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

Mozart
(85617966)

Created by: T T
Started: 02/2014
Stocks
Last trade: 2,106 days ago
Subscriptions not currently available.

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 $129.00 per month.

C2Star

C2Star is a certification program for trading strategies. In order to become "C2Star Certified," a strategy must apply tight risk controls, and must exhibit excellent performance characteristics, including low drawdowns.

You can read more about C2Star certification requirements here.

Note that: all trading strategies are risky, and C2Star Certification does not imply that a strategy is low risk.

9.4%
Annual Return (Compounded)

Rate of Return Calculations

Overview

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

How Annualized (Compounded) Rate of Return is calculated

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

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

All results are hypothetical.

(54.0%)
Max Drawdown
263
Num Trades
66.9%
Win Trades
1.5 : 1
Profit Factor
28.7%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2014       +54.3%(0.1%)+3.6%(0.1%)(0.1%)+0.4%+4.2%(2.1%)(7.8%)+2.5%+2.1%+57.2%
2015(3.1%)+31.0%+10.0%+2.6%+2.6%(3.3%)+3.8%+3.5%+2.8%+0.7%+5.9%(2.5%)+63.2%
2016(0.8%)+3.9%+2.0%(0.5%)(4.2%)+4.2%+1.1%(0.9%)+1.6%(0.6%)+2.0%(0.4%)+7.1%
2017+4.3%(4.4%)+11.1%+2.0%(0.5%)+0.6%+0.2%+3.3%+0.4%+2.9%+3.2%+0.8%+25.9%
2018+2.1%(44.8%)(0.8%)+4.8%+8.5%+12.9%  -    -    -    -    -    -  (28.2%)
2019  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2020  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2021  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2022  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2023  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2024  -    -    -                                                        0.0

Model Account Details

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

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

Trading Record

This strategy has placed 688 trades in real-life brokerage accounts. To see live brokerage data, select Show AutoTrade Data, and click on a Live AutoTrade Indicator symbol.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
5/25/18 15:23 VRTX VERTEX LONG 320 157.35 6/22 15:13 159.88 1.72%
Trade id #118121452
Max drawdown($4,249)
Time6/6/18 9:37
Quant open320
Worst price144.07
Drawdown as % of equity-1.72%
$804
Includes Typical Broker Commissions trade costs of $6.40
4/9/18 12:45 ACWI ISHARES MSCI ACWI ETF LONG 1,500 71.83 6/22 15:13 72.19 0.23%
Trade id #117430802
Max drawdown($532)
Time5/29/18 15:01
Quant open1,500
Worst price71.47
Drawdown as % of equity-0.23%
$535
Includes Typical Broker Commissions trade costs of $5.00
4/26/18 14:47 XHB SPDR S&P HOMEBUILDERS LONG 2,000 39.73 6/22 15:13 39.75 0.74%
Trade id #117681636
Max drawdown($1,820)
Time6/5/18 9:13
Quant open2,000
Worst price38.82
Drawdown as % of equity-0.74%
$35
Includes Typical Broker Commissions trade costs of $5.00
5/18/18 12:20 IQ IQIYI INC. AMERICAN DEPOSITARY SHARES LONG 3,500 20.55 6/11 13:16 30.01 0.85%
Trade id #117999504
Max drawdown($1,920)
Time5/21/18 14:34
Quant open3,500
Worst price20.00
Drawdown as % of equity-0.85%
$33,105
Includes Typical Broker Commissions trade costs of $7.50
4/26/18 12:47 FNG ADVISORSHARES NEW TECH AND MEDIA ETF LONG 4,500 20.63 6/11 13:16 22.07 n/a $6,479
Includes Typical Broker Commissions trade costs of $5.00
3/19/18 15:43 ITA I SHARES US AEROSPACE & DEFENSE LONG 200 198.34 4/19 13:26 205.16 0.69%
Trade id #117124911
Max drawdown($1,387)
Time4/4/18 8:01
Quant open200
Worst price191.40
Drawdown as % of equity-0.69%
$1,361
Includes Typical Broker Commissions trade costs of $4.00
3/23/18 14:46 AMZN AMAZON.COM LONG 48 1509.27 4/19 13:26 1555.05 3.87%
Trade id #117212976
Max drawdown($7,824)
Time4/4/18 4:34
Quant open48
Worst price1346.25
Drawdown as % of equity-3.87%
$2,197
Includes Typical Broker Commissions trade costs of $0.96
3/19/18 15:41 MSI MOTOROLA SOLUTIONS LONG 850 106.57 4/18 11:16 111.75 1.4%
Trade id #117124867
Max drawdown($2,877)
Time4/2/18 12:08
Quant open850
Worst price103.18
Drawdown as % of equity-1.40%
$4,395
Includes Typical Broker Commissions trade costs of $11.00
3/5/18 15:34 CPB CAMPBELL SOUP LONG 2,300 43.14 4/10 15:27 42.59 1.69%
Trade id #116869180
Max drawdown($3,584)
Time3/21/18 10:39
Quant open1,500
Worst price40.99
Drawdown as % of equity-1.69%
($1,255)
Includes Typical Broker Commissions trade costs of $7.50
3/2/18 15:43 IWM ISHARES RUSSELL 2000 INDEX LONG 330 152.49 3/12 14:17 159.07 0.51%
Trade id #116839337
Max drawdown($1,065)
Time3/2/18 16:44
Quant open330
Worst price149.26
Drawdown as % of equity-0.51%
$2,165
Includes Typical Broker Commissions trade costs of $6.60
3/5/18 15:28 AMP AMERIPRISE FINANCIAL LONG 320 155.21 3/12 14:17 159.99 0.24%
Trade id #116869092
Max drawdown($494)
Time3/7/18 12:23
Quant open320
Worst price153.66
Drawdown as % of equity-0.24%
$1,524
Includes Typical Broker Commissions trade costs of $6.40
2/9/18 12:58 SPXU PROSHARES ULTRAPRO SHORT S&P50 SHORT 11,000 12.64 3/1 9:56 10.68 2.68%
Trade id #116422563
Max drawdown($4,758)
Time2/9/18 13:39
Quant open-11,000
Worst price13.07
Drawdown as % of equity-2.68%
$21,471
Includes Typical Broker Commissions trade costs of $7.50
1/31/18 15:38 EEM ISHARES MSCI EMERGING MARKETS LONG 1,000 50.93 3/1 9:56 48.20 3.31%
Trade id #116207663
Max drawdown($5,893)
Time2/9/18 13:39
Quant open1,000
Worst price45.03
Drawdown as % of equity-3.31%
($2,733)
Includes Typical Broker Commissions trade costs of $5.00
1/31/18 15:40 BLK BLACKROCK LONG 90 563.68 2/28 12:29 558.07 3.22%
Trade id #116207731
Max drawdown($5,730)
Time2/9/18 13:38
Quant open90
Worst price500.01
Drawdown as % of equity-3.22%
($508)
Includes Typical Broker Commissions trade costs of $1.80
1/31/18 15:37 XIV VELOCITYSHARES DAILY INVERSE V LONG 1,600 111.66 2/6 14:20 5.76 92.01%
Trade id #116207605
Max drawdown($169,854)
Time2/6/18 14:08
Quant open1,600
Worst price5.50
Drawdown as % of equity-92.01%
($169,465)
Includes Typical Broker Commissions trade costs of $18.50
1/31/18 15:38 ACN ACCENTURE LONG 300 160.57 2/6 14:20 150.74 1.64%
Trade id #116207623
Max drawdown($3,341)
Time2/6/18 10:38
Quant open300
Worst price149.43
Drawdown as % of equity-1.64%
($2,954)
Includes Typical Broker Commissions trade costs of $6.00
2/5/18 13:43 XLY SPDR CONSUMER DISCRET SELECT LONG 450 104.94 2/6 14:20 102.27 0.7%
Trade id #116305204
Max drawdown($2,338)
Time2/6/18 9:31
Quant open450
Worst price99.74
Drawdown as % of equity-0.70%
($1,209)
Includes Typical Broker Commissions trade costs of $9.00
2/1/18 15:58 XLE ENERGY SELECT SECTOR SPDR LONG 600 75.59 2/6 14:20 68.24 1.42%
Trade id #116234095
Max drawdown($4,705)
Time2/6/18 7:06
Quant open600
Worst price67.75
Drawdown as % of equity-1.42%
($4,417)
Includes Typical Broker Commissions trade costs of $5.00
1/19/18 14:03 LIVN LIVANOVA PLC ORDINARY SHARES LONG 600 83.36 1/24 10:48 86.51 0.08%
Trade id #115987342
Max drawdown($307)
Time1/22/18 10:08
Quant open600
Worst price82.85
Drawdown as % of equity-0.08%
$1,882
Includes Typical Broker Commissions trade costs of $5.00
1/12/18 13:46 XLU UTILITIES SELECT SECTOR SPDR LONG 1,300 50.41 1/24 10:47 50.23 0.15%
Trade id #115864122
Max drawdown($530)
Time1/16/18 10:51
Quant open900
Worst price49.86
Drawdown as % of equity-0.15%
($230)
Includes Typical Broker Commissions trade costs of $9.00
1/10/18 15:16 WYNN WYNN RESORTS LONG 300 161.95 1/16 10:58 171.00 0.08%
Trade id #115812658
Max drawdown($293)
Time1/11/18 9:48
Quant open300
Worst price160.97
Drawdown as % of equity-0.08%
$2,709
Includes Typical Broker Commissions trade costs of $6.00
12/11/17 12:39 FB META PLATFORMS INC LONG 250 179.90 1/3/18 15:21 184.27 0.36%
Trade id #115293815
Max drawdown($1,307)
Time12/26/17 9:51
Quant open250
Worst price174.67
Drawdown as % of equity-0.36%
$1,088
Includes Typical Broker Commissions trade costs of $5.00
12/13/17 15:29 NFLX NETFLIX LONG 300 188.00 1/3/18 15:21 204.82 0.23%
Trade id #115339428
Max drawdown($834)
Time12/27/17 13:24
Quant open300
Worst price185.22
Drawdown as % of equity-0.23%
$5,039
Includes Typical Broker Commissions trade costs of $6.00
12/12/17 12:54 AKS AK STEEL HOLDING CORPORATION SHORT 4,000 5.34 1/3/18 15:21 6.34 1.32%
Trade id #115315411
Max drawdown($4,759)
Time1/3/18 9:33
Quant open-4,000
Worst price6.53
Drawdown as % of equity-1.32%
($4,003)
Includes Typical Broker Commissions trade costs of $5.00
12/11/17 14:16 O REALTY INCOME LONG 700 55.51 1/3/18 15:21 56.51 0.07%
Trade id #115295351
Max drawdown($241)
Time12/21/17 15:51
Quant open700
Worst price55.16
Drawdown as % of equity-0.07%
$695
Includes Typical Broker Commissions trade costs of $5.00
12/7/17 12:47 MPC MARATHON PETROLEUM LONG 800 63.76 12/8 13:07 64.85 0.01%
Trade id #115244769
Max drawdown($48)
Time12/7/17 13:04
Quant open800
Worst price63.70
Drawdown as % of equity-0.01%
$867
Includes Typical Broker Commissions trade costs of $5.00
12/1/17 15:33 MPC MARATHON PETROLEUM LONG 800 62.73 12/5 10:28 64.80 0.03%
Trade id #115152000
Max drawdown($91)
Time12/4/17 9:32
Quant open800
Worst price62.61
Drawdown as % of equity-0.03%
$1,656
Includes Typical Broker Commissions trade costs of $5.00
12/1/17 15:19 XIV VELOCITYSHARES DAILY INVERSE V LONG 900 112.51 12/5 10:28 118.79 0.08%
Trade id #115151652
Max drawdown($287)
Time12/1/17 15:25
Quant open900
Worst price112.19
Drawdown as % of equity-0.08%
$5,642
Includes Typical Broker Commissions trade costs of $11.50
8/9/17 13:46 TVIX VELOCITYSHARES DAILY 2X VIX SH SHORT 16,600 14.52 12/1 15:18 12.96 12.69%
Trade id #113064677
Max drawdown($38,540)
Time8/11/17 4:32
Quant open-6,000
Worst price24.94
Drawdown as % of equity-12.69%
$25,766
Includes Typical Broker Commissions trade costs of $54.00
10/18/17 14:31 IWM ISHARES RUSSELL 2000 INDEX LONG 550 148.44 11/14 9:57 146.36 1.58%
Trade id #114354830
Max drawdown($5,445)
Time11/10/17 15:36
Quant open550
Worst price138.54
Drawdown as % of equity-1.58%
($1,153)
Includes Typical Broker Commissions trade costs of $8.00

Statistics

  • Strategy began
    2/6/2014
  • Suggested Minimum Cap
    $100,000
  • Strategy Age (days)
    3701.72
  • Age
    123 months ago
  • What it trades
    Stocks
  • # Trades
    263
  • # Profitable
    176
  • % Profitable
    66.90%
  • Avg trade duration
    15.7 days
  • Max peak-to-valley drawdown
    53.96%
  • drawdown period
    Feb 01, 2018 - Feb 09, 2018
  • Annual Return (Compounded)
    9.4%
  • Avg win
    $2,608
  • Avg loss
    $3,509
  • Model Account Values (Raw)
  • Cash
    $262,474
  • Margin Used
    $0
  • Buying Power
    $262,474
  • Ratios
  • W:L ratio
    1.53:1
  • Sharpe Ratio
    0.33
  • Sortino Ratio
    0.41
  • Calmar Ratio
    0.324
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -45.01%
  • Correlation to SP500
    0.09190
  • Return Percent SP500 (cumu) during strategy life
    196.10%
  • Return Statistics
  • Ann Return (w trading costs)
    9.4%
  • Slump
  • Current Slump as Pcnt Equity
    43.20%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.61%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.094%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    10.0%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    100.00%
  • Chance of 20% account loss
    100.00%
  • Chance of 30% account loss
    100.00%
  • Chance of 40% account loss
    100.00%
  • Chance of 60% account loss (Monte Carlo)
    100.00%
  • Chance of 70% account loss (Monte Carlo)
    100.00%
  • Chance of 80% account loss (Monte Carlo)
    100.00%
  • Chance of 90% account loss (Monte Carlo)
    100.00%
  • Chance of 100% account loss (Monte Carlo)
    100.00%
  • Automation
  • Percentage Signals Automated
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    100.00%
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    0
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Popularity
  • Popularity (7 days, Percentile 1000 scale)
    0
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $3,510
  • Avg Win
    $2,608
  • Sum Trade PL (losers)
    $305,331.000
  • Age
  • Num Months filled monthly returns table
    122
  • Win / Loss
  • Sum Trade PL (winners)
    $459,011.000
  • # Winners
    176
  • Num Months Winners
    35
  • Dividends
  • Dividends Received in Model Acct
    8800
  • Win / Loss
  • # Losers
    87
  • % Winners
    66.9%
  • Frequency
  • Avg Position Time (mins)
    22561.40
  • Avg Position Time (hrs)
    376.02
  • Avg Trade Length
    15.7 days
  • Last Trade Ago
    2104
  • Regression
  • Alpha
    0.02
  • Beta
    0.11
  • Treynor Index
    0.19
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.01
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    38.62
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    40.73
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    0.48
  • MAE:Equity, average, winning trades
    0.01
  • MAE:Equity, average, losing trades
    0.02
  • Avg(MAE) / Avg(PL) - All trades
    6.599
  • MAE:Equity, losing trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, win trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, 95th Percentile Value for this strat
    0.04
  • Avg(MAE) / Avg(PL) - Winning trades
    0.554
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.278
  • Hold-and-Hope Ratio
    0.152
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.17387
  • SD
    0.28555
  • Sharpe ratio (Glass type estimate)
    0.60890
  • Sharpe ratio (Hedges UMVUE)
    0.60126
  • df
    60.00000
  • t
    1.37285
  • p
    0.08745
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.26966
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.48250
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.27468
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.47720
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.86609
  • Upside Potential Ratio
    1.64682
  • Upside part of mean
    0.33061
  • Downside part of mean
    -0.15674
  • Upside SD
    0.20596
  • Downside SD
    0.20076
  • N nonnegative terms
    30.00000
  • N negative terms
    31.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    61.00000
  • Mean of predictor
    0.15684
  • Mean of criterion
    0.17387
  • SD of predictor
    0.14277
  • SD of criterion
    0.28555
  • Covariance
    0.00830
  • r
    0.20365
  • b (slope, estimate of beta)
    0.40731
  • a (intercept, estimate of alpha)
    0.10999
  • Mean Square Error
    0.07948
  • DF error
    59.00000
  • t(b)
    1.59777
  • p(b)
    0.05772
  • t(a)
    0.83784
  • p(a)
    0.20275
  • Lowerbound of 95% confidence interval for beta
    -0.10279
  • Upperbound of 95% confidence interval for beta
    0.91742
  • Lowerbound of 95% confidence interval for alpha
    -0.15270
  • Upperbound of 95% confidence interval for alpha
    0.37268
  • Treynor index (mean / b)
    0.42688
  • Jensen alpha (a)
    0.10999
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.12643
  • SD
    0.32101
  • Sharpe ratio (Glass type estimate)
    0.39384
  • Sharpe ratio (Hedges UMVUE)
    0.38889
  • df
    60.00000
  • t
    0.88795
  • p
    0.18906
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.47994
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.26438
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.48319
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.26098
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.48814
  • Upside Potential Ratio
    1.20084
  • Upside part of mean
    0.31101
  • Downside part of mean
    -0.18458
  • Upside SD
    0.18871
  • Downside SD
    0.25899
  • N nonnegative terms
    30.00000
  • N negative terms
    31.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    61.00000
  • Mean of predictor
    0.14578
  • Mean of criterion
    0.12643
  • SD of predictor
    0.14020
  • SD of criterion
    0.32101
  • Covariance
    0.01005
  • r
    0.22327
  • b (slope, estimate of beta)
    0.51120
  • a (intercept, estimate of alpha)
    0.05190
  • Mean Square Error
    0.09957
  • DF error
    59.00000
  • t(b)
    1.75935
  • p(b)
    0.04185
  • t(a)
    0.35494
  • p(a)
    0.36195
  • Lowerbound of 95% confidence interval for beta
    -0.07021
  • Upperbound of 95% confidence interval for beta
    1.09261
  • Lowerbound of 95% confidence interval for alpha
    -0.24069
  • Upperbound of 95% confidence interval for alpha
    0.34450
  • Treynor index (mean / b)
    0.24731
  • Jensen alpha (a)
    0.05190
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.13228
  • Expected Shortfall on VaR
    0.16475
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02902
  • Expected Shortfall on VaR
    0.06816
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    61.00000
  • Minimum
    0.56683
  • Quartile 1
    1.00000
  • Median
    1.00230
  • Quartile 3
    1.03683
  • Maximum
    1.28983
  • Mean of quarter 1
    0.95426
  • Mean of quarter 2
    1.00049
  • Mean of quarter 3
    1.01757
  • Mean of quarter 4
    1.09913
  • Inter Quartile Range
    0.03683
  • Number outliers low
    2.00000
  • Percentage of outliers low
    0.03279
  • Mean of outliers low
    0.74457
  • Number of outliers high
    7.00000
  • Percentage of outliers high
    0.11475
  • Mean of outliers high
    1.15708
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    1.21823
  • VaR(95%) (moments method)
    0.01021
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.93111
  • VaR(95%) (regression method)
    0.03126
  • Expected Shortfall (regression method)
    0.58977
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    8.00000
  • Minimum
    0.00509
  • Quartile 1
    0.00839
  • Median
    0.05583
  • Quartile 3
    0.07789
  • Maximum
    0.43317
  • Mean of quarter 1
    0.00559
  • Mean of quarter 2
    0.02202
  • Mean of quarter 3
    0.07723
  • Mean of quarter 4
    0.25581
  • Inter Quartile Range
    0.06950
  • 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
    0.12500
  • Mean of outliers high
    0.43317
  • 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)
    0.23436
  • Compounded annual return (geometric extrapolation)
    0.16688
  • Calmar ratio (compounded annual return / max draw down)
    0.38525
  • Compounded annual return / average of 25% largest draw downs
    0.65234
  • Compounded annual return / Expected Shortfall lognormal
    1.01290
  • 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
    0.16136
  • SD
    0.24946
  • Sharpe ratio (Glass type estimate)
    0.64685
  • Sharpe ratio (Hedges UMVUE)
    0.64649
  • df
    1346.00000
  • t
    1.46669
  • p
    0.48003
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.21799
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.51150
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.21825
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.51124
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.80949
  • Upside Potential Ratio
    3.40105
  • Upside part of mean
    0.67795
  • Downside part of mean
    -0.51659
  • Upside SD
    0.15015
  • Downside SD
    0.19934
  • N nonnegative terms
    535.00000
  • N negative terms
    812.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1347.00000
  • Mean of predictor
    0.20742
  • Mean of criterion
    0.16136
  • SD of predictor
    0.22538
  • SD of criterion
    0.24946
  • Covariance
    0.00521
  • r
    0.09259
  • b (slope, estimate of beta)
    0.10247
  • a (intercept, estimate of alpha)
    0.14000
  • Mean Square Error
    0.06174
  • DF error
    1345.00000
  • t(b)
    3.41018
  • p(b)
    0.44114
  • t(a)
    1.27644
  • p(a)
    0.47786
  • Lowerbound of 95% confidence interval for beta
    0.04353
  • Upperbound of 95% confidence interval for beta
    0.16142
  • Lowerbound of 95% confidence interval for alpha
    -0.07522
  • Upperbound of 95% confidence interval for alpha
    0.35543
  • Treynor index (mean / b)
    1.57464
  • Jensen alpha (a)
    0.14011
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.12469
  • SD
    0.28381
  • Sharpe ratio (Glass type estimate)
    0.43933
  • Sharpe ratio (Hedges UMVUE)
    0.43908
  • df
    1346.00000
  • t
    0.99614
  • p
    0.48643
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.42530
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.30382
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.42548
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.30364
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.50919
  • Upside Potential Ratio
    2.72501
  • Upside part of mean
    0.66728
  • Downside part of mean
    -0.54259
  • Upside SD
    0.14349
  • Downside SD
    0.24487
  • N nonnegative terms
    535.00000
  • N negative terms
    812.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1347.00000
  • Mean of predictor
    0.18147
  • Mean of criterion
    0.12469
  • SD of predictor
    0.22875
  • SD of criterion
    0.28381
  • Covariance
    0.00481
  • r
    0.07413
  • b (slope, estimate of beta)
    0.09197
  • a (intercept, estimate of alpha)
    0.10800
  • Mean Square Error
    0.08017
  • DF error
    1345.00000
  • t(b)
    2.72611
  • p(b)
    0.45285
  • t(a)
    0.86382
  • p(a)
    0.48501
  • Lowerbound of 95% confidence interval for beta
    0.02579
  • Upperbound of 95% confidence interval for beta
    0.15816
  • Lowerbound of 95% confidence interval for alpha
    -0.13726
  • Upperbound of 95% confidence interval for alpha
    0.35326
  • Treynor index (mean / b)
    1.35566
  • Jensen alpha (a)
    0.10800
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02797
  • Expected Shortfall on VaR
    0.03504
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00491
  • Expected Shortfall on VaR
    0.01153
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    1347.00000
  • Minimum
    0.59932
  • Quartile 1
    0.99940
  • Median
    1.00000
  • Quartile 3
    1.00171
  • Maximum
    1.20207
  • Mean of quarter 1
    0.99246
  • Mean of quarter 2
    0.99992
  • Mean of quarter 3
    1.00047
  • Mean of quarter 4
    1.01005
  • Inter Quartile Range
    0.00231
  • Number outliers low
    150.00000
  • Percentage of outliers low
    0.11136
  • Mean of outliers low
    0.98548
  • Number of outliers high
    168.00000
  • Percentage of outliers high
    0.12472
  • Mean of outliers high
    1.01709
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.68152
  • VaR(95%) (moments method)
    0.00487
  • Expected Shortfall (moments method)
    0.01797
  • Extreme Value Index (regression method)
    0.52722
  • VaR(95%) (regression method)
    0.00542
  • Expected Shortfall (regression method)
    0.01452
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    54.00000
  • Minimum
    0.00001
  • Quartile 1
    0.00181
  • Median
    0.00868
  • Quartile 3
    0.02238
  • Maximum
    0.50845
  • Mean of quarter 1
    0.00073
  • Mean of quarter 2
    0.00441
  • Mean of quarter 3
    0.01232
  • Mean of quarter 4
    0.09885
  • Inter Quartile Range
    0.02057
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    8.00000
  • Percentage of outliers high
    0.14815
  • Mean of outliers high
    0.14929
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.58718
  • VaR(95%) (moments method)
    0.09127
  • Expected Shortfall (moments method)
    0.25172
  • Extreme Value Index (regression method)
    0.54181
  • VaR(95%) (regression method)
    0.09044
  • Expected Shortfall (regression method)
    0.22596
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.23173
  • Compounded annual return (geometric extrapolation)
    0.16485
  • Calmar ratio (compounded annual return / max draw down)
    0.32422
  • Compounded annual return / average of 25% largest draw downs
    1.66763
  • Compounded annual return / Expected Shortfall lognormal
    4.70441
  • 0.00000
  • 0.00000
  • Analysis based on DAILY values, last 6 months only
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.02791
  • SD
    0.00000
  • Sharpe ratio (Glass type estimate)
    0.00000
  • Sharpe ratio (Hedges UMVUE)
    0.00000
  • df
    0.00000
  • t
    0.00000
  • p
    0.00000
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.00000
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.00000
  • Statistics related to Sortino ratio
  • Sortino ratio
    -16.18640
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    0.00000
  • Downside part of mean
    -0.02791
  • Upside SD
    0.00000
  • Downside SD
    0.00172
  • N nonnegative terms
    0.00000
  • N negative terms
    131.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    1.08803
  • Mean of criterion
    -0.02791
  • SD of predictor
    0.43855
  • SD of criterion
    0.00000
  • Covariance
    0.00000
  • r
    0.00000
  • b (slope, estimate of beta)
    0.00000
  • a (intercept, estimate of alpha)
    0.00000
  • Mean Square Error
    0.00000
  • DF error
    0.00000
  • t(b)
    0.00000
  • p(b)
    0.00000
  • t(a)
    0.00000
  • p(a)
    0.00000
  • Lowerbound of 95% confidence interval for beta
    0.00000
  • Upperbound of 95% confidence interval for beta
    0.00000
  • Lowerbound of 95% confidence interval for alpha
    0.00000
  • Upperbound of 95% confidence interval for alpha
    0.00000
  • Treynor index (mean / b)
    0.00000
  • Jensen alpha (a)
    0.00000
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.02791
  • SD
    0.00000
  • Sharpe ratio (Glass type estimate)
    -9748420000000000.00000
  • Sharpe ratio (Hedges UMVUE)
    -9692070000000000.00000
  • df
    130.00000
  • t
    -6893170000000000.00000
  • p
    1.00000
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -10870200000000000.00000
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -8513980000000000.00000
  • Statistics related to Sortino ratio
  • Sortino ratio
    -16.18640
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    0.00000
  • Downside part of mean
    -0.02791
  • Upside SD
    0.00000
  • Downside SD
    0.00172
  • N nonnegative terms
    0.00000
  • N negative terms
    131.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.98871
  • Mean of criterion
    -0.02791
  • SD of predictor
    0.44485
  • SD of criterion
    0.00000
  • Covariance
    0.00000
  • r
    0.00000
  • b (slope, estimate of beta)
    0.00000
  • a (intercept, estimate of alpha)
    -0.02791
  • Mean Square Error
    0.00000
  • DF error
    129.00000
  • t(b)
    0.00000
  • p(b)
    0.50000
  • t(a)
    -6802290000000000.00000
  • p(a)
    1.00000
  • VAR (95 Confidence Intrvl)
    0.02800
  • Lowerbound of 95% confidence interval for beta
    -0.00000
  • Upperbound of 95% confidence interval for beta
    0.00000
  • Lowerbound of 95% confidence interval for alpha
    -0.02791
  • Upperbound of 95% confidence interval for alpha
    -0.02791
  • Treynor index (mean / b)
    -199579999999999979879944918401024.00000
  • Jensen alpha (a)
    -0.02791
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00011
  • Expected Shortfall on VaR
    0.00011
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00000
  • Expected Shortfall on VaR
    0.00000
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    1.00000
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.00000
  • Mean of quarter 1
    1.00000
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.00000
  • Inter Quartile Range
    0.00000
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    0.00000
  • Minimum
    0.00000
  • Quartile 1
    0.00000
  • Median
    0.00000
  • Quartile 3
    0.00000
  • Maximum
    0.00000
  • Mean of quarter 1
    0.00000
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.00000
  • Inter Quartile Range
    0.00000
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Last 4 Months - Pcnt Negative
    n/a
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -340053000
  • Max Equity Drawdown (num days)
    8
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.00000
  • Compounded annual return (geometric extrapolation)
    0.00000
  • Calmar ratio (compounded annual return / max draw down)
    0.00000
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    0.00000

Strategy Description

Mozart was designed to adapt to changing market conditions.

Summary Statistics

Strategy began
2014-02-06
Suggested Minimum Capital
$30,000
# Trades
263
# Profitable
176
% Profitable
66.9%
Net Dividends
Correlation S&P500
0.092
Sharpe Ratio
0.33
Sortino Ratio
0.41
Beta
0.11
Alpha
0.02

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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Suggested Minimum Capital

This is our estimate of the minimum amount of capital to follow a strategy, assuming you use the smallest reasonable AutoTrade Scaling % for the strategy.