Collective2 Collective2
Featured Strategy Quant AI pro +14.0% Cumul. Return since Dec 2, 2024 Hypothetical

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These are hypothetical performance results that have certain inherent limitations. Learn more
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Giantify
(80688565)

Created by: WeiShungChung WeiShungChung
Started: 05/2013
Stocks
Last trade: 3,163 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 $9.00 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.

15.6%
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.

(39.3%)
Max Drawdown
237
Num Trades
83.1%
Win Trades
7.6 : 1
Profit Factor
61.9%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2013                            +2.3%(4.2%)+15.4%(4.2%)+12.0%+3.7%+1.8%(0.1%)+28.0%
2014(4.6%)+1.3%+3.1%+0.7%+0.4%+7.9%+0.8%+2.2%(0.8%)+2.7%(0.2%)+0.2%+14.2%
2015(5.6%)+9.3%(0.3%)+2.5%(2.3%)(2.1%)(1.4%)(12%)(3.7%)+11.4%(2.8%)(9.6%)(17.5%)
2016(8.1%)+0.5%+11.3%+3.3%(2.9%)(1.8%)+6.6%+1.6%+0.6%(2.3%)+2.8%+2.8%+14.0%
2017+6.4%+3.6%(0.4%)+2.7%+1.0%(1.8%)+4.3%(2.7%)+8.4%+6.2%(0.4%)+7.4%+40.0%
2018+8.4%(3.6%)(1.9%)+2.5%+3.1%(1.1%)+2.5%+5.3%+3.1%(6.3%)+3.0%(11.2%)+2.2%
2019+6.8%+10.8%+3.0%+3.9%(1%)+3.2%+6.2%(2.5%)+1.6%+3.5%+5.3%+3.4%+53.4%
2020(1.2%)+5.0%(10.1%)(3.8%)+5.8%(1.7%)+0.7%+14.0%(6%)(4.5%)+16.9%+1.8%+14.3%
2021(2.4%)+10.0%+3.7%+3.2%+0.8%+1.6%+2.0%(1.7%)(1.9%)+1.2%(2.4%)+2.4%+16.9%
2022+1.2%(3.5%)+2.8%(8.5%)+1.6%(11.6%)+9.9%+1.6%(12.8%)+11.6%+6.8%(4.3%)(8.3%)
2023+8.0%(5.5%)+0.9%+5.1%(5.3%)+7.5%+4.4%(4%)+0.8%(1.1%)+7.6%+5.4%+25.1%
2024+2.3%+5.3%+3.5%(4.6%)(3%)+3.5%  -  +7.7%+0.1%+6.7%(0.5%)+19.3%

Model Account Details

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

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

System developer has asked us to delay this information by 48 hours.

Trading Record

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Long
Short
Both
Win
Loss
Both
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Opened Date/TimeSymbolDescriptionSideQuantAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
12/30/15 9:30 CL COLGATE-PALMOLIVE LONG 215 66.82 4/12/16 9:30 70.83 0.28%
Trade id #98965013
Max drawdown($346)
Time1/4/16 8:01
Quant open135
Worst price65.09
Drawdown as % of equity-0.28%
 $858
Includes Typical Broker Commissions trade costs of $4.30
4/16/15 9:30 TOT TOTAL SE LONG 871 52.30 4/12/16 9:30 49.11 5.25%
Trade id #93890025
Max drawdown($6,419)
Time9/28/15 17:00
Quant open666
Worst price42.66
Drawdown as % of equity-5.25%
 ($2,796)
Includes Typical Broker Commissions trade costs of $17.42
5/5/15 9:31 CVX CHEVRON LONG 290 102.82 4/12/16 9:30 95.69 2.45%
Trade id #94246652
Max drawdown($3,065)
Time3/15/16 12:04
Quant open290
Worst price92.25
Drawdown as % of equity-2.45%
 ($2,074)
Includes Typical Broker Commissions trade costs of $5.80
12/28/15 9:31 CVS CVS HEALTH CORP LONG 100 98.41 4/12/16 9:30 101.22 0.42%
Trade id #98935115
Max drawdown($451)
Time1/19/16 7:13
Quant open100
Worst price0.00
Drawdown as % of equity-0.42%
 $279
Includes Typical Broker Commissions trade costs of $2.00
7/21/15 9:31 OSTK OVERSTOCK.COM LONG 450 22.46 1/20/16 10:18 10.07 5.28%
Trade id #95980527
Max drawdown($5,578)
Time1/20/16 9:56
Quant open450
Worst price10.06
Drawdown as % of equity-5.28%
 ($5,586)
Includes Typical Broker Commissions trade costs of $9.00
6/2/15 9:30 AAPL APPLE LONG 153 122.30 1/20/16 10:18 94.30 4.14%
Trade id #94753205
Max drawdown($4,379)
Time1/20/16 4:19
Quant open153
Worst price93.67
Drawdown as % of equity-4.14%
 ($4,286)
Includes Typical Broker Commissions trade costs of $3.06
7/8/15 9:31 LVS LAS VEGAS SANDS LONG 340 53.91 1/8/16 11:48 39.30 4.55%
Trade id #95766431
Max drawdown($5,152)
Time1/7/16 15:29
Quant open340
Worst price38.75
Drawdown as % of equity-4.55%
 ($4,973)
Includes Typical Broker Commissions trade costs of $6.80
5/13/15 9:30 HAL HALLIBURTON LONG 170 47.62 1/4/16 9:32 33.86 2.07%
Trade id #94393572
Max drawdown($2,478)
Time12/21/15 8:01
Quant open170
Worst price33.04
Drawdown as % of equity-2.07%
 ($2,342)
Includes Typical Broker Commissions trade costs of $3.40
5/11/15 9:31 XOM EXXON MOBIL LONG 223 87.16 12/29 9:30 79.99 2.5%
Trade id #94344986
Max drawdown($3,052)
Time12/14/15 7:56
Quant open223
Worst price73.47
Drawdown as % of equity-2.50%
 ($1,603)
Includes Typical Broker Commissions trade costs of $4.46
2/26/15 9:30 F FORD MOTOR LONG 830 16.38 12/29 9:30 14.28 2.02%
Trade id #92780278
Max drawdown($2,471)
Time12/14/15 11:39
Quant open830
Worst price13.40
Drawdown as % of equity-2.02%
 ($1,758)
Includes Typical Broker Commissions trade costs of $16.60
7/21/15 9:30 MCO MOODY'S LONG 50 113.10 12/28 9:31 99.96 0.73%
Trade id #95980382
Max drawdown($894)
Time12/11/15 15:26
Quant open50
Worst price95.22
Drawdown as % of equity-0.73%
 ($658)
Includes Typical Broker Commissions trade costs of $1.00
4/20/15 9:31 PG PROCTER & GAMBLE LONG 120 83.09 12/28 9:31 79.74 0.96%
Trade id #93945749
Max drawdown($1,146)
Time12/21/15 4:01
Quant open120
Worst price73.54
Drawdown as % of equity-0.96%
 ($404)
Includes Typical Broker Commissions trade costs of $2.40
12/2/15 9:30 BAC BANK OF AMERICA CORPORATION LONG 500 17.88 12/28 9:31 17.22 0.57%
Trade id #98600281
Max drawdown($692)
Time12/14/15 11:39
Quant open500
Worst price16.50
Drawdown as % of equity-0.57%
 ($340)
Includes Typical Broker Commissions trade costs of $10.00
6/18/15 9:31 GS GOLDMAN SACHS GROUP LONG 65 213.15 12/28 9:31 181.77 2.14%
Trade id #95141394
Max drawdown($2,616)
Time12/14/15 11:39
Quant open65
Worst price172.90
Drawdown as % of equity-2.14%
 ($2,041)
Includes Typical Broker Commissions trade costs of $1.30
8/7/15 9:30 MS MORGAN STANLEY LONG 300 36.56 12/28 9:30 32.36 1.34%
Trade id #96502300
Max drawdown($1,610)
Time12/21/15 12:21
Quant open300
Worst price31.19
Drawdown as % of equity-1.34%
 ($1,265)
Includes Typical Broker Commissions trade costs of $6.00
12/8/15 9:30 BAX BAXTER INTERNATIONAL LONG 50 37.50 12/28 9:30 38.02 0.06%
Trade id #98683960
Max drawdown($71)
Time12/14/15 11:54
Quant open50
Worst price36.08
Drawdown as % of equity-0.06%
 $25
Includes Typical Broker Commissions trade costs of $1.00
8/6/15 9:30 WFC WELLS FARGO LONG 250 55.51 12/1 9:30 55.51 0.93%
Trade id #96475910
Max drawdown($1,176)
Time10/2/15 10:08
Quant open150
Worst price49.51
Drawdown as % of equity-0.93%
 ($6)
Includes Typical Broker Commissions trade costs of $5.00
7/27/15 9:30 BAC BANK OF AMERICA CORPORATION LONG 680 17.82 12/1 9:30 17.52 1.07%
Trade id #96077961
Max drawdown($1,480)
Time10/13/15 17:25
Quant open600
Worst price15.38
Drawdown as % of equity-1.07%
 ($210)
Includes Typical Broker Commissions trade costs of $9.30
10/20/15 9:31 MGM MGM RESORTS INTERNATIONAL LONG 300 21.11 11/12 9:31 23.11 0.19%
Trade id #97891288
Max drawdown($268)
Time10/22/15 14:21
Quant open300
Worst price20.21
Drawdown as % of equity-0.19%
 $594
Includes Typical Broker Commissions trade costs of $6.00
10/21/15 9:30 SINA SINA LONG 50 46.19 11/12 9:30 48.00 0.05%
Trade id #97916879
Max drawdown($76)
Time10/21/15 10:39
Quant open50
Worst price44.67
Drawdown as % of equity-0.05%
 $90
Includes Typical Broker Commissions trade costs of $1.00
8/13/15 9:30 GOOGL ALPHABET INC CLASS A LONG 5 689.20 10/20 9:30 697.89 0.29%
Trade id #96617309
Max drawdown($356)
Time9/28/15 14:22
Quant open5
Worst price617.84
Drawdown as % of equity-0.29%
 $43
Includes Typical Broker Commissions trade costs of $0.10
8/17/15 9:30 WIRE ENCORE WIRE LONG 100 33.55 10/16 9:30 38.05 0.25%
Trade id #96671578
Max drawdown($320)
Time9/24/15 9:42
Quant open100
Worst price30.34
Drawdown as % of equity-0.25%
 $448
Includes Typical Broker Commissions trade costs of $2.00
6/1/15 9:30 AKAM AKAMAI TECHNOLOGIES LONG 454 73.46 8/7 9:30 74.76 2.85%
Trade id #94724693
Max drawdown($4,257)
Time7/28/15 16:48
Quant open454
Worst price64.08
Drawdown as % of equity-2.85%
 $582
Includes Typical Broker Commissions trade costs of $9.08
4/27/15 9:31 GOOGL ALPHABET INC CLASS A LONG 54 562.62 7/27 9:31 654.14 0.82%
Trade id #94081830
Max drawdown($1,264)
Time6/15/15 10:56
Quant open54
Worst price539.21
Drawdown as % of equity-0.82%
 $4,941
Includes Typical Broker Commissions trade costs of $1.08
7/21/15 9:30 MS MORGAN STANLEY LONG 200 39.71 7/23 9:30 40.48 0.01%
Trade id #95980469
Max drawdown($22)
Time7/21/15 16:58
Quant open200
Worst price39.60
Drawdown as % of equity-0.01%
 $150
Includes Typical Broker Commissions trade costs of $4.00
6/18/15 9:31 BAC BANK OF AMERICA CORPORATION LONG 775 17.33 7/22 9:31 18.00 0.51%
Trade id #95141388
Max drawdown($738)
Time7/8/15 14:50
Quant open625
Worst price16.22
Drawdown as % of equity-0.51%
 $504
Includes Typical Broker Commissions trade costs of $15.50
6/18/15 9:30 WFC WELLS FARGO LONG 385 57.22 7/21 9:30 57.99 0.53%
Trade id #95141218
Max drawdown($758)
Time7/7/15 11:36
Quant open360
Worst price55.08
Drawdown as % of equity-0.53%
 $289
Includes Typical Broker Commissions trade costs of $7.70
6/17/15 9:30 LVS LAS VEGAS SANDS LONG 100 52.72 7/2 9:30 54.87 0.18%
Trade id #95077522
Max drawdown($287)
Time6/29/15 9:30
Quant open100
Worst price49.85
Drawdown as % of equity-0.18%
 $213
Includes Typical Broker Commissions trade costs of $2.00
6/12/15 9:31 OSTK OVERSTOCK.COM LONG 580 21.81 6/29 9:31 22.20 0.38%
Trade id #94975581
Max drawdown($599)
Time6/17/15 15:11
Quant open480
Worst price20.58
Drawdown as % of equity-0.38%
 $214
Includes Typical Broker Commissions trade costs of $11.60
6/15/15 9:31 MS MORGAN STANLEY LONG 150 39.22 6/24 9:31 39.97 0.03%
Trade id #95010058
Max drawdown($40)
Time6/15/15 9:35
Quant open150
Worst price38.95
Drawdown as % of equity-0.03%
 $110
Includes Typical Broker Commissions trade costs of $3.00
Next

Statistics

  • Strategy began
    5/4/2013
  • Suggested Minimum Cap
    $100,000
  • Strategy Age (days)
    4253.28
  • Age
    142 months ago
  • What it trades
    Stocks
  • # Trades
    237
  • # Profitable
    197
  • % Profitable
    83.10%
  • Avg trade duration
    204.6 days
  • Max peak-to-valley drawdown
    39.31%
  • drawdown period
    May 21, 2015 - Jan 20, 2016
  • Annual Return (Compounded)
    15.6%
  • Avg win
    $2,254
  • Avg loss
    $1,683
  • Model Account Values (Raw)
  • Cash
    $91,774
  • Margin Used
    $0
  • Buying Power
    $424,341
  • Ratios
  • W:L ratio
    7.59:1
  • Sharpe Ratio
    0.63
  • Sortino Ratio
    0.94
  • Calmar Ratio
    1.411
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    166.03%
  • Correlation to SP500
    0.75630
  • Return Percent SP500 (cumu) during strategy life
    273.78%
  • Return Statistics
  • Ann Return (w trading costs)
    15.6%
  • Slump
  • Current Slump as Pcnt Equity
    1.30%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.00%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.156%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    15.8%
  • 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
    n/a
  • 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
    n/a
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    0
  • 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
    $1,684
  • Avg Win
    $2,254
  • Sum Trade PL (losers)
    $67,345.000
  • Age
  • Num Months filled monthly returns table
    140
  • Win / Loss
  • Sum Trade PL (winners)
    $444,096.000
  • # Winners
    197
  • Num Months Winners
    86
  • Dividends
  • Dividends Received in Model Acct
    67122
  • Win / Loss
  • # Losers
    40
  • % Winners
    83.1%
  • Frequency
  • Avg Position Time (mins)
    294576.00
  • Avg Position Time (hrs)
    4909.60
  • Avg Trade Length
    204.6 days
  • Last Trade Ago
    3162
  • Regression
  • Alpha
    0.01
  • Beta
    1.04
  • Treynor Index
    0.04
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.01
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    29.97
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    97.35
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -4.49
  • MAE:Equity, average, winning trades
    0.01
  • MAE:Equity, average, losing trades
    0.01
  • Avg(MAE) / Avg(PL) - All trades
    0.666
  • 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
    0.01
  • Avg(MAE) / Avg(PL) - Winning trades
    0.364
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.267
  • Hold-and-Hope Ratio
    1.870
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.44443
  • SD
    0.33183
  • Sharpe ratio (Glass type estimate)
    1.33933
  • Sharpe ratio (Hedges UMVUE)
    1.31871
  • df
    49.00000
  • t
    2.73390
  • p
    0.00434
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.33707
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.32893
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.32366
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.31375
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.12186
  • Upside Potential Ratio
    4.63209
  • Upside part of mean
    0.65942
  • Downside part of mean
    -0.21499
  • Upside SD
    0.32265
  • Downside SD
    0.14236
  • N nonnegative terms
    33.00000
  • N negative terms
    17.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    50.00000
  • Mean of predictor
    0.32049
  • Mean of criterion
    0.44443
  • SD of predictor
    0.23686
  • SD of criterion
    0.33183
  • Covariance
    0.06738
  • r
    0.85724
  • b (slope, estimate of beta)
    1.20094
  • a (intercept, estimate of alpha)
    0.05954
  • Mean Square Error
    0.02980
  • DF error
    48.00000
  • t(b)
    11.53400
  • p(b)
    0.00000
  • t(a)
    0.65486
  • p(a)
    0.25784
  • Lowerbound of 95% confidence interval for beta
    0.99159
  • Upperbound of 95% confidence interval for beta
    1.41029
  • Lowerbound of 95% confidence interval for alpha
    -0.12327
  • Upperbound of 95% confidence interval for alpha
    0.24235
  • Treynor index (mean / b)
    0.37007
  • Jensen alpha (a)
    0.05954
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.38646
  • SD
    0.31474
  • Sharpe ratio (Glass type estimate)
    1.22788
  • Sharpe ratio (Hedges UMVUE)
    1.20897
  • df
    49.00000
  • t
    2.50639
  • p
    0.00778
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.23167
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.21232
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.21940
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.19853
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.55251
  • Upside Potential Ratio
    4.04174
  • Upside part of mean
    0.61194
  • Downside part of mean
    -0.22548
  • Upside SD
    0.29429
  • Downside SD
    0.15141
  • N nonnegative terms
    33.00000
  • N negative terms
    17.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    50.00000
  • Mean of predictor
    0.29014
  • Mean of criterion
    0.38646
  • SD of predictor
    0.22686
  • SD of criterion
    0.31474
  • Covariance
    0.06199
  • r
    0.86819
  • b (slope, estimate of beta)
    1.20453
  • a (intercept, estimate of alpha)
    0.03698
  • Mean Square Error
    0.02490
  • DF error
    48.00000
  • t(b)
    12.12150
  • p(b)
    0.00000
  • t(a)
    0.44821
  • p(a)
    0.32801
  • Lowerbound of 95% confidence interval for beta
    1.00473
  • Upperbound of 95% confidence interval for beta
    1.40433
  • Lowerbound of 95% confidence interval for alpha
    -0.12891
  • Upperbound of 95% confidence interval for alpha
    0.20287
  • Treynor index (mean / b)
    0.32084
  • Jensen alpha (a)
    0.03698
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.11063
  • Expected Shortfall on VaR
    0.14328
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.03129
  • Expected Shortfall on VaR
    0.06860
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    50.00000
  • Minimum
    0.83402
  • Quartile 1
    0.98720
  • Median
    1.01957
  • Quartile 3
    1.09517
  • Maximum
    1.27914
  • Mean of quarter 1
    0.93659
  • Mean of quarter 2
    1.00474
  • Mean of quarter 3
    1.04516
  • Mean of quarter 4
    1.16875
  • Inter Quartile Range
    0.10797
  • 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
    0.04000
  • Mean of outliers high
    1.27524
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.27556
  • VaR(95%) (moments method)
    0.04819
  • Expected Shortfall (moments method)
    0.08637
  • Extreme Value Index (regression method)
    0.02891
  • VaR(95%) (regression method)
    0.08132
  • Expected Shortfall (regression method)
    0.12555
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    7.00000
  • Minimum
    0.00687
  • Quartile 1
    0.01297
  • Median
    0.03615
  • Quartile 3
    0.12172
  • Maximum
    0.30060
  • Mean of quarter 1
    0.00850
  • Mean of quarter 2
    0.02598
  • Mean of quarter 3
    0.07746
  • Mean of quarter 4
    0.23329
  • Inter Quartile Range
    0.10875
  • 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
    0.14286
  • Mean of outliers high
    0.30060
  • 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)
    1.10908
  • Compounded annual return (geometric extrapolation)
    0.51342
  • Calmar ratio (compounded annual return / max draw down)
    1.70796
  • Compounded annual return / average of 25% largest draw downs
    2.20076
  • Compounded annual return / Expected Shortfall lognormal
    3.58323
  • 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
    0.44029
  • SD
    0.32849
  • Sharpe ratio (Glass type estimate)
    1.34034
  • Sharpe ratio (Hedges UMVUE)
    1.33942
  • df
    1091.00000
  • t
    2.73637
  • p
    0.44750
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.37837
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.30173
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.37774
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.30110
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.05003
  • Upside Potential Ratio
    8.47247
  • Upside part of mean
    1.81967
  • Downside part of mean
    -1.37938
  • Upside SD
    0.24984
  • Downside SD
    0.21477
  • N nonnegative terms
    584.00000
  • N negative terms
    508.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1092.00000
  • Mean of predictor
    0.31789
  • Mean of criterion
    0.44029
  • SD of predictor
    0.23473
  • SD of criterion
    0.32849
  • Covariance
    0.05828
  • r
    0.75586
  • b (slope, estimate of beta)
    1.05778
  • a (intercept, estimate of alpha)
    0.10400
  • Mean Square Error
    0.04630
  • DF error
    1090.00000
  • t(b)
    38.11430
  • p(b)
    0.12207
  • t(a)
    0.98365
  • p(a)
    0.48511
  • Lowerbound of 95% confidence interval for beta
    1.00333
  • Upperbound of 95% confidence interval for beta
    1.11224
  • Lowerbound of 95% confidence interval for alpha
    -0.10349
  • Upperbound of 95% confidence interval for alpha
    0.31157
  • Treynor index (mean / b)
    0.41624
  • Jensen alpha (a)
    0.10404
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.38634
  • SD
    0.32727
  • Sharpe ratio (Glass type estimate)
    1.18047
  • Sharpe ratio (Hedges UMVUE)
    1.17966
  • df
    1091.00000
  • t
    2.40999
  • p
    0.45371
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.21889
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.14152
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.21835
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.14097
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.74445
  • Upside Potential Ratio
    8.08063
  • Upside part of mean
    1.78959
  • Downside part of mean
    -1.40325
  • Upside SD
    0.24194
  • Downside SD
    0.22147
  • N nonnegative terms
    584.00000
  • N negative terms
    508.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1092.00000
  • Mean of predictor
    0.29004
  • Mean of criterion
    0.38634
  • SD of predictor
    0.23557
  • SD of criterion
    0.32727
  • Covariance
    0.05842
  • r
    0.75773
  • b (slope, estimate of beta)
    1.05271
  • a (intercept, estimate of alpha)
    0.08101
  • Mean Square Error
    0.04565
  • DF error
    1090.00000
  • t(b)
    38.33530
  • p(b)
    0.12114
  • t(a)
    0.77178
  • p(a)
    0.48831
  • Lowerbound of 95% confidence interval for beta
    0.99882
  • Upperbound of 95% confidence interval for beta
    1.10659
  • Lowerbound of 95% confidence interval for alpha
    -0.12494
  • Upperbound of 95% confidence interval for alpha
    0.28696
  • Treynor index (mean / b)
    0.36699
  • Jensen alpha (a)
    0.08101
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.03128
  • Expected Shortfall on VaR
    0.03941
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01135
  • Expected Shortfall on VaR
    0.02438
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    1092.00000
  • Minimum
    0.87861
  • Quartile 1
    0.99535
  • Median
    1.00063
  • Quartile 3
    1.00802
  • Maximum
    1.19418
  • Mean of quarter 1
    0.98059
  • Mean of quarter 2
    0.99860
  • Mean of quarter 3
    1.00368
  • Mean of quarter 4
    1.02428
  • Inter Quartile Range
    0.01267
  • Number outliers low
    65.00000
  • Percentage of outliers low
    0.05952
  • Mean of outliers low
    0.95642
  • Number of outliers high
    82.00000
  • Percentage of outliers high
    0.07509
  • Mean of outliers high
    1.04436
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.36754
  • VaR(95%) (moments method)
    0.01635
  • Expected Shortfall (moments method)
    0.03158
  • Extreme Value Index (regression method)
    0.26779
  • VaR(95%) (regression method)
    0.01693
  • Expected Shortfall (regression method)
    0.02975
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    77.00000
  • Minimum
    0.00006
  • Quartile 1
    0.00351
  • Median
    0.01060
  • Quartile 3
    0.03645
  • Maximum
    0.36381
  • Mean of quarter 1
    0.00138
  • Mean of quarter 2
    0.00663
  • Mean of quarter 3
    0.02313
  • Mean of quarter 4
    0.09958
  • Inter Quartile Range
    0.03294
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    7.00000
  • Percentage of outliers high
    0.09091
  • Mean of outliers high
    0.17983
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.55045
  • VaR(95%) (moments method)
    0.10772
  • Expected Shortfall (moments method)
    0.25698
  • Extreme Value Index (regression method)
    0.55591
  • VaR(95%) (regression method)
    0.09110
  • Expected Shortfall (regression method)
    0.20569
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    1.10874
  • Compounded annual return (geometric extrapolation)
    0.51323
  • Calmar ratio (compounded annual return / max draw down)
    1.41071
  • Compounded annual return / average of 25% largest draw downs
    5.15391
  • Compounded annual return / Expected Shortfall lognormal
    13.02400
  • 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
    0.98901
  • SD
    0.53323
  • Sharpe ratio (Glass type estimate)
    1.85475
  • Sharpe ratio (Hedges UMVUE)
    1.84403
  • df
    130.00000
  • t
    1.31151
  • p
    0.44286
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.92972
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.63220
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.93682
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.62489
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.79183
  • Upside Potential Ratio
    10.44320
  • Upside part of mean
    3.69949
  • Downside part of mean
    -2.71048
  • Upside SD
    0.40050
  • Downside SD
    0.35425
  • N nonnegative terms
    71.00000
  • N negative terms
    60.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.98404
  • Mean of criterion
    0.98901
  • SD of predictor
    0.43513
  • SD of criterion
    0.53323
  • Covariance
    0.18851
  • r
    0.81245
  • b (slope, estimate of beta)
    0.99562
  • a (intercept, estimate of alpha)
    0.00927
  • Mean Square Error
    0.09740
  • DF error
    129.00000
  • t(b)
    15.82720
  • p(b)
    0.04735
  • t(a)
    0.02080
  • p(a)
    0.49883
  • Lowerbound of 95% confidence interval for beta
    0.87116
  • Upperbound of 95% confidence interval for beta
    1.12008
  • Lowerbound of 95% confidence interval for alpha
    -0.87252
  • Upperbound of 95% confidence interval for alpha
    0.89106
  • Treynor index (mean / b)
    0.99335
  • Jensen alpha (a)
    0.00927
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.84623
  • SD
    0.53363
  • Sharpe ratio (Glass type estimate)
    1.58580
  • Sharpe ratio (Hedges UMVUE)
    1.57663
  • df
    130.00000
  • t
    1.12133
  • p
    0.45106
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.19573
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.36127
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.20179
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.35505
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.31215
  • Upside Potential Ratio
    9.89625
  • Upside part of mean
    3.62194
  • Downside part of mean
    -2.77572
  • Upside SD
    0.38906
  • Downside SD
    0.36599
  • N nonnegative terms
    71.00000
  • N negative terms
    60.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.88713
  • Mean of criterion
    0.84623
  • SD of predictor
    0.43963
  • SD of criterion
    0.53363
  • Covariance
    0.19108
  • r
    0.81449
  • b (slope, estimate of beta)
    0.98863
  • a (intercept, estimate of alpha)
    -0.03081
  • Mean Square Error
    0.09660
  • DF error
    129.00000
  • t(b)
    15.94460
  • p(b)
    0.04660
  • t(a)
    -0.06956
  • p(a)
    0.50390
  • VAR (95 Confidence Intrvl)
    0.03100
  • Lowerbound of 95% confidence interval for beta
    0.86595
  • Upperbound of 95% confidence interval for beta
    1.11130
  • Lowerbound of 95% confidence interval for alpha
    -0.90723
  • Upperbound of 95% confidence interval for alpha
    0.84561
  • Treynor index (mean / b)
    0.85596
  • Jensen alpha (a)
    -0.03081
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.04972
  • Expected Shortfall on VaR
    0.06265
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02246
  • Expected Shortfall on VaR
    0.04523
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.90348
  • Quartile 1
    0.98795
  • Median
    1.00424
  • Quartile 3
    1.02220
  • Maximum
    1.10482
  • Mean of quarter 1
    0.96264
  • Mean of quarter 2
    0.99700
  • Mean of quarter 3
    1.01317
  • Mean of quarter 4
    1.04299
  • Inter Quartile Range
    0.03425
  • Number outliers low
    4.00000
  • Percentage of outliers low
    0.03053
  • Mean of outliers low
    0.91556
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.01527
  • Mean of outliers high
    1.10125
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.32795
  • VaR(95%) (moments method)
    0.03317
  • Expected Shortfall (moments method)
    0.04045
  • Extreme Value Index (regression method)
    -0.30194
  • VaR(95%) (regression method)
    0.04186
  • Expected Shortfall (regression method)
    0.05254
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    15.00000
  • Minimum
    0.00444
  • Quartile 1
    0.01195
  • Median
    0.03520
  • Quartile 3
    0.04548
  • Maximum
    0.23311
  • Mean of quarter 1
    0.00699
  • Mean of quarter 2
    0.02724
  • Mean of quarter 3
    0.03869
  • Mean of quarter 4
    0.09965
  • Inter Quartile Range
    0.03353
  • 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
    0.06667
  • Mean of outliers high
    0.23311
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.65418
  • VaR(95%) (moments method)
    0.11915
  • Expected Shortfall (moments method)
    0.34843
  • Extreme Value Index (regression method)
    2.57628
  • VaR(95%) (regression method)
    0.16815
  • Last 4 Months - Pcnt Negative
    0.25%
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -348258000
  • Max Equity Drawdown (num days)
    244
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    1.09632
  • Compounded annual return (geometric extrapolation)
    1.39680
  • Calmar ratio (compounded annual return / max draw down)
    5.99207
  • Compounded annual return / average of 25% largest draw downs
    14.01700
  • Compounded annual return / Expected Shortfall lognormal
    22.29530

Strategy Description

Trade this strategy at Interactive Brokers

Summary Statistics

Strategy began
2013-05-04
Suggested Minimum Capital
$25,000
# Trades
237
# Profitable
197
% Profitable
83.1%
Net Dividends
$67,121
Correlation S&P500
0.756
Sharpe Ratio
0.63
Sortino Ratio
0.94
Beta
1.04
Alpha
0.01

Latest Activity

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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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