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Wave Trader ES TY
(124720750)

Started: 08/2019
Futures
Last trade: 32 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. You can subscribe to this system for free.

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.

46.8%
Annual Return (Compounded)

Rate of Return Calculations

Overview

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

How Annualized (Compounded) Rate of Return is calculated

= ((Ending_equity / Starting_equity) ^ (1 / age_in_years)) - 1

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

All results are hypothetical.

(28.1%)
Max Drawdown
57
Num Trades
84.2%
Win Trades
2.0 : 1
Profit Factor
64.3%
Win Months
Hypothetical Monthly Returns (includes system fee and Interactive Brokers commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2019                                                 +2.4%(6.7%)(3%)+0.8%+7.1%(0.1%)
2020+23.8%+10.1%+12.2%(0.7%)+1.0%  -  +3.6%(2.7%)+1.8%                  +57.2%

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 112 trades in real-life brokerage accounts. To see live brokerage data, select Show AutoTrade Data, and click on a Live AutoTrade Indicator symbol.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
5/28/20 15:33 @TYU0 US T-NOTE 10 YR LONG 1 138 46/64 8/28 12:03 139 19/64 7.04%
Trade id #129245566
Max drawdown($2,031)
Time6/5/20 0:00
Quant open1
Worst price136 44/64
Drawdown as % of equity-7.04%
$572
Includes Typical Broker Commissions trade costs of $6.00
4/3/20 14:27 @TYM0 US T-NOTE 10 YR LONG 1 139 18/64 5/28 15:33 139 1/64 6.04%
Trade id #128409707
Max drawdown($1,781)
Time4/7/20 0:00
Quant open1
Worst price137 32/64
Drawdown as % of equity-6.04%
($271)
Includes Typical Broker Commissions trade costs of $6.00
3/11/20 12:08 @TYM0 US T-NOTE 10 YR LONG 1 137 46/64 3/12 8:01 138 45/64 3.37%
Trade id #127976588
Max drawdown($969)
Time3/11/20 18:37
Quant open1
Worst price136 48/64
Drawdown as % of equity-3.37%
$978
Includes Typical Broker Commissions trade costs of $6.00
3/9/20 10:08 @TYM0 US T-NOTE 10 YR LONG 1 139 33/64 3/10 15:02 137 36/64 8.22%
Trade id #127919432
Max drawdown($2,453)
Time3/10/20 0:00
Quant open1
Worst price137 4/64
Drawdown as % of equity-8.22%
($1,960)
Includes Typical Broker Commissions trade costs of $6.00
3/6/20 16:59 @TYM0 US T-NOTE 10 YR LONG 1 137 33/64 3/9 8:19 139 60/64 n/a $2,416
Includes Typical Broker Commissions trade costs of $6.00
3/3/20 16:00 @TYM0 US T-NOTE 10 YR LONG 1 135 59/64 3/6 8:02 137 53/64 1.96%
Trade id #127834869
Max drawdown($531)
Time3/5/20 0:00
Quant open1
Worst price135 25/64
Drawdown as % of equity-1.96%
$1,900
Includes Typical Broker Commissions trade costs of $6.00
2/27/20 8:21 @TYM0 US T-NOTE 10 YR LONG 1 133 35/64 2/28 8:05 134 6/64 1.78%
Trade id #127738865
Max drawdown($468)
Time2/27/20 12:53
Quant open1
Worst price133 5/64
Drawdown as % of equity-1.78%
$541
Includes Typical Broker Commissions trade costs of $6.00
2/26/20 16:00 @TYH0 US T-NOTE 10 YR LONG 1 133 3/64 2/27 8:19 133 41/64 0.24%
Trade id #127728991
Max drawdown($62)
Time2/26/20 16:03
Quant open1
Worst price132 63/64
Drawdown as % of equity-0.24%
$588
Includes Typical Broker Commissions trade costs of $6.00
2/11/20 14:00 @TYH0 US T-NOTE 10 YR LONG 1 131 2/24 9:22 132 48/64 1.62%
Trade id #127462167
Max drawdown($390)
Time2/12/20 0:00
Quant open1
Worst price130 39/64
Drawdown as % of equity-1.62%
$1,744
Includes Typical Broker Commissions trade costs of $6.00
2/18/20 9:31 @ESH0 E-MINI S&P 500 LONG 1 3372.00 2/18 9:35 3372.50 0.87%
Trade id #127571791
Max drawdown($212)
Time2/18/20 9:32
Quant open1
Worst price3367.75
Drawdown as % of equity-0.87%
$21
Includes Typical Broker Commissions trade costs of $4.02
2/14/20 15:52 @ESH0 E-MINI S&P 500 LONG 1 3377.50 2/14 16:16 3381.00 0.1%
Trade id #127522119
Max drawdown($25)
Time2/14/20 15:54
Quant open1
Worst price3377.00
Drawdown as % of equity-0.10%
$171
Includes Typical Broker Commissions trade costs of $4.02
2/13/20 15:53 @ESH0 E-MINI S&P 500 LONG 1 3374.75 2/13 16:16 3377.75 0.53%
Trade id #127501789
Max drawdown($125)
Time2/13/20 15:58
Quant open1
Worst price3372.25
Drawdown as % of equity-0.53%
$146
Includes Typical Broker Commissions trade costs of $4.02
2/12/20 15:52 @ESH0 E-MINI S&P 500 LONG 1 3379.25 2/13 9:30 3359.25 6.35%
Trade id #127482754
Max drawdown($1,537)
Time2/13/20 0:00
Quant open1
Worst price3348.50
Drawdown as % of equity-6.35%
($1,004)
Includes Typical Broker Commissions trade costs of $4.02
2/11/20 15:52 @ESH0 E-MINI S&P 500 LONG 1 3359.25 2/12 9:31 3373.25 1.04%
Trade id #127464381
Max drawdown($250)
Time2/11/20 15:59
Quant open1
Worst price3354.25
Drawdown as % of equity-1.04%
$696
Includes Typical Broker Commissions trade costs of $4.02
1/28/20 12:01 @TYH0 US T-NOTE 10 YR LONG 1 130 34/64 2/10 12:36 131 23/64 1.34%
Trade id #127252684
Max drawdown($312)
Time2/6/20 0:00
Quant open1
Worst price130 14/64
Drawdown as % of equity-1.34%
$822
Includes Typical Broker Commissions trade costs of $6.00
11/27/19 8:08 @TYH0 US T-NOTE 10 YR LONG 1 129 45/64 1/27/20 8:04 130 52/64 10.06%
Trade id #126382880
Max drawdown($1,796)
Time12/13/19 0:00
Quant open1
Worst price127 58/64
Drawdown as % of equity-10.06%
$1,103
Includes Typical Broker Commissions trade costs of $6.00
1/17/20 15:52 @ESH0 E-MINI S&P 500 LONG 1 3327.00 1/22 9:33 3330.75 4.71%
Trade id #127083881
Max drawdown($987)
Time1/21/20 0:00
Quant open1
Worst price3307.25
Drawdown as % of equity-4.71%
$184
Includes Typical Broker Commissions trade costs of $4.02
1/16/20 15:53 @ESH0 E-MINI S&P 500 LONG 1 3316.00 1/17 9:32 3322.50 0.47%
Trade id #127053664
Max drawdown($100)
Time1/16/20 15:57
Quant open1
Worst price3314.00
Drawdown as % of equity-0.47%
$321
Includes Typical Broker Commissions trade costs of $4.02
1/15/20 15:53 @ESH0 E-MINI S&P 500 LONG 1 3288.75 1/15 16:08 3293.25 0.41%
Trade id #127028256
Max drawdown($87)
Time1/15/20 15:56
Quant open1
Worst price3287.00
Drawdown as % of equity-0.41%
$221
Includes Typical Broker Commissions trade costs of $4.02
1/14/20 15:53 @ESH0 E-MINI S&P 500 LONG 1 3280.00 1/14 15:59 3283.50 0.18%
Trade id #127000198
Max drawdown($37)
Time1/14/20 15:54
Quant open1
Worst price3279.25
Drawdown as % of equity-0.18%
$171
Includes Typical Broker Commissions trade costs of $4.02
1/13/20 15:53 @ESH0 E-MINI S&P 500 LONG 1 3286.50 1/13 16:15 3289.75 0.06%
Trade id #126975256
Max drawdown($12)
Time1/13/20 15:54
Quant open1
Worst price3286.25
Drawdown as % of equity-0.06%
$159
Includes Typical Broker Commissions trade costs of $4.02
12/26/19 15:53 @ESH0 E-MINI S&P 500 LONG 1 3238.25 12/26 16:00 3242.25 0.38%
Trade id #126760122
Max drawdown($75)
Time12/26/19 15:54
Quant open1
Worst price3236.75
Drawdown as % of equity-0.38%
$196
Includes Typical Broker Commissions trade costs of $4.02
12/23/19 15:52 @ESH0 E-MINI S&P 500 LONG 1 3226.25 12/26 9:31 3230.25 0.97%
Trade id #126729309
Max drawdown($187)
Time12/24/19 0:00
Quant open1
Worst price3222.50
Drawdown as % of equity-0.97%
$196
Includes Typical Broker Commissions trade costs of $4.02
12/20/19 15:53 @ESH0 E-MINI S&P 500 LONG 1 3224.25 12/23 9:32 3228.50 0.39%
Trade id #126709464
Max drawdown($75)
Time12/20/19 16:00
Quant open1
Worst price3222.75
Drawdown as % of equity-0.39%
$209
Includes Typical Broker Commissions trade costs of $4.02
12/19/19 15:52 @ESH0 E-MINI S&P 500 LONG 1 3207.25 12/19 16:00 3210.75 0.2%
Trade id #126693153
Max drawdown($37)
Time12/19/19 15:55
Quant open1
Worst price3206.50
Drawdown as % of equity-0.20%
$171
Includes Typical Broker Commissions trade costs of $4.02
12/18/19 15:52 @ESH0 E-MINI S&P 500 LONG 1 3199.75 12/19 11:10 3202.75 1.39%
Trade id #126675301
Max drawdown($262)
Time12/19/19 0:00
Quant open1
Worst price3194.50
Drawdown as % of equity-1.39%
$146
Includes Typical Broker Commissions trade costs of $4.02
12/17/19 15:52 @ESH0 E-MINI S&P 500 LONG 1 3196.75 12/18 9:37 3201.25 1.26%
Trade id #126661622
Max drawdown($237)
Time12/18/19 0:00
Quant open1
Worst price3192.00
Drawdown as % of equity-1.26%
$221
Includes Typical Broker Commissions trade costs of $4.02
12/16/19 9:23 @ESH0 E-MINI S&P 500 LONG 1 3192.75 12/17 9:32 3198.75 0.27%
Trade id #126637206
Max drawdown($50)
Time12/16/19 9:30
Quant open1
Worst price3191.75
Drawdown as % of equity-0.27%
$296
Includes Typical Broker Commissions trade costs of $4.02
12/12/19 15:53 @ESZ9 E-MINI S&P 500 LONG 1 3172.50 12/16 9:21 3189.00 4.41%
Trade id #126604983
Max drawdown($787)
Time12/13/19 0:00
Quant open1
Worst price3156.75
Drawdown as % of equity-4.41%
$821
Includes Typical Broker Commissions trade costs of $4.02
12/11/19 15:53 @ESZ9 E-MINI S&P 500 LONG 1 3141.00 12/12 9:36 3150.25 1.02%
Trade id #126586570
Max drawdown($187)
Time12/12/19 0:00
Quant open1
Worst price3137.25
Drawdown as % of equity-1.02%
$459
Includes Typical Broker Commissions trade costs of $4.02

Statistics

  • Strategy began
    8/1/2019
  • Suggested Minimum Cap
    $30,000
  • Strategy Age (days)
    425.2
  • Age
    14 months ago
  • What it trades
    Futures
  • # Trades
    57
  • # Profitable
    48
  • % Profitable
    84.20%
  • Avg trade duration
    6.5 days
  • Max peak-to-valley drawdown
    28.13%
  • drawdown period
    Sept 05, 2019 - Oct 23, 2019
  • Annual Return (Compounded)
    44.2%
  • Avg win
    $492.77
  • Avg loss
    $1,327
  • Model Account Values (Raw)
  • Cash
    $31,147
  • Margin Used
    $1,150
  • Buying Power
    $30,559
  • Ratios
  • W:L ratio
    1.98:1
  • Sharpe Ratio
    1.51
  • Sortino Ratio
    2.34
  • Calmar Ratio
    2.009
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    40.78%
  • Correlation to SP500
    -0.19830
  • Return Percent SP500 (cumu) during strategy life
    13.01%
  • Return Statistics
  • Ann Return (w trading costs)
    44.2%
  • Slump
  • Current Slump as Pcnt Equity
    2.70%
  • Instruments
  • Percent Trades Futures
    1.00%
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.48%
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.442%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    n/a
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    48.3%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    67.50%
  • Chance of 20% account loss
    9.50%
  • Chance of 30% account loss
    n/a
  • Chance of 40% account loss
    n/a
  • Chance of 70% account loss (Monte Carlo)
    n/a
  • Chance of 80% account loss (Monte Carlo)
    n/a
  • Chance of 60% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 90% account loss (Monte Carlo)
    n/a
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    456
  • Popularity (Last 6 weeks)
    697
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • Popularity (7 days, Percentile 1000 scale)
    430
  • Management
  • No Subs Allowed Flag (1: no subs)
    0
  • Strat abandoned?
    0
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $1,327
  • Avg Win
    $492
  • Sum Trade PL (losers)
    $11,944.000
  • AUM
  • AUM (AutoTrader num accounts)
    8
  • Age
  • Num Months filled monthly returns table
    14
  • Win / Loss
  • Sum Trade PL (winners)
    $23,638.000
  • # Winners
    48
  • Num Months Winners
    9
  • Dividends
  • Dividends Received in Model Acct
    0
  • AUM
  • AUM (AutoTrader live capital)
    281316
  • Win / Loss
  • # Losers
    9
  • % Winners
    84.2%
  • Frequency
  • Avg Position Time (mins)
    9288.08
  • Avg Position Time (hrs)
    154.80
  • Avg Trade Length
    6.5 days
  • Last Trade Ago
    32
  • Leverage
  • Daily leverage (average)
    6.98
  • Daily leverage (max)
    16.40
  • Regression
  • Alpha
    0.11
  • Beta
    -0.13
  • Treynor Index
    -0.78
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.03
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    0.67
  • MAE:Equity, average, winning trades
    0.02
  • MAE:Equity, average, losing trades
    0.08
  • Avg(MAE) / Avg(PL) - All trades
    3.423
  • 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
    0.06
  • Avg(MAE) / Avg(PL) - Winning trades
    0.755
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.299
  • Hold-and-Hope Ratio
    0.295
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.45530
  • SD
    0.36578
  • Sharpe ratio (Glass type estimate)
    1.24474
  • Sharpe ratio (Hedges UMVUE)
    1.16500
  • df
    12.00000
  • t
    1.29556
  • p
    0.32485
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.72568
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.16718
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.77490
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.10490
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.03288
  • Upside Potential Ratio
    4.48926
  • Upside part of mean
    0.67393
  • Downside part of mean
    -0.21863
  • Upside SD
    0.34386
  • Downside SD
    0.15012
  • N nonnegative terms
    7.00000
  • N negative terms
    6.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    13.00000
  • Mean of predictor
    0.16116
  • Mean of criterion
    0.45530
  • SD of predictor
    0.36659
  • SD of criterion
    0.36578
  • Covariance
    -0.07100
  • r
    -0.52949
  • b (slope, estimate of beta)
    -0.52831
  • a (intercept, estimate of alpha)
    0.54044
  • Mean Square Error
    0.10504
  • DF error
    11.00000
  • t(b)
    -2.07010
  • p(b)
    0.96862
  • t(a)
    1.72069
  • p(a)
    0.05664
  • Lowerbound of 95% confidence interval for beta
    -1.09002
  • Upperbound of 95% confidence interval for beta
    0.03340
  • Lowerbound of 95% confidence interval for alpha
    -0.15085
  • Upperbound of 95% confidence interval for alpha
    1.23173
  • Treynor index (mean / b)
    -0.86179
  • Jensen alpha (a)
    0.54044
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.38998
  • SD
    0.34638
  • Sharpe ratio (Glass type estimate)
    1.12588
  • Sharpe ratio (Hedges UMVUE)
    1.05376
  • df
    12.00000
  • t
    1.17186
  • p
    0.33978
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.83112
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.03900
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.87593
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.98345
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.44392
  • Upside Potential Ratio
    3.88734
  • Upside part of mean
    0.62031
  • Downside part of mean
    -0.23033
  • Upside SD
    0.31298
  • Downside SD
    0.15957
  • N nonnegative terms
    7.00000
  • N negative terms
    6.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    13.00000
  • Mean of predictor
    0.09028
  • Mean of criterion
    0.38998
  • SD of predictor
    0.40311
  • SD of criterion
    0.34638
  • Covariance
    -0.07257
  • r
    -0.51974
  • b (slope, estimate of beta)
    -0.44659
  • a (intercept, estimate of alpha)
    0.43030
  • Mean Square Error
    0.09553
  • DF error
    11.00000
  • t(b)
    -2.01772
  • p(b)
    0.96566
  • t(a)
    1.44579
  • p(a)
    0.08806
  • Lowerbound of 95% confidence interval for beta
    -0.93375
  • Upperbound of 95% confidence interval for beta
    0.04056
  • Lowerbound of 95% confidence interval for alpha
    -0.22476
  • Upperbound of 95% confidence interval for alpha
    1.08536
  • Treynor index (mean / b)
    -0.87323
  • Jensen alpha (a)
    0.43030
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.12363
  • Expected Shortfall on VaR
    0.15893
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.03927
  • Expected Shortfall on VaR
    0.08287
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    13.00000
  • Minimum
    0.86735
  • Quartile 1
    0.99563
  • Median
    1.00648
  • Quartile 3
    1.11817
  • Maximum
    1.25448
  • Mean of quarter 1
    0.94470
  • Mean of quarter 2
    1.00160
  • Mean of quarter 3
    1.05585
  • Mean of quarter 4
    1.19079
  • Inter Quartile Range
    0.12254
  • 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)
    0.79480
  • VaR(95%) (moments method)
    0.03474
  • Expected Shortfall (moments method)
    0.20196
  • Extreme Value Index (regression method)
    1.01396
  • VaR(95%) (regression method)
    0.10650
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    3.00000
  • Minimum
    0.00135
  • Quartile 1
    0.00753
  • Median
    0.01370
  • Quartile 3
    0.07318
  • Maximum
    0.13265
  • Mean of quarter 1
    0.00135
  • Mean of quarter 2
    0.01370
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.13265
  • Inter Quartile Range
    0.06565
  • 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)
    0.52852
  • Compounded annual return (geometric extrapolation)
    0.51875
  • Calmar ratio (compounded annual return / max draw down)
    3.91074
  • Compounded annual return / average of 25% largest draw downs
    3.91074
  • Compounded annual return / Expected Shortfall lognormal
    3.26409
  • 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
    0.40899
  • SD
    0.21909
  • Sharpe ratio (Glass type estimate)
    1.86677
  • Sharpe ratio (Hedges UMVUE)
    1.86196
  • df
    291.00000
  • t
    1.97075
  • p
    0.02485
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.00246
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.72794
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.00075
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.72466
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.97991
  • Upside Potential Ratio
    9.55404
  • Upside part of mean
    1.31130
  • Downside part of mean
    -0.90230
  • Upside SD
    0.17216
  • Downside SD
    0.13725
  • N nonnegative terms
    149.00000
  • N negative terms
    143.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    292.00000
  • Mean of predictor
    0.13505
  • Mean of criterion
    0.40899
  • SD of predictor
    0.32709
  • SD of criterion
    0.21909
  • Covariance
    -0.01659
  • r
    -0.23149
  • b (slope, estimate of beta)
    -0.15506
  • a (intercept, estimate of alpha)
    0.43000
  • Mean Square Error
    0.04559
  • DF error
    290.00000
  • t(b)
    -4.05218
  • p(b)
    0.99997
  • t(a)
    2.12514
  • p(a)
    0.01721
  • Lowerbound of 95% confidence interval for beta
    -0.23037
  • Upperbound of 95% confidence interval for beta
    -0.07974
  • Lowerbound of 95% confidence interval for alpha
    0.03175
  • Upperbound of 95% confidence interval for alpha
    0.82811
  • Treynor index (mean / b)
    -2.63772
  • Jensen alpha (a)
    0.42993
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.38487
  • SD
    0.21821
  • Sharpe ratio (Glass type estimate)
    1.76373
  • Sharpe ratio (Hedges UMVUE)
    1.75918
  • df
    291.00000
  • t
    1.86197
  • p
    0.03181
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.09981
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.62434
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.10286
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.62123
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.75889
  • Upside Potential Ratio
    9.29523
  • Upside part of mean
    1.29670
  • Downside part of mean
    -0.91183
  • Upside SD
    0.16899
  • Downside SD
    0.13950
  • N nonnegative terms
    149.00000
  • N negative terms
    143.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    292.00000
  • Mean of predictor
    0.08120
  • Mean of criterion
    0.38487
  • SD of predictor
    0.32955
  • SD of criterion
    0.21821
  • Covariance
    -0.01667
  • r
    -0.23176
  • b (slope, estimate of beta)
    -0.15346
  • a (intercept, estimate of alpha)
    0.39733
  • Mean Square Error
    0.04521
  • DF error
    290.00000
  • t(b)
    -4.05714
  • p(b)
    0.99997
  • t(a)
    1.97243
  • p(a)
    0.02475
  • Lowerbound of 95% confidence interval for beta
    -0.22791
  • Upperbound of 95% confidence interval for beta
    -0.07902
  • Lowerbound of 95% confidence interval for alpha
    0.00086
  • Upperbound of 95% confidence interval for alpha
    0.79381
  • Treynor index (mean / b)
    -2.50793
  • Jensen alpha (a)
    0.39733
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02049
  • Expected Shortfall on VaR
    0.02598
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00770
  • Expected Shortfall on VaR
    0.01630
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    292.00000
  • Minimum
    0.94991
  • Quartile 1
    0.99677
  • Median
    1.00045
  • Quartile 3
    1.00621
  • Maximum
    1.07018
  • Mean of quarter 1
    0.98712
  • Mean of quarter 2
    0.99932
  • Mean of quarter 3
    1.00309
  • Mean of quarter 4
    1.01713
  • Inter Quartile Range
    0.00944
  • Number outliers low
    13.00000
  • Percentage of outliers low
    0.04452
  • Mean of outliers low
    0.96812
  • Number of outliers high
    17.00000
  • Percentage of outliers high
    0.05822
  • Mean of outliers high
    1.03474
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.38759
  • VaR(95%) (moments method)
    0.01136
  • Expected Shortfall (moments method)
    0.02242
  • Extreme Value Index (regression method)
    0.04690
  • VaR(95%) (regression method)
    0.01130
  • Expected Shortfall (regression method)
    0.01673
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    12.00000
  • Minimum
    0.00060
  • Quartile 1
    0.00266
  • Median
    0.01787
  • Quartile 3
    0.03617
  • Maximum
    0.25440
  • Mean of quarter 1
    0.00126
  • Mean of quarter 2
    0.00741
  • Mean of quarter 3
    0.02726
  • Mean of quarter 4
    0.12125
  • Inter Quartile Range
    0.03350
  • 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
    0.08333
  • Mean of outliers high
    0.25440
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.12229
  • VaR(95%) (moments method)
    0.10344
  • Expected Shortfall (moments method)
    0.16659
  • Extreme Value Index (regression method)
    1.81085
  • VaR(95%) (regression method)
    0.25193
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.52413
  • Compounded annual return (geometric extrapolation)
    0.51101
  • Calmar ratio (compounded annual return / max draw down)
    2.00867
  • Compounded annual return / average of 25% largest draw downs
    4.21457
  • Compounded annual return / Expected Shortfall lognormal
    19.66700
  • 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
    0.03320
  • SD
    0.11477
  • Sharpe ratio (Glass type estimate)
    0.28925
  • Sharpe ratio (Hedges UMVUE)
    0.28758
  • df
    130.00000
  • t
    0.20453
  • p
    0.49103
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.48326
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.06080
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.48445
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.05960
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.41221
  • Upside Potential Ratio
    8.11792
  • Upside part of mean
    0.65378
  • Downside part of mean
    -0.62058
  • Upside SD
    0.08118
  • Downside SD
    0.08054
  • N nonnegative terms
    69.00000
  • N negative terms
    62.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.48289
  • Mean of criterion
    0.03320
  • SD of predictor
    0.25607
  • SD of criterion
    0.11477
  • Covariance
    -0.01082
  • r
    -0.36831
  • b (slope, estimate of beta)
    -0.16507
  • a (intercept, estimate of alpha)
    0.11291
  • Mean Square Error
    0.01147
  • DF error
    129.00000
  • t(b)
    -4.49946
  • p(b)
    0.72906
  • t(a)
    0.74031
  • p(a)
    0.45862
  • Lowerbound of 95% confidence interval for beta
    -0.23766
  • Upperbound of 95% confidence interval for beta
    -0.09249
  • Lowerbound of 95% confidence interval for alpha
    -0.18885
  • Upperbound of 95% confidence interval for alpha
    0.41467
  • Treynor index (mean / b)
    -0.20110
  • Jensen alpha (a)
    0.11291
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.02667
  • SD
    0.11466
  • Sharpe ratio (Glass type estimate)
    0.23256
  • Sharpe ratio (Hedges UMVUE)
    0.23121
  • df
    130.00000
  • t
    0.16444
  • p
    0.49279
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.53976
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.00415
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.54074
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.00316
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.32877
  • Upside Potential Ratio
    8.01970
  • Upside part of mean
    0.65045
  • Downside part of mean
    -0.62379
  • Upside SD
    0.08044
  • Downside SD
    0.08111
  • N nonnegative terms
    69.00000
  • N negative terms
    62.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.44990
  • Mean of criterion
    0.02667
  • SD of predictor
    0.25606
  • SD of criterion
    0.11466
  • Covariance
    -0.01080
  • r
    -0.36794
  • b (slope, estimate of beta)
    -0.16476
  • a (intercept, estimate of alpha)
    0.10079
  • Mean Square Error
    0.01146
  • DF error
    129.00000
  • t(b)
    -4.49421
  • p(b)
    0.72884
  • t(a)
    0.66196
  • p(a)
    0.46298
  • VAR (95 Confidence Intrvl)
    0.02000
  • Lowerbound of 95% confidence interval for beta
    -0.23729
  • Upperbound of 95% confidence interval for beta
    -0.09222
  • Lowerbound of 95% confidence interval for alpha
    -0.20046
  • Upperbound of 95% confidence interval for alpha
    0.40204
  • Treynor index (mean / b)
    -0.16185
  • Jensen alpha (a)
    0.10079
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01148
  • Expected Shortfall on VaR
    0.01440
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00526
  • Expected Shortfall on VaR
    0.01050
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.97662
  • Quartile 1
    0.99709
  • Median
    1.00050
  • Quartile 3
    1.00395
  • Maximum
    1.03283
  • Mean of quarter 1
    0.99166
  • Mean of quarter 2
    0.99918
  • Mean of quarter 3
    1.00222
  • Mean of quarter 4
    1.00793
  • Inter Quartile Range
    0.00685
  • Number outliers low
    5.00000
  • Percentage of outliers low
    0.03817
  • Mean of outliers low
    0.98196
  • Number of outliers high
    4.00000
  • Percentage of outliers high
    0.03053
  • Mean of outliers high
    1.02128
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.06395
  • VaR(95%) (moments method)
    0.00738
  • Expected Shortfall (moments method)
    0.01053
  • Extreme Value Index (regression method)
    -0.08160
  • VaR(95%) (regression method)
    0.00895
  • Expected Shortfall (regression method)
    0.01218
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    8.00000
  • Minimum
    0.00060
  • Quartile 1
    0.00266
  • Median
    0.00690
  • Quartile 3
    0.03683
  • Maximum
    0.05870
  • Mean of quarter 1
    0.00131
  • Mean of quarter 2
    0.00392
  • Mean of quarter 3
    0.02163
  • Mean of quarter 4
    0.05136
  • Inter Quartile Range
    0.03416
  • 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
    0.50%
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -258794000
  • Max Equity Drawdown (num days)
    48
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.05532
  • Compounded annual return (geometric extrapolation)
    0.05609
  • Calmar ratio (compounded annual return / max draw down)
    0.95546
  • Compounded annual return / average of 25% largest draw downs
    1.09203
  • Compounded annual return / Expected Shortfall lognormal
    3.89452

Strategy Description

Summary Statistics

Includes fees & commissions
Strategy began
2019-08-01
Suggested Minimum Capital
$30,000
# Trades
57
# Profitable
48
% Profitable
84.2%
Correlation S&P500
-0.198
Sharpe Ratio
1.51
Sortino Ratio
2.34
Beta
-0.13
Alpha
0.11
Leverage
6.98 Average
16.40 Maximum
Summary
Higher leverage = greater risk.

More information about leverage

Quant Algorithms calculates the maximum leverage used by a strategy in each day. We then display the average of these measurements (i.e. the average daily maximum leverage) and the greatest of these measurements (maximum daily leverage).

Leverage is the ratio of total notional value controlled by a strategy divided by its Model Account equity. Generally higher leverage implies greater risk.

Example of calculation:
The Strategy buys 100 shares of stock at $12 per share.
The Model Account equity during that day is $5,000.
The leverage is: $1200 / $5,000 = 0.24

This is a useful measurement, but it should be considered in context. This measurement doesn't take into account important factors, such as when multiple positions are held that are inversely correlated. Nor does the measurement take into account the volatility of the instruments being held.

In addition, certain asset classes are inherently more leveraged than others. For example, futures contracts are highly leveraged. Forex positions are often even more leveraged than futures.

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.

0