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

Growth 500
(91169980)

Created by: BertLynd BertLynd
Started: 12/2014
Stocks
Last trade: 163 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 $39.00 per month.

76.4%
Annual Return (Compounded)
30.4%
Max Drawdown
367
Num Trades
48.2%
Win Trades
2.2 : 1
Profit Factor
73.0%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2014                                                                             +5.2%+5.2%
2015+9.4%(2.3%)(1.7%)+0.6%+2.0%+1.0%+1.9%(8.1%)(1.3%)+6.8%  -    -  +7.6%
2016+0.9%+16.3%+14.7%+29.2%+3.2%(4.8%)+22.1%(1.2%)+5.2%(1.7%)+15.8%+2.9%+153.8%
2017+5.2%+8.2%+5.5%+16.4%+16.2%+5.2%+0.9%(12.9%)+18.1%+12.9%+6.5%+8.7%+131.7%

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 900 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
7/6/17 12:13 TSLA TESLA INC. LONG 3,000 315.47 7/6 13:05 312.28 n/a ($9,584)
Includes Typical Broker Commissions trade costs of $5.00
7/6/17 11:56 XIV VELOCITYSHARES DAILY INVERSE V LONG 10,000 80.49 7/6 11:57 80.40 n/a ($897)
Includes Typical Broker Commissions trade costs of $5.00
7/6/17 11:42 XIV VELOCITYSHARES DAILY INVERSE V LONG 10,000 80.71 7/6 11:51 80.63 n/a ($826)
Includes Typical Broker Commissions trade costs of $7.50
7/6/17 11:34 XIV VELOCITYSHARES DAILY INVERSE V LONG 10,000 80.44 7/6 11:35 80.60 n/a $1,520
Includes Typical Broker Commissions trade costs of $5.00
7/5/17 9:53 XIV VELOCITYSHARES DAILY INVERSE V LONG 10,000 81.48 7/5 14:09 82.56 n/a $10,777
Includes Typical Broker Commissions trade costs of $7.50
7/3/17 9:42 TSLA TESLA INC. LONG 2,500 366.43 7/5 9:34 340.51 n/a ($64,818)
Includes Typical Broker Commissions trade costs of $12.50
7/3/17 9:32 TSLA TESLA INC. SHORT 1,000 367.41 7/3 9:33 366.96 n/a $437
Includes Typical Broker Commissions trade costs of $5.00
6/30/17 10:32 SDS PROSHARES ULTRASHORT S&P500 LONG 30,000 12.67 6/30 11:56 12.65 0.16%
Trade id #112303061
Max drawdown($840)
Time6/30/17 11:56
Quant open30,000
Worst price12.64
Drawdown as % of equity-0.16%
($645)
Includes Typical Broker Commissions trade costs of $5.00
6/30/17 10:11 VXX IPATH S&P 500 VIX ST FUTURES E LONG 5,000 12.92 6/30 10:22 12.94 0.01%
Trade id #112302547
Max drawdown($66)
Time6/30/17 10:13
Quant open5,000
Worst price12.91
Drawdown as % of equity-0.01%
$78
Includes Typical Broker Commissions trade costs of $5.00
6/30/17 9:44 TSLA TESLA INC. SHORT 500 363.14 6/30 10:08 362.33 0.18%
Trade id #112301472
Max drawdown($924)
Time6/30/17 9:52
Quant open-500
Worst price364.99
Drawdown as % of equity-0.18%
$395
Includes Typical Broker Commissions trade costs of $10.00
6/30/17 9:38 VXX IPATH S&P 500 VIX ST FUTURES E LONG 20,000 12.68 6/30 10:07 12.85 0.2%
Trade id #112301277
Max drawdown($1,020)
Time6/30/17 9:51
Quant open10,000
Worst price12.52
Drawdown as % of equity-0.20%
$3,452
Includes Typical Broker Commissions trade costs of $7.50
6/29/17 12:31 XIV VELOCITYSHARES DAILY INVERSE V LONG 10,000 82.26 6/29 12:34 81.67 1.12%
Trade id #112286186
Max drawdown($5,917)
Time6/29/17 12:34
Quant open0
Worst price81.67
Drawdown as % of equity-1.12%
($5,922)
Includes Typical Broker Commissions trade costs of $5.00
6/29/17 11:24 VXX IPATH S&P 500 VIX ST FUTURES E LONG 70,000 12.71 6/29 12:01 12.92 0.37%
Trade id #112283831
Max drawdown($1,908)
Time6/29/17 11:26
Quant open70,000
Worst price12.68
Drawdown as % of equity-0.37%
$15,166
Includes Typical Broker Commissions trade costs of $5.00
6/29/17 10:20 XIV VELOCITYSHARES DAILY INVERSE V LONG 10,000 85.14 6/29 11:21 84.17 1.91%
Trade id #112281773
Max drawdown($10,070)
Time6/29/17 11:13
Quant open10,000
Worst price84.13
Drawdown as % of equity-1.91%
($9,724)
Includes Typical Broker Commissions trade costs of $5.00
6/28/17 11:43 TSLA TESLA INC. LONG 2,500 369.00 6/29 10:20 363.18 2.75%
Trade id #112263134
Max drawdown($14,989)
Time6/29/17 10:15
Quant open2,500
Worst price363.00
Drawdown as % of equity-2.75%
($14,558)
Includes Typical Broker Commissions trade costs of $10.00
6/28/17 10:11 VXX IPATH S&P 500 VIX ST FUTURES E LONG 80,000 12.52 6/28 11:42 12.37 2.32%
Trade id #112259483
Max drawdown($12,736)
Time6/28/17 10:45
Quant open80,000
Worst price12.36
Drawdown as % of equity-2.32%
($12,155)
Includes Typical Broker Commissions trade costs of $7.50
6/28/17 9:49 VXX IPATH S&P 500 VIX ST FUTURES E LONG 40,000 12.52 6/28 10:03 12.53 0.11%
Trade id #112258007
Max drawdown($634)
Time6/28/17 9:51
Quant open40,000
Worst price12.50
Drawdown as % of equity-0.11%
$421
Includes Typical Broker Commissions trade costs of $5.00
6/28/17 9:37 VXX IPATH S&P 500 VIX ST FUTURES E LONG 80,000 12.47 6/28 9:41 12.47 0.01%
Trade id #112255927
Max drawdown($57)
Time6/28/17 9:39
Quant open80,000
Worst price12.47
Drawdown as % of equity-0.01%
$52
Includes Typical Broker Commissions trade costs of $5.00
6/27/17 11:27 VXX IPATH S&P 500 VIX ST FUTURES E LONG 74,000 12.26 6/27 14:27 12.39 0.31%
Trade id #112234567
Max drawdown($1,663)
Time6/27/17 11:40
Quant open50,000
Worst price12.23
Drawdown as % of equity-0.31%
$9,999
Includes Typical Broker Commissions trade costs of $12.50
6/27/17 10:26 XIV VELOCITYSHARES DAILY INVERSE V LONG 7,000 87.13 6/27 11:19 87.17 0.32%
Trade id #112232829
Max drawdown($1,750)
Time6/27/17 10:31
Quant open5,000
Worst price86.72
Drawdown as % of equity-0.32%
$254
Includes Typical Broker Commissions trade costs of $7.50
6/12/17 13:17 TSLA TESLA INC. LONG 5,900 365.96 6/27 10:25 366.92 0.98%
Trade id #112017627
Max drawdown($5,362)
Time6/12/17 13:59
Quant open3,000
Worst price356.20
Drawdown as % of equity-0.98%
$5,654
Includes Typical Broker Commissions trade costs of $24.00
6/19/17 15:05 RACE FERRARI N V LONG 5,000 89.65 6/23 9:48 88.48 1.48%
Trade id #112123259
Max drawdown($8,092)
Time6/21/17 4:01
Quant open5,000
Worst price88.03
Drawdown as % of equity-1.48%
($5,843)
Includes Typical Broker Commissions trade costs of $5.00
6/12/17 11:53 TSLA TESLA INC. LONG 3,000 360.40 6/12 12:47 354.87 3.04%
Trade id #112016309
Max drawdown($16,593)
Time6/12/17 12:47
Quant open0
Worst price354.87
Drawdown as % of equity-3.04%
($16,598)
Includes Typical Broker Commissions trade costs of $5.00
6/12/17 11:04 TSLA TESLA INC. LONG 3,000 361.93 6/12 11:50 358.53 1.79%
Trade id #112015285
Max drawdown($10,207)
Time6/12/17 11:50
Quant open0
Worst price358.52
Drawdown as % of equity-1.79%
($10,225)
Includes Typical Broker Commissions trade costs of $17.50
6/12/17 10:41 NVDA NVIDIA LONG 4,000 146.62 6/12 10:42 147.00 n/a $1,504
Includes Typical Broker Commissions trade costs of $5.00
6/12/17 9:51 TSLA TESLA INC. SHORT 1,000 352.68 6/12 9:54 352.52 n/a $153
Includes Typical Broker Commissions trade costs of $5.00
5/26/17 9:30 TSLA TESLA INC. LONG 2,600 321.13 6/9 12:20 363.16 0.48%
Trade id #111788173
Max drawdown($2,182)
Time5/26/17 9:44
Quant open2,200
Worst price316.31
Drawdown as % of equity-0.48%
$109,268
Includes Typical Broker Commissions trade costs of $11.50
6/5/17 9:32 TSLA1709F337.5 TSLA Jun9'17 337.5 call LONG 40 5.38 6/5 10:30 6.40 0.68%
Trade id #111912985
Max drawdown($3,414)
Time6/5/17 9:35
Quant open40
Worst price4.53
Drawdown as % of equity-0.68%
$4,015
Includes Typical Broker Commissions trade costs of $49.90
6/2/17 9:35 TSLA1709F340 TSLA Jun9'17 340 call LONG 30 5.85 6/2 10:17 6.50 0.57%
Trade id #111888931
Max drawdown($2,851)
Time6/2/17 9:38
Quant open30
Worst price4.90
Drawdown as % of equity-0.57%
$1,903
Includes Typical Broker Commissions trade costs of $39.90
5/25/17 13:52 SPY SPDR S&P 500 LONG 3,500 241.69 5/25 15:53 241.69 0.03%
Trade id #111775347
Max drawdown($115)
Time5/25/17 13:55
Quant open3,500
Worst price241.66
Drawdown as % of equity-0.03%
($32)
Includes Typical Broker Commissions trade costs of $5.00

Statistics

  • Strategy began
    12/16/2014
  • Starting Unit Size
    $100,000
  • Strategy Age (days)
    1092.73
  • Age
    37 months ago
  • What it trades
    Stocks
  • # Trades
    367
  • # Profitable
    177
  • % Profitable
    48.20%
  • Avg trade duration
    6.5 days
  • Max peak-to-valley drawdown
    30.38%
  • drawdown period
    June 02, 2016 - June 27, 2016
  • Annual Return (Compounded)
    76.4%
  • Avg win
    $6,175
  • Avg loss
    $2,587
  • Model Account Values (Raw)
  • Cash
    $260,946
  • Margin Used
    $0
  • Buying Power
    $498,786
  • Ratios
  • W:L ratio
    2.22:1
  • Sharpe Ratio
    2.331
  • Sortino Ratio
    3.91
  • Calmar Ratio
    5.155
  • CORRELATION STATISTICS
  • Correlation to SP500
    0.30600
  • Return Statistics
  • Ann Return (w trading costs)
    76.4%
  • Ann Return (Compnd, No Fees)
    91.2%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    42.00%
  • Chance of 20% account loss
    16.50%
  • Chance of 30% account loss
    6.50%
  • Chance of 40% account loss
    1.00%
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    979
  • Popularity (Last 6 weeks)
    993
  • 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
    $2,587
  • Avg Win
    $6,176
  • # Winners
    177
  • # Losers
    190
  • % Winners
    48.2%
  • Frequency
  • Avg Position Time (mins)
    9329.87
  • Avg Position Time (hrs)
    155.50
  • Avg Trade Length
    6.5 days
  • Last Trade Ago
    160
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.81044
  • SD
    0.34984
  • Sharpe ratio (Glass type estimate)
    2.31661
  • Sharpe ratio (Hedges UMVUE)
    2.25155
  • df
    27.00000
  • t
    3.53867
  • p
    0.00074
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.87633
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.72202
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.83488
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.66823
  • Statistics related to Sortino ratio
  • Sortino ratio
    12.54890
  • Upside Potential Ratio
    13.89240
  • Upside part of mean
    0.89720
  • Downside part of mean
    -0.08677
  • Upside SD
    0.41058
  • Downside SD
    0.06458
  • N nonnegative terms
    21.00000
  • N negative terms
    7.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    28.00000
  • Mean of predictor
    0.09573
  • Mean of criterion
    0.81044
  • SD of predictor
    0.10783
  • SD of criterion
    0.34984
  • Covariance
    0.02038
  • r
    0.54015
  • b (slope, estimate of beta)
    1.75248
  • a (intercept, estimate of alpha)
    0.64267
  • Mean Square Error
    0.09001
  • DF error
    26.00000
  • t(b)
    3.27274
  • p(b)
    0.00150
  • t(a)
    3.16605
  • p(a)
    0.00196
  • Lowerbound of 95% confidence interval for beta
    0.65179
  • Upperbound of 95% confidence interval for beta
    2.85317
  • Lowerbound of 95% confidence interval for alpha
    0.22542
  • Upperbound of 95% confidence interval for alpha
    1.05992
  • Treynor index (mean / b)
    0.46245
  • Jensen alpha (a)
    0.64267
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.73595
  • SD
    0.31127
  • Sharpe ratio (Glass type estimate)
    2.36435
  • Sharpe ratio (Hedges UMVUE)
    2.29796
  • df
    27.00000
  • t
    3.61161
  • p
    0.00061
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.91831
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.77506
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.87599
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.71992
  • Statistics related to Sortino ratio
  • Sortino ratio
    10.99640
  • Upside Potential Ratio
    12.32550
  • Upside part of mean
    0.82490
  • Downside part of mean
    -0.08895
  • Upside SD
    0.36617
  • Downside SD
    0.06693
  • N nonnegative terms
    21.00000
  • N negative terms
    7.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    28.00000
  • Mean of predictor
    0.08978
  • Mean of criterion
    0.73595
  • SD of predictor
    0.10779
  • SD of criterion
    0.31127
  • Covariance
    0.01853
  • r
    0.55236
  • b (slope, estimate of beta)
    1.59504
  • a (intercept, estimate of alpha)
    0.59275
  • Mean Square Error
    0.06992
  • DF error
    26.00000
  • t(b)
    3.37867
  • p(b)
    0.00115
  • t(a)
    3.32603
  • p(a)
    0.00132
  • Lowerbound of 95% confidence interval for beta
    0.62465
  • Upperbound of 95% confidence interval for beta
    2.56544
  • Lowerbound of 95% confidence interval for alpha
    0.22642
  • Upperbound of 95% confidence interval for alpha
    0.95908
  • Treynor index (mean / b)
    0.46140
  • Jensen alpha (a)
    0.59275
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.08284
  • Expected Shortfall on VaR
    0.11615
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00971
  • Expected Shortfall on VaR
    0.02373
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    28.00000
  • Minimum
    0.91546
  • Quartile 1
    1.00243
  • Median
    1.05245
  • Quartile 3
    1.10265
  • Maximum
    1.33966
  • Mean of quarter 1
    0.97108
  • Mean of quarter 2
    1.02700
  • Mean of quarter 3
    1.07027
  • Mean of quarter 4
    1.20180
  • Inter Quartile Range
    0.10022
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.07143
  • Mean of outliers high
    1.33710
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.55367
  • VaR(95%) (moments method)
    0.03255
  • Expected Shortfall (moments method)
    0.07630
  • Extreme Value Index (regression method)
    1.19230
  • VaR(95%) (regression method)
    0.03515
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    4.00000
  • Minimum
    0.01304
  • Quartile 1
    0.01345
  • Median
    0.01822
  • Quartile 3
    0.04568
  • Maximum
    0.11418
  • Mean of quarter 1
    0.01304
  • Mean of quarter 2
    0.01359
  • Mean of quarter 3
    0.02284
  • Mean of quarter 4
    0.11418
  • Inter Quartile Range
    0.03222
  • 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
    0.11418
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    1.95815
  • Compounded annual return (geometric extrapolation)
    1.08746
  • Calmar ratio (compounded annual return / max draw down)
    9.52447
  • Compounded annual return / average of 25% largest draw downs
    9.52447
  • Compounded annual return / Expected Shortfall lognormal
    9.36251
  • 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
    0.69836
  • SD
    0.30935
  • Sharpe ratio (Glass type estimate)
    2.25753
  • Sharpe ratio (Hedges UMVUE)
    2.25482
  • df
    625.00000
  • t
    3.48956
  • p
    0.00026
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.98253
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.53081
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.98070
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.52895
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.72710
  • Upside Potential Ratio
    10.63040
  • Upside part of mean
    1.99187
  • Downside part of mean
    -1.29351
  • Upside SD
    0.24959
  • Downside SD
    0.18737
  • N nonnegative terms
    356.00000
  • N negative terms
    270.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    626.00000
  • Mean of predictor
    0.09526
  • Mean of criterion
    0.69836
  • SD of predictor
    0.13859
  • SD of criterion
    0.30935
  • Covariance
    0.01366
  • r
    0.31860
  • b (slope, estimate of beta)
    0.71115
  • a (intercept, estimate of alpha)
    0.73800
  • Mean Square Error
    0.08612
  • DF error
    624.00000
  • t(b)
    8.39612
  • p(b)
    0.00000
  • t(a)
    3.31865
  • p(a)
    0.00048
  • Lowerbound of 95% confidence interval for beta
    0.54482
  • Upperbound of 95% confidence interval for beta
    0.87748
  • Lowerbound of 95% confidence interval for alpha
    0.25746
  • Upperbound of 95% confidence interval for alpha
    1.00378
  • Treynor index (mean / b)
    0.98202
  • Jensen alpha (a)
    0.63062
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.65009
  • SD
    0.30774
  • Sharpe ratio (Glass type estimate)
    2.11242
  • Sharpe ratio (Hedges UMVUE)
    2.10989
  • df
    625.00000
  • t
    3.26526
  • p
    0.00058
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.83824
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.38499
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.83653
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.38325
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.38883
  • Upside Potential Ratio
    10.22610
  • Upside part of mean
    1.96171
  • Downside part of mean
    -1.31162
  • Upside SD
    0.24366
  • Downside SD
    0.19183
  • N nonnegative terms
    356.00000
  • N negative terms
    270.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    626.00000
  • Mean of predictor
    0.08562
  • Mean of criterion
    0.65009
  • SD of predictor
    0.13891
  • SD of criterion
    0.30774
  • Covariance
    0.01371
  • r
    0.32070
  • b (slope, estimate of beta)
    0.71048
  • a (intercept, estimate of alpha)
    0.58925
  • Mean Square Error
    0.08510
  • DF error
    624.00000
  • t(b)
    8.45786
  • p(b)
    0.00000
  • t(a)
    3.11998
  • p(a)
    0.00095
  • Lowerbound of 95% confidence interval for beta
    0.54552
  • Upperbound of 95% confidence interval for beta
    0.87544
  • Lowerbound of 95% confidence interval for alpha
    0.21837
  • Upperbound of 95% confidence interval for alpha
    0.96014
  • Treynor index (mean / b)
    0.91500
  • Jensen alpha (a)
    0.58925
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02838
  • Expected Shortfall on VaR
    0.03605
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01018
  • Expected Shortfall on VaR
    0.02159
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    626.00000
  • Minimum
    0.90102
  • Quartile 1
    0.99433
  • Median
    1.00126
  • Quartile 3
    1.01028
  • Maximum
    1.08893
  • Mean of quarter 1
    0.98201
  • Mean of quarter 2
    0.99844
  • Mean of quarter 3
    1.00519
  • Mean of quarter 4
    1.02501
  • Inter Quartile Range
    0.01595
  • Number outliers low
    22.00000
  • Percentage of outliers low
    0.03514
  • Mean of outliers low
    0.95448
  • Number of outliers high
    32.00000
  • Percentage of outliers high
    0.05112
  • Mean of outliers high
    1.05276
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.33824
  • VaR(95%) (moments method)
    0.01704
  • Expected Shortfall (moments method)
    0.03088
  • Extreme Value Index (regression method)
    0.13995
  • VaR(95%) (regression method)
    0.01721
  • Expected Shortfall (regression method)
    0.02651
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    44.00000
  • Minimum
    0.00006
  • Quartile 1
    0.01020
  • Median
    0.02662
  • Quartile 3
    0.06275
  • Maximum
    0.23252
  • Mean of quarter 1
    0.00382
  • Mean of quarter 2
    0.01550
  • Mean of quarter 3
    0.04370
  • Mean of quarter 4
    0.12355
  • Inter Quartile Range
    0.05255
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    4.00000
  • Percentage of outliers high
    0.09091
  • Mean of outliers high
    0.19596
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.17873
  • VaR(95%) (moments method)
    0.13112
  • Expected Shortfall (moments method)
    0.19302
  • Extreme Value Index (regression method)
    -0.02254
  • VaR(95%) (regression method)
    0.14031
  • Expected Shortfall (regression method)
    0.18668
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    1.55981
  • Compounded annual return (geometric extrapolation)
    0.91571
  • Calmar ratio (compounded annual return / max draw down)
    3.93814
  • Compounded annual return / average of 25% largest draw downs
    7.41182
  • Compounded annual return / Expected Shortfall lognormal
    25.40420
  • 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
    0.79249
  • SD
    0.30322
  • Sharpe ratio (Glass type estimate)
    2.61356
  • Sharpe ratio (Hedges UMVUE)
    2.59845
  • df
    130.00000
  • t
    1.84807
  • p
    0.42000
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.18125
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.39853
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.19129
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.38820
  • Statistics related to Sortino ratio
  • Sortino ratio
    4.58174
  • Upside Potential Ratio
    12.84040
  • Upside part of mean
    2.22097
  • Downside part of mean
    -1.42848
  • Upside SD
    0.25243
  • Downside SD
    0.17297
  • N nonnegative terms
    70.00000
  • N negative terms
    61.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.13020
  • Mean of criterion
    0.79249
  • SD of predictor
    0.06912
  • SD of criterion
    0.30322
  • Covariance
    0.00604
  • r
    0.28805
  • b (slope, estimate of beta)
    1.26369
  • a (intercept, estimate of alpha)
    0.62796
  • Mean Square Error
    0.08497
  • DF error
    129.00000
  • t(b)
    3.41647
  • p(b)
    0.31919
  • t(a)
    1.51302
  • p(a)
    0.41618
  • Lowerbound of 95% confidence interval for beta
    0.53187
  • Upperbound of 95% confidence interval for beta
    1.99552
  • Lowerbound of 95% confidence interval for alpha
    -0.19320
  • Upperbound of 95% confidence interval for alpha
    1.44912
  • Treynor index (mean / b)
    0.62712
  • Jensen alpha (a)
    0.62796
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.74620
  • SD
    0.30107
  • Sharpe ratio (Glass type estimate)
    2.47853
  • Sharpe ratio (Hedges UMVUE)
    2.46420
  • df
    130.00000
  • t
    1.75259
  • p
    0.42404
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.31421
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.26193
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.32374
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.25215
  • Statistics related to Sortino ratio
  • Sortino ratio
    4.25512
  • Upside Potential Ratio
    12.48770
  • Upside part of mean
    2.18992
  • Downside part of mean
    -1.44372
  • Upside SD
    0.24763
  • Downside SD
    0.17536
  • N nonnegative terms
    70.00000
  • N negative terms
    61.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.12779
  • Mean of criterion
    0.74620
  • SD of predictor
    0.06914
  • SD of criterion
    0.30107
  • Covariance
    0.00601
  • r
    0.28895
  • b (slope, estimate of beta)
    1.25827
  • a (intercept, estimate of alpha)
    0.58540
  • Mean Square Error
    0.08372
  • DF error
    129.00000
  • t(b)
    3.42805
  • p(b)
    0.31864
  • t(a)
    1.42134
  • p(a)
    0.42115
  • Lowerbound of 95% confidence interval for beta
    0.53205
  • Upperbound of 95% confidence interval for beta
    1.98449
  • Lowerbound of 95% confidence interval for alpha
    -0.22949
  • Upperbound of 95% confidence interval for alpha
    1.40029
  • Treynor index (mean / b)
    0.59304
  • Jensen alpha (a)
    0.58540
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02736
  • Expected Shortfall on VaR
    0.03487
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01206
  • Expected Shortfall on VaR
    0.02330
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.95772
  • Quartile 1
    0.99276
  • Median
    1.00168
  • Quartile 3
    1.01296
  • Maximum
    1.06255
  • Mean of quarter 1
    0.98120
  • Mean of quarter 2
    0.99734
  • Mean of quarter 3
    1.00666
  • Mean of quarter 4
    1.02701
  • Inter Quartile Range
    0.02021
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.00763
  • Mean of outliers low
    0.95772
  • Number of outliers high
    3.00000
  • Percentage of outliers high
    0.02290
  • Mean of outliers high
    1.06036
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.30240
  • VaR(95%) (moments method)
    0.01776
  • Expected Shortfall (moments method)
    0.02161
  • Extreme Value Index (regression method)
    -0.19820
  • VaR(95%) (regression method)
    0.01829
  • Expected Shortfall (regression method)
    0.02301
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    10.00000
  • Minimum
    0.00511
  • Quartile 1
    0.01261
  • Median
    0.02949
  • Quartile 3
    0.06141
  • Maximum
    0.18401
  • Mean of quarter 1
    0.00936
  • Mean of quarter 2
    0.01571
  • Mean of quarter 3
    0.05037
  • Mean of quarter 4
    0.10493
  • Inter Quartile Range
    0.04880
  • 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
    0.18401
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.38640
  • VaR(95%) (moments method)
    0.12949
  • Expected Shortfall (moments method)
    0.23130
  • Extreme Value Index (regression method)
    3.29124
  • VaR(95%) (regression method)
    0.31289
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.90446
  • Compounded annual return (geometric extrapolation)
    1.10897
  • Calmar ratio (compounded annual return / max draw down)
    6.02683
  • Compounded annual return / average of 25% largest draw downs
    10.56890
  • Compounded annual return / Expected Shortfall lognormal
    31.80140

Strategy Description

This is a volatile and risky system subscribe at your own risk. The system is my backtest. My trading style and instruments will vary depending on market conditions I trade options, stocks, and ETFs.

Things to remember when trading my system

-It's high risk
-No one can make money in every type of market, sometimes the best thing to do is sit in cash.
-Drawdowns will happen
-I try to keep my losses small and let my winners run.
-Only about 10%-20% of my trades make decent returns, the rest are small losses and small gains.
-The trading activity might be frequent or infrequent.
-If I'm in a position that is working I sit tight through the normal movements of the trend. As Jessie Livermore said ‘Be Right & Sit Tight'.
-NEW SUBSCRIBERS - if the system is invested in a large position when you subscribe I would suggest averaging into the position over a week or two in order to reduce risk.

Summary Statistics

Strategy began
2014-12-16
Minimum Capital Required
$20,000
# Trades
367
# Profitable
177
% Profitable
48.2%
Net Dividends
Correlation S&P500
0.306
Sharpe Ratio
2.331

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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