134
  • SD of predictor
    0.28785
  • SD of criterion
    0.11198
  • Covariance
    -0.00014
  • r
    -0.00427
  • b (slope, estimate of beta)
    -0.00166
  • a (intercept, estimate of alpha)
    -0.02092
  • Mean Square Error
    0.01255
  • DF error
    1054.00000
  • t(b)
    -0.13853
  • p(b)
    0.50213
  • t(a)
    -0.37426
  • p(a)
    0.50576
  • Lowerbound of 95% confidence interval for beta
    -0.02517
  • Upperbound of 95% confidence interval for beta
    0.02185
  • Lowerbound of 95% confidence interval for alpha
    -0.13058
  • Upperbound of 95% confidence interval for alpha
    0.08875
  • Treynor index (mean / b)
    12.85680
  • Jensen alpha (a)
    -0.02092
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01140
  • Expected Shortfall on VaR
    0.01425
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00278
  • Expected Shortfall on VaR
    0.00623
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    1056.00000
  • Minimum
    0.93608
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.10489
  • Mean of quarter 1
    0.99707
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.00312
  • Inter Quartile Range
    0.00000
  • Number outliers low
    58.00000
  • Percentage of outliers low
    0.05492
  • Mean of outliers low
    0.98668
  • Number of outliers high
    63.00000
  • Percentage of outliers high
    0.05966
  • Mean of outliers high
    1.01308
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.44448
  • VaR(95%) (moments method)
    0.00100
  • Expected Shortfall (moments method)
    0.00481
  • Extreme Value Index (regression method)
    -0.02632
  • VaR(95%) (regression method)
    0.00125
  • Expected Shortfall (regression method)
    0.00852
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    7.00000
  • Minimum
    0.00232
  • Quartile 1
    0.00722
  • Median
    0.01297
  • Quartile 3
    0.08227
  • Maximum
    0.26779
  • Mean of quarter 1
    0.00443
  • Mean of quarter 2
    0.01045
  • Mean of quarter 3
    0.05001
  • Mean of quarter 4
    0.19116
  • Inter Quartile Range
    0.07504
  • 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
    0.14286
  • Mean of outliers high
    0.26779
  • 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)
    0.00665
  • Compounded annual return (geometric extrapolation)
    0.00659
  • Calmar ratio (compounded annual return / max draw down)
    0.02459
  • Compounded annual return / average of 25% largest draw downs
    0.03445
  • Compounded annual return / Expected Shortfall lognormal
    0.46229
  • 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
    0.67436
  • Mean of criterion
    -0.02791
  • SD of predictor
    0.38333
  • 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
    0.60049
  • Mean of criterion
    -0.02791
  • SD of predictor
    0.38401
  • 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)
    -6834550000000000.00000
  • p(a)
    1.00000
  • VAR (95 Confidence Intrvl)
    0.01100
  • 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)
    -64623999999999994353984169050112.00000
  • 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
  • Last 4 Months - Pcnt Negative
    n/a
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -375345000
  • Max Equity Drawdown (num days)
    153
  • 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

Trade this strategy at Interactive Brokers

Summary Statistics

Strategy began
2013-04-30
Suggested Minimum Capital
$25,000
# Trades
92
# Profitable
41
% Profitable
44.6%
Correlation S&P500
-0.007
Sharpe Ratio
-0.31
Sortino Ratio
-0.43
Beta
-0.00
Alpha
-0.01

Latest Activity

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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.