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.

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

CkNN Algo
(100166454)

Created by: MachineLearningTradr MachineLearningTradr
Started: 01/2016
Stocks
Last trade: 3 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 $150.00 per month.

89.0%
Annual Return (Compounded)

Rate of Return Calculations

Overview

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

How Annualized (Compounded) Rate of Return is calculated

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

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

All results are hypothetical.

31.2%
Max Drawdown
255
Num Trades
55.7%
Win Trades
1.3 : 1
Profit Factor
58.1%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2016(2.1%)+37.4%+15.9%+72.2%+24.5%+13.3%+6.9%+18.9%(6.2%)+2.0%(4.4%)+6.2%+367.8%
2017+2.2%+25.3%(3.8%)(3.1%)(3.2%)+20.6%(13.2%)+1.7%(1%)+15.5%(3.1%)+2.3%+39.6%
2018(14.5%)+0.7%+1.1%+1.1%(6.5%)(4.1%)(5.7%)                              (25.6%)

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.

System developer has asked us to delay this information by 31 hours.

Trading Record

This strategy has placed 477 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
7/12/18 9:43 NUGT DIREXION DAILY GOLD MINERS BUL LONG 2,500 24.00 7/13 11:17 23.58 1.59%
Trade id #118892664
Max drawdown($2,189)
Time7/13/18 8:02
Quant open2,500
Worst price23.12
Drawdown as % of equity-1.59%
($1,044)
Includes Typical Broker Commissions trade costs of $5.00
7/10/18 10:26 DUST DIREXION DAILY GOLD MINERS BEA LONG 2,500 23.61 7/12 9:42 24.40 0.94%
Trade id #118842599
Max drawdown($1,277)
Time7/10/18 16:10
Quant open2,500
Worst price23.10
Drawdown as % of equity-0.94%
$1,970
Includes Typical Broker Commissions trade costs of $5.00
7/9/18 9:32 NUGT DIREXION DAILY GOLD MINERS BUL LONG 2,400 26.57 7/10 10:26 25.11 3.61%
Trade id #118822068
Max drawdown($4,930)
Time7/10/18 8:01
Quant open2,400
Worst price24.52
Drawdown as % of equity-3.61%
($3,531)
Includes Typical Broker Commissions trade costs of $5.00
7/6/18 9:30 DUST DIREXION DAILY GOLD MINERS BEA LONG 2,700 23.05 7/9 9:30 22.40 1.61%
Trade id #118800704
Max drawdown($2,278)
Time7/9/18 7:03
Quant open2,700
Worst price22.21
Drawdown as % of equity-1.61%
($1,765)
Includes Typical Broker Commissions trade costs of $5.00
6/29/18 15:58 DUST DIREXION DAILY GOLD MINERS BEA LONG 2,500 24.30 7/5 9:48 22.94 2.44%
Trade id #118719597
Max drawdown($3,475)
Time7/5/18 4:01
Quant open2,500
Worst price22.91
Drawdown as % of equity-2.44%
($3,407)
Includes Typical Broker Commissions trade costs of $5.00
6/28/18 14:55 NUGT DIREXION DAILY GOLD MINERS BUL LONG 2,600 23.15 6/29 15:57 24.30 0.16%
Trade id #118701240
Max drawdown($233)
Time6/28/18 15:59
Quant open2,600
Worst price23.06
Drawdown as % of equity-0.16%
$2,988
Includes Typical Broker Commissions trade costs of $5.00
6/28/18 10:43 NUGT DIREXION DAILY GOLD MINERS BUL LONG 2,700 23.23 6/28 10:48 23.15 0.19%
Trade id #118695846
Max drawdown($263)
Time6/28/18 10:48
Quant open2,700
Worst price23.13
Drawdown as % of equity-0.19%
($218)
Includes Typical Broker Commissions trade costs of $5.00
6/27/18 15:58 DUST DIREXION DAILY GOLD MINERS BEA LONG 2,400 25.84 6/28 10:42 25.53 0.53%
Trade id #118684273
Max drawdown($747)
Time6/28/18 10:40
Quant open2,400
Worst price25.53
Drawdown as % of equity-0.53%
($749)
Includes Typical Broker Commissions trade costs of $5.00
6/27/18 9:32 NUGT DIREXION DAILY GOLD MINERS BUL LONG 2,600 23.15 6/27 15:57 23.01 0.34%
Trade id #118669172
Max drawdown($483)
Time6/27/18 15:12
Quant open2,600
Worst price22.96
Drawdown as % of equity-0.34%
($354)
Includes Typical Broker Commissions trade costs of $5.00
6/26/18 9:30 DUST DIREXION DAILY GOLD MINERS BEA LONG 2,400 25.71 6/27 9:30 25.76 0.91%
Trade id #118649621
Max drawdown($1,290)
Time6/26/18 12:35
Quant open2,400
Worst price25.17
Drawdown as % of equity-0.91%
$124
Includes Typical Broker Commissions trade costs of $5.00
6/25/18 9:32 NUGT DIREXION DAILY GOLD MINERS BUL LONG 2,500 24.18 6/25 12:10 23.63 0.97%
Trade id #118621446
Max drawdown($1,383)
Time6/25/18 12:10
Quant open0
Worst price23.63
Drawdown as % of equity-0.97%
($1,388)
Includes Typical Broker Commissions trade costs of $5.00
6/21/18 9:48 DUST DIREXION DAILY GOLD MINERS BEA LONG 2,500 25.65 6/25 9:30 24.86 2.16%
Trade id #118560785
Max drawdown($3,097)
Time6/22/18 19:44
Quant open2,500
Worst price24.41
Drawdown as % of equity-2.16%
($1,967)
Includes Typical Broker Commissions trade costs of $5.00
6/18/18 10:58 NUGT DIREXION DAILY GOLD MINERS BUL LONG 2,600 24.60 6/21 9:47 23.42 2.3%
Trade id #118483177
Max drawdown($3,369)
Time6/21/18 8:13
Quant open2,600
Worst price23.30
Drawdown as % of equity-2.30%
($3,072)
Includes Typical Broker Commissions trade costs of $5.00
6/8/18 11:37 DUST DIREXION DAILY GOLD MINERS BEA LONG 2,700 24.28 6/18 10:57 24.42 2.34%
Trade id #118336399
Max drawdown($3,449)
Time6/14/18 8:27
Quant open2,700
Worst price23.00
Drawdown as % of equity-2.34%
$387
Includes Typical Broker Commissions trade costs of $5.00
6/4/18 11:13 NUGT DIREXION DAILY GOLD MINERS BUL LONG 2,600 24.95 6/7 9:50 25.28 0.58%
Trade id #118251396
Max drawdown($859)
Time6/5/18 7:32
Quant open2,600
Worst price24.62
Drawdown as % of equity-0.58%
$854
Includes Typical Broker Commissions trade costs of $5.00
6/1/18 9:33 DUST DIREXION DAILY GOLD MINERS BEA LONG 2,600 24.68 6/4 11:12 24.22 1.64%
Trade id #118209748
Max drawdown($2,421)
Time6/4/18 8:22
Quant open2,600
Worst price23.75
Drawdown as % of equity-1.64%
($1,212)
Includes Typical Broker Commissions trade costs of $5.00
5/24/18 12:47 NUGT DIREXION DAILY GOLD MINERS BUL LONG 2,600 25.92 6/1 9:30 24.99 2.63%
Trade id #118097243
Max drawdown($3,924)
Time5/29/18 9:36
Quant open2,600
Worst price24.41
Drawdown as % of equity-2.63%
($2,409)
Includes Typical Broker Commissions trade costs of $5.00
5/15/18 9:33 DUST DIREXION DAILY GOLD MINERS BEA LONG 2,800 24.56 5/23 9:47 24.89 1.27%
Trade id #117937059
Max drawdown($1,895)
Time5/22/18 9:36
Quant open2,800
Worst price23.88
Drawdown as % of equity-1.27%
$932
Includes Typical Broker Commissions trade costs of $5.00
5/10/18 14:13 NUGT DIREXION DAILY GOLD MINERS BUL LONG 2,600 27.04 5/15 9:30 25.10 3.26%
Trade id #117881099
Max drawdown($5,038)
Time5/15/18 9:30
Quant open0
Worst price25.10
Drawdown as % of equity-3.26%
($5,043)
Includes Typical Broker Commissions trade costs of $5.00
5/2/18 11:28 DUST DIREXION DAILY GOLD MINERS BEA LONG 2,800 24.10 5/10 14:12 22.51 3.32%
Trade id #117756840
Max drawdown($5,149)
Time5/10/18 12:24
Quant open2,800
Worst price22.26
Drawdown as % of equity-3.32%
($4,463)
Includes Typical Broker Commissions trade costs of $5.00
4/24/18 10:53 NUGT DIREXION DAILY GOLD MINERS BUL LONG 2,800 26.23 5/2 11:27 25.63 3.3%
Trade id #117638905
Max drawdown($5,233)
Time5/1/18 9:35
Quant open2,800
Worst price24.36
Drawdown as % of equity-3.30%
($1,672)
Includes Typical Broker Commissions trade costs of $5.00
4/19/18 9:30 DUST DIREXION DAILY GOLD MINERS BEA LONG 3,100 22.17 4/24 9:59 23.16 0.67%
Trade id #117576992
Max drawdown($1,054)
Time4/19/18 9:59
Quant open3,100
Worst price21.83
Drawdown as % of equity-0.67%
$3,079
Includes Typical Broker Commissions trade costs of $5.00
4/13/18 11:47 NUGT DIREXION DAILY GOLD MINERS BUL LONG 2,600 27.64 4/18 13:34 27.95 2.41%
Trade id #117504937
Max drawdown($3,750)
Time4/17/18 8:59
Quant open2,600
Worst price26.20
Drawdown as % of equity-2.41%
$788
Includes Typical Broker Commissions trade costs of $5.00
4/6/18 9:58 NUGT DIREXION DAILY GOLD MINERS BUL LONG 2,700 24.84 4/11 13:15 26.90 1.84%
Trade id #117402720
Max drawdown($2,766)
Time4/9/18 10:13
Quant open2,700
Worst price23.82
Drawdown as % of equity-1.84%
$5,541
Includes Typical Broker Commissions trade costs of $5.00
4/3/18 10:53 DUST DIREXION DAILY GOLD MINERS BEA LONG 2,800 26.11 4/6 9:57 25.36 2.29%
Trade id #117347080
Max drawdown($3,516)
Time4/4/18 8:57
Quant open2,800
Worst price24.85
Drawdown as % of equity-2.29%
($2,100)
Includes Typical Broker Commissions trade costs of $5.00
3/28/18 14:50 DUST DIREXION DAILY GOLD MINERS BEA LONG 2,600 27.10 4/2 10:15 24.71 4.01%
Trade id #117285298
Max drawdown($6,222)
Time4/2/18 10:15
Quant open0
Worst price24.71
Drawdown as % of equity-4.01%
($6,227)
Includes Typical Broker Commissions trade costs of $5.00
3/28/18 11:53 DUST DIREXION DAILY GOLD MINERS BEA LONG 2,800 27.13 3/28 12:08 27.07 0.29%
Trade id #117280171
Max drawdown($460)
Time3/28/18 11:59
Quant open2,800
Worst price26.96
Drawdown as % of equity-0.29%
($179)
Includes Typical Broker Commissions trade costs of $5.00
3/20/18 13:03 NUGT DIREXION DAILY GOLD MINERS BUL LONG 2,800 22.37 3/28 9:30 24.00 0.53%
Trade id #117140421
Max drawdown($826)
Time3/20/18 15:14
Quant open2,800
Worst price22.07
Drawdown as % of equity-0.53%
$4,575
Includes Typical Broker Commissions trade costs of $5.00
3/13/18 10:23 DUST DIREXION DAILY GOLD MINERS BEA LONG 2,400 27.58 3/20 13:02 28.73 1.25%
Trade id #117015575
Max drawdown($1,913)
Time3/13/18 11:33
Quant open2,400
Worst price26.78
Drawdown as % of equity-1.25%
$2,771
Includes Typical Broker Commissions trade costs of $5.00
3/12/18 9:58 NUGT DIREXION DAILY GOLD MINERS BUL LONG 1,700 22.78 3/13 10:19 23.19 0.24%
Trade id #116991026
Max drawdown($360)
Time3/12/18 10:05
Quant open1,700
Worst price22.57
Drawdown as % of equity-0.24%
$687
Includes Typical Broker Commissions trade costs of $5.00

Statistics

  • Strategy began
    1/24/2016
  • Suggested Minimum Cap
    $15,000
  • Strategy Age (days)
    903.46
  • Age
    30 months ago
  • What it trades
    Stocks
  • # Trades
    255
  • # Profitable
    142
  • % Profitable
    55.70%
  • Avg trade duration
    2.9 days
  • Max peak-to-valley drawdown
    31.25%
  • drawdown period
    Nov 24, 2017 - July 10, 2018
  • Annual Return (Compounded)
    89.0%
  • Avg win
    $3,472
  • Avg loss
    $3,368
  • Model Account Values (Raw)
  • Cash
    $91,698
  • Margin Used
    $0
  • Buying Power
    $92,445
  • Ratios
  • W:L ratio
    1.30:1
  • Sharpe Ratio
    1.82
  • Sortino Ratio
    3.394
  • Calmar Ratio
    3.573
  • CORRELATION STATISTICS
  • Correlation to SP500
    -0.05700
  • Return Statistics
  • Ann Return (w trading costs)
    89.0%
  • Ann Return (Compnd, No Fees)
    98.7%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    48.50%
  • Chance of 20% account loss
    29.50%
  • Chance of 30% account loss
    7.00%
  • Chance of 40% account loss
    3.50%
  • Chance of 50% account loss
    0.50%
  • Popularity
  • Popularity (Today)
    882
  • Popularity (Last 6 weeks)
    958
  • C2 Score
    84.5
  • Trades-Own-System Certification
  • Trades Own System?
    0
  • TOS percent
    n/a
  • Subscription Price
  • Billing Period (days)
    30
  • Trial Days
    0
  • Win / Loss
  • Avg Loss
    $3,368
  • Avg Win
    $3,469
  • # Winners
    142
  • # Losers
    113
  • % Winners
    55.7%
  • Frequency
  • Avg Position Time (mins)
    4152.98
  • Avg Position Time (hrs)
    69.22
  • Avg Trade Length
    2.9 days
  • Last Trade Ago
    3
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.86313
  • SD
    0.54049
  • Sharpe ratio (Glass type estimate)
    1.59694
  • Sharpe ratio (Hedges UMVUE)
    1.55371
  • df
    28.00000
  • t
    2.48254
  • p
    0.00965
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.25636
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.91189
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.22889
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.87854
  • Statistics related to Sortino ratio
  • Sortino ratio
    6.05481
  • Upside Potential Ratio
    7.57769
  • Upside part of mean
    1.08022
  • Downside part of mean
    -0.21709
  • Upside SD
    0.56905
  • Downside SD
    0.14255
  • N nonnegative terms
    19.00000
  • N negative terms
    10.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    29.00000
  • Mean of predictor
    0.15940
  • Mean of criterion
    0.86313
  • SD of predictor
    0.09019
  • SD of criterion
    0.54049
  • Covariance
    -0.00439
  • r
    -0.09005
  • b (slope, estimate of beta)
    -0.53963
  • a (intercept, estimate of alpha)
    0.94915
  • Mean Square Error
    0.30049
  • DF error
    27.00000
  • t(b)
    -0.46981
  • p(b)
    0.67887
  • t(a)
    2.38886
  • p(a)
    0.01208
  • Lowerbound of 95% confidence interval for beta
    -2.89640
  • Upperbound of 95% confidence interval for beta
    1.81714
  • Lowerbound of 95% confidence interval for alpha
    0.13391
  • Upperbound of 95% confidence interval for alpha
    1.76439
  • Treynor index (mean / b)
    -1.59948
  • Jensen alpha (a)
    0.94915
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.72236
  • SD
    0.46887
  • Sharpe ratio (Glass type estimate)
    1.54063
  • Sharpe ratio (Hedges UMVUE)
    1.49892
  • df
    28.00000
  • t
    2.39500
  • p
    0.01178
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.20497
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.85142
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.17844
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.81941
  • Statistics related to Sortino ratio
  • Sortino ratio
    4.75111
  • Upside Potential Ratio
    6.25176
  • Upside part of mean
    0.95052
  • Downside part of mean
    -0.22816
  • Upside SD
    0.48232
  • Downside SD
    0.15204
  • N nonnegative terms
    19.00000
  • N negative terms
    10.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    29.00000
  • Mean of predictor
    0.15450
  • Mean of criterion
    0.72236
  • SD of predictor
    0.08954
  • SD of criterion
    0.46887
  • Covariance
    -0.00456
  • r
    -0.10851
  • b (slope, estimate of beta)
    -0.56821
  • a (intercept, estimate of alpha)
    0.81015
  • Mean Square Error
    0.22530
  • DF error
    27.00000
  • t(b)
    -0.56717
  • p(b)
    0.71236
  • t(a)
    2.36660
  • p(a)
    0.01269
  • Lowerbound of 95% confidence interval for beta
    -2.62382
  • Upperbound of 95% confidence interval for beta
    1.48740
  • Lowerbound of 95% confidence interval for alpha
    0.10776
  • Upperbound of 95% confidence interval for alpha
    1.51254
  • Treynor index (mean / b)
    -1.27129
  • Jensen alpha (a)
    0.81015
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.14993
  • Expected Shortfall on VaR
    0.19568
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.03196
  • Expected Shortfall on VaR
    0.06966
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    29.00000
  • Minimum
    0.84772
  • Quartile 1
    0.98070
  • Median
    1.02752
  • Quartile 3
    1.13472
  • Maximum
    1.53571
  • Mean of quarter 1
    0.93650
  • Mean of quarter 2
    1.00885
  • Mean of quarter 3
    1.06613
  • Mean of quarter 4
    1.29557
  • Inter Quartile Range
    0.15401
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    3.00000
  • Percentage of outliers high
    0.10345
  • Mean of outliers high
    1.43955
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.28584
  • VaR(95%) (moments method)
    0.06033
  • Expected Shortfall (moments method)
    0.10565
  • Extreme Value Index (regression method)
    0.22982
  • VaR(95%) (regression method)
    0.07782
  • Expected Shortfall (regression method)
    0.13251
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    5.00000
  • Minimum
    0.00612
  • Quartile 1
    0.05006
  • Median
    0.05663
  • Quartile 3
    0.12242
  • Maximum
    0.18406
  • Mean of quarter 1
    0.02809
  • Mean of quarter 2
    0.05663
  • Mean of quarter 3
    0.12242
  • Mean of quarter 4
    0.18406
  • Inter Quartile Range
    0.07236
  • 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)
    1.95721
  • Compounded annual return (geometric extrapolation)
    1.05929
  • Calmar ratio (compounded annual return / max draw down)
    5.75500
  • Compounded annual return / average of 25% largest draw downs
    5.75500
  • Compounded annual return / Expected Shortfall lognormal
    5.41327
  • 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
    0.77677
  • SD
    0.42635
  • Sharpe ratio (Glass type estimate)
    1.82189
  • Sharpe ratio (Hedges UMVUE)
    1.81976
  • df
    642.00000
  • t
    2.85415
  • p
    0.00223
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.56613
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.07626
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.56470
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.07482
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.39428
  • Upside Potential Ratio
    10.98930
  • Upside part of mean
    2.51486
  • Downside part of mean
    -1.73809
  • Upside SD
    0.36253
  • Downside SD
    0.22885
  • N nonnegative terms
    333.00000
  • N negative terms
    310.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    643.00000
  • Mean of predictor
    0.16922
  • Mean of criterion
    0.77677
  • SD of predictor
    0.11505
  • SD of criterion
    0.42635
  • Covariance
    -0.00330
  • r
    -0.06735
  • b (slope, estimate of beta)
    -0.24957
  • a (intercept, estimate of alpha)
    0.81900
  • Mean Square Error
    0.18124
  • DF error
    641.00000
  • t(b)
    -1.70896
  • p(b)
    0.95603
  • t(a)
    3.00144
  • p(a)
    0.00140
  • Lowerbound of 95% confidence interval for beta
    -0.53634
  • Upperbound of 95% confidence interval for beta
    0.03720
  • Lowerbound of 95% confidence interval for alpha
    0.28318
  • Upperbound of 95% confidence interval for alpha
    1.35483
  • Treynor index (mean / b)
    -3.11243
  • Jensen alpha (a)
    0.81900
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.68745
  • SD
    0.41803
  • Sharpe ratio (Glass type estimate)
    1.64448
  • Sharpe ratio (Hedges UMVUE)
    1.64256
  • df
    642.00000
  • t
    2.57622
  • p
    0.00511
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.38955
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.89817
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.38823
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.89688
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.92284
  • Upside Potential Ratio
    10.42820
  • Upside part of mean
    2.45270
  • Downside part of mean
    -1.76525
  • Upside SD
    0.34780
  • Downside SD
    0.23520
  • N nonnegative terms
    333.00000
  • N negative terms
    310.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    643.00000
  • Mean of predictor
    0.16255
  • Mean of criterion
    0.68745
  • SD of predictor
    0.11526
  • SD of criterion
    0.41803
  • Covariance
    -0.00319
  • r
    -0.06613
  • b (slope, estimate of beta)
    -0.23986
  • a (intercept, estimate of alpha)
    0.72644
  • Mean Square Error
    0.17426
  • DF error
    641.00000
  • t(b)
    -1.67803
  • p(b)
    0.95308
  • t(a)
    2.71587
  • p(a)
    0.00339
  • Lowerbound of 95% confidence interval for beta
    -0.52054
  • Upperbound of 95% confidence interval for beta
    0.04083
  • Lowerbound of 95% confidence interval for alpha
    0.20120
  • Upperbound of 95% confidence interval for alpha
    1.25168
  • Treynor index (mean / b)
    -2.86608
  • Jensen alpha (a)
    0.72644
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.03907
  • Expected Shortfall on VaR
    0.04934
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01488
  • Expected Shortfall on VaR
    0.02984
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    643.00000
  • Minimum
    0.87959
  • Quartile 1
    0.99145
  • Median
    1.00000
  • Quartile 3
    1.01088
  • Maximum
    1.17898
  • Mean of quarter 1
    0.97742
  • Mean of quarter 2
    0.99608
  • Mean of quarter 3
    1.00424
  • Mean of quarter 4
    1.03412
  • Inter Quartile Range
    0.01942
  • Number outliers low
    18.00000
  • Percentage of outliers low
    0.02799
  • Mean of outliers low
    0.94199
  • Number of outliers high
    39.00000
  • Percentage of outliers high
    0.06065
  • Mean of outliers high
    1.07399
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.23665
  • VaR(95%) (moments method)
    0.02195
  • Expected Shortfall (moments method)
    0.03509
  • Extreme Value Index (regression method)
    0.25262
  • VaR(95%) (regression method)
    0.02051
  • Expected Shortfall (regression method)
    0.03262
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    31.00000
  • Minimum
    0.00094
  • Quartile 1
    0.01843
  • Median
    0.03669
  • Quartile 3
    0.10637
  • Maximum
    0.27673
  • Mean of quarter 1
    0.00715
  • Mean of quarter 2
    0.02950
  • Mean of quarter 3
    0.08072
  • Mean of quarter 4
    0.16246
  • Inter Quartile Range
    0.08794
  • 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
    0.03226
  • Mean of outliers high
    0.27673
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.13364
  • VaR(95%) (moments method)
    0.18066
  • Expected Shortfall (moments method)
    0.23301
  • Extreme Value Index (regression method)
    0.84852
  • VaR(95%) (regression method)
    0.17082
  • Expected Shortfall (regression method)
    0.56258
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    1.79447
  • Compounded annual return (geometric extrapolation)
    0.98864
  • Calmar ratio (compounded annual return / max draw down)
    3.57257
  • Compounded annual return / average of 25% largest draw downs
    6.08544
  • Compounded annual return / Expected Shortfall lognormal
    20.03580
  • 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
    -0.48451
  • SD
    0.21191
  • Sharpe ratio (Glass type estimate)
    -2.28641
  • Sharpe ratio (Hedges UMVUE)
    -2.27320
  • df
    130.00000
  • t
    -1.61674
  • p
    0.57020
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -5.06775
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.50354
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -5.05874
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.51235
  • Statistics related to Sortino ratio
  • Sortino ratio
    -2.80329
  • Upside Potential Ratio
    5.92021
  • Upside part of mean
    1.02322
  • Downside part of mean
    -1.50772
  • Upside SD
    0.12484
  • Downside SD
    0.17283
  • N nonnegative terms
    56.00000
  • N negative terms
    75.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.02141
  • Mean of criterion
    -0.48451
  • SD of predictor
    0.16442
  • SD of criterion
    0.21191
  • Covariance
    0.00277
  • r
    0.07959
  • b (slope, estimate of beta)
    0.10257
  • a (intercept, estimate of alpha)
    -0.48670
  • Mean Square Error
    0.04497
  • DF error
    129.00000
  • t(b)
    0.90681
  • p(b)
    0.44939
  • t(a)
    -1.62290
  • p(a)
    0.58975
  • Lowerbound of 95% confidence interval for beta
    -0.12122
  • Upperbound of 95% confidence interval for beta
    0.32637
  • Lowerbound of 95% confidence interval for alpha
    -1.08005
  • Upperbound of 95% confidence interval for alpha
    0.10665
  • Treynor index (mean / b)
    -4.72359
  • Jensen alpha (a)
    -0.48670
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.50745
  • SD
    0.21328
  • Sharpe ratio (Glass type estimate)
    -2.37931
  • Sharpe ratio (Hedges UMVUE)
    -2.36555
  • df
    130.00000
  • t
    -1.68242
  • p
    0.57299
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -5.16167
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.41204
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -5.15223
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.42113
  • Statistics related to Sortino ratio
  • Sortino ratio
    -2.88920
  • Upside Potential Ratio
    5.78194
  • Upside part of mean
    1.01553
  • Downside part of mean
    -1.52298
  • Upside SD
    0.12359
  • Downside SD
    0.17564
  • N nonnegative terms
    56.00000
  • N negative terms
    75.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.00790
  • Mean of criterion
    -0.50745
  • SD of predictor
    0.16525
  • SD of criterion
    0.21328
  • Covariance
    0.00285
  • r
    0.08092
  • b (slope, estimate of beta)
    0.10443
  • a (intercept, estimate of alpha)
    -0.50828
  • Mean Square Error
    0.04554
  • DF error
    129.00000
  • t(b)
    0.92207
  • p(b)
    0.44854
  • t(a)
    -1.68418
  • p(a)
    0.59304
  • Lowerbound of 95% confidence interval for beta
    -0.11965
  • Upperbound of 95% confidence interval for beta
    0.32852
  • Lowerbound of 95% confidence interval for alpha
    -1.10539
  • Upperbound of 95% confidence interval for alpha
    0.08883
  • Treynor index (mean / b)
    -4.85908
  • Jensen alpha (a)
    -0.50828
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02333
  • Expected Shortfall on VaR
    0.02868
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01448
  • Expected Shortfall on VaR
    0.02630
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.94533
  • Quartile 1
    0.99150
  • Median
    0.99810
  • Quartile 3
    1.00528
  • Maximum
    1.03316
  • Mean of quarter 1
    0.98245
  • Mean of quarter 2
    0.99497
  • Mean of quarter 3
    1.00191
  • Mean of quarter 4
    1.01339
  • Inter Quartile Range
    0.01377
  • Number outliers low
    4.00000
  • Percentage of outliers low
    0.03053
  • Mean of outliers low
    0.95729
  • Number of outliers high
    3.00000
  • Percentage of outliers high
    0.02290
  • Mean of outliers high
    1.03068
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.23544
  • VaR(95%) (moments method)
    0.01858
  • Expected Shortfall (moments method)
    0.02850
  • Extreme Value Index (regression method)
    0.45219
  • VaR(95%) (regression method)
    0.01723
  • Expected Shortfall (regression method)
    0.03111
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    1.00000
  • Minimum
    0.23444
  • Quartile 1
    0.23444
  • Median
    0.23444
  • Quartile 3
    0.23444
  • Maximum
    0.23444
  • Mean of quarter 1
    0.00000
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.00000
  • Inter Quartile Range
    0.00000
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.44819
  • Compounded annual return (geometric extrapolation)
    -0.39797
  • Calmar ratio (compounded annual return / max draw down)
    -1.69755
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    -13.87420

Strategy Description

This description was updated 01-24-2017

The CkNN Algo system cleverly finds 'hidden' price action patterns that correlate to _some_ time in the past data that's loaded into the algo. It then simply makes a forecast based upon what happened in that past time period.

I've been at this, on and off, for many years (since mid-90's). But finally after two years of non-stop effort, I've created, from scratch, an extremely potent, machine learning trading algorithm.

CkNN Algo gets smarter with time. The more historical data for any instrument it is initially fed, the better it performs. Each trading day, price action data is added to its database.

CkNN Algo uses various allocations. About 75% when the algo has been performing well; about 50% if the algo is in a draw down period between about 10% and 20%; and 25% if the draw down is greater than about 20%

CkNN Algo is trading NUGT/DUST because their increased volatility may potentially translate into increased profits. Even so, it can also be trained to generate signals for most any instrument.

CkNN Algo was last improved (as of the time of this writing) on 01-24-17. Recent improvements include: utilizing intraday data, utilizing time more so than direction/magnitude, trading only the OPEN/CLOSE rather than just the CLOSE or anytime intraday.

The equity curve shows the difference the improvements (Since 01-09-17) made to the algo. Next I'll work on coding backtesting functionality.

Early subscribers are rewarded by being grandfathered into their initial price if the subscription price should ever increase for other than C2 increasing their costs to the system.

Summary Statistics

Strategy began
2016-01-24
Suggested Minimum Capital
$15,000
# Trades
255
# Profitable
142
% Profitable
55.7%
Net Dividends
Correlation S&P500
-0.057
Sharpe Ratio
1.820

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?

Strategy is now visible

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

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.