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

High-Probability, Mean-Reversion ETF Options Strategy

Created by:
AndrewCrowder2
AndrewCrowder2
Started:   11/2010
Options
Last trade:   1,657 days ago

Subscription terms. There is a free trial period of 30 days. After that, subscriptions cost $99.00 per month.

Try AutoTrade for free. We'll give you $100,000 in a Simulated Broker Account to AutoTrade High-Probability, Mean-Reversion ETF Options Strategy.

Free AutoTrade
-
Annual Return (Compounded)
100.0%
Max Drawdown
31
Num Trades
71.0%
Win Trades
0.5 : 1
Profit Factor
14.1%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2010                                                                      +3.7%+8.7%+12.7%
2011+5.6%  -  (6.4%)+10.1%+6.7%+1.3%+2.4%(3.6%)+7.1%(13.1%)+13.4%+0.6%+23.4%
2012(32.1%)(98.7%)(1280.9%)  -    -    -    -    -    -    -    -    -  (110.4%)
2013  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2014  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2015  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2016  -    -    -    -    -    -    -    -    -                    0.0

Model Account Details

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

Open positions are hidden from non-subscribers.

This strategy has placed 2 trades in real-life brokerage accounts. Show AutoTrade data Hide AutoTrade data
Long
Short
Both
Win
Loss
Both

Trading Record

Download CSV
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
2/7/12 13:23 SPY1217O135 SPY Mar17'12 135 put LONG 15 3.13 3/18 9:02 0.00 619.39%
Trade id #70376940
Max drawdown($4,695)
Time3/18/12 9:02
Quant open0
Worst price0.00
Drawdown as % of equity-619.39%
($4,709)
Includes Typical Commission and AutoTrade Fees trade costs of $14.25
1/19/12 14:35 SPY1217O131 SPY Mar17'12 131 put LONG 7 3.96 3/18 9:00 0.00 365.7%
Trade id #69853265
Max drawdown($2,772)
Time3/18/12 9:00
Quant open0
Worst price0.00
Drawdown as % of equity-365.70%
($2,779)
Includes Typical Commission and AutoTrade Fees trade costs of $6.65
1/10/12 9:42 SPY1217O130 SPY Mar17'12 130 put LONG 10 4.90 3/18 9:00 0.00 646.44%
Trade id #69605940
Max drawdown($4,900)
Time3/18/12 9:00
Quant open0
Worst price0.00
Drawdown as % of equity-646.44%
($4,910)
Includes Typical Commission and AutoTrade Fees trade costs of $9.50
1/4/12 13:36 QQQ1217O58 QQQ Mar17'12 58 put LONG 10 2.75 3/18 9:00 0.00 362.8%
Trade id #69471982
Max drawdown($2,750)
Time3/18/12 9:00
Quant open0
Worst price0.00
Drawdown as % of equity-362.80%
($2,760)
Includes Typical Commission and AutoTrade Fees trade costs of $9.50
12/6/11 9:38 DIA1221M121 DIA Jan21'12 121 put LONG 10 4.10 12/8 12:30 4.40 3.22%
Trade id #68686082
Max drawdown($500)
Time12/7/11 15:42
Quant open10
Worst price3.60
Drawdown as % of equity-3.22%
$281
Includes Typical Commission and AutoTrade Fees trade costs of $19.00
11/18/11 13:17 XLE1117L68 XLE Dec17'11 68 call LONG 10 2.97 11/30 9:53 3.70 18.55%
Trade id #68120610
Max drawdown($2,180)
Time11/25/11 12:59
Quant open10
Worst price0.79
Drawdown as % of equity-18.55%
$711
Includes Typical Commission and AutoTrade Fees trade costs of $19.00
11/21/11 11:10 QQQ1221A54 QQQ Jan21'12 54 call LONG 10 2.68 11/30 9:53 3.31 6.64%
Trade id #68156686
Max drawdown($780)
Time11/25/11 13:05
Quant open10
Worst price1.90
Drawdown as % of equity-6.64%
$611
Includes Typical Commission and AutoTrade Fees trade costs of $19.00
11/8/11 14:40 USO1117X39 USO Dec17'11 39 put LONG 12 2.84 11/9 9:39 3.20 0.7%
Trade id #67725507
Max drawdown($96)
Time11/8/11 15:50
Quant open12
Worst price2.76
Drawdown as % of equity-0.70%
$409
Includes Typical Commission and AutoTrade Fees trade costs of $22.80
10/6/11 10:08 QQQ1119W54 QQQ Nov19'11 54 put LONG 12 2.89 10/26 10:59 1.01 26.7%
Trade id #66504071
Max drawdown($2,928)
Time10/24/11 13:51
Quant open12
Worst price0.45
Drawdown as % of equity-26.70%
($2,279)
Includes Typical Commission and AutoTrade Fees trade costs of $22.80
10/10/11 13:13 DIA1119W114 DIA Nov19'11 114 put LONG 8 4.55 10/26 10:59 2.21 22.83%
Trade id #66615490
Max drawdown($2,504)
Time10/24/11 15:02
Quant open8
Worst price1.42
Drawdown as % of equity-22.83%
($1,887)
Includes Typical Commission and AutoTrade Fees trade costs of $15.20
10/24/11 13:51 IWM1117X74 IWM Dec17'11 74 put LONG 15 4.19 10/26 10:59 5.83 0.41%
Trade id #67136425
Max drawdown($45)
Time10/24/11 22:25
Quant open15
Worst price0.00
Drawdown as % of equity-0.41%
$2,432
Includes Typical Commission and AutoTrade Fees trade costs of $28.50
10/6/11 9:41 QQQ POWERSHARES QQQ LONG 12 53.57 10/6 9:45 53.46 0.01%
Trade id #66501948
Max drawdown($1)
Time10/6/11 9:45
Quant open12
Worst price53.44
Drawdown as % of equity-0.01%
($3)
Includes Typical Commission and AutoTrade Fees trade costs of $2.00
8/30/11 9:56 QQQ1122V56 QQQ Oct22'11 56 put LONG 12 3.02 9/2 9:31 3.57 5.51%
Trade id #65164010
Max drawdown($780)
Time8/31/11 10:19
Quant open12
Worst price2.37
Drawdown as % of equity-5.51%
$637
Includes Typical Commission and AutoTrade Fees trade costs of $22.80
7/7/11 13:33 QQQ1117U61 QQQ Sep17'11 61 put LONG 15 2.77 7/11 9:34 3.23 1.01%
Trade id #63283897
Max drawdown($135)
Time7/7/11 14:26
Quant open15
Worst price2.68
Drawdown as % of equity-1.01%
$662
Includes Typical Commission and AutoTrade Fees trade costs of $28.50
7/6/11 14:44 QQQ1117U60 QQQ Sep17'11 60 put LONG 15 2.73 7/11 9:34 2.59 7.07%
Trade id #63239784
Max drawdown($945)
Time7/7/11 14:33
Quant open15
Worst price2.10
Drawdown as % of equity-7.07%
($239)
Includes Typical Commission and AutoTrade Fees trade costs of $28.50
6/21/11 12:02 SPY1120T128 SPY Aug20'11 128 put LONG 10 2.97 6/22 15:55 3.26 1.52%
Trade id #62721807
Max drawdown($210)
Time6/22/11 14:28
Quant open10
Worst price2.76
Drawdown as % of equity-1.52%
$271
Includes Typical Commission and AutoTrade Fees trade costs of $19.00
5/25/11 9:35 QQQ1117I56 QQQ Sep17'11 56 call LONG 15 2.71 5/25 15:08 2.88 0.44%
Trade id #61755052
Max drawdown($60)
Time5/25/11 9:37
Quant open15
Worst price2.67
Drawdown as % of equity-0.44%
$227
Includes Typical Commission and AutoTrade Fees trade costs of $28.50
4/29/11 9:31 SPY1118R136 SPY Jun18'11 136 put LONG 14 2.89 5/3 9:42 3.11 5.26%
Trade id #60289307
Max drawdown($686)
Time5/2/11 10:32
Quant open14
Worst price2.40
Drawdown as % of equity-5.26%
$281
Includes Typical Commission and AutoTrade Fees trade costs of $26.60
3/25/11 10:03 SPY1121Q130 SPY May21'11 130 put LONG 14 2.97 4/12 10:51 2.36 19.75%
Trade id #59116381
Max drawdown($2,128)
Time4/8/11 9:33
Quant open14
Worst price1.45
Drawdown as % of equity-19.75%
($881)
Includes Typical Commission and AutoTrade Fees trade costs of $26.60
4/1/11 9:31 IWM1118R84 IWM Jun18'11 84 put LONG 14 3.15 4/11 15:28 3.82 5.94%
Trade id #59323344
Max drawdown($644)
Time4/7/11 9:59
Quant open14
Worst price2.69
Drawdown as % of equity-5.94%
$911
Includes Typical Commission and AutoTrade Fees trade costs of $26.60
4/11/11 10:59 SLV1116S40 SLV Jul16'11 40 put LONG 10 2.88 4/11 15:14 3.45 0.43%
Trade id #59643854
Max drawdown($50)
Time4/11/11 11:12
Quant open10
Worst price2.83
Drawdown as % of equity-0.43%
$551
Includes Typical Commission and AutoTrade Fees trade costs of $19.00
3/25/11 9:59 SPY SPDR S&P 500 LONG 14 131.11 3/25 10:00 131.15 n/a ($1)
Includes Typical Commission and AutoTrade Fees trade costs of $2.00
3/25/11 9:58 SPY SPDR S&P 500 LONG 14 131.04 3/25 9:59 131.11 n/a ($1)
Includes Typical Commission and AutoTrade Fees trade costs of $2.00
3/14/11 9:52 EFA1118F58 EFA Jun18'11 58 call LONG 14 2.99 3/21 9:31 3.30 13.88%
Trade id #58696507
Max drawdown($1,694)
Time3/15/11 9:31
Quant open14
Worst price1.78
Drawdown as % of equity-13.88%
$407
Includes Typical Commission and AutoTrade Fees trade costs of $26.60
2/8/11 12:32 DIA1116P123 DIA Apr16'11 123 put LONG 12 3.45 2/23 10:00 3.55 12.22%
Trade id #57664032
Max drawdown($1,344)
Time2/18/11 12:39
Quant open12
Worst price2.33
Drawdown as % of equity-12.22%
$97
Includes Typical Commission and AutoTrade Fees trade costs of $22.80
1/25/11 15:40 USO1116D35 USO Apr16'11 35 call LONG 15 2.66 1/26 14:04 2.87 1.01%
Trade id #57162911
Max drawdown($120)
Time1/26/11 10:35
Quant open15
Worst price2.58
Drawdown as % of equity-1.01%
$287
Includes Typical Commission and AutoTrade Fees trade costs of $28.50
1/12/11 13:25 QQQQ1116P58 QQQQ Apr16'11 58 put LONG 15 2.93 1/20 10:20 3.10 6.5%
Trade id #56729554
Max drawdown($705)
Time1/18/11 14:04
Quant open15
Worst price2.46
Drawdown as % of equity-6.50%
$227
Includes Typical Commission and AutoTrade Fees trade costs of $28.50
12/29/10 11:22 XLB1119O39 XLB Mar19'11 39 put LONG 12 2.03 1/4/11 12:36 2.31 2.61%
Trade id #56266316
Max drawdown($288)
Time1/3/11 12:16
Quant open12
Worst price1.79
Drawdown as % of equity-2.61%
$313
Includes Typical Commission and AutoTrade Fees trade costs of $22.80
12/13/10 10:01 QQQQ1122M57 QQQQ Jan22'11 57 put LONG 12 2.85 12/15 14:51 3.24 1.23%
Trade id #55744471
Max drawdown($132)
Time12/13/10 10:57
Quant open12
Worst price2.74
Drawdown as % of equity-1.23%
$445
Includes Typical Commission and AutoTrade Fees trade costs of $22.80
12/3/10 10:57 GDX1122M64 GDX Jan22'11 64 put LONG 12 3.70 12/8 9:54 4.10 12.35%
Trade id #55475325
Max drawdown($1,188)
Time12/7/10 9:36
Quant open12
Worst price2.71
Drawdown as % of equity-12.35%
$457
Includes Typical Commission and AutoTrade Fees trade costs of $22.80

Statistics

  • Strategy began
    11/5/2010
  • Starting Unit Size
    $10,000
  • Strategy Age (days)
    2153.31
  • Age
    72 months ago
  • What it trades
    Options
  • # Trades
    31
  • # Profitable
    22
  • % Profitable
    71.00%
  • Avg trade duration
    12.6 days
  • Max peak-to-valley drawdown
    100%
  • drawdown period
    March 03, 2012 - March 18, 2012
  • Annual Return (Compounded)
    0.0%
  • Avg win
    $503.14
  • Avg loss
    $2,256
  • Model Account Values (Raw)
  • Cash
    $758
  • Margin Used
    $0
  • Buying Power
    $758
  • Ratios
  • W:L ratio
    0.55:1
  • Sharpe Ratio
    -1.349
  • Sortino Ratio
    -1.634
  • Calmar Ratio
    -0.636
  • Daily Change
  • Open PL
    $0.00
  • Open PL (start day)
    $0.00
  • Open PL Change $
    $0.00
  • Open PL Change %
    n/a
  • Close PL
    ($9,241)
  • Closed PL (start day)
    ($9,242)
  • Closed PL Change $
    $0.22
  • Closed PL Change %
    n/a
  • Equity
    $758.22
  • Equity (start day)
    $758.00
  • Equity Change $
    $0.22
  • Equity Change %
    0.03%
  • Return Statistics
  • Ann Return (w trading costs)
    n/a
  • Ann Return (Compnd, No Fees)
    -35.4%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    100.00%
  • Chance of 20% account loss
    100.00%
  • Chance of 30% account loss
    100.00%
  • Chance of 40% account loss
    100.00%
  • Chance of 50% account loss
    100.00%
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    0
  • Trades-Own-System Certification
  • Trades Own System?
    0
  • TOS percent
    n/a
  • Subscription Price
  • Billing Period (days)
    30
  • Trial Days
    30
  • Win / Loss
  • Avg Loss
    $2,257
  • Avg Win
    $503
  • # Winners
    22
  • # Losers
    9
  • % Winners
    71.0%
  • Frequency
  • Avg Position Time (mins)
    18202.20
  • Avg Position Time (hrs)
    303.37
  • Avg Trade Length
    12.6 days
  • Last Trade Ago
    1655
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.48734
  • SD
    0.65780
  • Sharpe ratio (Glass type estimate)
    -0.74085
  • Sharpe ratio (Hedges UMVUE)
    -0.72333
  • df
    32.00000
  • t
    -1.22856
  • p
    0.88590
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.93090
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.46041
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.91844
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.47179
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.75561
  • Upside Potential Ratio
    0.36342
  • Upside part of mean
    0.23439
  • Downside part of mean
    -0.72173
  • Upside SD
    0.15303
  • Downside SD
    0.64496
  • N nonnegative terms
    9.00000
  • N negative terms
    24.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    33.00000
  • Mean of predictor
    0.21726
  • Mean of criterion
    -0.48734
  • SD of predictor
    0.18035
  • SD of criterion
    0.65780
  • Covariance
    -0.00729
  • r
    -0.06141
  • b (slope, estimate of beta)
    -0.22398
  • a (intercept, estimate of alpha)
    -0.43867
  • Mean Square Error
    0.44498
  • DF error
    31.00000
  • t(b)
    -0.34255
  • p(b)
    0.63288
  • t(a)
    -1.02829
  • p(a)
    0.84411
  • Lowerbound of 95% confidence interval for beta
    -1.55752
  • Upperbound of 95% confidence interval for beta
    1.10956
  • Lowerbound of 95% confidence interval for alpha
    -1.30874
  • Upperbound of 95% confidence interval for alpha
    0.43139
  • Treynor index (mean / b)
    2.17580
  • Jensen alpha (a)
    -0.43867
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.94801
  • SD
    1.16418
  • Sharpe ratio (Glass type estimate)
    -0.81431
  • Sharpe ratio (Hedges UMVUE)
    -0.79505
  • df
    32.00000
  • t
    -1.35038
  • p
    0.90682
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.00664
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.39034
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.99289
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.40280
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.81047
  • Upside Potential Ratio
    0.19093
  • Upside part of mean
    0.22333
  • Downside part of mean
    -1.17134
  • Upside SD
    0.14478
  • Downside SD
    1.16970
  • N nonnegative terms
    9.00000
  • N negative terms
    24.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    33.00000
  • Mean of predictor
    0.19985
  • Mean of criterion
    -0.94801
  • SD of predictor
    0.17797
  • SD of criterion
    1.16418
  • Covariance
    -0.00714
  • r
    -0.03444
  • b (slope, estimate of beta)
    -0.22531
  • a (intercept, estimate of alpha)
    -0.90298
  • Mean Square Error
    1.39738
  • DF error
    31.00000
  • t(b)
    -0.19189
  • p(b)
    0.57546
  • t(a)
    -1.20322
  • p(a)
    0.88100
  • Lowerbound of 95% confidence interval for beta
    -2.62001
  • Upperbound of 95% confidence interval for beta
    2.16939
  • Lowerbound of 95% confidence interval for alpha
    -2.43357
  • Upperbound of 95% confidence interval for alpha
    0.62761
  • Treynor index (mean / b)
    4.20751
  • Jensen alpha (a)
    -0.90298
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.46836
  • Expected Shortfall on VaR
    0.53461
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.17201
  • Expected Shortfall on VaR
    0.36827
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    33.00000
  • Minimum
    0.18263
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00980
  • Maximum
    1.14887
  • Mean of quarter 1
    0.78168
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00122
  • Mean of quarter 4
    1.08028
  • Inter Quartile Range
    0.00980
  • Number outliers low
    7.00000
  • Percentage of outliers low
    0.21212
  • Mean of outliers low
    0.71931
  • Number of outliers high
    7.00000
  • Percentage of outliers high
    0.21212
  • Mean of outliers high
    1.08910
  • 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)
    0.88698
  • VaR(95%) (regression method)
    0.17311
  • Expected Shortfall (regression method)
    1.99222
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    4.00000
  • Minimum
    0.03120
  • Quartile 1
    0.03176
  • Median
    0.07001
  • Quartile 3
    0.31888
  • Maximum
    0.95133
  • Mean of quarter 1
    0.03120
  • Mean of quarter 2
    0.03195
  • Mean of quarter 3
    0.10807
  • Mean of quarter 4
    0.95133
  • Inter Quartile Range
    0.28712
  • 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
    0.95133
  • 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)
    -0.33607
  • Compounded annual return (geometric extrapolation)
    -0.60861
  • Calmar ratio (compounded annual return / max draw down)
    -0.63975
  • Compounded annual return / average of 25% largest draw downs
    -0.63975
  • Compounded annual return / Expected Shortfall lognormal
    -1.13843
  • 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
    -0.70082
  • SD
    0.69214
  • Sharpe ratio (Glass type estimate)
    -1.01254
  • Sharpe ratio (Hedges UMVUE)
    -1.01174
  • df
    953.00000
  • t
    -1.68620
  • p
    0.95396
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.19013
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.16554
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.18956
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.16607
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.38048
  • Upside Potential Ratio
    2.33395
  • Upside part of mean
    1.18487
  • Downside part of mean
    -1.88569
  • Upside SD
    0.47145
  • Downside SD
    0.50767
  • N nonnegative terms
    76.00000
  • N negative terms
    878.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    954.00000
  • Mean of predictor
    0.21922
  • Mean of criterion
    -0.70082
  • SD of predictor
    0.21922
  • SD of criterion
    0.69214
  • Covariance
    -0.00400
  • r
    -0.02635
  • b (slope, estimate of beta)
    -0.08321
  • a (intercept, estimate of alpha)
    -0.68258
  • Mean Square Error
    0.47923
  • DF error
    952.00000
  • t(b)
    -0.81344
  • p(b)
    0.79192
  • t(a)
    -1.63963
  • p(a)
    0.94929
  • Lowerbound of 95% confidence interval for beta
    -0.28395
  • Upperbound of 95% confidence interval for beta
    0.11753
  • Lowerbound of 95% confidence interval for alpha
    -1.49956
  • Upperbound of 95% confidence interval for alpha
    0.13439
  • Treynor index (mean / b)
    8.42251
  • Jensen alpha (a)
    -0.68258
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.94014
  • SD
    0.69637
  • Sharpe ratio (Glass type estimate)
    -1.35005
  • Sharpe ratio (Hedges UMVUE)
    -1.34899
  • df
    953.00000
  • t
    -2.24826
  • p
    0.98761
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.52821
  • Upperbound of 95% confidence interval for Sharpe Ratio
    -0.17122
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.52748
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.17050
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.63388
  • Upside Potential Ratio
    1.90731
  • Upside part of mean
    1.09747
  • Downside part of mean
    -2.03762
  • Upside SD
    0.39485
  • Downside SD
    0.57541
  • N nonnegative terms
    76.00000
  • N negative terms
    878.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    954.00000
  • Mean of predictor
    0.19510
  • Mean of criterion
    -0.94014
  • SD of predictor
    0.21958
  • SD of criterion
    0.69637
  • Covariance
    -0.00400
  • r
    -0.02614
  • b (slope, estimate of beta)
    -0.08289
  • a (intercept, estimate of alpha)
    -0.92397
  • Mean Square Error
    0.48511
  • DF error
    952.00000
  • t(b)
    -0.80675
  • p(b)
    0.78999
  • t(a)
    -2.20664
  • p(a)
    0.98621
  • Lowerbound of 95% confidence interval for beta
    -0.28453
  • Upperbound of 95% confidence interval for beta
    0.11875
  • Lowerbound of 95% confidence interval for alpha
    -1.74569
  • Upperbound of 95% confidence interval for alpha
    -0.10225
  • Treynor index (mean / b)
    11.34170
  • Jensen alpha (a)
    -0.92397
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.06245
  • Expected Shortfall on VaR
    0.07696
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01810
  • Expected Shortfall on VaR
    0.04023
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    954.00000
  • Minimum
    0.62473
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.63422
  • Mean of quarter 1
    0.97823
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.01376
  • Inter Quartile Range
    0.00000
  • Number outliers low
    100.00000
  • Percentage of outliers low
    0.10482
  • Mean of outliers low
    0.94796
  • Number of outliers high
    76.00000
  • Percentage of outliers high
    0.07966
  • Mean of outliers high
    1.04327
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.35901
  • VaR(95%) (moments method)
    0.00306
  • Expected Shortfall (moments method)
    0.00867
  • Extreme Value Index (regression method)
    0.27637
  • VaR(95%) (regression method)
    0.01796
  • Expected Shortfall (regression method)
    0.05432
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    17.00000
  • Minimum
    0.00018
  • Quartile 1
    0.00388
  • Median
    0.03016
  • Quartile 3
    0.10249
  • Maximum
    0.95225
  • Mean of quarter 1
    0.00257
  • Mean of quarter 2
    0.02223
  • Mean of quarter 3
    0.06791
  • Mean of quarter 4
    0.38693
  • Inter Quartile Range
    0.09862
  • 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
    0.11765
  • Mean of outliers high
    0.63173
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.73408
  • VaR(95%) (moments method)
    0.39417
  • Expected Shortfall (moments method)
    1.57965
  • Extreme Value Index (regression method)
    1.83452
  • VaR(95%) (regression method)
    0.60768
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.33326
  • Compounded annual return (geometric extrapolation)
    -0.60552
  • Calmar ratio (compounded annual return / max draw down)
    -0.63588
  • Compounded annual return / average of 25% largest draw downs
    -1.56493
  • Compounded annual return / Expected Shortfall lognormal
    -7.86800
  • 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
    -0.00995
  • 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
    -18.54720
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    0.00000
  • Downside part of mean
    -0.00995
  • Upside SD
    0.00000
  • Downside SD
    0.00054
  • N nonnegative terms
    0.00000
  • N negative terms
    172.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    172.00000
  • Mean of predictor
    0.07278
  • Mean of criterion
    -0.00995
  • SD of predictor
    0.26820
  • 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
    -0.00995
  • SD
    0.00000
  • Sharpe ratio (Glass type estimate)
    -31576300000000000.00000
  • Sharpe ratio (Hedges UMVUE)
    -31437600000000000.00000
  • df
    171.00000
  • t
    -22327800000000000.00000
  • 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
    -34769500000000000.00000
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -28105800000000000.00000
  • Statistics related to Sortino ratio
  • Sortino ratio
    -18.54720
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    0.00000
  • Downside part of mean
    -0.00995
  • Upside SD
    0.00000
  • Downside SD
    0.00054
  • N nonnegative terms
    0.00000
  • N negative terms
    172.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    172.00000
  • Mean of predictor
    0.03678
  • Mean of criterion
    -0.00995
  • SD of predictor
    0.26958
  • SD of criterion
    0.00000
  • Covariance
    0.00000
  • r
    0.00000
  • b (slope, estimate of beta)
    0.00000
  • a (intercept, estimate of alpha)
    -0.00995
  • Mean Square Error
    0.00000
  • DF error
    170.00000
  • t(b)
    0.00000
  • p(b)
    0.50000
  • t(a)
    -22261900000000000.00000
  • p(a)
    1.00000
  • 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
    -0.00995
  • Upperbound of 95% confidence interval for alpha
    -0.00995
  • Treynor index (mean / b)
    -1274160000000000128310999064248320.00000
  • Jensen alpha (a)
    -0.00995
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00003
  • Expected Shortfall on VaR
    0.00003
  • 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
    172.00000
  • 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
  • Expected Shortfall (regression method)
    0.00000
  • 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

Subscriptions not available

No subscriptions are currently available for this strategy because the strategy manager has capped the maximum number of subscribers.

Statistics

Strategy began
2010-11-05
Minimum Capital Required
$10,000
# Trades
31
# Profitable
22
% Profitable
71.0%
Correlation S&P500
-0.044
Sharpe Ratio
-1.349

Latest

#PERSONNAME#
subscribed on #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.

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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