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

QT DayTrader VIX
(106468920)

Created by: quantimer_dot-net quantimer_dot-net
Started: 10/2016
Stocks
Last trade: 108 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 $125.00 per month.

-8.7%
Cumul. Return
35.0%
Max Drawdown
375
Num Trades
57.1%
Win Trades
1.1 : 1
Profit Factor
26.7%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2016                                                               (9.4%)+29.0%+9.3%+27.6%
2017(5.4%)(10.7%)(5.9%)(7.1%)+4.3%(2.4%)+2.2%(6%)  -    -    -    -  (27.8%)

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 48 hours.

Trading Record

This strategy has placed 675 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
8/30/17 9:30 VXX IPATH S&P 500 VIX ST FUTURES E LONG 522 47.85 8/30 15:50 47.79 0.5%
Trade id #113440399
Max drawdown($287)
Time8/30/17 13:29
Quant open522
Worst price47.30
Drawdown as % of equity-0.50%
($36)
Includes Typical Broker Commissions trade costs of $5.00
8/29/17 12:30 VXX IPATH S&P 500 VIX ST FUTURES E LONG 522 48.47 8/29 15:50 48.04 0.71%
Trade id #113413968
Max drawdown($407)
Time8/29/17 15:25
Quant open522
Worst price47.69
Drawdown as % of equity-0.71%
($229)
Includes Typical Broker Commissions trade costs of $5.00
8/23/17 10:30 VXX IPATH S&P 500 VIX ST FUTURES E LONG 533 48.45 8/23 15:50 47.83 0.97%
Trade id #113295609
Max drawdown($559)
Time8/23/17 15:39
Quant open533
Worst price47.40
Drawdown as % of equity-0.97%
($335)
Includes Typical Broker Commissions trade costs of $5.00
8/9/17 13:30 VXX IPATH S&P 500 VIX ST FUTURES E LONG 2,112 11.69 8/9 15:45 11.74 0.17%
Trade id #113064299
Max drawdown($96)
Time8/9/17 13:43
Quant open2,112
Worst price11.64
Drawdown as % of equity-0.17%
$101
Includes Typical Broker Commissions trade costs of $5.00
8/9/17 10:30 VXX IPATH S&P 500 VIX ST FUTURES E LONG 2,149 11.76 8/9 11:54 11.48 1.03%
Trade id #113058902
Max drawdown($602)
Time8/9/17 11:54
Quant open0
Worst price11.48
Drawdown as % of equity-1.03%
($607)
Includes Typical Broker Commissions trade costs of $5.00
8/2/17 9:30 VXX IPATH S&P 500 VIX ST FUTURES E SHORT 2,680 11.01 8/2 10:43 11.26 1.12%
Trade id #112939743
Max drawdown($670)
Time8/2/17 10:43
Quant open0
Worst price11.26
Drawdown as % of equity-1.12%
($675)
Includes Typical Broker Commissions trade costs of $5.00
8/2/17 9:30 XIV VELOCITYSHARES DAILY INVERSE V LONG 483 96.07 8/2 10:43 94.14 1.56%
Trade id #112939680
Max drawdown($932)
Time8/2/17 10:43
Quant open0
Worst price94.14
Drawdown as % of equity-1.56%
($942)
Includes Typical Broker Commissions trade costs of $9.66
8/1/17 9:30 XIV VELOCITYSHARES DAILY INVERSE V LONG 489 95.61 8/1 15:50 95.56 0.63%
Trade id #112915686
Max drawdown($376)
Time8/1/17 10:26
Quant open489
Worst price94.84
Drawdown as % of equity-0.63%
($34)
Includes Typical Broker Commissions trade costs of $9.78
8/1/17 12:29 VXX IPATH S&P 500 VIX ST FUTURES E SHORT 2,682 11.05 8/1 15:50 11.07 0.13%
Trade id #112923487
Max drawdown($80)
Time8/1/17 12:38
Quant open-2,682
Worst price11.08
Drawdown as % of equity-0.13%
($59)
Includes Typical Broker Commissions trade costs of $5.00
7/31/17 9:30 XIV VELOCITYSHARES DAILY INVERSE V LONG 496 95.22 7/31 15:50 94.49 1.58%
Trade id #112892871
Max drawdown($947)
Time7/31/17 10:57
Quant open496
Worst price93.31
Drawdown as % of equity-1.58%
($372)
Includes Typical Broker Commissions trade costs of $9.92
7/31/17 10:16 VXX IPATH S&P 500 VIX ST FUTURES E LONG 2,609 11.13 7/31 10:29 11.23 n/a $256
Includes Typical Broker Commissions trade costs of $5.00
7/28/17 15:29 VXX IPATH S&P 500 VIX ST FUTURES E LONG 2,607 11.32 7/28 15:50 11.27 0.26%
Trade id #112872262
Max drawdown($156)
Time7/28/17 15:47
Quant open2,607
Worst price11.26
Drawdown as % of equity-0.26%
($135)
Includes Typical Broker Commissions trade costs of $5.00
7/28/17 9:30 XIV VELOCITYSHARES DAILY INVERSE V LONG 489 93.09 7/28 15:50 93.80 1.45%
Trade id #112860476
Max drawdown($865)
Time7/28/17 11:09
Quant open489
Worst price91.32
Drawdown as % of equity-1.45%
$337
Includes Typical Broker Commissions trade costs of $9.78
7/28/17 10:29 VXX IPATH S&P 500 VIX ST FUTURES E LONG 2,616 11.52 7/28 14:57 11.28 1.05%
Trade id #112863283
Max drawdown($628)
Time7/28/17 14:57
Quant open0
Worst price11.28
Drawdown as % of equity-1.05%
($633)
Includes Typical Broker Commissions trade costs of $5.00
7/27/17 10:30 XIV VELOCITYSHARES DAILY INVERSE V LONG 488 96.18 7/27 12:42 94.23 1.54%
Trade id #112827093
Max drawdown($952)
Time7/27/17 12:42
Quant open0
Worst price94.23
Drawdown as % of equity-1.54%
($962)
Includes Typical Broker Commissions trade costs of $9.76
7/27/17 10:29 VXX IPATH S&P 500 VIX ST FUTURES E SHORT 2,796 11.00 7/27 12:42 11.22 0.99%
Trade id #112827042
Max drawdown($615)
Time7/27/17 12:42
Quant open0
Worst price11.22
Drawdown as % of equity-0.99%
($620)
Includes Typical Broker Commissions trade costs of $5.00
7/26/17 13:29 VXX IPATH S&P 500 VIX ST FUTURES E SHORT 2,816 11.00 7/26 15:50 11.11 0.54%
Trade id #112795596
Max drawdown($337)
Time7/26/17 15:46
Quant open-2,816
Worst price11.12
Drawdown as % of equity-0.54%
($315)
Includes Typical Broker Commissions trade costs of $5.00
7/26/17 10:30 XIV VELOCITYSHARES DAILY INVERSE V LONG 487 96.00 7/26 14:58 96.37 0.11%
Trade id #112789962
Max drawdown($68)
Time7/26/17 11:29
Quant open487
Worst price95.86
Drawdown as % of equity-0.11%
$170
Includes Typical Broker Commissions trade costs of $9.74
7/25/17 9:34 VXX IPATH S&P 500 VIX ST FUTURES E SHORT 2,842 10.99 7/25 15:50 11.07 0.59%
Trade id #112767400
Max drawdown($369)
Time7/25/17 14:48
Quant open-2,842
Worst price11.12
Drawdown as % of equity-0.59%
($232)
Includes Typical Broker Commissions trade costs of $5.00
7/25/17 9:30 XIV VELOCITYSHARES DAILY INVERSE V LONG 489 96.26 7/25 15:50 95.61 0.83%
Trade id #112766782
Max drawdown($518)
Time7/25/17 14:48
Quant open489
Worst price95.20
Drawdown as % of equity-0.83%
($328)
Includes Typical Broker Commissions trade costs of $9.78
7/24/17 9:30 XIV VELOCITYSHARES DAILY INVERSE V LONG 492 94.67 7/24 15:50 96.00 0.11%
Trade id #112745193
Max drawdown($68)
Time7/24/17 11:27
Quant open492
Worst price94.53
Drawdown as % of equity-0.11%
$644
Includes Typical Broker Commissions trade costs of $9.84
7/24/17 9:38 VXX IPATH S&P 500 VIX ST FUTURES E SHORT 2,725 11.19 7/24 15:50 11.02 0.04%
Trade id #112746091
Max drawdown($27)
Time7/24/17 9:47
Quant open-2,725
Worst price11.20
Drawdown as % of equity-0.04%
$458
Includes Typical Broker Commissions trade costs of $5.00
7/21/17 9:30 VXX IPATH S&P 500 VIX ST FUTURES E SHORT 2,668 11.39 7/21 15:50 11.24 0.26%
Trade id #112718530
Max drawdown($160)
Time7/21/17 10:02
Quant open-2,668
Worst price11.45
Drawdown as % of equity-0.26%
$395
Includes Typical Broker Commissions trade costs of $5.00
7/21/17 9:30 XIV VELOCITYSHARES DAILY INVERSE V LONG 490 92.95 7/21 15:50 94.14 0.36%
Trade id #112718344
Max drawdown($215)
Time7/21/17 10:02
Quant open490
Worst price92.51
Drawdown as % of equity-0.36%
$573
Includes Typical Broker Commissions trade costs of $9.80
7/20/17 10:30 XIV VELOCITYSHARES DAILY INVERSE V LONG 490 92.94 7/20 15:50 93.25 1.04%
Trade id #112699222
Max drawdown($627)
Time7/20/17 10:32
Quant open490
Worst price91.66
Drawdown as % of equity-1.04%
$142
Includes Typical Broker Commissions trade costs of $9.80
7/20/17 9:30 VXX IPATH S&P 500 VIX ST FUTURES E SHORT 2,650 11.34 7/20 15:50 11.35 0.92%
Trade id #112696815
Max drawdown($556)
Time7/20/17 10:32
Quant open-2,650
Worst price11.55
Drawdown as % of equity-0.92%
($32)
Includes Typical Broker Commissions trade costs of $5.00
7/19/17 9:30 VXX IPATH S&P 500 VIX ST FUTURES E SHORT 2,602 11.45 7/19 15:50 11.40 0.04%
Trade id #112679273
Max drawdown($26)
Time7/19/17 9:32
Quant open-2,602
Worst price11.46
Drawdown as % of equity-0.04%
$125
Includes Typical Broker Commissions trade costs of $5.00
7/19/17 9:30 XIV VELOCITYSHARES DAILY INVERSE V LONG 496 92.59 7/19 15:50 92.97 0.13%
Trade id #112679150
Max drawdown($79)
Time7/19/17 9:32
Quant open496
Worst price92.43
Drawdown as % of equity-0.13%
$178
Includes Typical Broker Commissions trade costs of $9.92
7/18/17 10:30 XIV VELOCITYSHARES DAILY INVERSE V LONG 496 90.41 7/18 15:50 91.47 0.99%
Trade id #112660272
Max drawdown($590)
Time7/18/17 10:43
Quant open496
Worst price89.22
Drawdown as % of equity-0.99%
$516
Includes Typical Broker Commissions trade costs of $9.92
7/18/17 9:30 VXX IPATH S&P 500 VIX ST FUTURES E SHORT 2,504 11.84 7/18 15:50 11.58 0.42%
Trade id #112658213
Max drawdown($250)
Time7/18/17 9:35
Quant open-2,504
Worst price11.94
Drawdown as % of equity-0.42%
$646
Includes Typical Broker Commissions trade costs of $5.00

Statistics

  • Strategy began
    10/15/2016
  • Starting Unit Size
    $50,000
  • Strategy Age (days)
    424.79
  • Age
    14 months ago
  • What it trades
    Stocks
  • # Trades
    375
  • # Profitable
    214
  • % Profitable
    57.10%
  • Avg trade duration
    3.6 hours
  • Max peak-to-valley drawdown
    35.02%
  • drawdown period
    Dec 22, 2016 - July 06, 2017
  • Cumul. Return
    -7.9%
  • Avg win
    $483.61
  • Avg loss
    $597.85
  • Model Account Values (Raw)
  • Cash
    $57,241
  • Margin Used
    $0
  • Buying Power
    $57,241
  • Ratios
  • W:L ratio
    1.08:1
  • Sharpe Ratio
    0.673
  • Sortino Ratio
    1.059
  • Calmar Ratio
    0.774
  • CORRELATION STATISTICS
  • Correlation to SP500
    0.25400
  • Return Statistics
  • Ann Return (w trading costs)
    -8.7%
  • Ann Return (Compnd, No Fees)
    12.2%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    49.50%
  • Chance of 20% account loss
    12.50%
  • Chance of 30% account loss
    0.50%
  • Chance of 40% account loss
    n/a
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    588
  • Popularity (Last 6 weeks)
    804
  • 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
    $598
  • Avg Win
    $484
  • # Winners
    214
  • # Losers
    161
  • % Winners
    57.1%
  • Frequency
  • Avg Position Time (mins)
    215.92
  • Avg Position Time (hrs)
    3.60
  • Avg Trade Length
    0.1 days
  • Last Trade Ago
    105
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.19590
  • SD
    0.30024
  • Sharpe ratio (Glass type estimate)
    0.65248
  • Sharpe ratio (Hedges UMVUE)
    0.59629
  • df
    9.00000
  • t
    0.59563
  • p
    0.28305
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.53243
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.80246
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.56834
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.76092
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.36787
  • Upside Potential Ratio
    3.35801
  • Upside part of mean
    0.48093
  • Downside part of mean
    -0.28502
  • Upside SD
    0.25262
  • Downside SD
    0.14322
  • N nonnegative terms
    5.00000
  • N negative terms
    5.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    10.00000
  • Mean of predictor
    0.13540
  • Mean of criterion
    0.19590
  • SD of predictor
    0.06972
  • SD of criterion
    0.30024
  • Covariance
    0.01352
  • r
    0.64570
  • b (slope, estimate of beta)
    2.78048
  • a (intercept, estimate of alpha)
    -0.18058
  • Mean Square Error
    0.05913
  • DF error
    8.00000
  • t(b)
    2.39173
  • p(b)
    0.02187
  • t(a)
    -0.58361
  • p(a)
    0.71222
  • Lowerbound of 95% confidence interval for beta
    0.09966
  • Upperbound of 95% confidence interval for beta
    5.46131
  • Lowerbound of 95% confidence interval for alpha
    -0.89408
  • Upperbound of 95% confidence interval for alpha
    0.53293
  • Treynor index (mean / b)
    0.07046
  • Jensen alpha (a)
    -0.18058
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.15579
  • SD
    0.28911
  • Sharpe ratio (Glass type estimate)
    0.53888
  • Sharpe ratio (Hedges UMVUE)
    0.49246
  • df
    9.00000
  • t
    0.49192
  • p
    0.31727
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.63659
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.68539
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.66659
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.65152
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.03992
  • Upside Potential Ratio
    3.01059
  • Upside part of mean
    0.45103
  • Downside part of mean
    -0.29523
  • Upside SD
    0.23411
  • Downside SD
    0.14981
  • N nonnegative terms
    5.00000
  • N negative terms
    5.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    10.00000
  • Mean of predictor
    0.13220
  • Mean of criterion
    0.15579
  • SD of predictor
    0.06897
  • SD of criterion
    0.28911
  • Covariance
    0.01281
  • r
    0.64238
  • b (slope, estimate of beta)
    2.69287
  • a (intercept, estimate of alpha)
    -0.20019
  • Mean Square Error
    0.05523
  • DF error
    8.00000
  • t(b)
    2.37077
  • p(b)
    0.02260
  • t(a)
    -0.67170
  • p(a)
    0.73965
  • Lowerbound of 95% confidence interval for beta
    0.07356
  • Upperbound of 95% confidence interval for beta
    5.31218
  • Lowerbound of 95% confidence interval for alpha
    -0.88745
  • Upperbound of 95% confidence interval for alpha
    0.48708
  • Treynor index (mean / b)
    0.05785
  • Jensen alpha (a)
    -0.20019
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.11688
  • Expected Shortfall on VaR
    0.14674
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.05544
  • Expected Shortfall on VaR
    0.09804
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    10.00000
  • Minimum
    0.89230
  • Quartile 1
    0.96180
  • Median
    1.00703
  • Quartile 3
    1.04039
  • Maximum
    1.18615
  • Mean of quarter 1
    0.93504
  • Mean of quarter 2
    0.98451
  • Mean of quarter 3
    1.02577
  • Mean of quarter 4
    1.12029
  • Inter Quartile Range
    0.07860
  • 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
    0.10000
  • Mean of outliers high
    1.18615
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.41348
  • VaR(95%) (moments method)
    0.08100
  • Expected Shortfall (moments method)
    0.14232
  • Extreme Value Index (regression method)
    4.87147
  • VaR(95%) (regression method)
    0.28305
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    1.00000
  • Minimum
    0.14943
  • Quartile 1
    0.14943
  • Median
    0.14943
  • Quartile 3
    0.14943
  • Maximum
    0.14943
  • 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)
    0.19851
  • Compounded annual return (geometric extrapolation)
    0.20166
  • Calmar ratio (compounded annual return / max draw down)
    1.34956
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    1.37421
  • 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
    0.16083
  • SD
    0.22893
  • Sharpe ratio (Glass type estimate)
    0.70252
  • Sharpe ratio (Hedges UMVUE)
    0.70022
  • df
    229.00000
  • t
    0.65822
  • p
    0.25553
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.39110
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.79462
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.39264
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.79307
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.10232
  • Upside Potential Ratio
    9.41927
  • Upside part of mean
    1.37427
  • Downside part of mean
    -1.21344
  • Upside SD
    0.17605
  • Downside SD
    0.14590
  • N nonnegative terms
    101.00000
  • N negative terms
    129.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    230.00000
  • Mean of predictor
    0.14856
  • Mean of criterion
    0.16083
  • SD of predictor
    0.07534
  • SD of criterion
    0.22893
  • Covariance
    0.00412
  • r
    0.23880
  • b (slope, estimate of beta)
    0.72559
  • a (intercept, estimate of alpha)
    0.02800
  • Mean Square Error
    0.04964
  • DF error
    228.00000
  • t(b)
    3.71314
  • p(b)
    0.00013
  • t(a)
    0.22138
  • p(a)
    0.41250
  • Lowerbound of 95% confidence interval for beta
    0.34055
  • Upperbound of 95% confidence interval for beta
    1.11064
  • Lowerbound of 95% confidence interval for alpha
    -0.41899
  • Upperbound of 95% confidence interval for alpha
    0.52506
  • Treynor index (mean / b)
    0.22165
  • Jensen alpha (a)
    0.05303
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.13487
  • SD
    0.22769
  • Sharpe ratio (Glass type estimate)
    0.59235
  • Sharpe ratio (Hedges UMVUE)
    0.59041
  • df
    229.00000
  • t
    0.55500
  • p
    0.28972
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.50084
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.68431
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.50216
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.68298
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.91391
  • Upside Potential Ratio
    9.20856
  • Upside part of mean
    1.35900
  • Downside part of mean
    -1.22412
  • Upside SD
    0.17294
  • Downside SD
    0.14758
  • N nonnegative terms
    101.00000
  • N negative terms
    129.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    230.00000
  • Mean of predictor
    0.14568
  • Mean of criterion
    0.13487
  • SD of predictor
    0.07529
  • SD of criterion
    0.22769
  • Covariance
    0.00408
  • r
    0.23804
  • b (slope, estimate of beta)
    0.71993
  • a (intercept, estimate of alpha)
    0.02999
  • Mean Square Error
    0.04912
  • DF error
    228.00000
  • t(b)
    3.70077
  • p(b)
    0.00013
  • t(a)
    0.12589
  • p(a)
    0.44996
  • Lowerbound of 95% confidence interval for beta
    0.33661
  • Upperbound of 95% confidence interval for beta
    1.10325
  • Lowerbound of 95% confidence interval for alpha
    -0.43944
  • Upperbound of 95% confidence interval for alpha
    0.49943
  • Treynor index (mean / b)
    0.18735
  • Jensen alpha (a)
    0.02999
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02237
  • Expected Shortfall on VaR
    0.02809
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01149
  • Expected Shortfall on VaR
    0.02154
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    230.00000
  • Minimum
    0.96039
  • Quartile 1
    0.99337
  • Median
    1.00000
  • Quartile 3
    1.00858
  • Maximum
    1.06719
  • Mean of quarter 1
    0.98418
  • Mean of quarter 2
    0.99765
  • Mean of quarter 3
    1.00313
  • Mean of quarter 4
    1.01791
  • Inter Quartile Range
    0.01521
  • Number outliers low
    5.00000
  • Percentage of outliers low
    0.02174
  • Mean of outliers low
    0.96632
  • Number of outliers high
    6.00000
  • Percentage of outliers high
    0.02609
  • Mean of outliers high
    1.04660
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.16378
  • VaR(95%) (moments method)
    0.01507
  • Expected Shortfall (moments method)
    0.01902
  • Extreme Value Index (regression method)
    -0.11017
  • VaR(95%) (regression method)
    0.01497
  • Expected Shortfall (regression method)
    0.01921
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    6.00000
  • Minimum
    0.00150
  • Quartile 1
    0.00504
  • Median
    0.01814
  • Quartile 3
    0.10219
  • Maximum
    0.21416
  • Mean of quarter 1
    0.00291
  • Mean of quarter 2
    0.00721
  • Mean of quarter 3
    0.02907
  • Mean of quarter 4
    0.17036
  • Inter Quartile Range
    0.09715
  • 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)
    0.17499
  • Compounded annual return (geometric extrapolation)
    0.17678
  • Calmar ratio (compounded annual return / max draw down)
    0.82545
  • Compounded annual return / average of 25% largest draw downs
    1.03766
  • Compounded annual return / Expected Shortfall lognormal
    6.29430
  • 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
    -0.08657
  • SD
    0.20833
  • Sharpe ratio (Glass type estimate)
    -0.41556
  • Sharpe ratio (Hedges UMVUE)
    -0.41316
  • df
    130.00000
  • t
    -0.29384
  • p
    0.51288
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.18710
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.35743
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.18542
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.35910
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.59962
  • Upside Potential Ratio
    8.11468
  • Upside part of mean
    1.17158
  • Downside part of mean
    -1.25816
  • Upside SD
    0.14917
  • Downside SD
    0.14438
  • 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
    0.05172
  • Mean of criterion
    -0.08657
  • SD of predictor
    0.07375
  • SD of criterion
    0.20833
  • Covariance
    0.00250
  • r
    0.16270
  • b (slope, estimate of beta)
    0.45958
  • a (intercept, estimate of alpha)
    -0.11034
  • Mean Square Error
    0.04258
  • DF error
    129.00000
  • t(b)
    1.87285
  • p(b)
    0.39688
  • t(a)
    -0.37776
  • p(a)
    0.52116
  • Lowerbound of 95% confidence interval for beta
    -0.02593
  • Upperbound of 95% confidence interval for beta
    0.94509
  • Lowerbound of 95% confidence interval for alpha
    -0.68826
  • Upperbound of 95% confidence interval for alpha
    0.46758
  • Treynor index (mean / b)
    -0.18837
  • Jensen alpha (a)
    -0.11034
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.10802
  • SD
    0.20765
  • Sharpe ratio (Glass type estimate)
    -0.52021
  • Sharpe ratio (Hedges UMVUE)
    -0.51720
  • df
    130.00000
  • t
    -0.36784
  • p
    0.51612
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.29177
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.25329
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.28972
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.25532
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.74057
  • Upside Potential Ratio
    7.95667
  • Upside part of mean
    1.16057
  • Downside part of mean
    -1.26859
  • Upside SD
    0.14683
  • Downside SD
    0.14586
  • 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
    0.04900
  • Mean of criterion
    -0.10802
  • SD of predictor
    0.07388
  • SD of criterion
    0.20765
  • Covariance
    0.00247
  • r
    0.16114
  • b (slope, estimate of beta)
    0.45293
  • a (intercept, estimate of alpha)
    -0.13022
  • Mean Square Error
    0.04232
  • DF error
    129.00000
  • t(b)
    1.85448
  • p(b)
    0.39786
  • t(a)
    -0.44719
  • p(a)
    0.52504
  • Lowerbound of 95% confidence interval for beta
    -0.03030
  • Upperbound of 95% confidence interval for beta
    0.93615
  • Lowerbound of 95% confidence interval for alpha
    -0.70634
  • Upperbound of 95% confidence interval for alpha
    0.44591
  • Treynor index (mean / b)
    -0.23849
  • Jensen alpha (a)
    -0.13022
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02128
  • Expected Shortfall on VaR
    0.02651
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01227
  • Expected Shortfall on VaR
    0.02222
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.96679
  • Quartile 1
    0.99286
  • Median
    1.00000
  • Quartile 3
    1.00735
  • Maximum
    1.06223
  • Mean of quarter 1
    0.98392
  • Mean of quarter 2
    0.99727
  • Mean of quarter 3
    1.00259
  • Mean of quarter 4
    1.01542
  • Inter Quartile Range
    0.01449
  • Number outliers low
    2.00000
  • Percentage of outliers low
    0.01527
  • Mean of outliers low
    0.96875
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.00763
  • Mean of outliers high
    1.06223
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.72401
  • VaR(95%) (moments method)
    0.01594
  • Expected Shortfall (moments method)
    0.01765
  • Extreme Value Index (regression method)
    -0.25815
  • VaR(95%) (regression method)
    0.01780
  • Expected Shortfall (regression method)
    0.02205
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    3.00000
  • Minimum
    0.08602
  • Quartile 1
    0.08922
  • Median
    0.09242
  • Quartile 3
    0.10014
  • Maximum
    0.10786
  • Mean of quarter 1
    0.08602
  • Mean of quarter 2
    0.09242
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.10786
  • Inter Quartile Range
    0.01092
  • 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)
    -0.07853
  • Compounded annual return (geometric extrapolation)
    -0.07699
  • Calmar ratio (compounded annual return / max draw down)
    -0.71376
  • Compounded annual return / average of 25% largest draw downs
    -0.71376
  • Compounded annual return / Expected Shortfall lognormal
    -2.90466

Strategy Description

For more system related information please visit our website.

We sincerely appreciate your interest in QuanTimer. We care about your financial well-being and would like to make sure that you do not have any unpleasant experience, when you start trading QuanTimer systems. While we are very confident about the long-term profitability of our strategies, it is difficult to predict when exactly we could experience some drawdown.

We strongly recommend that you invest only one-third of your intended capital in the first month, add another one-third after a month, and add the last one-third after two months to get fully invested. This would be a prudent approach, since it will lessen the impact of drawdown in your portfolio.

Summary Statistics

Strategy began
2016-10-15
Minimum Capital Required
$25,000
# Trades
375
# Profitable
214
% Profitable
57.1%
Correlation S&P500
0.254
Sharpe Ratio
0.673

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.

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