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

Russell Trending
(107290550)

Created by: CapitalStGroup CapitalStGroup
Started: 12/2016
Futures
Last trade: 269 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 $200.00 per month.

-3.6%
Annual Return (Compounded)
27.8%
Max Drawdown
53
Num Trades
60.4%
Win Trades
1.2 : 1
Profit Factor
15.4%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2016                                                                             +11.3%+11.3%
2017+18.6%(17.5%)(11.6%)  -    -    -    -    -    -    -    -    -  (13.5%)

Model Account Details

A trading strategy on Collective2. Follow it in your broker account, or use a free simulated trading account.

Advanced users may want to use this information to adjust their AutoTrade scaling, or merely to understand the magnitudes of the nearby chart.

Trading Record

This strategy has placed 85 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
3/22/17 11:16 @TFSM7 Emini Russell 2000 LONG 2 1339.80 3/22 12:13 1335.90 2.47%
Trade id #110380126
Max drawdown($390)
Time3/22/17 12:13
Quant open0
Worst price1335.90
Drawdown as % of equity-2.47%
($406)
Includes Typical Broker Commissions trade costs of $16.00
3/22/17 10:35 @TFSM7 Emini Russell 2000 LONG 2 1338.00 3/22 10:45 1337.90 0.12%
Trade id #110378678
Max drawdown($20)
Time3/22/17 10:37
Quant open2
Worst price1337.80
Drawdown as % of equity-0.12%
($26)
Includes Typical Broker Commissions trade costs of $16.00
3/15/17 14:11 @TFSM7 Emini Russell 2000 LONG 2 1377.60 3/15 14:52 1381.50 1.22%
Trade id #110252561
Max drawdown($190)
Time3/15/17 14:38
Quant open2
Worst price1375.70
Drawdown as % of equity-1.22%
$374
Includes Typical Broker Commissions trade costs of $16.00
3/13/17 11:33 @TFSM7 Emini Russell 2000 SHORT 2 1367.70 3/13 15:56 1369.40 2.28%
Trade id #110198875
Max drawdown($360)
Time3/13/17 12:08
Quant open-2
Worst price1371.30
Drawdown as % of equity-2.28%
($186)
Includes Typical Broker Commissions trade costs of $16.00
3/13/17 10:05 @TFSM7 Emini Russell 2000 SHORT 2 1365.30 3/13 10:15 1370.00 2.88%
Trade id #110195367
Max drawdown($470)
Time3/13/17 10:15
Quant open0
Worst price1370.00
Drawdown as % of equity-2.88%
($486)
Includes Typical Broker Commissions trade costs of $16.00
3/10/17 10:25 @TFSM7 Emini Russell 2000 SHORT 2 1365.50 3/10 10:34 1363.60 0.37%
Trade id #110173977
Max drawdown($60)
Time3/10/17 10:29
Quant open-2
Worst price1366.10
Drawdown as % of equity-0.37%
$174
Includes Typical Broker Commissions trade costs of $16.00
3/10/17 9:49 @TFSM7 Emini Russell 2000 LONG 2 1364.12 3/10 10:12 1364.97 n/a $69
Includes Typical Broker Commissions trade costs of $16.00
3/8/17 14:57 @TFSH7 Emini Russell 2000 LONG 2 1372.80 3/8 15:27 1369.50 2.02%
Trade id #110117383
Max drawdown($330)
Time3/8/17 15:27
Quant open0
Worst price1369.50
Drawdown as % of equity-2.02%
($346)
Includes Typical Broker Commissions trade costs of $16.00
3/8/17 13:01 @TFSH7 Emini Russell 2000 LONG 2 1373.20 3/8 13:54 1374.02 0.43%
Trade id #110113691
Max drawdown($70)
Time3/8/17 13:06
Quant open2
Worst price1372.50
Drawdown as % of equity-0.43%
$66
Includes Typical Broker Commissions trade costs of $16.00
3/8/17 10:55 @TFSH7 Emini Russell 2000 LONG 2 1375.50 3/8 11:30 1372.00 2.1%
Trade id #110109755
Max drawdown($350)
Time3/8/17 11:30
Quant open0
Worst price1372.00
Drawdown as % of equity-2.10%
($366)
Includes Typical Broker Commissions trade costs of $16.00
3/6/17 14:04 @TFSH7 Emini Russell 2000 SHORT 2 1382.37 3/6 14:46 1382.30 0.68%
Trade id #110056301
Max drawdown($113)
Time3/6/17 14:17
Quant open-2
Worst price1383.50
Drawdown as % of equity-0.68%
($9)
Includes Typical Broker Commissions trade costs of $16.00
3/6/17 11:40 @TFSH7 Emini Russell 2000 SHORT 2 1378.00 3/6 13:11 1382.08 2.4%
Trade id #110052312
Max drawdown($408)
Time3/6/17 13:11
Quant open0
Worst price1382.08
Drawdown as % of equity-2.40%
($424)
Includes Typical Broker Commissions trade costs of $16.00
3/3/17 13:03 @TFSH7 Emini Russell 2000 SHORT 2 1386.46 3/3 15:20 1391.11 2.69%
Trade id #110025099
Max drawdown($465)
Time3/3/17 15:20
Quant open0
Worst price1391.11
Drawdown as % of equity-2.69%
($481)
Includes Typical Broker Commissions trade costs of $16.00
3/2/17 10:42 @TFSH7 Emini Russell 2000 SHORT 2 1406.10 3/2 11:17 1400.95 1.29%
Trade id #109988933
Max drawdown($219)
Time3/2/17 10:55
Quant open-2
Worst price1408.30
Drawdown as % of equity-1.29%
$499
Includes Typical Broker Commissions trade costs of $16.00
3/1/17 10:13 @TFSH7 Emini Russell 2000 LONG 2 1411.24 3/1 12:06 1413.04 3%
Trade id #109951177
Max drawdown($504)
Time3/1/17 10:41
Quant open2
Worst price1406.20
Drawdown as % of equity-3.00%
$164
Includes Typical Broker Commissions trade costs of $16.00
2/28/17 10:52 @TFSH7 Emini Russell 2000 LONG 2 1397.46 2/28 12:07 1392.82 2.68%
Trade id #109909077
Max drawdown($464)
Time2/28/17 12:07
Quant open0
Worst price1392.82
Drawdown as % of equity-2.68%
($480)
Includes Typical Broker Commissions trade costs of $16.00
2/27/17 11:48 @TFSH7 Emini Russell 2000 SHORT 2 1398.74 2/27 14:27 1405.07 3.63%
Trade id #109876500
Max drawdown($633)
Time2/27/17 14:27
Quant open0
Worst price1405.07
Drawdown as % of equity-3.63%
($649)
Includes Typical Broker Commissions trade costs of $16.00
2/24/17 13:31 @TFSH7 Emini Russell 2000 SHORT 2 1388.92 2/24 15:47 1392.41 1.92%
Trade id #109841050
Max drawdown($349)
Time2/24/17 15:47
Quant open0
Worst price1392.41
Drawdown as % of equity-1.92%
($365)
Includes Typical Broker Commissions trade costs of $16.00
2/24/17 10:06 @TFSH7 Emini Russell 2000 SHORT 2 1386.50 2/24 12:31 1393.14 3.6%
Trade id #109831943
Max drawdown($664)
Time2/24/17 12:31
Quant open0
Worst price1393.14
Drawdown as % of equity-3.60%
($680)
Includes Typical Broker Commissions trade costs of $16.00
2/23/17 12:04 @TFSH7 Emini Russell 2000 LONG 2 1388.32 2/23 12:19 1390.81 0.06%
Trade id #109790708
Max drawdown($11)
Time2/23/17 12:12
Quant open2
Worst price1388.20
Drawdown as % of equity-0.06%
$233
Includes Typical Broker Commissions trade costs of $16.00
2/22/17 14:34 @TFSH7 Emini Russell 2000 SHORT 2 1401.20 2/22 15:28 1402.18 0.52%
Trade id #109757031
Max drawdown($98)
Time2/22/17 15:28
Quant open0
Worst price1402.18
Drawdown as % of equity-0.52%
($114)
Includes Typical Broker Commissions trade costs of $16.00
2/22/17 14:08 @TFSH7 Emini Russell 2000 SHORT 2 1402.30 2/22 14:14 1402.44 0.07%
Trade id #109755761
Max drawdown($14)
Time2/22/17 14:14
Quant open0
Worst price1402.44
Drawdown as % of equity-0.07%
($30)
Includes Typical Broker Commissions trade costs of $16.00
2/21/17 11:09 @TFSH7 Emini Russell 2000 SHORT 2 1404.66 2/21 14:45 1407.33 1.4%
Trade id #109711109
Max drawdown($266)
Time2/21/17 14:45
Quant open0
Worst price1407.33
Drawdown as % of equity-1.40%
($282)
Includes Typical Broker Commissions trade costs of $16.00
2/21/17 10:09 @TFSH7 Emini Russell 2000 LONG 2 1409.89 2/21 10:58 1404.77 2.62%
Trade id #109708070
Max drawdown($512)
Time2/21/17 10:58
Quant open0
Worst price1404.77
Drawdown as % of equity-2.62%
($528)
Includes Typical Broker Commissions trade costs of $16.00
2/17/17 10:27 @TFSH7 Emini Russell 2000 SHORT 2 1394.22 2/17 11:14 1393.19 0.71%
Trade id #109636595
Max drawdown($138)
Time2/17/17 10:31
Quant open-2
Worst price1395.60
Drawdown as % of equity-0.71%
$87
Includes Typical Broker Commissions trade costs of $16.00
2/15/17 11:04 @TFSH7 Emini Russell 2000 LONG 2 1395.32 2/15 11:20 1396.24 0.27%
Trade id #109562814
Max drawdown($51)
Time2/15/17 11:07
Quant open2
Worst price1394.80
Drawdown as % of equity-0.27%
$77
Includes Typical Broker Commissions trade costs of $16.00
2/13/17 10:29 @TFSH7 Emini Russell 2000 SHORT 2 1394.09 2/13 12:04 1392.79 1.56%
Trade id #109496806
Max drawdown($301)
Time2/13/17 11:02
Quant open-2
Worst price1397.10
Drawdown as % of equity-1.56%
$114
Includes Typical Broker Commissions trade costs of $16.00
2/6/17 11:00 @TFSH7 Emini Russell 2000 SHORT 2 1370.12 2/6 13:21 1363.45 1.02%
Trade id #109310839
Max drawdown($188)
Time2/6/17 11:08
Quant open-2
Worst price1372.00
Drawdown as % of equity-1.02%
$650
Includes Typical Broker Commissions trade costs of $16.00
2/6/17 9:45 @TFSH7 Emini Russell 2000 SHORT 2 1369.86 2/6 9:54 1373.35 1.85%
Trade id #109307451
Max drawdown($349)
Time2/6/17 9:54
Quant open0
Worst price1373.35
Drawdown as % of equity-1.85%
($365)
Includes Typical Broker Commissions trade costs of $16.00
2/1/17 14:12 @TFSH7 Emini Russell 2000 LONG 2 1360.57 2/1 14:40 1355.53 2.57%
Trade id #109211633
Max drawdown($504)
Time2/1/17 14:40
Quant open0
Worst price1355.53
Drawdown as % of equity-2.57%
($520)
Includes Typical Broker Commissions trade costs of $16.00

Statistics

  • Strategy began
    12/7/2016
  • Starting Unit Size
    $5,500
  • Strategy Age (days)
    369.7
  • Age
    12 months ago
  • What it trades
    Futures
  • # Trades
    53
  • # Profitable
    32
  • % Profitable
    60.40%
  • Avg trade duration
    1.0 hours
  • Max peak-to-valley drawdown
    27.77%
  • drawdown period
    Feb 01, 2017 - March 15, 2017
  • Annual Return (Compounded)
    -3.6%
  • Avg win
    $284.78
  • Avg loss
    $354.81
  • Model Account Values (Raw)
  • Cash
    $15,660
  • Margin Used
    $0
  • Buying Power
    $15,660
  • Ratios
  • W:L ratio
    1.22:1
  • Sharpe Ratio
    1.123
  • Sortino Ratio
    1.672
  • Calmar Ratio
    1.262
  • CORRELATION STATISTICS
  • Correlation to SP500
    0.06300
  • Return Statistics
  • Ann Return (w trading costs)
    -3.6%
  • Ann Return (Compnd, No Fees)
    11.5%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    100.00%
  • Chance of 20% account loss
    100.00%
  • Chance of 30% account loss
    n/a
  • Chance of 40% account loss
    n/a
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    651
  • 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
    $355
  • Avg Win
    $285
  • # Winners
    32
  • # Losers
    21
  • % Winners
    60.4%
  • Frequency
  • Avg Position Time (mins)
    60.32
  • Avg Position Time (hrs)
    1.00
  • Avg Trade Length
    0.0 days
  • Last Trade Ago
    265
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.28327
  • SD
    0.45481
  • Sharpe ratio (Glass type estimate)
    0.62284
  • Sharpe ratio (Hedges UMVUE)
    0.52365
  • df
    5.00000
  • t
    0.44042
  • p
    0.33901
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.20383
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.39038
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.26709
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.31439
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.17486
  • Upside Potential Ratio
    2.82454
  • Upside part of mean
    0.68103
  • Downside part of mean
    -0.39776
  • Upside SD
    0.34775
  • Downside SD
    0.24111
  • N nonnegative terms
    2.00000
  • N negative terms
    4.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    6.00000
  • Mean of predictor
    0.31561
  • Mean of criterion
    0.28327
  • SD of predictor
    0.08240
  • SD of criterion
    0.45481
  • Covariance
    -0.01374
  • r
    -0.36672
  • b (slope, estimate of beta)
    -2.02417
  • a (intercept, estimate of alpha)
    0.92212
  • Mean Square Error
    0.22379
  • DF error
    4.00000
  • t(b)
    -0.78836
  • p(b)
    0.76271
  • t(a)
    0.87751
  • p(a)
    0.21488
  • Lowerbound of 95% confidence interval for beta
    -9.15431
  • Upperbound of 95% confidence interval for beta
    5.10598
  • Lowerbound of 95% confidence interval for alpha
    -1.99604
  • Upperbound of 95% confidence interval for alpha
    3.84028
  • Treynor index (mean / b)
    -0.13995
  • Jensen alpha (a)
    0.92212
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.19632
  • SD
    0.44823
  • Sharpe ratio (Glass type estimate)
    0.43800
  • Sharpe ratio (Hedges UMVUE)
    0.36825
  • df
    5.00000
  • t
    0.30971
  • p
    0.38464
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.36732
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.20140
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.41294
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.14943
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.74668
  • Upside Potential Ratio
    2.37985
  • Upside part of mean
    0.62573
  • Downside part of mean
    -0.42941
  • Upside SD
    0.31860
  • Downside SD
    0.26293
  • N nonnegative terms
    2.00000
  • N negative terms
    4.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    6.00000
  • Mean of predictor
    0.30819
  • Mean of criterion
    0.19632
  • SD of predictor
    0.07912
  • SD of criterion
    0.44823
  • Covariance
    -0.01249
  • r
    -0.35212
  • b (slope, estimate of beta)
    -1.99491
  • a (intercept, estimate of alpha)
    0.81113
  • Mean Square Error
    0.22000
  • DF error
    4.00000
  • t(b)
    -0.75242
  • p(b)
    0.75317
  • t(a)
    0.77070
  • p(a)
    0.24194
  • Lowerbound of 95% confidence interval for beta
    -9.35763
  • Upperbound of 95% confidence interval for beta
    5.36781
  • Lowerbound of 95% confidence interval for alpha
    -2.11153
  • Upperbound of 95% confidence interval for alpha
    3.73380
  • Treynor index (mean / b)
    -0.09841
  • Jensen alpha (a)
    0.81113
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.17838
  • Expected Shortfall on VaR
    0.22074
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.09084
  • Expected Shortfall on VaR
    0.17362
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    6.00000
  • Minimum
    0.83382
  • Quartile 1
    0.98246
  • Median
    1.00000
  • Quartile 3
    1.10299
  • Maximum
    1.20786
  • Mean of quarter 1
    0.90522
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.17259
  • Inter Quartile Range
    0.12052
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    1.00000
  • Minimum
    0.18568
  • Quartile 1
    0.18568
  • Median
    0.18568
  • Quartile 3
    0.18568
  • Maximum
    0.18568
  • 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)
    0.23729
  • Compounded annual return (geometric extrapolation)
    0.25136
  • Calmar ratio (compounded annual return / max draw down)
    1.35374
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    1.13872
  • 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
    0.21427
  • SD
    0.18969
  • Sharpe ratio (Glass type estimate)
    1.12954
  • Sharpe ratio (Hedges UMVUE)
    1.12301
  • df
    130.00000
  • t
    0.79870
  • p
    0.46506
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.64772
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.90269
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.65216
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.89817
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.67219
  • Upside Potential Ratio
    7.24691
  • Upside part of mean
    0.92858
  • Downside part of mean
    -0.71432
  • Upside SD
    0.13952
  • Downside SD
    0.12813
  • N nonnegative terms
    37.00000
  • N negative terms
    94.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.31190
  • Mean of criterion
    0.21427
  • SD of predictor
    0.08400
  • SD of criterion
    0.18969
  • Covariance
    0.00095
  • r
    0.05944
  • b (slope, estimate of beta)
    0.13423
  • a (intercept, estimate of alpha)
    0.17200
  • Mean Square Error
    0.03613
  • DF error
    129.00000
  • t(b)
    0.67633
  • p(b)
    0.46218
  • t(a)
    0.62494
  • p(a)
    0.46504
  • Lowerbound of 95% confidence interval for beta
    -0.25844
  • Upperbound of 95% confidence interval for beta
    0.52690
  • Lowerbound of 95% confidence interval for alpha
    -0.37340
  • Upperbound of 95% confidence interval for alpha
    0.71820
  • Treynor index (mean / b)
    1.59627
  • Jensen alpha (a)
    0.17240
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.19632
  • SD
    0.18960
  • Sharpe ratio (Glass type estimate)
    1.03548
  • Sharpe ratio (Hedges UMVUE)
    1.02949
  • df
    130.00000
  • t
    0.73219
  • p
    0.46796
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.74112
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.80821
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.74514
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.80412
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.51075
  • Upside Potential Ratio
    7.07126
  • Upside part of mean
    0.91893
  • Downside part of mean
    -0.72260
  • Upside SD
    0.13760
  • Downside SD
    0.12995
  • N nonnegative terms
    37.00000
  • N negative terms
    94.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.30819
  • Mean of criterion
    0.19632
  • SD of predictor
    0.08396
  • SD of criterion
    0.18960
  • Covariance
    0.00094
  • r
    0.05904
  • b (slope, estimate of beta)
    0.13332
  • a (intercept, estimate of alpha)
    0.15524
  • Mean Square Error
    0.03610
  • DF error
    129.00000
  • t(b)
    0.67172
  • p(b)
    0.46244
  • t(a)
    0.56332
  • p(a)
    0.46848
  • Lowerbound of 95% confidence interval for beta
    -0.25937
  • Upperbound of 95% confidence interval for beta
    0.52601
  • Lowerbound of 95% confidence interval for alpha
    -0.38999
  • Upperbound of 95% confidence interval for alpha
    0.70047
  • Treynor index (mean / b)
    1.47258
  • Jensen alpha (a)
    0.15524
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01835
  • Expected Shortfall on VaR
    0.02313
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00774
  • Expected Shortfall on VaR
    0.01638
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.95661
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00138
  • Maximum
    1.04928
  • Mean of quarter 1
    0.98948
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00012
  • Mean of quarter 4
    1.01408
  • Inter Quartile Range
    0.00138
  • Number outliers low
    19.00000
  • Percentage of outliers low
    0.14504
  • Mean of outliers low
    0.98184
  • Number of outliers high
    31.00000
  • Percentage of outliers high
    0.23664
  • Mean of outliers high
    1.01488
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -2.94851
  • VaR(95%) (moments method)
    0.00316
  • Expected Shortfall (moments method)
    0.00324
  • Extreme Value Index (regression method)
    -0.54515
  • VaR(95%) (regression method)
    0.01640
  • Expected Shortfall (regression method)
    0.02273
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    4.00000
  • Minimum
    0.00064
  • Quartile 1
    0.01196
  • Median
    0.02231
  • Quartile 3
    0.07148
  • Maximum
    0.19921
  • Mean of quarter 1
    0.00064
  • Mean of quarter 2
    0.01573
  • Mean of quarter 3
    0.02890
  • Mean of quarter 4
    0.19921
  • Inter Quartile Range
    0.05952
  • 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
    0.25000
  • Mean of outliers high
    0.19921
  • 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)
    0.23729
  • Compounded annual return (geometric extrapolation)
    0.25136
  • Calmar ratio (compounded annual return / max draw down)
    1.26178
  • Compounded annual return / average of 25% largest draw downs
    1.26178
  • Compounded annual return / Expected Shortfall lognormal
    10.86690
  • 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
    0.21427
  • SD
    0.18969
  • Sharpe ratio (Glass type estimate)
    1.12954
  • Sharpe ratio (Hedges UMVUE)
    1.12301
  • df
    130.00000
  • t
    0.79870
  • p
    0.46506
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.64772
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.90269
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.65216
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.89817
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.67219
  • Upside Potential Ratio
    7.24691
  • Upside part of mean
    0.92858
  • Downside part of mean
    -0.71432
  • Upside SD
    0.13952
  • Downside SD
    0.12813
  • N nonnegative terms
    37.00000
  • N negative terms
    94.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.31190
  • Mean of criterion
    0.21427
  • SD of predictor
    0.08400
  • SD of criterion
    0.18969
  • Covariance
    0.00095
  • r
    0.05944
  • b (slope, estimate of beta)
    0.13423
  • a (intercept, estimate of alpha)
    0.17240
  • Mean Square Error
    0.03613
  • DF error
    129.00000
  • t(b)
    0.67633
  • p(b)
    0.46218
  • t(a)
    0.62494
  • p(a)
    0.46504
  • Lowerbound of 95% confidence interval for beta
    -0.25844
  • Upperbound of 95% confidence interval for beta
    0.52690
  • Lowerbound of 95% confidence interval for alpha
    -0.37340
  • Upperbound of 95% confidence interval for alpha
    0.71820
  • Treynor index (mean / b)
    1.59627
  • Jensen alpha (a)
    0.17240
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.19632
  • SD
    0.18960
  • Sharpe ratio (Glass type estimate)
    1.03548
  • Sharpe ratio (Hedges UMVUE)
    1.02949
  • df
    130.00000
  • t
    0.73219
  • p
    0.46796
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.74112
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.80821
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.74514
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.80412
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.51075
  • Upside Potential Ratio
    7.07126
  • Upside part of mean
    0.91893
  • Downside part of mean
    -0.72260
  • Upside SD
    0.13760
  • Downside SD
    0.12995
  • N nonnegative terms
    37.00000
  • N negative terms
    94.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.30819
  • Mean of criterion
    0.19632
  • SD of predictor
    0.08396
  • SD of criterion
    0.18960
  • Covariance
    0.00094
  • r
    0.05904
  • b (slope, estimate of beta)
    0.13332
  • a (intercept, estimate of alpha)
    0.15524
  • Mean Square Error
    0.03610
  • DF error
    129.00000
  • t(b)
    0.67172
  • p(b)
    0.46244
  • t(a)
    0.56332
  • p(a)
    0.46848
  • Lowerbound of 95% confidence interval for beta
    -0.25937
  • Upperbound of 95% confidence interval for beta
    0.52601
  • Lowerbound of 95% confidence interval for alpha
    -0.38999
  • Upperbound of 95% confidence interval for alpha
    0.70047
  • Treynor index (mean / b)
    1.47258
  • Jensen alpha (a)
    0.15524
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01835
  • Expected Shortfall on VaR
    0.02313
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00774
  • Expected Shortfall on VaR
    0.01638
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.95661
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00138
  • Maximum
    1.04928
  • Mean of quarter 1
    0.98948
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00012
  • Mean of quarter 4
    1.01408
  • Inter Quartile Range
    0.00138
  • Number outliers low
    19.00000
  • Percentage of outliers low
    0.14504
  • Mean of outliers low
    0.98184
  • Number of outliers high
    31.00000
  • Percentage of outliers high
    0.23664
  • Mean of outliers high
    1.01488
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -2.94851
  • VaR(95%) (moments method)
    0.00316
  • Expected Shortfall (moments method)
    0.00324
  • Extreme Value Index (regression method)
    -0.54515
  • VaR(95%) (regression method)
    0.01640
  • Expected Shortfall (regression method)
    0.02273
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    4.00000
  • Minimum
    0.00064
  • Quartile 1
    0.01196
  • Median
    0.02231
  • Quartile 3
    0.07148
  • Maximum
    0.19921
  • Mean of quarter 1
    0.00064
  • Mean of quarter 2
    0.01573
  • Mean of quarter 3
    0.02890
  • Mean of quarter 4
    0.19921
  • Inter Quartile Range
    0.05952
  • 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
    0.25000
  • Mean of outliers high
    0.19921
  • 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)
    0.23729
  • Compounded annual return (geometric extrapolation)
    0.25136
  • Calmar ratio (compounded annual return / max draw down)
    1.26178
  • Compounded annual return / average of 25% largest draw downs
    1.26178
  • Compounded annual return / Expected Shortfall lognormal
    10.86690

Strategy Description

The overall market trend dictates whether buying or selling, entry points and exits are based on support/resistance and price. The support and resistance levels are based on multiple time frames, when properly aligned the trade is executed. Also, entry/exit indicators are based on a proprietary model developed by years of testing and daily trading. No trades are left unattended, if a position reverses and breaks support they will be closed. Stop Loss will be used to prevent big losses. Positive trades will run until they exhaust themselves.

Summary Statistics

Strategy began
2016-12-07
Minimum Capital Required
$5,500
# Trades
53
# Profitable
32
% Profitable
60.4%
Correlation S&P500
0.063
Sharpe Ratio
1.123

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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