Welcome to Collective2

Follow these tips for a better experience

Ok, let's start

Close
Add to Watch List Create new Watch List
Add
Enter a name for your Watch List.
Watch List name must be less than 60 characters.
You have reached the maximum number of custom Watch Lists.
You have reached the maximum number of strategies in this Watch List.
Strategy added to Watch List. Go to Watch List

Sim is unavailable for this strategy, because you've recently "Simmed" it.

You already have a live, full-featured subscription to this strategy.

Okay, no problem

Reach out to us when you are ready. You can schedule your free training session at any time by clicking the button.

Remember, this training is free, low pressure, and (we hope!) fun.

Got it

Later

You can find it here.

Got it

Video Saved for Later

You can watch this video later. Just click this button at the top of the screen whenever you're ready to watch it.

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

Event Hunter
(107490648)

Created by: ke_zhao ke_zhao
Started: 11/2016
Futures
Last trade: 2,030 days ago
Trading style: Futures Macro / Fundamental
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 $159.00 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.

Trading Category: Futures
Macro / Fundamental
Category: Equity

Macro / Fundamental

Predicts large-scale events related to national economies, history, and international relations. The strategy typically employs forecasts and analysis of interest rate trends, international trade and payments, political changes, government policies, inter-government relations, and other broad systemic factors.
11.2%
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.

(56.7%)
Max Drawdown
468
Num Trades
56.6%
Win Trades
1.4 : 1
Profit Factor
13.5%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2016                                                                      +0.9%+13.7%+14.7%
2017+5.2%(0.6%)+10.9%+9.5%(9%)(1.1%)+11.9%(1%)+10.2%(12.4%)(0.2%)(36.8%)(23%)
2018+17.6%+44.1%+54.6%+7.4%(10.5%)(3.2%)+5.0%(2.8%)(0.6%)  -    -  (0.4%)+146.3%
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 1,037 trades in real-life brokerage accounts. The most recent trade in a real-money brokerage account occurred more than 2282 days ago.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
4/17/18 3:49 EZU8 EUREX SCHATZ SHORT 20 111.705 9/6 9:01 111.900 3.84%
Trade id #117537387
Max drawdown($8,696)
Time8/13/18 7:38
Quant open-20
Worst price112.080
Drawdown as % of equity-3.84%
($4,701)
Includes Typical Broker Commissions trade costs of $160.00
4/6/18 7:45 BDU8 EUREX BUND SHORT 10 158.96 9/6 9:01 160.71 12.54%
Trade id #117399712
Max drawdown($28,524)
Time8/17/18 6:03
Quant open-5
Worst price163.88
Drawdown as % of equity-12.54%
($20,457)
Includes Typical Broker Commissions trade costs of $80.00
4/23/18 22:36 QGCM8 Gold 100 oz LONG 8 1322.7 5/15 4:02 1310.6 4.14%
Trade id #117630504
Max drawdown($10,840)
Time5/1/18 10:54
Quant open4
Worst price1302.3
Drawdown as % of equity-4.14%
($9,744)
Includes Typical Broker Commissions trade costs of $64.00
4/20/18 6:34 @ESM8 E-MINI S&P 500 SHORT 6 2691.25 4/22 22:09 2676.25 0.78%
Trade id #117592027
Max drawdown($2,100)
Time4/20/18 7:06
Quant open-6
Worst price2698.25
Drawdown as % of equity-0.78%
$4,452
Includes Typical Broker Commissions trade costs of $48.00
4/4/18 19:49 QHGK8 Copper LONG 8 302.35 4/16 20:51 310.68 0.84%
Trade id #117375940
Max drawdown($2,000)
Time4/5/18 1:47
Quant open8
Worst price301.35
Drawdown as % of equity-0.84%
$16,586
Includes Typical Broker Commissions trade costs of $64.00
4/11/18 1:26 QGCK8 Gold 100 oz LONG 4 1342.5 4/11 9:28 1350.9 0.05%
Trade id #117458681
Max drawdown($120)
Time4/11/18 1:56
Quant open4
Worst price1342.2
Drawdown as % of equity-0.05%
$3,328
Includes Typical Broker Commissions trade costs of $32.00
4/6/18 1:00 @ESM8 E-MINI S&P 500 LONG 10 2635.25 4/11 1:25 2642.25 11.34%
Trade id #117396688
Max drawdown($25,375)
Time4/6/18 15:07
Quant open10
Worst price2584.50
Drawdown as % of equity-11.34%
$3,420
Includes Typical Broker Commissions trade costs of $80.00
4/3/18 10:08 BDU8 EUREX BUND SHORT 8 159.16 4/4 6:16 159.48 1.29%
Trade id #117345542
Max drawdown($3,144)
Time4/4/18 6:16
Quant open0
Worst price159.48
Drawdown as % of equity-1.29%
($3,208)
Includes Typical Broker Commissions trade costs of $64.00
3/25/18 21:53 QHGK8 Copper LONG 4 295.90 4/4 6:16 299.60 0.75%
Trade id #117222911
Max drawdown($1,800)
Time3/26/18 4:01
Quant open4
Worst price294.10
Drawdown as % of equity-0.75%
$3,668
Includes Typical Broker Commissions trade costs of $32.00
3/7/18 2:18 @ESM8 E-MINI S&P 500 SHORT 15 2716.58 3/25 20:27 2614.33 42.51%
Trade id #116898878
Max drawdown($53,125)
Time3/13/18 9:49
Quant open-10
Worst price2807.25
Drawdown as % of equity-42.51%
$76,568
Includes Typical Broker Commissions trade costs of $120.00
3/16/18 5:34 QHGK8 Copper LONG 8 314.20 3/19 1:01 307.75 9.71%
Trade id #117087881
Max drawdown($13,800)
Time3/18/18 21:14
Quant open8
Worst price307.30
Drawdown as % of equity-9.71%
($12,964)
Includes Typical Broker Commissions trade costs of $64.00
3/5/18 5:36 QHGJ8 Copper LONG 6 310.85 3/7 2:18 313.85 2.15%
Trade id #116855427
Max drawdown($3,600)
Time3/5/18 10:13
Quant open6
Worst price308.45
Drawdown as % of equity-2.15%
$4,452
Includes Typical Broker Commissions trade costs of $48.00
2/22/18 23:54 @NQH8 E-MINI NASDAQ 100 STK IDX SHORT 4 6800.25 3/5 5:33 6812.25 12.28%
Trade id #116682098
Max drawdown($16,700)
Time2/26/18 20:46
Quant open-4
Worst price7009.00
Drawdown as % of equity-12.28%
($992)
Includes Typical Broker Commissions trade costs of $32.00
2/22/18 23:53 @ESH8 E-MINI S&P 500 SHORT 4 2717.75 3/5 5:33 2688.00 10.31%
Trade id #116682064
Max drawdown($14,400)
Time2/27/18 10:25
Quant open-4
Worst price2789.75
Drawdown as % of equity-10.31%
$5,918
Includes Typical Broker Commissions trade costs of $32.00
2/22/18 11:18 QHGJ8 Copper LONG 6 323.35 2/22 23:53 322.50 0.77%
Trade id #116667693
Max drawdown($1,275)
Time2/22/18 22:15
Quant open6
Worst price322.50
Drawdown as % of equity-0.77%
($1,323)
Includes Typical Broker Commissions trade costs of $48.00
2/22/18 11:18 @NKDH8 NIKKEI 225 INDEX LONG 4 21805 2/22 23:53 21830 2.04%
Trade id #116667710
Max drawdown($3,400)
Time2/22/18 15:48
Quant open4
Worst price21635
Drawdown as % of equity-2.04%
$468
Includes Typical Broker Commissions trade costs of $32.00
2/22/18 11:19 @ESH8 E-MINI S&P 500 LONG 4 2724.75 2/22 23:52 2716.50 3.4%
Trade id #116667730
Max drawdown($5,650)
Time2/22/18 15:51
Quant open4
Worst price2696.50
Drawdown as % of equity-3.40%
($1,682)
Includes Typical Broker Commissions trade costs of $32.00
2/21/18 18:07 @ESH8 E-MINI S&P 500 SHORT 8 2696.25 2/22 11:17 2724.00 7.11%
Trade id #116653638
Max drawdown($12,100)
Time2/22/18 11:17
Quant open-8
Worst price2726.50
Drawdown as % of equity-7.11%
($11,164)
Includes Typical Broker Commissions trade costs of $64.00
2/21/18 11:18 QHGJ8 Copper LONG 4 321.30 2/21 18:06 320.70 0.33%
Trade id #116641550
Max drawdown($600)
Time2/21/18 18:06
Quant open0
Worst price320.70
Drawdown as % of equity-0.33%
($632)
Includes Typical Broker Commissions trade costs of $32.00
2/21/18 11:23 @NKDH8 NIKKEI 225 INDEX LONG 2 22030 2/21 18:06 21835 1.23%
Trade id #116641728
Max drawdown($2,200)
Time2/21/18 16:02
Quant open2
Worst price21810
Drawdown as % of equity-1.23%
($1,966)
Includes Typical Broker Commissions trade costs of $16.00
2/16/18 10:58 @ESH8 E-MINI S&P 500 SHORT 4 2732.25 2/21 11:17 2730.25 0.88%
Trade id #116558972
Max drawdown($1,600)
Time2/16/18 12:38
Quant open-2
Worst price2754.75
Drawdown as % of equity-0.88%
$368
Includes Typical Broker Commissions trade costs of $32.00
2/15/18 19:48 QNGJ8 Natural Gas LONG 4 2.611 2/19 10:11 2.610 0.33%
Trade id #116546510
Max drawdown($600)
Time2/16/18 9:01
Quant open2
Worst price2.588
Drawdown as % of equity-0.33%
($92)
Includes Typical Broker Commissions trade costs of $32.00
2/14/18 10:44 @NKDH8 NIKKEI 225 INDEX LONG 2 21105 2/14 19:28 21370 0.31%
Trade id #116504667
Max drawdown($550)
Time2/14/18 10:51
Quant open2
Worst price21050
Drawdown as % of equity-0.31%
$2,634
Includes Typical Broker Commissions trade costs of $16.00
2/13/18 23:12 @ESH8 E-MINI S&P 500 SHORT 2 2662.75 2/14 10:43 2667.50 0.84%
Trade id #116493363
Max drawdown($1,475)
Time2/14/18 2:57
Quant open-2
Worst price2677.50
Drawdown as % of equity-0.84%
($491)
Includes Typical Broker Commissions trade costs of $16.00
2/13/18 8:30 QGCJ8 Gold 100 oz SHORT 2 1329.2 2/14 8:37 1323.1 1.15%
Trade id #116477137
Max drawdown($2,030)
Time2/13/18 22:57
Quant open-2
Worst price1339.4
Drawdown as % of equity-1.15%
$1,214
Includes Typical Broker Commissions trade costs of $16.00
2/4/18 23:38 QHGH8 Copper LONG 10 315.22 2/13 23:11 314.50 21.03%
Trade id #116287367
Max drawdown($31,550)
Time2/9/18 13:43
Quant open10
Worst price302.60
Drawdown as % of equity-21.03%
($1,880)
Includes Typical Broker Commissions trade costs of $80.00
2/13/18 8:24 @ESH8 E-MINI S&P 500 SHORT 2 2645.75 2/13 10:14 2643.00 0.07%
Trade id #116476973
Max drawdown($125)
Time2/13/18 9:42
Quant open-2
Worst price2647.00
Drawdown as % of equity-0.07%
$259
Includes Typical Broker Commissions trade costs of $16.00
2/9/18 6:56 @ESH8 E-MINI S&P 500 SHORT 2 2598.00 2/9 9:00 2610.00 0.87%
Trade id #116410965
Max drawdown($1,375)
Time2/9/18 8:58
Quant open-2
Worst price2611.75
Drawdown as % of equity-0.87%
($1,216)
Includes Typical Broker Commissions trade costs of $16.00
2/8/18 9:48 @ESH8 E-MINI S&P 500 SHORT 4 2664.00 2/8 18:00 2595.50 1.81%
Trade id #116390697
Max drawdown($2,700)
Time2/8/18 9:57
Quant open-4
Worst price2677.50
Drawdown as % of equity-1.81%
$13,668
Includes Typical Broker Commissions trade costs of $32.00
2/8/18 4:04 @ESH8 E-MINI S&P 500 SHORT 4 2670.75 2/8 4:25 2677.00 0.99%
Trade id #116386277
Max drawdown($1,450)
Time2/8/18 4:11
Quant open-4
Worst price2678.00
Drawdown as % of equity-0.99%
($1,282)
Includes Typical Broker Commissions trade costs of $32.00

Statistics

  • Strategy began
    11/24/2016
  • Suggested Minimum Cap
    $100,000
  • Strategy Age (days)
    2672.41
  • Age
    89 months ago
  • What it trades
    Futures
  • # Trades
    468
  • # Profitable
    265
  • % Profitable
    56.60%
  • Avg trade duration
    3.7 days
  • Max peak-to-valley drawdown
    56.72%
  • drawdown period
    Nov 13, 2017 - Dec 18, 2017
  • Annual Return (Compounded)
    11.2%
  • Avg win
    $1,791
  • Avg loss
    $1,687
  • Model Account Values (Raw)
  • Cash
    $232,238
  • Margin Used
    $0
  • Buying Power
    $232,238
  • Ratios
  • W:L ratio
    1.39:1
  • Sharpe Ratio
    0.38
  • Sortino Ratio
    0.61
  • Calmar Ratio
    0.855
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -17.27%
  • Correlation to SP500
    -0.05720
  • Return Percent SP500 (cumu) during strategy life
    138.18%
  • Return Statistics
  • Ann Return (w trading costs)
    11.2%
  • Slump
  • Current Slump as Pcnt Equity
    21.70%
  • Instruments
  • Percent Trades Futures
    0.99%
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.81%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.112%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    n/a
  • Percent Trades Forex
    0.01%
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    12.2%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    62.00%
  • Chance of 20% account loss
    36.50%
  • Chance of 30% account loss
    17.50%
  • Chance of 40% account loss
    8.00%
  • Chance of 60% account loss (Monte Carlo)
    n/a
  • Chance of 70% account loss (Monte Carlo)
    n/a
  • Chance of 80% account loss (Monte Carlo)
    n/a
  • Chance of 90% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    1.00%
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    335
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • Popularity (7 days, Percentile 1000 scale)
    0
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $1,688
  • Avg Win
    $1,792
  • Sum Trade PL (losers)
    $342,562.000
  • Age
  • Num Months filled monthly returns table
    89
  • Win / Loss
  • Sum Trade PL (winners)
    $474,811.000
  • # Winners
    265
  • Num Months Winners
    12
  • Dividends
  • Dividends Received in Model Acct
    0
  • Win / Loss
  • # Losers
    203
  • % Winners
    56.6%
  • Frequency
  • Avg Position Time (mins)
    5307.90
  • Avg Position Time (hrs)
    88.47
  • Avg Trade Length
    3.7 days
  • Last Trade Ago
    2022
  • Regression
  • Alpha
    0.04
  • Beta
    -0.09
  • Treynor Index
    -0.40
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.01
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    48.01
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    48.76
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    0.08
  • MAE:Equity, average, winning trades
    0.01
  • MAE:Equity, average, losing trades
    0.02
  • Avg(MAE) / Avg(PL) - All trades
    6.456
  • 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
    0.00
  • Avg(MAE) / Avg(PL) - Winning trades
    0.693
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.461
  • Hold-and-Hope Ratio
    0.155
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.47298
  • SD
    0.55000
  • Sharpe ratio (Glass type estimate)
    0.85997
  • Sharpe ratio (Hedges UMVUE)
    0.83582
  • df
    27.00000
  • t
    1.31362
  • p
    0.10001
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.45096
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.15555
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.46650
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.13814
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.83077
  • Upside Potential Ratio
    3.15468
  • Upside part of mean
    0.81501
  • Downside part of mean
    -0.34203
  • Upside SD
    0.49355
  • Downside SD
    0.25835
  • N nonnegative terms
    13.00000
  • N negative terms
    15.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    28.00000
  • Mean of predictor
    0.31767
  • Mean of criterion
    0.47298
  • SD of predictor
    0.29028
  • SD of criterion
    0.55000
  • Covariance
    -0.02516
  • r
    -0.15761
  • b (slope, estimate of beta)
    -0.29863
  • a (intercept, estimate of alpha)
    0.56784
  • Mean Square Error
    0.30633
  • DF error
    26.00000
  • t(b)
    -0.81385
  • p(b)
    0.78844
  • t(a)
    1.49190
  • p(a)
    0.07388
  • Lowerbound of 95% confidence interval for beta
    -1.05289
  • Upperbound of 95% confidence interval for beta
    0.45562
  • Lowerbound of 95% confidence interval for alpha
    -0.21453
  • Upperbound of 95% confidence interval for alpha
    1.35021
  • Treynor index (mean / b)
    -1.58380
  • Jensen alpha (a)
    0.56784
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.33385
  • SD
    0.51529
  • Sharpe ratio (Glass type estimate)
    0.64788
  • Sharpe ratio (Hedges UMVUE)
    0.62969
  • df
    27.00000
  • t
    0.98965
  • p
    0.16557
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.65253
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.93659
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.66436
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.92373
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.10394
  • Upside Potential Ratio
    2.36800
  • Upside part of mean
    0.71612
  • Downside part of mean
    -0.38227
  • Upside SD
    0.41698
  • Downside SD
    0.30241
  • N nonnegative terms
    13.00000
  • N negative terms
    15.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    28.00000
  • Mean of predictor
    0.27764
  • Mean of criterion
    0.33385
  • SD of predictor
    0.26477
  • SD of criterion
    0.51529
  • Covariance
    -0.01958
  • r
    -0.14350
  • b (slope, estimate of beta)
    -0.27928
  • a (intercept, estimate of alpha)
    0.41139
  • Mean Square Error
    0.27006
  • DF error
    26.00000
  • t(b)
    -0.73936
  • p(b)
    0.76684
  • t(a)
    1.15556
  • p(a)
    0.12918
  • Lowerbound of 95% confidence interval for beta
    -1.05571
  • Upperbound of 95% confidence interval for beta
    0.49716
  • Lowerbound of 95% confidence interval for alpha
    -0.32039
  • Upperbound of 95% confidence interval for alpha
    1.14316
  • Treynor index (mean / b)
    -1.19540
  • Jensen alpha (a)
    0.41139
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.19495
  • Expected Shortfall on VaR
    0.24234
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.06734
  • Expected Shortfall on VaR
    0.14351
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    28.00000
  • Minimum
    0.66832
  • Quartile 1
    0.99698
  • Median
    1.00000
  • Quartile 3
    1.07989
  • Maximum
    1.50319
  • Mean of quarter 1
    0.89098
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.03442
  • Mean of quarter 4
    1.24157
  • Inter Quartile Range
    0.08292
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.03571
  • Mean of outliers low
    0.66832
  • Number of outliers high
    3.00000
  • Percentage of outliers high
    0.10714
  • Mean of outliers high
    1.38934
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.23088
  • VaR(95%) (moments method)
    0.05370
  • Expected Shortfall (moments method)
    0.09747
  • Extreme Value Index (regression method)
    0.52999
  • VaR(95%) (regression method)
    0.09616
  • Expected Shortfall (regression method)
    0.26369
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    3.00000
  • Minimum
    0.11138
  • Quartile 1
    0.14491
  • Median
    0.17845
  • Quartile 3
    0.29785
  • Maximum
    0.41725
  • Mean of quarter 1
    0.11138
  • Mean of quarter 2
    0.17845
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.41725
  • Inter Quartile Range
    0.15294
  • 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)
    0.56823
  • Compounded annual return (geometric extrapolation)
    0.43584
  • Calmar ratio (compounded annual return / max draw down)
    1.04457
  • Compounded annual return / average of 25% largest draw downs
    1.04457
  • Compounded annual return / Expected Shortfall lognormal
    1.79846
  • 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
    0.41432
  • SD
    0.43040
  • Sharpe ratio (Glass type estimate)
    0.96265
  • Sharpe ratio (Hedges UMVUE)
    0.96150
  • df
    628.00000
  • t
    1.49157
  • p
    0.06816
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.30377
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.22837
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.30456
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.22757
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.55604
  • Upside Potential Ratio
    7.21236
  • Upside part of mean
    1.92042
  • Downside part of mean
    -1.50610
  • Upside SD
    0.33868
  • Downside SD
    0.26627
  • N nonnegative terms
    223.00000
  • N negative terms
    406.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    629.00000
  • Mean of predictor
    0.38381
  • Mean of criterion
    0.41432
  • SD of predictor
    0.33893
  • SD of criterion
    0.43040
  • Covariance
    -0.01009
  • r
    -0.06917
  • b (slope, estimate of beta)
    -0.08783
  • a (intercept, estimate of alpha)
    0.44800
  • Mean Square Error
    0.18465
  • DF error
    627.00000
  • t(b)
    -1.73609
  • p(b)
    0.95848
  • t(a)
    1.61157
  • p(a)
    0.05378
  • Lowerbound of 95% confidence interval for beta
    -0.18718
  • Upperbound of 95% confidence interval for beta
    0.01152
  • Lowerbound of 95% confidence interval for alpha
    -0.09791
  • Upperbound of 95% confidence interval for alpha
    0.99398
  • Treynor index (mean / b)
    -4.71726
  • Jensen alpha (a)
    0.44804
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.32369
  • SD
    0.42345
  • Sharpe ratio (Glass type estimate)
    0.76440
  • Sharpe ratio (Hedges UMVUE)
    0.76349
  • df
    628.00000
  • t
    1.18440
  • p
    0.11835
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.50156
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.02976
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.50216
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.02914
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.16783
  • Upside Potential Ratio
    6.73602
  • Upside part of mean
    1.86701
  • Downside part of mean
    -1.54332
  • Upside SD
    0.32032
  • Downside SD
    0.27717
  • N nonnegative terms
    223.00000
  • N negative terms
    406.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    629.00000
  • Mean of predictor
    0.32752
  • Mean of criterion
    0.32369
  • SD of predictor
    0.33344
  • SD of criterion
    0.42345
  • Covariance
    -0.00954
  • r
    -0.06757
  • b (slope, estimate of beta)
    -0.08582
  • a (intercept, estimate of alpha)
    0.35179
  • Mean Square Error
    0.17877
  • DF error
    627.00000
  • t(b)
    -1.69595
  • p(b)
    0.95480
  • t(a)
    1.28679
  • p(a)
    0.09932
  • Lowerbound of 95% confidence interval for beta
    -0.18518
  • Upperbound of 95% confidence interval for beta
    0.01355
  • Lowerbound of 95% confidence interval for alpha
    -0.18507
  • Upperbound of 95% confidence interval for alpha
    0.88866
  • Treynor index (mean / b)
    -3.77188
  • Jensen alpha (a)
    0.35179
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.04093
  • Expected Shortfall on VaR
    0.05132
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01527
  • Expected Shortfall on VaR
    0.03256
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    629.00000
  • Minimum
    0.87400
  • Quartile 1
    0.99724
  • Median
    1.00000
  • Quartile 3
    1.00644
  • Maximum
    1.25861
  • Mean of quarter 1
    0.97762
  • Mean of quarter 2
    0.99977
  • Mean of quarter 3
    1.00131
  • Mean of quarter 4
    1.02821
  • Inter Quartile Range
    0.00920
  • Number outliers low
    67.00000
  • Percentage of outliers low
    0.10652
  • Mean of outliers low
    0.95935
  • Number of outliers high
    70.00000
  • Percentage of outliers high
    0.11129
  • Mean of outliers high
    1.04844
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.31279
  • VaR(95%) (moments method)
    0.01253
  • Expected Shortfall (moments method)
    0.02379
  • Extreme Value Index (regression method)
    0.13203
  • VaR(95%) (regression method)
    0.01963
  • Expected Shortfall (regression method)
    0.03301
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    29.00000
  • Minimum
    0.00005
  • Quartile 1
    0.00270
  • Median
    0.02244
  • Quartile 3
    0.05264
  • Maximum
    0.49299
  • Mean of quarter 1
    0.00124
  • Mean of quarter 2
    0.01157
  • Mean of quarter 3
    0.04048
  • Mean of quarter 4
    0.21205
  • Inter Quartile Range
    0.04994
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    5.00000
  • Percentage of outliers high
    0.17241
  • Mean of outliers high
    0.27394
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.49685
  • VaR(95%) (moments method)
    0.19580
  • Expected Shortfall (moments method)
    0.45633
  • Extreme Value Index (regression method)
    0.81961
  • VaR(95%) (regression method)
    0.22506
  • Expected Shortfall (regression method)
    1.27456
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.55227
  • Compounded annual return (geometric extrapolation)
    0.42133
  • Calmar ratio (compounded annual return / max draw down)
    0.85464
  • Compounded annual return / average of 25% largest draw downs
    1.98689
  • Compounded annual return / Expected Shortfall lognormal
    8.21046
  • 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
    0.73351
  • Mean of criterion
    -0.02791
  • SD of predictor
    0.41845
  • 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
    0.64596
  • Mean of criterion
    -0.02791
  • SD of predictor
    0.41754
  • 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)
    -6835220000000000.00000
  • p(a)
    1.00000
  • VAR (95 Confidence Intrvl)
    0.04100
  • 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)
    138018000000000004146744484954112.00000
  • 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?
    -364934000
  • Max Equity Drawdown (num days)
    35
  • 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

Nothing to say.

Summary Statistics

Strategy began
2016-11-24
Suggested Minimum Capital
$200,000
# Trades
468
# Profitable
265
% Profitable
56.6%
Correlation S&P500
-0.057
Sharpe Ratio
0.38
Sortino Ratio
0.61
Beta
-0.09
Alpha
0.04

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.

Okay, gotcha.

Not available

This feature isn't available under your current Trade Leader Plan.

Want to see available plans and features?

Please hold...

Strategy is now visible

This strategy is now visible to the public. New subscribers will be able to follow it.

If you designate your strategy as Private, it will no longer be visible to the public.

No subscribers and simulations will be allowed. If you have subscribers, the strategy will still be visible to them.
If you have simulations, they will be stopped.

Continue to designate your strategy as Private?

Strategy is no longer visible

This strategy is no longer visible to anyone except current subscribers.

(Current subscribers will remain subscribed. You can see who is subscribed, and control their subscriptions, on your Subscriber Management screen.)

Finally, please note that you can restore public visibility at any time.

This strategy is no longer visible to the public. No subscribers will be allowed.

You can restore public visibility at any time.

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.