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CkNN Algo
(100166454)

Created by: MachineLearningTradr MachineLearningTradr
Started: 01/2016
Stocks
Last trade: 4 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.

79.9%
Annual Return (Compounded)

Rate of Return Calculations

Overview

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

How Annualized (Compounded) Rate of Return is calculated

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

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

All results are hypothetical.

(34.5%)
Max Drawdown
282
Num Trades
56.0%
Win Trades
1.3 : 1
Profit Factor
58.8%
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%)(1.5%)+3.9%(8.7%)+4.8%            (22.8%)

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 531 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
10/15/18 10:42 DUST DIREXION DAILY GOLD MINERS BEA LONG 2,000 28.53 10/19 11:57 29.58 0.14%
Trade id #120352272
Max drawdown($200)
Time10/15/18 10:51
Quant open2,000
Worst price28.43
Drawdown as % of equity-0.14%
$2,090
Includes Typical Broker Commissions trade costs of $5.00
10/12/18 10:37 NUGT DIREXION DAILY GOLD MINERS BUL LONG 3,900 14.65 10/12 11:02 14.33 0.88%
Trade id #120322818
Max drawdown($1,252)
Time10/12/18 11:02
Quant open0
Worst price14.33
Drawdown as % of equity-0.88%
($1,257)
Includes Typical Broker Commissions trade costs of $5.00
10/8/18 15:58 DUST DIREXION DAILY GOLD MINERS BEA LONG 1,500 37.95 10/10 12:56 38.82 0.21%
Trade id #120240812
Max drawdown($296)
Time10/8/18 16:01
Quant open1,500
Worst price37.75
Drawdown as % of equity-0.21%
$1,308
Includes Typical Broker Commissions trade costs of $5.00
9/26/18 15:58 NUGT DIREXION DAILY GOLD MINERS BUL LONG 4,200 12.80 10/3 9:44 13.99 2.01%
Trade id #120053171
Max drawdown($2,728)
Time9/27/18 9:38
Quant open4,200
Worst price12.15
Drawdown as % of equity-2.01%
$5,003
Includes Typical Broker Commissions trade costs of $5.00
9/20/18 9:53 DUST DIREXION DAILY GOLD MINERS BEA LONG 1,500 37.26 9/25 15:57 37.80 1.63%
Trade id #119946197
Max drawdown($2,206)
Time9/24/18 9:41
Quant open1,500
Worst price35.79
Drawdown as % of equity-1.63%
$808
Includes Typical Broker Commissions trade costs of $5.00
9/18/18 9:32 NUGT DIREXION DAILY GOLD MINERS BUL LONG 4,400 12.87 9/20 9:52 13.75 1.71%
Trade id #119906100
Max drawdown($2,235)
Time9/18/18 10:09
Quant open4,400
Worst price12.36
Drawdown as % of equity-1.71%
$3,883
Includes Typical Broker Commissions trade costs of $5.00
9/14/18 10:33 DUST DIREXION DAILY GOLD MINERS BEA LONG 1,300 43.03 9/18 9:30 40.60 2.98%
Trade id #119861985
Max drawdown($3,908)
Time9/18/18 7:53
Quant open1,300
Worst price40.02
Drawdown as % of equity-2.98%
($3,165)
Includes Typical Broker Commissions trade costs of $5.00
9/13/18 11:52 NUGT DIREXION DAILY GOLD MINERS BUL LONG 4,600 12.14 9/14 10:32 11.94 1.05%
Trade id #119845656
Max drawdown($1,419)
Time9/14/18 10:14
Quant open4,600
Worst price11.83
Drawdown as % of equity-1.05%
($897)
Includes Typical Broker Commissions trade costs of $5.00
9/12/18 10:02 DUST DIREXION DAILY GOLD MINERS BEA LONG 1,300 45.50 9/12 13:20 41.90 3.43%
Trade id #119820829
Max drawdown($4,687)
Time9/12/18 13:20
Quant open0
Worst price41.90
Drawdown as % of equity-3.43%
($4,692)
Includes Typical Broker Commissions trade costs of $5.00
9/10/18 9:48 NUGT DIREXION DAILY GOLD MINERS BUL LONG 5,300 11.69 9/11 9:30 10.82 3.25%
Trade id #119778046
Max drawdown($4,607)
Time9/11/18 9:30
Quant open0
Worst price10.82
Drawdown as % of equity-3.25%
($4,612)
Includes Typical Broker Commissions trade costs of $5.00
9/5/18 11:03 DUST DIREXION DAILY GOLD MINERS BEA LONG 1,400 43.62 9/10 9:47 44.25 1.5%
Trade id #119732673
Max drawdown($2,134)
Time9/6/18 10:55
Quant open1,400
Worst price42.10
Drawdown as % of equity-1.50%
$870
Includes Typical Broker Commissions trade costs of $5.00
8/30/18 13:13 NUGT DIREXION DAILY GOLD MINERS BUL LONG 4,600 13.61 9/4 9:31 12.41 3.75%
Trade id #119668390
Max drawdown($5,536)
Time9/4/18 9:31
Quant open0
Worst price12.41
Drawdown as % of equity-3.75%
($5,541)
Includes Typical Broker Commissions trade costs of $5.00
8/29/18 12:28 DUST DIREXION DAILY GOLD MINERS BEA LONG 1,700 37.20 8/30 13:12 38.69 0.49%
Trade id #119648986
Max drawdown($718)
Time8/29/18 13:03
Quant open1,700
Worst price36.78
Drawdown as % of equity-0.49%
$2,518
Includes Typical Broker Commissions trade costs of $5.00
8/23/18 9:32 NUGT DIREXION DAILY GOLD MINERS BUL LONG 4,200 13.76 8/29 12:27 14.17 2.49%
Trade id #119565420
Max drawdown($3,527)
Time8/23/18 15:06
Quant open4,200
Worst price12.92
Drawdown as % of equity-2.49%
$1,716
Includes Typical Broker Commissions trade costs of $5.00
8/22/18 9:32 DUST DIREXION DAILY GOLD MINERS BEA LONG 1,700 37.31 8/23 9:30 38.44 0.47%
Trade id #119547778
Max drawdown($669)
Time8/22/18 18:52
Quant open1,700
Worst price36.92
Drawdown as % of equity-0.47%
$1,914
Includes Typical Broker Commissions trade costs of $5.00
8/20/18 12:12 NUGT DIREXION DAILY GOLD MINERS BUL LONG 4,400 13.84 8/22 9:30 14.38 0.65%
Trade id #119515683
Max drawdown($908)
Time8/21/18 11:17
Quant open4,400
Worst price13.63
Drawdown as % of equity-0.65%
$2,365
Includes Typical Broker Commissions trade costs of $5.00
8/15/18 10:38 DUST DIREXION DAILY GOLD MINERS BEA LONG 1,900 39.66 8/17 9:46 40.39 2.21%
Trade id #119450700
Max drawdown($3,106)
Time8/16/18 9:42
Quant open1,900
Worst price38.02
Drawdown as % of equity-2.21%
$1,394
Includes Typical Broker Commissions trade costs of $5.00
8/14/18 11:53 NUGT DIREXION DAILY GOLD MINERS BUL LONG 3,600 17.01 8/15 10:37 13.97 7.79%
Trade id #119433089
Max drawdown($10,938)
Time8/15/18 10:37
Quant open0
Worst price13.97
Drawdown as % of equity-7.79%
($10,943)
Includes Typical Broker Commissions trade costs of $5.00
8/13/18 9:48 DUST DIREXION DAILY GOLD MINERS BEA LONG 2,100 31.49 8/14 11:52 33.50 0.17%
Trade id #119406860
Max drawdown($256)
Time8/13/18 9:52
Quant open2,100
Worst price31.37
Drawdown as % of equity-0.17%
$4,202
Includes Typical Broker Commissions trade costs of $5.00
8/10/18 9:32 NUGT DIREXION DAILY GOLD MINERS BUL LONG 3,300 19.07 8/13 9:47 18.33 2.51%
Trade id #119376218
Max drawdown($3,703)
Time8/13/18 7:40
Quant open3,300
Worst price17.95
Drawdown as % of equity-2.51%
($2,451)
Includes Typical Broker Commissions trade costs of $5.00
7/31/18 9:43 DUST DIREXION DAILY GOLD MINERS BEA LONG 2,200 27.76 8/10 9:30 30.07 1.36%
Trade id #119202325
Max drawdown($1,928)
Time7/31/18 12:38
Quant open2,200
Worst price26.88
Drawdown as % of equity-1.36%
$5,075
Includes Typical Broker Commissions trade costs of $5.00
7/27/18 9:32 NUGT DIREXION DAILY GOLD MINERS BUL LONG 2,900 21.27 7/31 9:42 20.92 1.7%
Trade id #119155864
Max drawdown($2,432)
Time7/31/18 9:17
Quant open2,900
Worst price20.43
Drawdown as % of equity-1.70%
($1,011)
Includes Typical Broker Commissions trade costs of $5.00
7/25/18 9:37 DUST DIREXION DAILY GOLD MINERS BEA LONG 2,800 26.06 7/27 9:30 27.10 0.88%
Trade id #119112602
Max drawdown($1,252)
Time7/25/18 16:01
Quant open2,800
Worst price25.61
Drawdown as % of equity-0.88%
$2,922
Includes Typical Broker Commissions trade costs of $5.00
7/24/18 15:58 NUGT DIREXION DAILY GOLD MINERS BUL LONG 2,800 21.96 7/25 9:40 22.34 0.08%
Trade id #119102039
Max drawdown($107)
Time7/24/18 16:17
Quant open2,800
Worst price21.92
Drawdown as % of equity-0.08%
$1,052
Includes Typical Broker Commissions trade costs of $5.00
7/19/18 9:32 NUGT DIREXION DAILY GOLD MINERS BUL LONG 2,600 22.14 7/23 9:51 21.94 0.37%
Trade id #119013379
Max drawdown($522)
Time7/23/18 9:51
Quant open0
Worst price21.94
Drawdown as % of equity-0.37%
($527)
Includes Typical Broker Commissions trade costs of $5.00
7/13/18 11:18 DUST DIREXION DAILY GOLD MINERS BEA LONG 2,400 24.97 7/19 9:30 26.65 0.4%
Trade id #118917206
Max drawdown($548)
Time7/13/18 11:45
Quant open2,400
Worst price24.74
Drawdown as % of equity-0.40%
$4,023
Includes Typical Broker Commissions trade costs of $5.00
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

Statistics

  • Strategy began
    1/24/2016
  • Suggested Minimum Cap
    $15,000
  • Strategy Age (days)
    1002.01
  • Age
    33 months ago
  • What it trades
    Stocks
  • # Trades
    282
  • # Profitable
    158
  • % Profitable
    56.00%
  • Avg trade duration
    2.9 days
  • Max peak-to-valley drawdown
    34.52%
  • drawdown period
    Nov 24, 2017 - Sept 18, 2018
  • Annual Return (Compounded)
    79.9%
  • Avg win
    $3,382
  • Avg loss
    $3,364
  • Model Account Values (Raw)
  • Cash
    $93,701
  • Margin Used
    $0
  • Buying Power
    $94,674
  • Ratios
  • W:L ratio
    1.28:1
  • Sharpe Ratio
    1.675
  • Sortino Ratio
    3.078
  • Calmar Ratio
    2.907
  • CORRELATION STATISTICS
  • Correlation to SP500
    -0.04700
  • Return Statistics
  • Ann Return (w trading costs)
    79.9%
  • Ann Return (Compnd, No Fees)
    88.3%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    57.00%
  • Chance of 20% account loss
    25.00%
  • Chance of 30% account loss
    6.00%
  • Chance of 40% account loss
    1.50%
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    747
  • Popularity (Last 6 weeks)
    955
  • C2 Score
    83.0
  • 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
    $3,365
  • Avg Win
    $3,382
  • # Winners
    158
  • # Losers
    124
  • % Winners
    56.0%
  • Frequency
  • Avg Position Time (mins)
    4163.88
  • Avg Position Time (hrs)
    69.40
  • Avg Trade Length
    2.9 days
  • Last Trade Ago
    1
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.73996
  • SD
    0.52236
  • Sharpe ratio (Glass type estimate)
    1.41657
  • Sharpe ratio (Hedges UMVUE)
    1.38197
  • df
    31.00000
  • t
    2.31325
  • p
    0.01376
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.15554
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.65662
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.13342
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.63052
  • Statistics related to Sortino ratio
  • Sortino ratio
    5.14225
  • Upside Potential Ratio
    6.76363
  • Upside part of mean
    0.97328
  • Downside part of mean
    -0.23331
  • Upside SD
    0.53783
  • Downside SD
    0.14390
  • N nonnegative terms
    20.00000
  • N negative terms
    12.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    32.00000
  • Mean of predictor
    0.14302
  • Mean of criterion
    0.73996
  • SD of predictor
    0.08722
  • SD of criterion
    0.52236
  • Covariance
    -0.00449
  • r
    -0.09847
  • b (slope, estimate of beta)
    -0.58977
  • a (intercept, estimate of alpha)
    0.82431
  • Mean Square Error
    0.27922
  • DF error
    30.00000
  • t(b)
    -0.54200
  • p(b)
    0.70409
  • t(a)
    2.29571
  • p(a)
    0.01443
  • Lowerbound of 95% confidence interval for beta
    -2.81207
  • Upperbound of 95% confidence interval for beta
    1.63253
  • Lowerbound of 95% confidence interval for alpha
    0.09100
  • Upperbound of 95% confidence interval for alpha
    1.55762
  • Treynor index (mean / b)
    -1.25466
  • Jensen alpha (a)
    0.82431
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.61160
  • SD
    0.45362
  • Sharpe ratio (Glass type estimate)
    1.34826
  • Sharpe ratio (Hedges UMVUE)
    1.31533
  • df
    31.00000
  • t
    2.20170
  • p
    0.01763
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.09234
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.58410
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.07125
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.55942
  • Statistics related to Sortino ratio
  • Sortino ratio
    4.00189
  • Upside Potential Ratio
    5.59826
  • Upside part of mean
    0.85558
  • Downside part of mean
    -0.24397
  • Upside SD
    0.45515
  • Downside SD
    0.15283
  • N nonnegative terms
    20.00000
  • N negative terms
    12.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    32.00000
  • Mean of predictor
    0.13823
  • Mean of criterion
    0.61160
  • SD of predictor
    0.08658
  • SD of criterion
    0.45362
  • Covariance
    -0.00452
  • r
    -0.11514
  • b (slope, estimate of beta)
    -0.60324
  • a (intercept, estimate of alpha)
    0.69499
  • Mean Square Error
    0.20982
  • DF error
    30.00000
  • t(b)
    -0.63488
  • p(b)
    0.73484
  • t(a)
    2.24387
  • p(a)
    0.01619
  • Lowerbound of 95% confidence interval for beta
    -2.54373
  • Upperbound of 95% confidence interval for beta
    1.33726
  • Lowerbound of 95% confidence interval for alpha
    0.06244
  • Upperbound of 95% confidence interval for alpha
    1.32754
  • Treynor index (mean / b)
    -1.01387
  • Jensen alpha (a)
    0.69499
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.15162
  • Expected Shortfall on VaR
    0.19587
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.03683
  • Expected Shortfall on VaR
    0.07697
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    32.00000
  • Minimum
    0.84772
  • Quartile 1
    0.98026
  • Median
    1.02204
  • Quartile 3
    1.11310
  • Maximum
    1.53571
  • Mean of quarter 1
    0.93198
  • Mean of quarter 2
    1.00012
  • Mean of quarter 3
    1.04840
  • Mean of quarter 4
    1.27547
  • Inter Quartile Range
    0.13283
  • 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
    0.09375
  • Mean of outliers high
    1.43955
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.55367
  • VaR(95%) (moments method)
    0.05803
  • Expected Shortfall (moments method)
    0.06845
  • Extreme Value Index (regression method)
    -0.07128
  • VaR(95%) (regression method)
    0.07215
  • Expected Shortfall (regression method)
    0.10069
  • 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
    0.21632
  • Mean of quarter 1
    0.02809
  • Mean of quarter 2
    0.05663
  • Mean of quarter 3
    0.12242
  • Mean of quarter 4
    0.21632
  • 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)
    1.68877
  • Compounded annual return (geometric extrapolation)
    0.89555
  • Calmar ratio (compounded annual return / max draw down)
    4.13995
  • Compounded annual return / average of 25% largest draw downs
    4.13995
  • Compounded annual return / Expected Shortfall lognormal
    4.57229
  • 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
    0.68639
  • SD
    0.40933
  • Sharpe ratio (Glass type estimate)
    1.67686
  • Sharpe ratio (Hedges UMVUE)
    1.67509
  • df
    713.00000
  • t
    2.76818
  • p
    0.00289
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.48583
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.86674
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.48465
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.86554
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.07828
  • Upside Potential Ratio
    10.63410
  • Upside part of mean
    2.37119
  • Downside part of mean
    -1.68480
  • Upside SD
    0.34554
  • Downside SD
    0.22298
  • N nonnegative terms
    348.00000
  • N negative terms
    366.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    714.00000
  • Mean of predictor
    0.11966
  • Mean of criterion
    0.68639
  • SD of predictor
    0.11497
  • SD of criterion
    0.40933
  • Covariance
    -0.00263
  • r
    -0.05598
  • b (slope, estimate of beta)
    -0.19932
  • a (intercept, estimate of alpha)
    0.71000
  • Mean Square Error
    0.16726
  • DF error
    712.00000
  • t(b)
    -1.49619
  • p(b)
    0.93248
  • t(a)
    2.86094
  • p(a)
    0.00217
  • Lowerbound of 95% confidence interval for beta
    -0.46086
  • Upperbound of 95% confidence interval for beta
    0.06223
  • Lowerbound of 95% confidence interval for alpha
    0.22284
  • Upperbound of 95% confidence interval for alpha
    1.19764
  • Treynor index (mean / b)
    -3.44372
  • Jensen alpha (a)
    0.71024
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.60406
  • SD
    0.40157
  • Sharpe ratio (Glass type estimate)
    1.50425
  • Sharpe ratio (Hedges UMVUE)
    1.50266
  • df
    713.00000
  • t
    2.48323
  • p
    0.00662
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.31392
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.69359
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.31283
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.69249
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.63727
  • Upside Potential Ratio
    10.10460
  • Upside part of mean
    2.31444
  • Downside part of mean
    -1.71038
  • Upside SD
    0.33161
  • Downside SD
    0.22905
  • N nonnegative terms
    348.00000
  • N negative terms
    366.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    714.00000
  • Mean of predictor
    0.11301
  • Mean of criterion
    0.60406
  • SD of predictor
    0.11521
  • SD of criterion
    0.40157
  • Covariance
    -0.00253
  • r
    -0.05470
  • b (slope, estimate of beta)
    -0.19065
  • a (intercept, estimate of alpha)
    0.62561
  • Mean Square Error
    0.16100
  • DF error
    712.00000
  • t(b)
    -1.46176
  • p(b)
    0.92788
  • t(a)
    2.56913
  • p(a)
    0.00520
  • Lowerbound of 95% confidence interval for beta
    -0.44672
  • Upperbound of 95% confidence interval for beta
    0.06541
  • Lowerbound of 95% confidence interval for alpha
    0.14753
  • Upperbound of 95% confidence interval for alpha
    1.10369
  • Treynor index (mean / b)
    -3.16843
  • Jensen alpha (a)
    0.62561
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.03777
  • Expected Shortfall on VaR
    0.04765
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01499
  • Expected Shortfall on VaR
    0.02988
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    714.00000
  • Minimum
    0.87959
  • Quartile 1
    0.99181
  • Median
    1.00000
  • Quartile 3
    1.01046
  • Maximum
    1.17898
  • Mean of quarter 1
    0.97821
  • Mean of quarter 2
    0.99634
  • Mean of quarter 3
    1.00422
  • Mean of quarter 4
    1.03211
  • Inter Quartile Range
    0.01866
  • Number outliers low
    22.00000
  • Percentage of outliers low
    0.03081
  • Mean of outliers low
    0.94502
  • Number of outliers high
    45.00000
  • Percentage of outliers high
    0.06303
  • Mean of outliers high
    1.06936
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.27860
  • VaR(95%) (moments method)
    0.02152
  • Expected Shortfall (moments method)
    0.03579
  • Extreme Value Index (regression method)
    0.28947
  • VaR(95%) (regression method)
    0.01924
  • Expected Shortfall (regression method)
    0.03131
  • 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
    0.30320
  • Mean of quarter 1
    0.00715
  • Mean of quarter 2
    0.02950
  • Mean of quarter 3
    0.08072
  • Mean of quarter 4
    0.16577
  • 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
    0.30320
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.21568
  • VaR(95%) (moments method)
    0.18755
  • Expected Shortfall (moments method)
    0.25573
  • Extreme Value Index (regression method)
    0.99226
  • VaR(95%) (regression method)
    0.17442
  • Expected Shortfall (regression method)
    9.13002
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    1.68688
  • Compounded annual return (geometric extrapolation)
    0.88132
  • Calmar ratio (compounded annual return / max draw down)
    2.90674
  • Compounded annual return / average of 25% largest draw downs
    5.31658
  • Compounded annual return / Expected Shortfall lognormal
    18.49420
  • 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
    -0.29263
  • SD
    0.17641
  • Sharpe ratio (Glass type estimate)
    -1.65877
  • Sharpe ratio (Hedges UMVUE)
    -1.64918
  • df
    130.00000
  • t
    -1.17293
  • p
    0.55117
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -4.43475
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.12351
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -4.42823
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.12986
  • Statistics related to Sortino ratio
  • Sortino ratio
    -2.06025
  • Upside Potential Ratio
    6.35124
  • Upside part of mean
    0.90210
  • Downside part of mean
    -1.19473
  • Upside SD
    0.10505
  • Downside SD
    0.14203
  • N nonnegative terms
    54.00000
  • N negative terms
    77.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.04101
  • Mean of criterion
    -0.29263
  • SD of predictor
    0.10805
  • SD of criterion
    0.17641
  • Covariance
    0.00134
  • r
    0.07029
  • b (slope, estimate of beta)
    0.11476
  • a (intercept, estimate of alpha)
    -0.29734
  • Mean Square Error
    0.03121
  • DF error
    129.00000
  • t(b)
    0.80029
  • p(b)
    0.45529
  • t(a)
    -1.18981
  • p(a)
    0.56621
  • Lowerbound of 95% confidence interval for beta
    -0.16896
  • Upperbound of 95% confidence interval for beta
    0.39849
  • Lowerbound of 95% confidence interval for alpha
    -0.79177
  • Upperbound of 95% confidence interval for alpha
    0.19710
  • Treynor index (mean / b)
    -2.54984
  • Jensen alpha (a)
    -0.29734
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.30834
  • SD
    0.17755
  • Sharpe ratio (Glass type estimate)
    -1.73668
  • Sharpe ratio (Hedges UMVUE)
    -1.72664
  • df
    130.00000
  • t
    -1.22802
  • p
    0.55354
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -4.51325
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.04642
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -4.50638
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.05310
  • Statistics related to Sortino ratio
  • Sortino ratio
    -2.13900
  • Upside Potential Ratio
    6.21936
  • Upside part of mean
    0.89654
  • Downside part of mean
    -1.20489
  • Upside SD
    0.10424
  • Downside SD
    0.14415
  • N nonnegative terms
    54.00000
  • N negative terms
    77.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.03519
  • Mean of criterion
    -0.30834
  • SD of predictor
    0.10836
  • SD of criterion
    0.17755
  • Covariance
    0.00137
  • r
    0.07142
  • b (slope, estimate of beta)
    0.11702
  • a (intercept, estimate of alpha)
    -0.31246
  • Mean Square Error
    0.03161
  • DF error
    129.00000
  • t(b)
    0.81323
  • p(b)
    0.45457
  • t(a)
    -1.24255
  • p(a)
    0.56910
  • Lowerbound of 95% confidence interval for beta
    -0.16768
  • Upperbound of 95% confidence interval for beta
    0.40172
  • Lowerbound of 95% confidence interval for alpha
    -0.81000
  • Upperbound of 95% confidence interval for alpha
    0.18508
  • Treynor index (mean / b)
    -2.63497
  • Jensen alpha (a)
    -0.31246
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01904
  • Expected Shortfall on VaR
    0.02351
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01164
  • Expected Shortfall on VaR
    0.02155
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.94509
  • Quartile 1
    0.99334
  • Median
    0.99863
  • Quartile 3
    1.00554
  • Maximum
    1.02526
  • Mean of quarter 1
    0.98594
  • Mean of quarter 2
    0.99638
  • Mean of quarter 3
    1.00214
  • Mean of quarter 4
    1.01159
  • Inter Quartile Range
    0.01220
  • Number outliers low
    3.00000
  • Percentage of outliers low
    0.02290
  • Mean of outliers low
    0.96247
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.00763
  • Mean of outliers high
    1.02526
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.36374
  • VaR(95%) (moments method)
    0.01550
  • Expected Shortfall (moments method)
    0.02695
  • Extreme Value Index (regression method)
    0.58167
  • VaR(95%) (regression method)
    0.01384
  • Expected Shortfall (regression method)
    0.03012
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    1.00000
  • Minimum
    0.20231
  • Quartile 1
    0.20231
  • Median
    0.20231
  • Quartile 3
    0.20231
  • Maximum
    0.20231
  • 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)
    -0.26166
  • Compounded annual return (geometric extrapolation)
    -0.24455
  • Calmar ratio (compounded annual return / max draw down)
    -1.20880
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    -10.40030

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
282
# Profitable
158
% Profitable
56.0%
Net Dividends
Correlation S&P500
-0.047
Sharpe Ratio
1.675

Latest Activity

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subscribed on started simulation #SUBSCRIBEDDATE#

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

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

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

About the results you see on this Web site

Past results are not necessarily indicative of future results.

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

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

Material assumptions and methods used when calculating results

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

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

Trading is risky

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

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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.