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Swing Trader ES TY
(110145229)

Started: 03/2017
Futures
Last trade: 8 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.

82.1%
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.

(51.5%)
Max Drawdown
349
Num Trades
69.1%
Win Trades
1.3 : 1
Profit Factor
62.5%
Win Months
Hypothetical Monthly Returns (includes system fee and Interactive Brokers commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2017              +12.9%+64.1%+33.4%+1.8%+6.0%+22.5%(2.2%)+20.0%+4.4%+3.1%+312.7%
2018+30.7%(17.5%)(1.2%)(22.3%)+8.2%(7.1%)+6.5%+35.9%(4.2%)(16.4%)(10.1%)+6.9%(7.2%)
2019+2.8%(3.8%)+33.1%+16.3%(15.9%)+24.4%(1.3%)+10.5%+1.6%(5.4%)+13.8%+4.9%+100.4%
2020+3.1%(18.5%)+13.2%(2.6%)+0.3%(1.5%)                                    (8.6%)

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 724 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
5/5/20 9:07 @TYM0 US T-NOTE 10 YR LONG 1 138 48/64 5/28 15:33 139 1/64 0.47%
Trade id #128871133
Max drawdown($484)
Time5/6/20 0:00
Quant open1
Worst price138 17/64
Drawdown as % of equity-0.47%
$260
Includes Typical Broker Commissions trade costs of $6.00
4/17/20 12:01 @TYM0 US T-NOTE 10 YR LONG 1 139 18/64 5/5 9:00 138 50/64 0.72%
Trade id #128626425
Max drawdown($749)
Time4/28/20 0:00
Quant open1
Worst price138 34/64
Drawdown as % of equity-0.72%
($506)
Includes Typical Broker Commissions trade costs of $6.00
4/20/20 16:01 @ESM0 E-MINI S&P 500 SHORT 1 2815.71 4/20 16:01 2815.88 0.25%
Trade id #128659372
Max drawdown($257)
Time4/20/20 16:01
Quant open1
Worst price2822.89
Drawdown as % of equity-0.25%
($13)
Includes Typical Broker Commissions trade costs of $4.02
4/9/20 13:20 @TYM0 US T-NOTE 10 YR LONG 1 138 15/64 4/15 8:29 138 50/64 0.38%
Trade id #128500660
Max drawdown($390)
Time4/14/20 0:00
Quant open1
Worst price137 54/64
Drawdown as % of equity-0.38%
$541
Includes Typical Broker Commissions trade costs of $6.00
4/8/20 15:56 @ESM0 E-MINI S&P 500 LONG 1 2740.57 4/9 8:18 2704.96 1.88%
Trade id #128481697
Max drawdown($1,978)
Time4/9/20 0:00
Quant open1
Worst price2701.00
Drawdown as % of equity-1.88%
($1,785)
Includes Typical Broker Commissions trade costs of $4.02
4/3/20 14:29 @TYM0 US T-NOTE 10 YR LONG 1 139 17/64 4/8 10:24 137 57/64 1.66%
Trade id #128409806
Max drawdown($1,766)
Time4/7/20 0:00
Quant open1
Worst price137 32/64
Drawdown as % of equity-1.66%
($1,381)
Includes Typical Broker Commissions trade costs of $6.00
3/16/20 12:00 @TYM0 US T-NOTE 10 YR LONG 1 137 43/64 3/17 9:32 137 14/64 2.4%
Trade id #128067023
Max drawdown($2,578)
Time3/17/20 0:00
Quant open1
Worst price135 6/64
Drawdown as % of equity-2.40%
($459)
Includes Typical Broker Commissions trade costs of $6.00
3/11/20 12:07 @TYM0 US T-NOTE 10 YR LONG 4 137 47/64 3/12 8:01 138 45/64 3.88%
Trade id #127976581
Max drawdown($3,936)
Time3/11/20 18:37
Quant open4
Worst price136 48/64
Drawdown as % of equity-3.88%
$3,852
Includes Typical Broker Commissions trade costs of $24.00
3/9/20 10:08 @TYM0 US T-NOTE 10 YR LONG 4 139 34/64 3/10 15:02 137 36/64 9.31%
Trade id #127919427
Max drawdown($9,856)
Time3/10/20 0:00
Quant open4
Worst price137 4/64
Drawdown as % of equity-9.31%
($7,882)
Includes Typical Broker Commissions trade costs of $24.00
3/6/20 16:59 @TYM0 US T-NOTE 10 YR LONG 4 137 33/64 3/9 8:19 139 60/64 n/a $9,662
Includes Typical Broker Commissions trade costs of $24.00
3/3/20 16:00 @TYM0 US T-NOTE 10 YR LONG 4 135 59/64 3/6 8:02 137 53/64 2.24%
Trade id #127834864
Max drawdown($2,114)
Time3/5/20 0:00
Quant open4
Worst price135 25/64
Drawdown as % of equity-2.24%
$7,611
Includes Typical Broker Commissions trade costs of $24.00
2/27/20 8:21 @TYM0 US T-NOTE 10 YR LONG 4 133 35/64 2/28 8:05 134 6/64 2.05%
Trade id #127738861
Max drawdown($1,875)
Time2/27/20 12:53
Quant open4
Worst price133 5/64
Drawdown as % of equity-2.05%
$2,164
Includes Typical Broker Commissions trade costs of $24.00
2/26/20 16:00 @TYH0 US T-NOTE 10 YR LONG 4 133 3/64 2/27 8:19 133 41/64 0.28%
Trade id #127728986
Max drawdown($250)
Time2/26/20 16:03
Quant open4
Worst price132 63/64
Drawdown as % of equity-0.28%
$2,352
Includes Typical Broker Commissions trade costs of $24.00
2/24/20 15:55 @ESH0 E-MINI S&P 500 LONG 4 3229.67 2/25 10:26 3207.46 22.82%
Trade id #127685642
Max drawdown($22,484)
Time2/25/20 0:00
Quant open4
Worst price3117.25
Drawdown as % of equity-22.82%
($4,458)
Includes Typical Broker Commissions trade costs of $16.08
2/21/20 15:54 @ESH0 E-MINI S&P 500 LONG 4 3338.92 2/24 9:30 3232.30 22.91%
Trade id #127643940
Max drawdown($21,734)
Time2/24/20 9:30
Quant open4
Worst price3230.25
Drawdown as % of equity-22.91%
($21,341)
Includes Typical Broker Commissions trade costs of $16.08
2/11/20 14:00 @TYH0 US T-NOTE 10 YR LONG 4 131 1/64 2/24 9:22 132 47/64 1.42%
Trade id #127462162
Max drawdown($1,624)
Time2/12/20 0:00
Quant open4
Worst price130 39/64
Drawdown as % of equity-1.42%
$6,857
Includes Typical Broker Commissions trade costs of $24.00
2/20/20 15:55 @ESH0 E-MINI S&P 500 LONG 4 3373.25 2/21 9:35 3351.93 8.02%
Trade id #127626645
Max drawdown($9,050)
Time2/21/20 0:00
Quant open4
Worst price3328.00
Drawdown as % of equity-8.02%
($4,280)
Includes Typical Broker Commissions trade costs of $16.08
2/19/20 15:54 @ESH0 E-MINI S&P 500 LONG 4 3387.77 2/20 11:26 3367.88 8.32%
Trade id #127606961
Max drawdown($9,703)
Time2/20/20 0:00
Quant open4
Worst price3339.25
Drawdown as % of equity-8.32%
($3,993)
Includes Typical Broker Commissions trade costs of $16.08
2/18/20 15:55 @ESH0 E-MINI S&P 500 LONG 4 3369.32 2/19 9:30 3381.50 0.32%
Trade id #127582578
Max drawdown($364)
Time2/18/20 15:58
Quant open4
Worst price3367.50
Drawdown as % of equity-0.32%
$2,419
Includes Typical Broker Commissions trade costs of $16.08
2/18/20 9:31 @ESH0 E-MINI S&P 500 LONG 4 3372.00 2/18 9:35 3372.71 0.74%
Trade id #127571785
Max drawdown($850)
Time2/18/20 9:32
Quant open4
Worst price3367.75
Drawdown as % of equity-0.74%
$126
Includes Typical Broker Commissions trade costs of $16.08
2/14/20 15:54 @ESH0 E-MINI S&P 500 LONG 4 3378.03 2/14 16:55 3382.00 0.09%
Trade id #127522166
Max drawdown($106)
Time2/14/20 15:56
Quant open4
Worst price3377.50
Drawdown as % of equity-0.09%
$778
Includes Typical Broker Commissions trade costs of $16.08
2/13/20 15:55 @ESH0 E-MINI S&P 500 LONG 4 3375.62 2/14 9:35 3378.54 1.81%
Trade id #127501868
Max drawdown($2,073)
Time2/14/20 0:00
Quant open4
Worst price3365.25
Drawdown as % of equity-1.81%
$568
Includes Typical Broker Commissions trade costs of $16.08
2/12/20 15:54 @ESH0 E-MINI S&P 500 LONG 4 3380.25 2/13 9:30 3359.51 5.54%
Trade id #127482816
Max drawdown($6,350)
Time2/13/20 0:00
Quant open4
Worst price3348.50
Drawdown as % of equity-5.54%
($4,164)
Includes Typical Broker Commissions trade costs of $16.08
2/11/20 15:54 @ESH0 E-MINI S&P 500 LONG 4 3360.00 2/12 9:31 3373.18 1%
Trade id #127464431
Max drawdown($1,150)
Time2/11/20 15:59
Quant open4
Worst price3354.25
Drawdown as % of equity-1.00%
$2,620
Includes Typical Broker Commissions trade costs of $16.08
1/28/20 12:01 @TYH0 US T-NOTE 10 YR LONG 4 130 34/64 2/10 12:36 131 23/64 1.12%
Trade id #127252679
Max drawdown($1,249)
Time2/6/20 0:00
Quant open4
Worst price130 14/64
Drawdown as % of equity-1.12%
$3,288
Includes Typical Broker Commissions trade costs of $24.00
1/24/20 15:55 @ESH0 E-MINI S&P 500 LONG 4 3295.55 1/27 9:30 3233.56 10.43%
Trade id #127214854
Max drawdown($11,959)
Time1/27/20 6:01
Quant open4
Worst price3235.75
Drawdown as % of equity-10.43%
($12,414)
Includes Typical Broker Commissions trade costs of $16.08
11/27/19 8:08 @TYH0 US T-NOTE 10 YR LONG 4 129 45/64 1/27/20 8:04 130 52/64 6.85%
Trade id #126382874
Max drawdown($7,187)
Time12/13/19 0:00
Quant open4
Worst price127 58/64
Drawdown as % of equity-6.85%
$4,412
Includes Typical Broker Commissions trade costs of $24.00
1/23/20 15:55 @ESH0 E-MINI S&P 500 LONG 4 3325.75 1/24 9:31 3330.75 7.55%
Trade id #127192520
Max drawdown($9,050)
Time1/24/20 0:00
Quant open4
Worst price3280.50
Drawdown as % of equity-7.55%
$983
Includes Typical Broker Commissions trade costs of $16.08
1/22/20 15:55 @ESH0 E-MINI S&P 500 LONG 4 3324.00 1/23 9:34 3307.05 3.77%
Trade id #127161995
Max drawdown($4,550)
Time1/23/20 0:00
Quant open4
Worst price3301.25
Drawdown as % of equity-3.77%
($3,405)
Includes Typical Broker Commissions trade costs of $16.08
1/17/20 15:54 @ESH0 E-MINI S&P 500 LONG 4 3328.00 1/22 9:33 3330.75 3.55%
Trade id #127083935
Max drawdown($4,150)
Time1/21/20 0:00
Quant open4
Worst price3307.25
Drawdown as % of equity-3.55%
$534
Includes Typical Broker Commissions trade costs of $16.08

Statistics

  • Strategy began
    3/9/2017
  • Suggested Minimum Cap
    $100,000
  • Strategy Age (days)
    1183.62
  • Age
    39 months ago
  • What it trades
    Futures
  • # Trades
    349
  • # Profitable
    241
  • % Profitable
    69.10%
  • Avg trade duration
    4.6 days
  • Max peak-to-valley drawdown
    51.55%
  • drawdown period
    Jan 28, 2018 - May 02, 2018
  • Annual Return (Compounded)
    80.9%
  • Avg win
    $2,069
  • Avg loss
    $3,690
  • Model Account Values (Raw)
  • Cash
    $116,380
  • Margin Used
    $1,150
  • Buying Power
    $113,901
  • Ratios
  • W:L ratio
    1.25:1
  • Sharpe Ratio
    1.28
  • Sortino Ratio
    1.94
  • Calmar Ratio
    1.986
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    555.53%
  • Correlation to SP500
    0.08470
  • Return Percent SP500 (cumu) during strategy life
    31.61%
  • Return Statistics
  • Ann Return (w trading costs)
    80.9%
  • Slump
  • Current Slump as Pcnt Equity
    0.18%
  • Instruments
  • Percent Trades Futures
    1.00%
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.11%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.809%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    n/a
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    87.4%
  • 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
    6.67%
  • 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
    188.00%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 90% account loss (Monte Carlo)
    n/a
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    616
  • Popularity (Last 6 weeks)
    881
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • Popularity (7 days, Percentile 1000 scale)
    756
  • 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
    $3,691
  • Avg Win
    $2,069
  • Sum Trade PL (losers)
    $398,590.000
  • AUM
  • AUM (AutoTrader num accounts)
    17
  • Age
  • Num Months filled monthly returns table
    40
  • Win / Loss
  • Sum Trade PL (winners)
    $498,657.000
  • # Winners
    241
  • Num Months Winners
    25
  • Dividends
  • Dividends Received in Model Acct
    0
  • AUM
  • AUM (AutoTrader live capital)
    1469350
  • Win / Loss
  • # Losers
    108
  • % Winners
    69.0%
  • Frequency
  • Avg Position Time (mins)
    6565.50
  • Avg Position Time (hrs)
    109.42
  • Avg Trade Length
    4.6 days
  • Last Trade Ago
    8
  • Regression
  • Alpha
    0.18
  • Beta
    0.17
  • Treynor Index
    1.06
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.04
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    20.73
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    23.98
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    0.18
  • MAE:Equity, average, winning trades
    0.02
  • MAE:Equity, average, losing trades
    0.07
  • Avg(MAE) / Avg(PL) - All trades
    11.069
  • 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
    0.02
  • Avg(MAE) / Avg(PL) - Winning trades
    0.659
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.304
  • Hold-and-Hope Ratio
    0.092
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.81243
  • SD
    0.61628
  • Sharpe ratio (Glass type estimate)
    1.31828
  • Sharpe ratio (Hedges UMVUE)
    1.29059
  • df
    36.00000
  • t
    2.31483
  • p
    0.01322
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.15310
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.46649
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.13528
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.44590
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.46526
  • Upside Potential Ratio
    5.07697
  • Upside part of mean
    1.19029
  • Downside part of mean
    -0.37786
  • Upside SD
    0.60792
  • Downside SD
    0.23445
  • N nonnegative terms
    24.00000
  • N negative terms
    13.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    37.00000
  • Mean of predictor
    0.08012
  • Mean of criterion
    0.81243
  • SD of predictor
    0.19097
  • SD of criterion
    0.61628
  • Covariance
    0.01579
  • r
    0.13415
  • b (slope, estimate of beta)
    0.43291
  • a (intercept, estimate of alpha)
    0.77774
  • Mean Square Error
    0.38362
  • DF error
    35.00000
  • t(b)
    0.80086
  • p(b)
    0.21431
  • t(a)
    2.18849
  • p(a)
    0.01770
  • Lowerbound of 95% confidence interval for beta
    -0.66448
  • Upperbound of 95% confidence interval for beta
    1.53030
  • Lowerbound of 95% confidence interval for alpha
    0.05629
  • Upperbound of 95% confidence interval for alpha
    1.49919
  • Treynor index (mean / b)
    1.87666
  • Jensen alpha (a)
    0.77774
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.63458
  • SD
    0.54646
  • Sharpe ratio (Glass type estimate)
    1.16125
  • Sharpe ratio (Hedges UMVUE)
    1.13686
  • df
    36.00000
  • t
    2.03909
  • p
    0.02442
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.00590
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.30141
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.00980
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.28352
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.47821
  • Upside Potential Ratio
    4.07096
  • Upside part of mean
    1.04242
  • Downside part of mean
    -0.40784
  • Upside SD
    0.50846
  • Downside SD
    0.25606
  • N nonnegative terms
    24.00000
  • N negative terms
    13.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    37.00000
  • Mean of predictor
    0.06117
  • Mean of criterion
    0.63458
  • SD of predictor
    0.19823
  • SD of criterion
    0.54646
  • Covariance
    0.01514
  • r
    0.13978
  • b (slope, estimate of beta)
    0.38533
  • a (intercept, estimate of alpha)
    0.61101
  • Mean Square Error
    0.30115
  • DF error
    35.00000
  • t(b)
    0.83514
  • p(b)
    0.20465
  • t(a)
    1.94716
  • p(a)
    0.02979
  • Lowerbound of 95% confidence interval for beta
    -0.55135
  • Upperbound of 95% confidence interval for beta
    1.32201
  • Lowerbound of 95% confidence interval for alpha
    -0.02603
  • Upperbound of 95% confidence interval for alpha
    1.24804
  • Treynor index (mean / b)
    1.64684
  • Jensen alpha (a)
    0.61101
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.18665
  • Expected Shortfall on VaR
    0.23726
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.05692
  • Expected Shortfall on VaR
    0.12068
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    37.00000
  • Minimum
    0.78770
  • Quartile 1
    0.97568
  • Median
    1.04149
  • Quartile 3
    1.14864
  • Maximum
    1.58383
  • Mean of quarter 1
    0.88911
  • Mean of quarter 2
    1.01361
  • Mean of quarter 3
    1.09108
  • Mean of quarter 4
    1.30644
  • Inter Quartile Range
    0.17295
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.05405
  • Mean of outliers high
    1.56993
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.39793
  • VaR(95%) (moments method)
    0.08103
  • Expected Shortfall (moments method)
    0.09944
  • Extreme Value Index (regression method)
    -0.69432
  • VaR(95%) (regression method)
    0.08290
  • Expected Shortfall (regression method)
    0.09397
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    5.00000
  • Minimum
    0.05122
  • Quartile 1
    0.13091
  • Median
    0.14954
  • Quartile 3
    0.18083
  • Maximum
    0.35189
  • Mean of quarter 1
    0.09106
  • Mean of quarter 2
    0.14954
  • Mean of quarter 3
    0.18083
  • Mean of quarter 4
    0.35189
  • Inter Quartile Range
    0.04992
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.20000
  • Mean of outliers low
    0.05122
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.20000
  • Mean of outliers high
    0.35189
  • 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)
    2.17656
  • Compounded annual return (geometric extrapolation)
    0.93960
  • Calmar ratio (compounded annual return / max draw down)
    2.67014
  • Compounded annual return / average of 25% largest draw downs
    2.67014
  • Compounded annual return / Expected Shortfall lognormal
    3.96020
  • 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
    0.72480
  • SD
    0.42930
  • Sharpe ratio (Glass type estimate)
    1.68832
  • Sharpe ratio (Hedges UMVUE)
    1.68676
  • df
    808.00000
  • t
    2.96674
  • p
    0.00155
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.56940
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.80623
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.56835
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.80517
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.59800
  • Upside Potential Ratio
    9.74200
  • Upside part of mean
    2.71785
  • Downside part of mean
    -1.99305
  • Upside SD
    0.32901
  • Downside SD
    0.27898
  • N nonnegative terms
    463.00000
  • N negative terms
    346.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    809.00000
  • Mean of predictor
    0.08521
  • Mean of criterion
    0.72480
  • SD of predictor
    0.21918
  • SD of criterion
    0.42930
  • Covariance
    0.00779
  • r
    0.08283
  • b (slope, estimate of beta)
    0.16225
  • a (intercept, estimate of alpha)
    0.71100
  • Mean Square Error
    0.18326
  • DF error
    807.00000
  • t(b)
    2.36124
  • p(b)
    0.00923
  • t(a)
    2.91754
  • p(a)
    0.00181
  • Lowerbound of 95% confidence interval for beta
    0.02737
  • Upperbound of 95% confidence interval for beta
    0.29712
  • Lowerbound of 95% confidence interval for alpha
    0.23263
  • Upperbound of 95% confidence interval for alpha
    1.18932
  • Treynor index (mean / b)
    4.46729
  • Jensen alpha (a)
    0.71098
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.63246
  • SD
    0.42734
  • Sharpe ratio (Glass type estimate)
    1.48000
  • Sharpe ratio (Hedges UMVUE)
    1.47862
  • df
    808.00000
  • t
    2.60066
  • p
    0.00474
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.36185
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.59728
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.36091
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.59633
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.20523
  • Upside Potential Ratio
    9.29457
  • Upside part of mean
    2.66567
  • Downside part of mean
    -2.03321
  • Upside SD
    0.31885
  • Downside SD
    0.28680
  • N nonnegative terms
    463.00000
  • N negative terms
    346.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    809.00000
  • Mean of predictor
    0.06104
  • Mean of criterion
    0.63246
  • SD of predictor
    0.22033
  • SD of criterion
    0.42734
  • Covariance
    0.00790
  • r
    0.08394
  • b (slope, estimate of beta)
    0.16281
  • a (intercept, estimate of alpha)
    0.62252
  • Mean Square Error
    0.18155
  • DF error
    807.00000
  • t(b)
    2.39301
  • p(b)
    0.00847
  • t(a)
    2.56690
  • p(a)
    0.00522
  • Lowerbound of 95% confidence interval for beta
    0.02926
  • Upperbound of 95% confidence interval for beta
    0.29635
  • Lowerbound of 95% confidence interval for alpha
    0.14648
  • Upperbound of 95% confidence interval for alpha
    1.09856
  • Treynor index (mean / b)
    3.88471
  • Jensen alpha (a)
    0.62252
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.04018
  • Expected Shortfall on VaR
    0.05067
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01565
  • Expected Shortfall on VaR
    0.03281
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    809.00000
  • Minimum
    0.88969
  • Quartile 1
    0.99240
  • Median
    1.00202
  • Quartile 3
    1.01428
  • Maximum
    1.14293
  • Mean of quarter 1
    0.97173
  • Mean of quarter 2
    0.99842
  • Mean of quarter 3
    1.00797
  • Mean of quarter 4
    1.03352
  • Inter Quartile Range
    0.02188
  • Number outliers low
    49.00000
  • Percentage of outliers low
    0.06057
  • Mean of outliers low
    0.94362
  • Number of outliers high
    37.00000
  • Percentage of outliers high
    0.04574
  • Mean of outliers high
    1.06925
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.20108
  • VaR(95%) (moments method)
    0.02350
  • Expected Shortfall (moments method)
    0.03798
  • Extreme Value Index (regression method)
    -0.17772
  • VaR(95%) (regression method)
    0.02520
  • Expected Shortfall (regression method)
    0.03321
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    35.00000
  • Minimum
    0.00000
  • Quartile 1
    0.01488
  • Median
    0.03212
  • Quartile 3
    0.08885
  • Maximum
    0.47112
  • Mean of quarter 1
    0.00707
  • Mean of quarter 2
    0.02332
  • Mean of quarter 3
    0.05564
  • Mean of quarter 4
    0.19578
  • Inter Quartile Range
    0.07398
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    4.00000
  • Percentage of outliers high
    0.11429
  • Mean of outliers high
    0.29255
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.22279
  • VaR(95%) (moments method)
    0.20973
  • Expected Shortfall (moments method)
    0.32228
  • Extreme Value Index (regression method)
    0.10705
  • VaR(95%) (regression method)
    0.19167
  • Expected Shortfall (regression method)
    0.26342
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    2.16446
  • Compounded annual return (geometric extrapolation)
    0.93550
  • Calmar ratio (compounded annual return / max draw down)
    1.98568
  • Compounded annual return / average of 25% largest draw downs
    4.77829
  • Compounded annual return / Expected Shortfall lognormal
    18.46360
  • 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
    0.06591
  • SD
    0.28207
  • Sharpe ratio (Glass type estimate)
    0.23365
  • Sharpe ratio (Hedges UMVUE)
    0.23230
  • df
    130.00000
  • t
    0.16522
  • p
    0.49276
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.53866
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.00524
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.53965
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.00425
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.30403
  • Upside Potential Ratio
    5.57985
  • Upside part of mean
    1.20954
  • Downside part of mean
    -1.14363
  • Upside SD
    0.17884
  • Downside SD
    0.21677
  • N nonnegative terms
    67.00000
  • N negative terms
    64.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.08340
  • Mean of criterion
    0.06591
  • SD of predictor
    0.44457
  • SD of criterion
    0.28207
  • Covariance
    -0.01195
  • r
    -0.09533
  • b (slope, estimate of beta)
    -0.06049
  • a (intercept, estimate of alpha)
    0.07095
  • Mean Square Error
    0.07945
  • DF error
    129.00000
  • t(b)
    -1.08771
  • p(b)
    0.56060
  • t(a)
    0.17797
  • p(a)
    0.49003
  • Lowerbound of 95% confidence interval for beta
    -0.17051
  • Upperbound of 95% confidence interval for beta
    0.04954
  • Lowerbound of 95% confidence interval for alpha
    -0.71779
  • Upperbound of 95% confidence interval for alpha
    0.85969
  • Treynor index (mean / b)
    -1.08960
  • Jensen alpha (a)
    0.07095
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.02562
  • SD
    0.28644
  • Sharpe ratio (Glass type estimate)
    0.08946
  • Sharpe ratio (Hedges UMVUE)
    0.08894
  • df
    130.00000
  • t
    0.06325
  • p
    0.49723
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.68249
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.86116
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.68289
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.86077
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.11365
  • Upside Potential Ratio
    5.29523
  • Upside part of mean
    1.19389
  • Downside part of mean
    -1.16826
  • Upside SD
    0.17490
  • Downside SD
    0.22546
  • N nonnegative terms
    67.00000
  • N negative terms
    64.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.01556
  • Mean of criterion
    0.02562
  • SD of predictor
    0.44781
  • SD of criterion
    0.28644
  • Covariance
    -0.01151
  • r
    -0.08977
  • b (slope, estimate of beta)
    -0.05742
  • a (intercept, estimate of alpha)
    0.02473
  • Mean Square Error
    0.08202
  • DF error
    129.00000
  • t(b)
    -1.02371
  • p(b)
    0.55707
  • t(a)
    0.06106
  • p(a)
    0.49658
  • VAR (95 Confidence Intrvl)
    0.04000
  • Lowerbound of 95% confidence interval for beta
    -0.16840
  • Upperbound of 95% confidence interval for beta
    0.05356
  • Lowerbound of 95% confidence interval for alpha
    -0.77660
  • Upperbound of 95% confidence interval for alpha
    0.82606
  • Treynor index (mean / b)
    -0.44624
  • Jensen alpha (a)
    0.02473
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02859
  • Expected Shortfall on VaR
    0.03573
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00959
  • Expected Shortfall on VaR
    0.02150
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.88969
  • Quartile 1
    0.99762
  • Median
    1.00023
  • Quartile 3
    1.00592
  • Maximum
    1.07691
  • Mean of quarter 1
    0.98344
  • Mean of quarter 2
    0.99945
  • Mean of quarter 3
    1.00185
  • Mean of quarter 4
    1.01674
  • Inter Quartile Range
    0.00830
  • Number outliers low
    12.00000
  • Percentage of outliers low
    0.09160
  • Mean of outliers low
    0.96573
  • Number of outliers high
    9.00000
  • Percentage of outliers high
    0.06870
  • Mean of outliers high
    1.03451
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.80692
  • VaR(95%) (moments method)
    0.01471
  • Expected Shortfall (moments method)
    0.08367
  • Extreme Value Index (regression method)
    0.84057
  • VaR(95%) (regression method)
    0.01421
  • Expected Shortfall (regression method)
    0.09534
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    8.00000
  • Minimum
    0.00000
  • Quartile 1
    0.00339
  • Median
    0.00717
  • Quartile 3
    0.03127
  • Maximum
    0.22876
  • Mean of quarter 1
    0.00082
  • Mean of quarter 2
    0.00509
  • Mean of quarter 3
    0.01946
  • Mean of quarter 4
    0.13073
  • Inter Quartile Range
    0.02788
  • 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
    0.12500
  • Mean of outliers high
    0.22876
  • 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?
    -264686000
  • Max Equity Drawdown (num days)
    94
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.05425
  • Compounded annual return (geometric extrapolation)
    0.05499
  • Calmar ratio (compounded annual return / max draw down)
    0.24038
  • Compounded annual return / average of 25% largest draw downs
    0.42062
  • Compounded annual return / Expected Shortfall lognormal
    1.53906

Strategy Description

Consult developer for pricing details.

Summary Statistics

Includes fees & commissions
Strategy began
2017-03-09
Suggested Minimum Capital
$100,000
# Trades
349
# Profitable
241
% Profitable
69.1%
Correlation S&P500
0.085
Sharpe Ratio
1.28
Sortino Ratio
1.94
Beta
0.17
Alpha
0.18

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

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

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

About the results you see on this Web site

Past results are not necessarily indicative of future results.

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

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

Material assumptions and methods used when calculating results

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

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

Trading is risky

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

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Suggested Minimum Capital

This is our estimate of the minimum amount of capital to follow a strategy, assuming you use the smallest reasonable AutoTrade Scaling % for the strategy.

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