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This is an archived track record. This track record was archived on 2/10/19 18:26 ET. (See latest track record)
These are hypothetical performance results that have certain inherent limitations. Learn more

Hail To The King
(98128454)

Created by: InTheMoneyResearch InTheMoneyResearch
Started: 11/2015
Futures
Last trade: 1,873 days ago

Subscriptions not available

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

Subscription terms. You can subscribe to this system for free.

C2Star

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

You can read more about C2Star certification requirements here.

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

9.2%
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.

(14.4%)
Max Drawdown
136
Num Trades
43.4%
Win Trades
1.4 : 1
Profit Factor
27.0%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2015                                                                      +1.3%(2.6%)(1.3%)
2016+6.0%+13.7%+2.0%+8.5%+3.4%+0.7%+2.3%+0.1%(1.5%)+3.0%(5.2%)+0.8%+37.8%
2017(1.3%)(4.1%)+3.9%+2.1%+6.5%(5.2%)+0.4%(6.2%)+1.5%+1.8%(1.4%)+1.8%(0.9%)
2018+1.3%+1.2%+1.6%+0.6%+0.1%(1.2%)(2.5%)+4.7%(3.5%)+1.4%+0.7%+2.0%+6.2%
2019(3%)(0.1%)  -    -    -    -    -    -    -    -    -  (3.1%)
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.

System developer has asked us to delay this information by 72 hours.

Trading Record

This strategy has placed 218 trades in real-life brokerage accounts. To see live brokerage data, select Show AutoTrade Data, and click on a Live AutoTrade Indicator symbol.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
2/3/19 23:31 QGCJ9 Gold 100 oz SHORT 1 1316.9 2/10 18:11 1317.3 n/a ($48)
Includes Typical Broker Commissions trade costs of $8.00
1/30/19 16:56 QGCJ9 Gold 100 oz LONG 1 1324.9 2/1 16:13 1322.5 0.59%
Trade id #122280215
Max drawdown($430)
Time2/1/19 10:06
Quant open1
Worst price1320.6
Drawdown as % of equity-0.59%
($248)
Includes Typical Broker Commissions trade costs of $8.00
1/30/19 0:56 QGCG9 Gold 100 oz LONG 1 1313.7 1/30 16:56 1319.2 0.78%
Trade id #122259479
Max drawdown($560)
Time1/30/19 14:01
Quant open1
Worst price1308.1
Drawdown as % of equity-0.78%
$542
Includes Typical Broker Commissions trade costs of $8.00
1/15/19 3:01 QGCG9 Gold 100 oz SHORT 1 1286.8 1/16 10:45 1295.0 1.13%
Trade id #121972092
Max drawdown($820)
Time1/16/19 10:45
Quant open0
Worst price1295.0
Drawdown as % of equity-1.13%
($828)
Includes Typical Broker Commissions trade costs of $8.00
1/6/19 20:43 QGCG9 Gold 100 oz LONG 1 1289.7 1/8 8:11 1282.0 1.06%
Trade id #121807861
Max drawdown($770)
Time1/8/19 8:11
Quant open0
Worst price1282.0
Drawdown as % of equity-1.06%
($778)
Includes Typical Broker Commissions trade costs of $8.00
1/3/19 1:33 QGCG9 Gold 100 oz LONG 1 1293.6 1/4 9:10 1285.6 1.08%
Trade id #121757790
Max drawdown($800)
Time1/4/19 9:10
Quant open0
Worst price1285.6
Drawdown as % of equity-1.08%
($808)
Includes Typical Broker Commissions trade costs of $8.00
12/17/18 10:37 QGCG9 Gold 100 oz LONG 1 1246.6 12/19 14:18 1246.5 0.16%
Trade id #121527421
Max drawdown($120)
Time12/17/18 10:43
Quant open1
Worst price1245.4
Drawdown as % of equity-0.16%
($18)
Includes Typical Broker Commissions trade costs of $8.00
12/3/18 8:30 QGCG9 Gold 100 oz LONG 1 1237.7 12/7 13:16 1252.2 0.33%
Trade id #121306988
Max drawdown($240)
Time12/3/18 15:56
Quant open1
Worst price1235.3
Drawdown as % of equity-0.33%
$1,442
Includes Typical Broker Commissions trade costs of $8.00
11/26/18 0:42 QGCG9 Gold 100 oz LONG 1 1231.8 11/27 1:43 1226.4 0.74%
Trade id #121156004
Max drawdown($540)
Time11/27/18 1:43
Quant open0
Worst price1226.4
Drawdown as % of equity-0.74%
($548)
Includes Typical Broker Commissions trade costs of $8.00
11/6/18 11:38 QGCZ8 Gold 100 oz SHORT 1 1227.5 11/9 12:26 1208.7 1.54%
Trade id #120764611
Max drawdown($1,090)
Time11/7/18 6:35
Quant open-1
Worst price1238.4
Drawdown as % of equity-1.54%
$1,872
Includes Typical Broker Commissions trade costs of $8.00
10/29/18 2:53 QGCZ8 Gold 100 oz SHORT 1 1233.1 11/1 10:16 1233.2 0.13%
Trade id #120589037
Max drawdown($90)
Time10/29/18 8:51
Quant open-1
Worst price1234.0
Drawdown as % of equity-0.13%
($18)
Includes Typical Broker Commissions trade costs of $8.00
10/22/18 4:06 QGCZ8 Gold 100 oz SHORT 1 1227.5 10/23 3:01 1233.5 0.82%
Trade id #120463050
Max drawdown($590)
Time10/23/18 3:01
Quant open0
Worst price1233.5
Drawdown as % of equity-0.82%
($598)
Includes Typical Broker Commissions trade costs of $8.00
10/8/18 3:45 QGCZ8 Gold 100 oz SHORT 1 1198.8 10/11 3:12 1200.0 0.16%
Trade id #120226028
Max drawdown($115)
Time10/11/18 3:12
Quant open0
Worst price1200.0
Drawdown as % of equity-0.16%
($123)
Includes Typical Broker Commissions trade costs of $8.00
10/2/18 2:33 QGCZ8 Gold 100 oz LONG 1 1198.0 10/5 15:31 1207.5 0.76%
Trade id #120128441
Max drawdown($540)
Time10/2/18 6:47
Quant open1
Worst price1192.6
Drawdown as % of equity-0.76%
$942
Includes Typical Broker Commissions trade costs of $8.00
9/24/18 9:30 QGCZ8 Gold 100 oz LONG 1 1206.7 9/26 14:36 1196.8 1.39%
Trade id #119999769
Max drawdown($990)
Time9/26/18 14:36
Quant open0
Worst price1196.8
Drawdown as % of equity-1.39%
($998)
Includes Typical Broker Commissions trade costs of $8.00
9/17/18 8:56 QGCZ8 Gold 100 oz LONG 1 1204.4 9/21 8:44 1202.9 0.57%
Trade id #119883364
Max drawdown($410)
Time9/18/18 3:15
Quant open1
Worst price1200.3
Drawdown as % of equity-0.57%
($158)
Includes Typical Broker Commissions trade costs of $8.00
9/11/18 16:34 QGCZ8 Gold 100 oz LONG 1 1204.1 9/14 10:13 1204.2 0.9%
Trade id #119811909
Max drawdown($650)
Time9/12/18 0:35
Quant open1
Worst price1197.6
Drawdown as % of equity-0.90%
$7
Includes Typical Broker Commissions trade costs of $8.00
9/4/18 9:06 QGCZ8 Gold 100 oz SHORT 1 1196.7 9/6 5:18 1209.8 1.8%
Trade id #119711674
Max drawdown($1,315)
Time9/6/18 5:18
Quant open0
Worst price1209.8
Drawdown as % of equity-1.80%
($1,323)
Includes Typical Broker Commissions trade costs of $8.00
8/30/18 9:40 QGCZ8 Gold 100 oz SHORT 1 1204.2 8/31 3:05 1213.0 1.18%
Trade id #119661846
Max drawdown($875)
Time8/31/18 3:05
Quant open0
Worst price1213.0
Drawdown as % of equity-1.18%
($883)
Includes Typical Broker Commissions trade costs of $8.00
8/20/18 3:49 QGCZ8 Gold 100 oz LONG 1 1194.9 8/24 10:56 1212.1 0.74%
Trade id #119506762
Max drawdown($540)
Time8/23/18 20:09
Quant open1
Worst price1189.5
Drawdown as % of equity-0.74%
$1,712
Includes Typical Broker Commissions trade costs of $8.00
8/12/18 23:21 QGCZ8 Gold 100 oz SHORT 1 1215.0 8/15 13:29 1185.2 0.32%
Trade id #119399589
Max drawdown($220)
Time8/13/18 2:14
Quant open-1
Worst price1217.2
Drawdown as % of equity-0.32%
$2,967
Includes Typical Broker Commissions trade costs of $8.00
8/9/18 2:06 QGCZ8 Gold 100 oz LONG 1 1224.8 8/9 3:05 1219.2 0.78%
Trade id #119353488
Max drawdown($550)
Time8/9/18 3:05
Quant open0
Worst price1219.2
Drawdown as % of equity-0.78%
($558)
Includes Typical Broker Commissions trade costs of $8.00
7/31/18 9:24 QGCZ8 Gold 100 oz SHORT 1 1222.9 7/31 12:31 1234.0 1.57%
Trade id #119200882
Max drawdown($1,110)
Time7/31/18 12:31
Quant open0
Worst price1234.0
Drawdown as % of equity-1.57%
($1,118)
Includes Typical Broker Commissions trade costs of $8.00
7/23/18 5:06 QGCQ8 Gold 100 oz SHORT 1 1228.0 7/27 14:23 1223.9 1.03%
Trade id #119056175
Max drawdown($730)
Time7/25/18 21:24
Quant open-1
Worst price1235.3
Drawdown as % of equity-1.03%
$402
Includes Typical Broker Commissions trade costs of $8.00
7/17/18 18:29 QGCQ8 Gold 100 oz SHORT 1 1228.2 7/19 13:37 1229.5 0.17%
Trade id #118984382
Max drawdown($125)
Time7/19/18 13:37
Quant open0
Worst price1229.5
Drawdown as % of equity-0.17%
($133)
Includes Typical Broker Commissions trade costs of $8.00
7/10/18 7:06 QGCQ8 Gold 100 oz SHORT 1 1250.0 7/13 15:58 1241.6 1.05%
Trade id #118839092
Max drawdown($730)
Time7/10/18 19:55
Quant open-1
Worst price1257.3
Drawdown as % of equity-1.05%
$832
Includes Typical Broker Commissions trade costs of $8.00
7/2/18 13:10 QGCQ8 Gold 100 oz SHORT 1 1241.1 7/3 11:24 1258.0 2.38%
Trade id #118747412
Max drawdown($1,685)
Time7/3/18 11:24
Quant open0
Worst price1258.0
Drawdown as % of equity-2.38%
($1,693)
Includes Typical Broker Commissions trade costs of $8.00
6/26/18 7:48 QGCQ8 Gold 100 oz SHORT 1 1258.0 6/29 13:11 1255.2 0.85%
Trade id #118648348
Max drawdown($610)
Time6/26/18 11:45
Quant open-1
Worst price1264.1
Drawdown as % of equity-0.85%
$272
Includes Typical Broker Commissions trade costs of $8.00
6/20/18 23:25 QGCQ8 Gold 100 oz SHORT 1 1267.4 6/22 14:11 1270.6 0.79%
Trade id #118552439
Max drawdown($570)
Time6/22/18 2:53
Quant open-1
Worst price1273.1
Drawdown as % of equity-0.79%
($328)
Includes Typical Broker Commissions trade costs of $8.00
6/11/18 4:00 QGCQ8 Gold 100 oz SHORT 1 1299.9 6/11 11:19 1306.5 0.92%
Trade id #118362566
Max drawdown($663)
Time6/11/18 11:19
Quant open0
Worst price1306.5
Drawdown as % of equity-0.92%
($671)
Includes Typical Broker Commissions trade costs of $8.00

Statistics

  • Strategy began
    11/1/2015
  • Suggested Minimum Cap
    $50,000
  • Strategy Age (days)
    3062.52
  • Age
    102 months ago
  • What it trades
    Futures
  • # Trades
    136
  • # Profitable
    59
  • % Profitable
    43.40%
  • Avg trade duration
    2.1 days
  • Max peak-to-valley drawdown
    14.39%
  • drawdown period
    May 18, 2017 - Sept 06, 2017
  • Annual Return (Compounded)
    9.2%
  • Avg win
    $1,393
  • Avg loss
    $779.51
  • Model Account Values (Raw)
  • Cash
    $72,194
  • Margin Used
    $0
  • Buying Power
    $72,194
  • Ratios
  • W:L ratio
    1.37:1
  • Sharpe Ratio
    0.26
  • Sortino Ratio
    0.48
  • Calmar Ratio
    0.867
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    3.32%
  • Correlation to SP500
    -0.03980
  • Return Percent SP500 (cumu) during strategy life
    152.53%
  • Return Statistics
  • Ann Return (w trading costs)
    9.2%
  • Slump
  • Current Slump as Pcnt Equity
    7.20%
  • Instruments
  • Percent Trades Futures
    1.00%
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.82%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.092%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    n/a
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    4.5%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    12.50%
  • Chance of 20% account loss
    0.50%
  • Chance of 30% account loss
    0.50%
  • 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)
    463
  • Popularity (Last 6 weeks)
    907
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • Popularity (7 days, Percentile 1000 scale)
    781
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $780
  • Avg Win
    $1,393
  • Sum Trade PL (losers)
    $60,022.000
  • Age
  • Num Months filled monthly returns table
    101
  • Win / Loss
  • Sum Trade PL (winners)
    $82,214.000
  • # Winners
    59
  • Num Months Winners
    27
  • Dividends
  • Dividends Received in Model Acct
    0
  • Win / Loss
  • # Losers
    77
  • % Winners
    43.4%
  • Frequency
  • Avg Position Time (mins)
    3059.50
  • Avg Position Time (hrs)
    50.99
  • Avg Trade Length
    2.1 days
  • Last Trade Ago
    1866
  • Regression
  • Alpha
    0.01
  • Beta
    -0.02
  • Treynor Index
    -0.37
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.01
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    91.47
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    59.47
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    2.00
  • MAE:Equity, average, winning trades
    0.01
  • MAE:Equity, average, losing trades
    0.01
  • Avg(MAE) / Avg(PL) - All trades
    5.053
  • 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
    0.359
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.119
  • Hold-and-Hope Ratio
    0.197
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.12366
  • SD
    0.12587
  • Sharpe ratio (Glass type estimate)
    0.98244
  • Sharpe ratio (Hedges UMVUE)
    0.96236
  • df
    37.00000
  • t
    1.74826
  • p
    0.04436
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.14766
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.09986
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.16065
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.08538
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.98241
  • Upside Potential Ratio
    3.72866
  • Upside part of mean
    0.23258
  • Downside part of mean
    -0.10893
  • Upside SD
    0.11318
  • Downside SD
    0.06238
  • N nonnegative terms
    24.00000
  • N negative terms
    14.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    38.00000
  • Mean of predictor
    0.09234
  • Mean of criterion
    0.12366
  • SD of predictor
    0.13412
  • SD of criterion
    0.12587
  • Covariance
    -0.00197
  • r
    -0.11697
  • b (slope, estimate of beta)
    -0.10978
  • a (intercept, estimate of alpha)
    0.13379
  • Mean Square Error
    0.01606
  • DF error
    36.00000
  • t(b)
    -0.70668
  • p(b)
    0.75784
  • t(a)
    1.84174
  • p(a)
    0.03688
  • Lowerbound of 95% confidence interval for beta
    -0.42483
  • Upperbound of 95% confidence interval for beta
    0.20527
  • Lowerbound of 95% confidence interval for alpha
    -0.01354
  • Upperbound of 95% confidence interval for alpha
    0.28112
  • Treynor index (mean / b)
    -1.12643
  • Jensen alpha (a)
    0.13379
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.11554
  • SD
    0.12370
  • Sharpe ratio (Glass type estimate)
    0.93405
  • Sharpe ratio (Hedges UMVUE)
    0.91497
  • df
    37.00000
  • t
    1.66216
  • p
    0.05247
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.19362
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.04962
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.20599
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.03593
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.81297
  • Upside Potential Ratio
    3.55356
  • Upside part of mean
    0.22647
  • Downside part of mean
    -0.11093
  • Upside SD
    0.10931
  • Downside SD
    0.06373
  • N nonnegative terms
    24.00000
  • N negative terms
    14.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    38.00000
  • Mean of predictor
    0.08313
  • Mean of criterion
    0.11554
  • SD of predictor
    0.13575
  • SD of criterion
    0.12370
  • Covariance
    -0.00201
  • r
    -0.11993
  • b (slope, estimate of beta)
    -0.10928
  • a (intercept, estimate of alpha)
    0.12462
  • Mean Square Error
    0.01550
  • DF error
    36.00000
  • t(b)
    -0.72480
  • p(b)
    0.76337
  • t(a)
    1.75340
  • p(a)
    0.04402
  • Lowerbound of 95% confidence interval for beta
    -0.41506
  • Upperbound of 95% confidence interval for beta
    0.19650
  • Lowerbound of 95% confidence interval for alpha
    -0.01952
  • Upperbound of 95% confidence interval for alpha
    0.26877
  • Treynor index (mean / b)
    -1.05729
  • Jensen alpha (a)
    0.12462
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.04792
  • Expected Shortfall on VaR
    0.06194
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01720
  • Expected Shortfall on VaR
    0.03473
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    38.00000
  • Minimum
    0.94486
  • Quartile 1
    0.98538
  • Median
    1.01165
  • Quartile 3
    1.02058
  • Maximum
    1.10404
  • Mean of quarter 1
    0.96788
  • Mean of quarter 2
    1.00011
  • Mean of quarter 3
    1.01605
  • Mean of quarter 4
    1.05672
  • Inter Quartile Range
    0.03520
  • 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
    0.05263
  • Mean of outliers high
    1.09470
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.77387
  • VaR(95%) (moments method)
    0.03343
  • Expected Shortfall (moments method)
    0.03676
  • Extreme Value Index (regression method)
    -0.58709
  • VaR(95%) (regression method)
    0.02781
  • Expected Shortfall (regression method)
    0.03061
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    3.00000
  • Minimum
    0.02032
  • Quartile 1
    0.06079
  • Median
    0.10127
  • Quartile 3
    0.10169
  • Maximum
    0.10212
  • Mean of quarter 1
    0.02032
  • Mean of quarter 2
    0.10127
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.10212
  • Inter Quartile Range
    0.04090
  • 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)
    0.13951
  • Compounded annual return (geometric extrapolation)
    0.12248
  • Calmar ratio (compounded annual return / max draw down)
    1.19937
  • Compounded annual return / average of 25% largest draw downs
    1.19937
  • Compounded annual return / Expected Shortfall lognormal
    1.97742
  • 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
    0.12189
  • SD
    0.11298
  • Sharpe ratio (Glass type estimate)
    1.07879
  • Sharpe ratio (Hedges UMVUE)
    1.07782
  • df
    832.00000
  • t
    1.92357
  • p
    0.02737
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.02194
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.17890
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.02260
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.17823
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.97229
  • Upside Potential Ratio
    9.33503
  • Upside part of mean
    0.57690
  • Downside part of mean
    -0.45501
  • Upside SD
    0.09480
  • Downside SD
    0.06180
  • N nonnegative terms
    556.00000
  • N negative terms
    277.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    833.00000
  • Mean of predictor
    0.08840
  • Mean of criterion
    0.12189
  • SD of predictor
    0.13432
  • SD of criterion
    0.11298
  • Covariance
    -0.00131
  • r
    -0.08632
  • b (slope, estimate of beta)
    -0.07261
  • a (intercept, estimate of alpha)
    0.07700
  • Mean Square Error
    0.01269
  • DF error
    831.00000
  • t(b)
    -2.49778
  • p(b)
    0.99365
  • t(a)
    2.02955
  • p(a)
    0.02136
  • Lowerbound of 95% confidence interval for beta
    -0.12967
  • Upperbound of 95% confidence interval for beta
    -0.01555
  • Lowerbound of 95% confidence interval for alpha
    0.00422
  • Upperbound of 95% confidence interval for alpha
    0.25239
  • Treynor index (mean / b)
    -1.67866
  • Jensen alpha (a)
    0.12831
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.11555
  • SD
    0.11209
  • Sharpe ratio (Glass type estimate)
    1.03089
  • Sharpe ratio (Hedges UMVUE)
    1.02996
  • df
    832.00000
  • t
    1.83816
  • p
    0.03320
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.06973
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.13090
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.07035
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.13027
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.85949
  • Upside Potential Ratio
    9.21258
  • Upside part of mean
    0.57249
  • Downside part of mean
    -0.45694
  • Upside SD
    0.09348
  • Downside SD
    0.06214
  • N nonnegative terms
    556.00000
  • N negative terms
    277.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    833.00000
  • Mean of predictor
    0.07936
  • Mean of criterion
    0.11555
  • SD of predictor
    0.13454
  • SD of criterion
    0.11209
  • Covariance
    -0.00129
  • r
    -0.08582
  • b (slope, estimate of beta)
    -0.07150
  • a (intercept, estimate of alpha)
    0.12123
  • Mean Square Error
    0.01249
  • DF error
    831.00000
  • t(b)
    -2.48306
  • p(b)
    0.99339
  • t(a)
    1.93311
  • p(a)
    0.02678
  • Lowerbound of 95% confidence interval for beta
    -0.12802
  • Upperbound of 95% confidence interval for beta
    -0.01498
  • Lowerbound of 95% confidence interval for alpha
    -0.00186
  • Upperbound of 95% confidence interval for alpha
    0.24432
  • Treynor index (mean / b)
    -1.61616
  • Jensen alpha (a)
    0.12123
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01089
  • Expected Shortfall on VaR
    0.01374
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00300
  • Expected Shortfall on VaR
    0.00650
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    833.00000
  • Minimum
    0.98043
  • Quartile 1
    0.99800
  • Median
    1.00000
  • Quartile 3
    1.00087
  • Maximum
    1.07413
  • Mean of quarter 1
    0.99342
  • Mean of quarter 2
    0.99965
  • Mean of quarter 3
    1.00007
  • Mean of quarter 4
    1.00875
  • Inter Quartile Range
    0.00287
  • Number outliers low
    86.00000
  • Percentage of outliers low
    0.10324
  • Mean of outliers low
    0.98986
  • Number of outliers high
    137.00000
  • Percentage of outliers high
    0.16447
  • Mean of outliers high
    1.01174
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.28588
  • VaR(95%) (moments method)
    0.00546
  • Expected Shortfall (moments method)
    0.00678
  • Extreme Value Index (regression method)
    -0.18145
  • VaR(95%) (regression method)
    0.00575
  • Expected Shortfall (regression method)
    0.00744
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    13.00000
  • Minimum
    0.00088
  • Quartile 1
    0.01012
  • Median
    0.02278
  • Quartile 3
    0.04875
  • Maximum
    0.11537
  • Mean of quarter 1
    0.00565
  • Mean of quarter 2
    0.02036
  • Mean of quarter 3
    0.04336
  • Mean of quarter 4
    0.10040
  • Inter Quartile Range
    0.03863
  • 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
    0.15385
  • Mean of outliers high
    0.11340
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -5.03494
  • VaR(95%) (moments method)
    0.08985
  • Expected Shortfall (moments method)
    0.08986
  • Extreme Value Index (regression method)
    -2.86974
  • VaR(95%) (regression method)
    0.14272
  • Expected Shortfall (regression method)
    0.14319
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.13964
  • Compounded annual return (geometric extrapolation)
    0.12249
  • Calmar ratio (compounded annual return / max draw down)
    1.06173
  • Compounded annual return / average of 25% largest draw downs
    1.22007
  • Compounded annual return / Expected Shortfall lognormal
    8.91218
  • 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
    0.05154
  • SD
    0.07858
  • Sharpe ratio (Glass type estimate)
    0.65582
  • Sharpe ratio (Hedges UMVUE)
    0.65202
  • df
    130.00000
  • t
    0.46373
  • p
    0.47968
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.11835
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.42756
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.12091
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.42496
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.02525
  • Upside Potential Ratio
    8.61658
  • Upside part of mean
    0.43313
  • Downside part of mean
    -0.38160
  • Upside SD
    0.06010
  • Downside SD
    0.05027
  • N nonnegative terms
    86.00000
  • N negative terms
    45.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.09021
  • Mean of criterion
    0.05154
  • SD of predictor
    0.19045
  • SD of criterion
    0.07858
  • Covariance
    -0.00055
  • r
    -0.03649
  • b (slope, estimate of beta)
    -0.01506
  • a (intercept, estimate of alpha)
    0.05018
  • Mean Square Error
    0.00622
  • DF error
    129.00000
  • t(b)
    -0.41476
  • p(b)
    0.52323
  • t(a)
    0.44988
  • p(a)
    0.47481
  • Lowerbound of 95% confidence interval for beta
    -0.08689
  • Upperbound of 95% confidence interval for beta
    0.05677
  • Lowerbound of 95% confidence interval for alpha
    -0.17050
  • Upperbound of 95% confidence interval for alpha
    0.27086
  • Treynor index (mean / b)
    -3.42259
  • Jensen alpha (a)
    0.05018
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.04847
  • SD
    0.07851
  • Sharpe ratio (Glass type estimate)
    0.61742
  • Sharpe ratio (Hedges UMVUE)
    0.61386
  • df
    130.00000
  • t
    0.43658
  • p
    0.48087
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.15649
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.38916
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.15896
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.38666
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.96010
  • Upside Potential Ratio
    8.54372
  • Upside part of mean
    0.43134
  • Downside part of mean
    -0.38287
  • Upside SD
    0.05980
  • Downside SD
    0.05049
  • N nonnegative terms
    86.00000
  • N negative terms
    45.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.10823
  • Mean of criterion
    0.04847
  • SD of predictor
    0.19044
  • SD of criterion
    0.07851
  • Covariance
    -0.00055
  • r
    -0.03652
  • b (slope, estimate of beta)
    -0.01505
  • a (intercept, estimate of alpha)
    0.04684
  • Mean Square Error
    0.00620
  • DF error
    129.00000
  • t(b)
    -0.41501
  • p(b)
    0.52324
  • t(a)
    0.42030
  • p(a)
    0.47646
  • VAR (95 Confidence Intrvl)
    0.01000
  • Lowerbound of 95% confidence interval for beta
    -0.08682
  • Upperbound of 95% confidence interval for beta
    0.05671
  • Lowerbound of 95% confidence interval for alpha
    -0.17366
  • Upperbound of 95% confidence interval for alpha
    0.26735
  • Treynor index (mean / b)
    -3.22006
  • Jensen alpha (a)
    0.04684
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00776
  • Expected Shortfall on VaR
    0.00977
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00259
  • Expected Shortfall on VaR
    0.00550
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.98544
  • Quartile 1
    0.99823
  • Median
    1.00000
  • Quartile 3
    1.00087
  • Maximum
    1.01467
  • Mean of quarter 1
    0.99467
  • Mean of quarter 2
    0.99955
  • Mean of quarter 3
    1.00008
  • Mean of quarter 4
    1.00649
  • Inter Quartile Range
    0.00264
  • Number outliers low
    12.00000
  • Percentage of outliers low
    0.09160
  • Mean of outliers low
    0.99152
  • Number of outliers high
    21.00000
  • Percentage of outliers high
    0.16031
  • Mean of outliers high
    1.00858
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.07834
  • VaR(95%) (moments method)
    0.00454
  • Expected Shortfall (moments method)
    0.00607
  • Extreme Value Index (regression method)
    -0.13166
  • VaR(95%) (regression method)
    0.00566
  • Expected Shortfall (regression method)
    0.00757
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    4.00000
  • Minimum
    0.00780
  • Quartile 1
    0.01025
  • Median
    0.02546
  • Quartile 3
    0.04100
  • Maximum
    0.04443
  • Mean of quarter 1
    0.00780
  • Mean of quarter 2
    0.01107
  • Mean of quarter 3
    0.03986
  • Mean of quarter 4
    0.04443
  • Inter Quartile Range
    0.03075
  • 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?
    -2
  • Max Equity Drawdown (num days)
    111
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.04906
  • Compounded annual return (geometric extrapolation)
    0.04967
  • Calmar ratio (compounded annual return / max draw down)
    1.11788
  • Compounded annual return / average of 25% largest draw downs
    1.11788
  • Compounded annual return / Expected Shortfall lognormal
    5.08360

Strategy Description

Summary Statistics

Strategy began
2015-11-01
Suggested Minimum Capital
$70,000
# Trades
136
# Profitable
59
% Profitable
43.4%
Correlation S&P500
-0.040
Sharpe Ratio
0.26
Sortino Ratio
0.48
Beta
-0.02
Alpha
0.01

Latest Activity

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subscribed on started simulation #SUBSCRIBEDDATE#

Most values on this page (including the Strategy Equity Chart, above) have been adjusted by estimated trading commissions and subscription costs.

Some advanced users find it useful to see "raw" Model Account values. These numbers do not include any commissions, fees, subscription costs, or dividend actions.

Strategy developers can "archive" strategies at any time. This means the strategy Model Account is reset to its initial level and the trade list cleared. However, all archived track records are permanently preserved for evaluation by potential subscribers.

About the results you see on this Web site

Past results are not necessarily indicative of future results.

These results are based on simulated or hypothetical performance results that have certain inherent limitations. Unlike the results shown in an actual performance record, these results do not represent actual trading. Also, because these trades have not actually been executed, these results may have under-or over-compensated for the impact, if any, of certain market factors, such as lack of liquidity. Simulated or hypothetical trading programs in general are also subject to the fact that they are designed with the benefit of hindsight. No representation is being made that any account will or is likely to achieve profits or losses similar to these being shown.

In addition, hypothetical trading does not involve financial risk, and no hypothetical trading record can completely account for the impact of financial risk in actual trading. For example, the ability to withstand losses or to adhere to a particular trading program in spite of trading losses are material points which can also adversely affect actual trading results. There are numerous other factors related to the markets in general or to the implementation of any specific trading program, which cannot be fully accounted for in the preparation of hypothetical performance results and all of which can adversely affect actual trading results.

Material assumptions and methods used when calculating results

The following are material assumptions used when calculating any hypothetical monthly results that appear on our web site.

  • Profits are reinvested. We assume profits (when there are profits) are reinvested in the trading strategy.
  • Starting investment size. For any trading strategy on our site, hypothetical results are based on the assumption that you invested the starting amount shown on the strategy's performance chart. In some cases, nominal dollar amounts on the equity chart have been re-scaled downward to make current go-forward trading sizes more manageable. In these cases, it may not have been possible to trade the strategy historically at the equity levels shown on the chart, and a higher minimum capital was required in the past.
  • All fees are included. When calculating cumulative returns, we try to estimate and include all the fees a typical trader incurs when AutoTrading using AutoTrade technology. This includes the subscription cost of the strategy, plus any per-trade AutoTrade fees, plus estimated broker commissions if any.
  • "Max Drawdown" Calculation Method. We calculate the Max Drawdown statistic as follows. Our computer software looks at the equity chart of the system in question and finds the largest percentage amount that the equity chart ever declines from a local "peak" to a subsequent point in time (thus this is formally called "Maximum Peak to Valley Drawdown.") While this is useful information when evaluating trading systems, you should keep in mind that past performance does not guarantee future results. Therefore, future drawdowns may be larger than the historical maximum drawdowns you see here.

Trading is risky

There is a substantial risk of loss in futures and forex trading. Online trading of stocks and options is extremely risky. Assume you will lose money. Don't trade with money you cannot afford to lose.

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