Welcome to Collective2

Follow these tips for a better experience

Ok, let's start

Close
Add to Watch List Create new Watch List
Add
Enter a name for your Watch List.
Watch List name must be less than 60 characters.
You have reached the maximum number of custom Watch Lists.
You have reached the maximum number of strategies in this Watch List.
Strategy added to Watch List. Go to Watch List

Sim is unavailable for this strategy, because you've recently "Simmed" it.

You already have a live, full-featured subscription to this strategy.

Okay, no problem

Reach out to us when you are ready. You can schedule your free training session at any time by clicking the button.

Remember, this training is free, low pressure, and (we hope!) fun.

Got it

Later

You can find it here.

Got it

Video Saved for Later

You can watch this video later. Just click this button at the top of the screen whenever you're ready to watch it.

Got it
These are hypothetical performance results that have certain inherent limitations. Learn more

Godzilla
(115201989)

Created by: Thanos Thanos
Started: 12/2017
Stocks
Last trade: 2,173 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 $50.00 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.

1.4%
Annual Return (Compounded)

Rate of Return Calculations

Overview

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

How Annualized (Compounded) Rate of Return is calculated

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

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

All results are hypothetical.

(24.1%)
Max Drawdown
49
Num Trades
61.2%
Win Trades
1.3 : 1
Profit Factor
5.3%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2017                                                                             +17.7%+17.7%
2018+0.8%+1.3%(10%)+1.1%  -    -    -    -    -    -    -    -  (7.1%)
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.

System developer has asked us to delay this information by 168 hours.

Trading Record

Download CSV
Long
Short
Both
Win
Loss
Both
Show More details Show Fewer details
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
3/5/18 13:09 VMIN REX INVERSE VIX WEEKLY FUT STRAT LONG 9,442 2.81 4/16 9:30 2.73 12.79%
Trade id #116866474
Max drawdown($3,411)
Time4/4/18 7:13
Quant open9,442
Worst price2.45
Drawdown as % of equity-12.79%
($773)
Includes Typical Broker Commissions trade costs of $5.42
3/5/18 14:04 YINN DIREXION DAILY FTSE CHINA BULL LONG 100 34.64 3/28 10:41 32.13 1.15%
Trade id #116867484
Max drawdown($324)
Time3/23/18 15:54
Quant open100
Worst price31.40
Drawdown as % of equity-1.15%
($253)
Includes Typical Broker Commissions trade costs of $2.00
3/2/18 10:42 UVXY PROSHARES ULTRA VIX SHORT-TERM SHORT 100 19.58 3/5 13:06 16.47 0.28%
Trade id #116828735
Max drawdown($73)
Time3/2/18 11:22
Quant open-100
Worst price20.31
Drawdown as % of equity-0.28%
$309
Includes Typical Broker Commissions trade costs of $2.00
2/27/18 11:49 VMIN REX INVERSE VIX WEEKLY FUT STRAT LONG 11,600 2.86 3/5 10:47 2.67 20.98%
Trade id #116751355
Max drawdown($5,707)
Time3/2/18 9:46
Quant open11,600
Worst price2.37
Drawdown as % of equity-20.98%
($2,244)
Includes Typical Broker Commissions trade costs of $15.00
2/28/18 11:16 UVXY PROSHARES ULTRA VIX SHORT-TERM SHORT 180 16.41 3/1 13:08 19.06 1.68%
Trade id #116775916
Max drawdown($498)
Time3/1/18 13:07
Quant open-180
Worst price19.18
Drawdown as % of equity-1.68%
($481)
Includes Typical Broker Commissions trade costs of $3.60
2/26/18 13:50 DRN DIREXION DAILY REAL ES BULL 3X LONG 200 16.29 3/1 13:08 15.33 0.84%
Trade id #116729254
Max drawdown($258)
Time3/1/18 9:36
Quant open200
Worst price15.00
Drawdown as % of equity-0.84%
($196)
Includes Typical Broker Commissions trade costs of $4.00
2/28/18 11:38 DGAZ VELOCITYSHARES 3X INV NATURAL SHORT 60 29.00 3/1 13:08 28.26 0.25%
Trade id #116776569
Max drawdown($77)
Time3/1/18 6:50
Quant open-60
Worst price30.29
Drawdown as % of equity-0.25%
$43
Includes Typical Broker Commissions trade costs of $1.20
2/23/18 15:57 ERX DIREXION DAILY ENERGY BULL 2X LONG 720 29.23 2/28 11:21 28.34 2.42%
Trade id #116704896
Max drawdown($755)
Time2/28/18 11:13
Quant open575
Worst price27.92
Drawdown as % of equity-2.42%
($655)
Includes Typical Broker Commissions trade costs of $11.15
2/14/18 15:43 UGAZ LONG 769 53.79 2/28 11:09 55.38 0.21%
Trade id #116515158
Max drawdown($65)
Time2/15/18 5:34
Quant open19
Worst price50.88
Drawdown as % of equity-0.21%
$1,210
Includes Typical Broker Commissions trade costs of $15.38
2/5/18 15:56 UVXY PROSHARES ULTRA VIX SHORT-TERM SHORT 780 21.22 2/20 12:14 19.75 11.23%
Trade id #116313377
Max drawdown($3,402)
Time2/6/18 7:07
Quant open-200
Worst price39.40
Drawdown as % of equity-11.23%
$1,127
Includes Typical Broker Commissions trade costs of $15.60
2/15/18 12:43 DRN DIREXION DAILY REAL ES BULL 3X LONG 370 16.18 2/15 15:50 16.40 n/a $74
Includes Typical Broker Commissions trade costs of $7.40
2/14/18 13:51 DRN DIREXION DAILY REAL ES BULL 3X LONG 400 15.96 2/14 15:09 15.94 0.21%
Trade id #116511230
Max drawdown($62)
Time2/14/18 14:30
Quant open400
Worst price15.80
Drawdown as % of equity-0.21%
($14)
Includes Typical Broker Commissions trade costs of $8.00
1/31/18 15:51 TMV DIREXION DAILY 20+ YR TRSY BEA SHORT 620 20.08 2/14 15:09 21.15 2.2%
Trade id #116208102
Max drawdown($663)
Time2/14/18 15:09
Quant open619
Worst price21.82
Drawdown as % of equity-2.20%
($675)
Includes Typical Broker Commissions trade costs of $12.40
2/7/18 12:41 SDP PROSHARES ULTRASHORT UTILITIES SHORT 120 29.62 2/14 15:09 30.11 0.63%
Trade id #116373056
Max drawdown($165)
Time2/9/18 9:31
Quant open-120
Worst price31.00
Drawdown as % of equity-0.63%
($61)
Includes Typical Broker Commissions trade costs of $2.40
1/31/18 15:55 DRV DIREXION DAILY REAL ES BEAR 3X SHORT 880 13.12 2/14 15:09 14.27 3.87%
Trade id #116208198
Max drawdown($1,050)
Time2/9/18 13:42
Quant open-421
Worst price15.62
Drawdown as % of equity-3.87%
($1,029)
Includes Typical Broker Commissions trade costs of $17.60
2/6/18 12:02 VIXY PROSHARES VIX SHORT-TERM FUTUR SHORT 730 37.97 2/13 15:50 37.77 9.8%
Trade id #116346795
Max drawdown($2,661)
Time2/9/18 13:41
Quant open-300
Worst price46.84
Drawdown as % of equity-9.80%
$127
Includes Typical Broker Commissions trade costs of $14.60
2/5/18 15:20 XIV VELOCITYSHARES DAILY INVERSE V SHORT 290 99.22 2/5 15:43 98.20 2.23%
Trade id #116311294
Max drawdown($658)
Time2/5/18 15:26
Quant open-290
Worst price101.49
Drawdown as % of equity-2.23%
$289
Includes Typical Broker Commissions trade costs of $5.80
1/31/18 15:54 JO IPATHA SERIES B BLOOMBERG COFFEE TOTAL RETURN ETN SHORT 190 15.18 2/5 15:10 14.71 0.01%
Trade id #116208188
Max drawdown($3)
Time1/31/18 15:59
Quant open-190
Worst price15.20
Drawdown as % of equity-0.01%
$85
Includes Typical Broker Commissions trade costs of $3.80
2/1/18 9:30 LABU DIREXION DAILY S&P BIOTECH BULL SHORT 116 100.03 2/5 13:20 91.10 0.73%
Trade id #116219540
Max drawdown($219)
Time2/1/18 13:29
Quant open-58
Worst price104.13
Drawdown as % of equity-0.73%
$1,034
Includes Typical Broker Commissions trade costs of $2.32
1/30/18 14:06 XIV VELOCITYSHARES DAILY INVERSE V LONG 230 124.47 1/31 12:46 126.27 2.57%
Trade id #116183255
Max drawdown($759)
Time1/30/18 14:43
Quant open230
Worst price121.17
Drawdown as % of equity-2.57%
$409
Includes Typical Broker Commissions trade costs of $4.60
12/27/17 15:55 SVXY PROSHARES SHORT VIX SHORT-TERM SHORT 400 130.88 1/30/18 14:04 131.39 0.69%
Trade id #115551176
Max drawdown($205)
Time1/30/18 14:04
Quant open399
Worst price114.69
Drawdown as % of equity-0.69%
($213)
Includes Typical Broker Commissions trade costs of $8.00
12/21/17 11:06 XIV VELOCITYSHARES DAILY INVERSE V LONG 951 134.77 1/30/18 13:50 132.88 7.27%
Trade id #115464493
Max drawdown($2,157)
Time1/30/18 10:10
Quant open123
Worst price119.14
Drawdown as % of equity-7.27%
($1,821)
Includes Typical Broker Commissions trade costs of $19.02
1/29/18 15:55 UVXY PROSHARES ULTRA VIX SHORT-TERM SHORT 362 11.24 1/30 13:50 12.26 2.29%
Trade id #116159770
Max drawdown($678)
Time1/30/18 10:09
Quant open-350
Worst price13.14
Drawdown as % of equity-2.29%
($377)
Includes Typical Broker Commissions trade costs of $7.24
12/21/17 10:51 SDP PROSHARES ULTRASHORT UTILITIES SHORT 468 26.00 1/30/18 13:50 26.93 1.49%
Trade id #115464050
Max drawdown($438)
Time1/30/18 13:50
Quant open467
Worst price27.67
Drawdown as % of equity-1.49%
($447)
Includes Typical Broker Commissions trade costs of $9.36
12/12/17 13:38 JDST DIREXION DAILY JR GOLD BEAR 2X SHORT 140 74.35 1/29/18 15:56 73.11 0.42%
Trade id #115316710
Max drawdown($114)
Time12/12/17 14:32
Quant open-140
Worst price75.17
Drawdown as % of equity-0.42%
$171
Includes Typical Broker Commissions trade costs of $2.80
12/22/17 11:19 NUGT DIREXION DAILY GOLD MINERS BULL 2X SHORT 595 34.11 1/29/18 15:56 32.14 5.49%
Trade id #115485317
Max drawdown($1,628)
Time1/25/18 9:05
Quant open-421
Worst price37.98
Drawdown as % of equity-5.49%
$1,159
Includes Typical Broker Commissions trade costs of $11.90
1/10/18 9:36 DRV DIREXION DAILY REAL ES BEAR 3X SHORT 1,070 11.90 1/29 12:41 12.22 1.11%
Trade id #115798033
Max drawdown($349)
Time1/12/18 8:48
Quant open-570
Worst price12.37
Drawdown as % of equity-1.11%
($359)
Includes Typical Broker Commissions trade costs of $15.70
12/20/17 10:02 TMV DIREXION DAILY 20+ YR TRSY BEA SHORT 1,186 18.45 1/29/18 12:41 18.45 0.65%
Trade id #115442357
Max drawdown($200)
Time1/29/18 11:46
Quant open-171
Worst price19.62
Drawdown as % of equity-0.65%
($33)
Includes Typical Broker Commissions trade costs of $23.72
1/17/18 10:54 LABU DIREXION DAILY S&P BIOTECH BULL SHORT 70 83.58 1/29 12:41 85.48 0.43%
Trade id #115929176
Max drawdown($133)
Time1/29/18 12:41
Quant open69
Worst price113.67
Drawdown as % of equity-0.43%
($134)
Includes Typical Broker Commissions trade costs of $1.40
1/2/18 12:41 JO IPATHA SERIES B BLOOMBERG COFFEE TOTAL RETURN ETN SHORT 385 16.21 1/29 12:41 15.64 0.16%
Trade id #115648303
Max drawdown($49)
Time1/3/18 10:05
Quant open-185
Worst price16.53
Drawdown as % of equity-0.16%
$211
Includes Typical Broker Commissions trade costs of $7.70

Statistics

  • Strategy began
    12/5/2017
  • Suggested Minimum Cap
    $25,000
  • Strategy Age (days)
    2298.83
  • Age
    77 months ago
  • What it trades
    Stocks
  • # Trades
    49
  • # Profitable
    30
  • % Profitable
    61.20%
  • Avg trade duration
    12.4 days
  • Max peak-to-valley drawdown
    24.09%
  • drawdown period
    Feb 21, 2018 - March 02, 2018
  • Annual Return (Compounded)
    1.4%
  • Avg win
    $434.00
  • Avg loss
    $520.79
  • Model Account Values (Raw)
  • Cash
    $28,125
  • Margin Used
    $0
  • Buying Power
    $28,125
  • Ratios
  • W:L ratio
    1.32:1
  • Sharpe Ratio
    0.03
  • Sortino Ratio
    0.03
  • Calmar Ratio
    0.549
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -90.05%
  • Correlation to SP500
    0.09290
  • Return Percent SP500 (cumu) during strategy life
    99.69%
  • Return Statistics
  • Ann Return (w trading costs)
    1.4%
  • Slump
  • Current Slump as Pcnt Equity
    21.90%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.97%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.014%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    1.9%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    56.00%
  • Chance of 20% account loss
    14.00%
  • Chance of 30% account loss
    3.50%
  • 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
    $521
  • Avg Win
    $434
  • Sum Trade PL (losers)
    $9,895.000
  • Age
  • Num Months filled monthly returns table
    76
  • Win / Loss
  • Sum Trade PL (winners)
    $13,020.000
  • # Winners
    30
  • Num Months Winners
    4
  • Dividends
  • Dividends Received in Model Acct
    0
  • Win / Loss
  • # Losers
    19
  • % Winners
    61.2%
  • Frequency
  • Avg Position Time (mins)
    17891.40
  • Avg Position Time (hrs)
    298.19
  • Avg Trade Length
    12.4 days
  • Last Trade Ago
    2170
  • Regression
  • Alpha
    -0.00
  • Beta
    0.05
  • Treynor Index
    0.02
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.02
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    79.01
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    62.97
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    1.12
  • MAE:Equity, average, winning trades
    0.02
  • MAE:Equity, average, losing trades
    0.03
  • Avg(MAE) / Avg(PL) - All trades
    9.983
  • 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
    0.13
  • Avg(MAE) / Avg(PL) - Winning trades
    0.984
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.785
  • Hold-and-Hope Ratio
    0.100
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.12828
  • SD
    0.31125
  • Sharpe ratio (Glass type estimate)
    0.41213
  • Sharpe ratio (Hedges UMVUE)
    0.38781
  • df
    13.00000
  • t
    0.44515
  • p
    0.42219
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.41698
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.22572
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.43288
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.20849
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.80164
  • Upside Potential Ratio
    1.99592
  • Upside part of mean
    0.31938
  • Downside part of mean
    -0.19111
  • Upside SD
    0.25636
  • Downside SD
    0.16002
  • N nonnegative terms
    3.00000
  • N negative terms
    11.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    14.00000
  • Mean of predictor
    0.52178
  • Mean of criterion
    0.12828
  • SD of predictor
    0.38546
  • SD of criterion
    0.31125
  • Covariance
    0.01968
  • r
    0.16401
  • b (slope, estimate of beta)
    0.13243
  • a (intercept, estimate of alpha)
    0.05917
  • Mean Square Error
    0.10213
  • DF error
    12.00000
  • t(b)
    0.57595
  • p(b)
    0.41800
  • t(a)
    0.18534
  • p(a)
    0.47329
  • Lowerbound of 95% confidence interval for beta
    -0.36857
  • Upperbound of 95% confidence interval for beta
    0.63344
  • Lowerbound of 95% confidence interval for alpha
    -0.63645
  • Upperbound of 95% confidence interval for alpha
    0.75480
  • Treynor index (mean / b)
    0.96860
  • Jensen alpha (a)
    0.05917
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.08550
  • SD
    0.29725
  • Sharpe ratio (Glass type estimate)
    0.28763
  • Sharpe ratio (Hedges UMVUE)
    0.27066
  • df
    13.00000
  • t
    0.31068
  • p
    0.44542
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.53569
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.10006
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.54690
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.08821
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.49009
  • Upside Potential Ratio
    1.66522
  • Upside part of mean
    0.29050
  • Downside part of mean
    -0.20501
  • Upside SD
    0.22852
  • Downside SD
    0.17445
  • N nonnegative terms
    3.00000
  • N negative terms
    11.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    14.00000
  • Mean of predictor
    0.44530
  • Mean of criterion
    0.08550
  • SD of predictor
    0.37423
  • SD of criterion
    0.29725
  • Covariance
    0.02201
  • r
    0.19783
  • b (slope, estimate of beta)
    0.15713
  • a (intercept, estimate of alpha)
    0.01553
  • Mean Square Error
    0.09197
  • DF error
    12.00000
  • t(b)
    0.69912
  • p(b)
    0.40109
  • t(a)
    0.05209
  • p(a)
    0.49248
  • Lowerbound of 95% confidence interval for beta
    -0.33258
  • Upperbound of 95% confidence interval for beta
    0.64685
  • Lowerbound of 95% confidence interval for alpha
    -0.63393
  • Upperbound of 95% confidence interval for alpha
    0.66499
  • Treynor index (mean / b)
    0.54410
  • Jensen alpha (a)
    0.01553
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.12542
  • Expected Shortfall on VaR
    0.15580
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.04788
  • Expected Shortfall on VaR
    0.10031
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    14.00000
  • Minimum
    0.83269
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.26888
  • Mean of quarter 1
    0.95066
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.09490
  • Inter Quartile Range
    0.00000
  • Number outliers low
    2.00000
  • Percentage of outliers low
    0.14286
  • Mean of outliers low
    0.90133
  • Number of outliers high
    3.00000
  • Percentage of outliers high
    0.21429
  • Mean of outliers high
    1.12653
  • 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)
    1.19219
  • VaR(95%) (regression method)
    0.13118
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    2.00000
  • Minimum
    0.03004
  • Quartile 1
    0.06436
  • Median
    0.09867
  • Quartile 3
    0.13299
  • Maximum
    0.16731
  • Mean of quarter 1
    0.03004
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.16731
  • Inter Quartile Range
    0.06864
  • 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)
    0.12125
  • Compounded annual return (geometric extrapolation)
    0.12008
  • Calmar ratio (compounded annual return / max draw down)
    0.71774
  • Compounded annual return / average of 25% largest draw downs
    0.71774
  • Compounded annual return / Expected Shortfall lognormal
    0.77074
  • 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
    0.10829
  • SD
    0.22833
  • Sharpe ratio (Glass type estimate)
    0.47426
  • Sharpe ratio (Hedges UMVUE)
    0.47313
  • df
    314.00000
  • t
    0.52003
  • p
    0.30171
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.31396
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.26179
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.31474
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.26100
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.66665
  • Upside Potential Ratio
    4.83125
  • Upside part of mean
    0.78478
  • Downside part of mean
    -0.67649
  • Upside SD
    0.16009
  • Downside SD
    0.16244
  • N nonnegative terms
    52.00000
  • N negative terms
    263.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    315.00000
  • Mean of predictor
    0.65606
  • Mean of criterion
    0.10829
  • SD of predictor
    0.47667
  • SD of criterion
    0.22833
  • Covariance
    0.00957
  • r
    0.08795
  • b (slope, estimate of beta)
    0.04213
  • a (intercept, estimate of alpha)
    0.08100
  • Mean Square Error
    0.05190
  • DF error
    313.00000
  • t(b)
    1.56204
  • p(b)
    0.05964
  • t(a)
    0.38678
  • p(a)
    0.34959
  • Lowerbound of 95% confidence interval for beta
    -0.01094
  • Upperbound of 95% confidence interval for beta
    0.09520
  • Lowerbound of 95% confidence interval for alpha
    -0.32962
  • Upperbound of 95% confidence interval for alpha
    0.49092
  • Treynor index (mean / b)
    2.57043
  • Jensen alpha (a)
    0.08065
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.08214
  • SD
    0.22932
  • Sharpe ratio (Glass type estimate)
    0.35818
  • Sharpe ratio (Hedges UMVUE)
    0.35733
  • df
    314.00000
  • t
    0.39274
  • p
    0.34739
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.42978
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.14564
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.43038
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.14503
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.49193
  • Upside Potential Ratio
    4.62504
  • Upside part of mean
    0.77224
  • Downside part of mean
    -0.69010
  • Upside SD
    0.15674
  • Downside SD
    0.16697
  • N nonnegative terms
    52.00000
  • N negative terms
    263.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    315.00000
  • Mean of predictor
    0.53364
  • Mean of criterion
    0.08214
  • SD of predictor
    0.50432
  • SD of criterion
    0.22932
  • Covariance
    0.00987
  • r
    0.08536
  • b (slope, estimate of beta)
    0.03881
  • a (intercept, estimate of alpha)
    0.06142
  • Mean Square Error
    0.05237
  • DF error
    313.00000
  • t(b)
    1.51569
  • p(b)
    0.06530
  • t(a)
    0.29368
  • p(a)
    0.38460
  • Lowerbound of 95% confidence interval for beta
    -0.01157
  • Upperbound of 95% confidence interval for beta
    0.08920
  • Lowerbound of 95% confidence interval for alpha
    -0.35010
  • Upperbound of 95% confidence interval for alpha
    0.47295
  • Treynor index (mean / b)
    2.11620
  • Jensen alpha (a)
    0.06142
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02273
  • Expected Shortfall on VaR
    0.02848
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00803
  • Expected Shortfall on VaR
    0.01758
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    315.00000
  • Minimum
    0.92142
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.07068
  • Mean of quarter 1
    0.99006
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.01201
  • Inter Quartile Range
    0.00000
  • Number outliers low
    41.00000
  • Percentage of outliers low
    0.13016
  • Mean of outliers low
    0.98085
  • Number of outliers high
    52.00000
  • Percentage of outliers high
    0.16508
  • Mean of outliers high
    1.01825
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.11582
  • VaR(95%) (moments method)
    0.00270
  • Expected Shortfall (moments method)
    0.00532
  • Extreme Value Index (regression method)
    -0.01682
  • VaR(95%) (regression method)
    0.01080
  • Expected Shortfall (regression method)
    0.02164
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    6.00000
  • Minimum
    0.00023
  • Quartile 1
    0.00141
  • Median
    0.00617
  • Quartile 3
    0.10863
  • Maximum
    0.21174
  • Mean of quarter 1
    0.00049
  • Mean of quarter 2
    0.00337
  • Mean of quarter 3
    0.00898
  • Mean of quarter 4
    0.17680
  • Inter Quartile Range
    0.10722
  • 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)
    0.11766
  • Compounded annual return (geometric extrapolation)
    0.11633
  • Calmar ratio (compounded annual return / max draw down)
    0.54938
  • Compounded annual return / average of 25% largest draw downs
    0.65797
  • Compounded annual return / Expected Shortfall lognormal
    4.08422
  • 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
    0.88367
  • Mean of criterion
    -0.02791
  • SD of predictor
    0.42983
  • 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
    0.79016
  • Mean of criterion
    -0.02791
  • SD of predictor
    0.43156
  • 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)
    -6822770000000000.00000
  • p(a)
    1.00000
  • VAR (95 Confidence Intrvl)
    0.02300
  • 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)
    -175792000000000001302304951107584.00000
  • 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?
    -380073000
  • Max Equity Drawdown (num days)
    9
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.00000
  • Compounded annual return (geometric extrapolation)
    0.00000
  • Calmar ratio (compounded annual return / max draw down)
    0.00000
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    0.00000

Strategy Description

Summary Statistics

Strategy began
2017-12-05
Suggested Minimum Capital
$15,000
# Trades
49
# Profitable
30
% Profitable
61.2%
Correlation S&P500
0.093
Sharpe Ratio
0.03
Sortino Ratio
0.03
Beta
0.05
Alpha
-0.00

Latest Activity

#PERSONNAME#
subscribed on started simulation #SUBSCRIBEDDATE#

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

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

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

About the results you see on this Web site

Past results are not necessarily indicative of future results.

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

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

Material assumptions and methods used when calculating results

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

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

Trading is risky

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

Okay, gotcha.

Not available

This feature isn't available under your current Trade Leader Plan.

Want to see available plans and features?

Please hold...

Strategy is now visible

This strategy is now visible to the public. New subscribers will be able to follow it.

If you designate your strategy as Private, it will no longer be visible to the public.

No subscribers and simulations will be allowed. If you have subscribers, the strategy will still be visible to them.
If you have simulations, they will be stopped.

Continue to designate your strategy as Private?

Strategy is no longer visible

This strategy is no longer visible to anyone except current subscribers.

(Current subscribers will remain subscribed. You can see who is subscribed, and control their subscriptions, on your Subscriber Management screen.)

Finally, please note that you can restore public visibility at any time.

This strategy is no longer visible to the public. No subscribers will be allowed.

You can restore public visibility at any time.

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.