Collective2 Collective2
Featured Strategy S2Prox0 Followed by live capital $156,000 Hypothetical

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IQA ETF Timer 1st 6mo
(86770721)

Created by: GaryLynn3 GaryLynn3
Started: 03/2014
Stocks
Last trade: 3,501 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.

0.9%
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.

(8.4%)
Max Drawdown
102
Num Trades
48.0%
Win Trades
1.8 : 1
Profit Factor
4.1%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2014              +0.1%(0.5%)+6.0%+3.6%+2.9%+1.7%(3.9%)(0.3%)  -    -  +9.7%
2015  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2016  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2017  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2018  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2019  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2020  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2021  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2022  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2023  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2024  -    -    -    -                                                  0.0

Model Account Details

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

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

Trading Record

This strategy has placed 26 trades in real-life brokerage accounts. The most recent trade in a real-money brokerage account occurred more than 3512 days ago.

Show AutoTrade data Hide AutoTrade data
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Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
9/22/14 15:00 TBT PROSHARES ULTRASHORT 20+ YEAR LONG 97 58.09 9/23 9:30 57.73 0.31%
Trade id #89821850
Max drawdown($35)
Time9/23/14 9:30
Quant open0
Worst price57.73
Drawdown as % of equity-0.31%
 ($37)
Includes Typical Broker Commissions trade costs of $1.94
9/22/14 9:45 SDS PROSHARES ULTRASHORT S&P500 LONG 241 24.01 9/23 9:30 24.36 0.19%
Trade id #89813647
Max drawdown($21)
Time9/22/14 10:09
Quant open241
Worst price23.92
Drawdown as % of equity-0.19%
 $79
Includes Typical Broker Commissions trade costs of $4.82
9/18/14 12:00 TLT ISHARES 20+ YEAR TREASURY BOND LONG 100 113.22 9/22 15:00 114.56 0.18%
Trade id #89759425
Max drawdown($20)
Time9/18/14 14:32
Quant open100
Worst price113.02
Drawdown as % of equity-0.18%
 $132
Includes Typical Broker Commissions trade costs of $2.00
8/26/14 10:30 SSO PROSHARES ULTRA S&P 500 LONG 98 60.56 9/22 9:45 60.66 1.16%
Trade id #89283996
Max drawdown($132)
Time9/15/14 10:02
Quant open49
Worst price118.42
Drawdown as % of equity-1.16%
 $8
Includes Typical Broker Commissions trade costs of $1.96
9/17/14 15:15 TBT PROSHARES ULTRASHORT 20+ YEAR LONG 105 59.80 9/18 12:00 59.51 0.33%
Trade id #89740707
Max drawdown($36)
Time9/18/14 9:52
Quant open105
Worst price59.45
Drawdown as % of equity-0.33%
 ($32)
Includes Typical Broker Commissions trade costs of $2.10
9/17/14 10:15 TLT ISHARES 20+ YEAR TREASURY BOND LONG 100 113.47 9/17 15:15 112.91 0.57%
Trade id #89730332
Max drawdown($65)
Time9/17/14 15:05
Quant open100
Worst price112.82
Drawdown as % of equity-0.57%
 ($58)
Includes Typical Broker Commissions trade costs of $2.00
9/16/14 15:30 TBT PROSHARES ULTRASHORT 20+ YEAR LONG 105 59.58 9/17 10:15 59.22 0.52%
Trade id #89715549
Max drawdown($58)
Time9/17/14 9:36
Quant open105
Worst price59.02
Drawdown as % of equity-0.52%
 ($40)
Includes Typical Broker Commissions trade costs of $2.10
9/15/14 10:00 TLT ISHARES 20+ YEAR TREASURY BOND LONG 100 114.03 9/16 15:30 113.14 0.78%
Trade id #89665903
Max drawdown($89)
Time9/16/14 15:30
Quant open0
Worst price113.14
Drawdown as % of equity-0.78%
 ($91)
Includes Typical Broker Commissions trade costs of $2.00
9/12/14 9:30 TBT PROSHARES ULTRASHORT 20+ YEAR LONG 105 59.06 9/15 10:00 58.66 0.4%
Trade id #89630488
Max drawdown($46)
Time9/15/14 9:49
Quant open105
Worst price58.62
Drawdown as % of equity-0.40%
 ($44)
Includes Typical Broker Commissions trade costs of $2.10
9/11/14 9:45 TLT ISHARES 20+ YEAR TREASURY BOND LONG 100 115.24 9/12 9:30 113.68 1.35%
Trade id #89600376
Max drawdown($156)
Time9/12/14 9:30
Quant open0
Worst price113.68
Drawdown as % of equity-1.35%
 ($158)
Includes Typical Broker Commissions trade costs of $2.00
9/10/14 9:45 TBT PROSHARES ULTRASHORT 20+ YEAR LONG 105 57.77 9/11 9:45 57.51 0.3%
Trade id #89570150
Max drawdown($34)
Time9/11/14 9:32
Quant open105
Worst price57.44
Drawdown as % of equity-0.30%
 ($29)
Includes Typical Broker Commissions trade costs of $2.10
9/9/14 11:00 TLT ISHARES 20+ YEAR TREASURY BOND LONG 100 115.79 9/10 9:45 114.97 0.77%
Trade id #89539433
Max drawdown($90)
Time9/10/14 9:34
Quant open100
Worst price114.89
Drawdown as % of equity-0.77%
 ($84)
Includes Typical Broker Commissions trade costs of $2.00
9/8/14 13:00 TBT PROSHARES ULTRASHORT 20+ YEAR LONG 105 57.16 9/9 11:00 56.96 0.24%
Trade id #89515293
Max drawdown($28)
Time9/8/14 14:29
Quant open105
Worst price56.89
Drawdown as % of equity-0.24%
 ($23)
Includes Typical Broker Commissions trade costs of $2.10
9/8/14 10:00 UST PROSHARES ULTRA 7-10 YEAR TREA LONG 108 54.91 9/8 13:00 54.54 0.34%
Trade id #89504105
Max drawdown($40)
Time9/8/14 13:00
Quant open0
Worst price54.54
Drawdown as % of equity-0.34%
 ($42)
Includes Typical Broker Commissions trade costs of $2.16
9/5/14 14:30 TBT PROSHARES ULTRASHORT 20+ YEAR LONG 105 56.99 9/8 10:00 56.29 0.62%
Trade id #89485457
Max drawdown($74)
Time9/8/14 10:00
Quant open0
Worst price56.29
Drawdown as % of equity-0.62%
 ($76)
Includes Typical Broker Commissions trade costs of $2.10
9/5/14 9:45 TLT ISHARES 20+ YEAR TREASURY BOND LONG 51 116.42 9/5 14:30 115.78 0.28%
Trade id #89468296
Max drawdown($33)
Time9/5/14 14:30
Quant open0
Worst price115.78
Drawdown as % of equity-0.28%
 ($34)
Includes Typical Broker Commissions trade costs of $1.02
9/4/14 10:45 TBT PROSHARES ULTRASHORT 20+ YEAR LONG 105 56.56 9/5 9:45 56.35 0.32%
Trade id #89438808
Max drawdown($38)
Time9/5/14 9:41
Quant open105
Worst price56.20
Drawdown as % of equity-0.32%
 ($24)
Includes Typical Broker Commissions trade costs of $2.10
9/3/14 12:45 TLT ISHARES 20+ YEAR TREASURY BOND LONG 51 116.83 9/4 10:45 116.24 0.26%
Trade id #89415593
Max drawdown($31)
Time9/4/14 10:42
Quant open51
Worst price116.22
Drawdown as % of equity-0.26%
 ($31)
Includes Typical Broker Commissions trade costs of $1.02
8/29/14 9:45 TBT PROSHARES ULTRASHORT 20+ YEAR LONG 101 54.35 9/3 12:45 55.99 0.38%
Trade id #89351338
Max drawdown($44)
Time8/29/14 14:51
Quant open101
Worst price53.91
Drawdown as % of equity-0.38%
 $164
Includes Typical Broker Commissions trade costs of $2.02
8/27/14 11:15 TLT ISHARES 20+ YEAR TREASURY BOND LONG 51 117.87 8/29 9:45 118.92 0.04%
Trade id #89315426
Max drawdown($5)
Time8/27/14 13:37
Quant open51
Worst price117.77
Drawdown as % of equity-0.04%
 $53
Includes Typical Broker Commissions trade costs of $1.02
8/26/14 10:45 TBT PROSHARES ULTRASHORT 20+ YEAR LONG 101 55.53 8/27 11:15 55.33 0.17%
Trade id #89284878
Max drawdown($20)
Time8/27/14 11:15
Quant open101
Worst price55.33
Drawdown as % of equity-0.17%
 ($22)
Includes Typical Broker Commissions trade costs of $2.02
8/25/14 14:45 TLT ISHARES 20+ YEAR TREASURY BOND LONG 51 117.73 8/26 10:45 117.68 0.03%
Trade id #89268021
Max drawdown($4)
Time8/25/14 15:05
Quant open51
Worst price117.65
Drawdown as % of equity-0.03%
 ($4)
Includes Typical Broker Commissions trade costs of $1.02
8/25/14 13:30 TBT PROSHARES ULTRASHORT 20+ YEAR LONG 101 55.81 8/25 14:45 55.49 0.28%
Trade id #89263569
Max drawdown($33)
Time8/25/14 14:44
Quant open101
Worst price55.48
Drawdown as % of equity-0.28%
 ($34)
Includes Typical Broker Commissions trade costs of $2.02
8/20/14 15:30 TLT ISHARES 20+ YEAR TREASURY BOND LONG 51 116.04 8/25 13:30 117.40 0.07%
Trade id #89174584
Max drawdown($8)
Time8/20/14 15:45
Quant open51
Worst price115.88
Drawdown as % of equity-0.07%
 $68
Includes Typical Broker Commissions trade costs of $1.02
8/18/14 9:45 TBT PROSHARES ULTRASHORT 20+ YEAR LONG 98 56.10 8/20 15:30 57.13 0.03%
Trade id #89126553
Max drawdown($3)
Time8/18/14 9:52
Quant open98
Worst price56.06
Drawdown as % of equity-0.03%
 $99
Includes Typical Broker Commissions trade costs of $1.96
8/13/14 12:00 TLT ISHARES 20+ YEAR TREASURY BOND LONG 51 115.19 8/18 9:45 117.14 0.1%
Trade id #89062978
Max drawdown($12)
Time8/13/14 13:02
Quant open51
Worst price114.95
Drawdown as % of equity-0.10%
 $98
Includes Typical Broker Commissions trade costs of $1.02
8/8/14 13:45 TBT PROSHARES ULTRASHORT 20+ YEAR LONG 98 57.81 8/13 12:00 58.06 0.3%
Trade id #88999848
Max drawdown($34)
Time8/8/14 14:00
Quant open98
Worst price57.46
Drawdown as % of equity-0.30%
 $23
Includes Typical Broker Commissions trade costs of $1.96
8/7/14 10:45 TLT ISHARES 20+ YEAR TREASURY BOND LONG 51 115.17 8/8 13:45 115.49 0.06%
Trade id #88972498
Max drawdown($7)
Time8/7/14 11:36
Quant open51
Worst price115.03
Drawdown as % of equity-0.06%
 $15
Includes Typical Broker Commissions trade costs of $1.02
8/6/14 13:45 TBT PROSHARES ULTRASHORT 20+ YEAR LONG 98 58.70 8/7 10:45 58.11 0.5%
Trade id #88954709
Max drawdown($58)
Time8/7/14 10:45
Quant open0
Worst price58.11
Drawdown as % of equity-0.50%
 ($60)
Includes Typical Broker Commissions trade costs of $1.96
8/5/14 13:15 TLT ISHARES 20+ YEAR TREASURY BOND LONG 51 114.31 8/6 13:45 114.63 0.07%
Trade id #88930562
Max drawdown($7)
Time8/5/14 13:22
Quant open51
Worst price114.16
Drawdown as % of equity-0.07%
 $15
Includes Typical Broker Commissions trade costs of $1.02
Next

Statistics

  • Strategy began
    3/31/2014
  • Suggested Minimum Cap
    $10,000
  • Strategy Age (days)
    3674.09
  • Age
    123 months ago
  • What it trades
    Stocks
  • # Trades
    102
  • # Profitable
    49
  • % Profitable
    48.00%
  • Avg trade duration
    3.0 days
  • Max peak-to-valley drawdown
    8.36%
  • drawdown period
    April 08, 2014 - April 11, 2014
  • Annual Return (Compounded)
    0.9%
  • Avg win
    $65.86
  • Avg loss
    $34.30
  • Model Account Values (Raw)
  • Cash
    $11,423
  • Margin Used
    $0
  • Buying Power
    $11,423
  • Ratios
  • W:L ratio
    1.78:1
  • Sharpe Ratio
    -0.33
  • Sortino Ratio
    -0.46
  • Calmar Ratio
    0.673
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -155.63%
  • Correlation to SP500
    0.03440
  • Return Percent SP500 (cumu) during strategy life
    170.13%
  • Return Statistics
  • Ann Return (w trading costs)
    0.9%
  • Slump
  • Current Slump as Pcnt Equity
    6.70%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.96%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.009%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    1.3%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    n/a
  • Chance of 20% account loss
    n/a
  • Chance of 30% account loss
    n/a
  • 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
    $34
  • Avg Win
    $66
  • Sum Trade PL (losers)
    $1,818.000
  • Age
  • Num Months filled monthly returns table
    122
  • Win / Loss
  • Sum Trade PL (winners)
    $3,227.000
  • # Winners
    49
  • Num Months Winners
    5
  • Dividends
  • Dividends Received in Model Acct
    12
  • Win / Loss
  • # Losers
    53
  • % Winners
    48.0%
  • Frequency
  • Avg Position Time (mins)
    4319.47
  • Avg Position Time (hrs)
    71.99
  • Avg Trade Length
    3.0 days
  • Last Trade Ago
    3499
  • Regression
  • Alpha
    -0.00
  • Beta
    0.01
  • Treynor Index
    -0.52
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.00
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    19.73
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    24.02
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -0.50
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.00
  • Avg(MAE) / Avg(PL) - All trades
    2.630
  • 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
    0.327
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.458
  • Hold-and-Hope Ratio
    0.377
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.02045
  • SD
    0.05937
  • Sharpe ratio (Glass type estimate)
    0.34441
  • Sharpe ratio (Hedges UMVUE)
    0.33651
  • df
    33.00000
  • t
    0.57973
  • p
    0.28302
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.82549
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.50917
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.83071
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.50373
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.97950
  • Upside Potential Ratio
    2.68909
  • Upside part of mean
    0.05614
  • Downside part of mean
    -0.03569
  • Upside SD
    0.05496
  • Downside SD
    0.02088
  • N nonnegative terms
    4.00000
  • N negative terms
    30.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    34.00000
  • Mean of predictor
    0.38310
  • Mean of criterion
    0.02045
  • SD of predictor
    0.32978
  • SD of criterion
    0.05937
  • Covariance
    -0.00025
  • r
    -0.01287
  • b (slope, estimate of beta)
    -0.00232
  • a (intercept, estimate of alpha)
    0.02134
  • Mean Square Error
    0.00363
  • DF error
    32.00000
  • t(b)
    -0.07282
  • p(b)
    0.52880
  • t(a)
    0.56393
  • p(a)
    0.28836
  • Lowerbound of 95% confidence interval for beta
    -0.06714
  • Upperbound of 95% confidence interval for beta
    0.06250
  • Lowerbound of 95% confidence interval for alpha
    -0.05573
  • Upperbound of 95% confidence interval for alpha
    0.09840
  • Treynor index (mean / b)
    -8.82439
  • Jensen alpha (a)
    0.02134
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.01873
  • SD
    0.05796
  • Sharpe ratio (Glass type estimate)
    0.32315
  • Sharpe ratio (Hedges UMVUE)
    0.31574
  • df
    33.00000
  • t
    0.54395
  • p
    0.29507
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.84624
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.48771
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.85114
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.48262
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.88633
  • Upside Potential Ratio
    2.58164
  • Upside part of mean
    0.05456
  • Downside part of mean
    -0.03583
  • Upside SD
    0.05332
  • Downside SD
    0.02113
  • N nonnegative terms
    4.00000
  • N negative terms
    30.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    34.00000
  • Mean of predictor
    0.32832
  • Mean of criterion
    0.01873
  • SD of predictor
    0.31293
  • SD of criterion
    0.05796
  • Covariance
    -0.00002
  • r
    -0.00091
  • b (slope, estimate of beta)
    -0.00017
  • a (intercept, estimate of alpha)
    0.01879
  • Mean Square Error
    0.00346
  • DF error
    32.00000
  • t(b)
    -0.00513
  • p(b)
    0.50203
  • t(a)
    0.51350
  • p(a)
    0.30556
  • Lowerbound of 95% confidence interval for beta
    -0.06686
  • Upperbound of 95% confidence interval for beta
    0.06653
  • Lowerbound of 95% confidence interval for alpha
    -0.05573
  • Upperbound of 95% confidence interval for alpha
    0.09330
  • Treynor index (mean / b)
    -111.48000
  • Jensen alpha (a)
    0.01879
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02563
  • Expected Shortfall on VaR
    0.03240
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00955
  • Expected Shortfall on VaR
    0.01742
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    34.00000
  • Minimum
    0.96957
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.06744
  • Mean of quarter 1
    0.99653
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.01871
  • Inter Quartile Range
    0.00000
  • Number outliers low
    2.00000
  • Percentage of outliers low
    0.05882
  • Mean of outliers low
    0.98437
  • Number of outliers high
    4.00000
  • Percentage of outliers high
    0.11765
  • Mean of outliers high
    1.04209
  • 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
    2.00000
  • Minimum
    0.00084
  • Quartile 1
    0.00824
  • Median
    0.01563
  • Quartile 3
    0.02303
  • Maximum
    0.03043
  • Mean of quarter 1
    0.00084
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.03043
  • Inter Quartile Range
    0.01479
  • 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)
    0.04986
  • Compounded annual return (geometric extrapolation)
    0.04774
  • Calmar ratio (compounded annual return / max draw down)
    1.56910
  • Compounded annual return / average of 25% largest draw downs
    1.56910
  • Compounded annual return / Expected Shortfall lognormal
    1.47365
  • 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
    0.01969
  • SD
    0.04610
  • Sharpe ratio (Glass type estimate)
    0.42721
  • Sharpe ratio (Hedges UMVUE)
    0.42678
  • df
    743.00000
  • t
    0.71991
  • p
    0.23590
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.73620
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.59037
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.73651
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.59007
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.61356
  • Upside Potential Ratio
    3.93027
  • Upside part of mean
    0.12614
  • Downside part of mean
    -0.10645
  • Upside SD
    0.03306
  • Downside SD
    0.03210
  • N nonnegative terms
    79.00000
  • N negative terms
    665.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    744.00000
  • Mean of predictor
    0.38278
  • Mean of criterion
    0.01969
  • SD of predictor
    0.33155
  • SD of criterion
    0.04610
  • Covariance
    0.00041
  • r
    0.02692
  • b (slope, estimate of beta)
    0.00374
  • a (intercept, estimate of alpha)
    0.01800
  • Mean Square Error
    0.00213
  • DF error
    742.00000
  • t(b)
    0.73367
  • p(b)
    0.23169
  • t(a)
    0.66563
  • p(a)
    0.25293
  • Lowerbound of 95% confidence interval for beta
    -0.00627
  • Upperbound of 95% confidence interval for beta
    0.01376
  • Lowerbound of 95% confidence interval for alpha
    -0.03559
  • Upperbound of 95% confidence interval for alpha
    0.07211
  • Treynor index (mean / b)
    5.26084
  • Jensen alpha (a)
    0.01826
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.01863
  • SD
    0.04619
  • Sharpe ratio (Glass type estimate)
    0.40327
  • Sharpe ratio (Hedges UMVUE)
    0.40287
  • df
    743.00000
  • t
    0.67958
  • p
    0.24849
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.76012
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.56642
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.76040
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.56613
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.57417
  • Upside Potential Ratio
    3.87140
  • Upside part of mean
    0.12559
  • Downside part of mean
    -0.10696
  • Upside SD
    0.03285
  • Downside SD
    0.03244
  • N nonnegative terms
    79.00000
  • N negative terms
    665.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    744.00000
  • Mean of predictor
    0.32821
  • Mean of criterion
    0.01863
  • SD of predictor
    0.32925
  • SD of criterion
    0.04619
  • Covariance
    0.00043
  • r
    0.02806
  • b (slope, estimate of beta)
    0.00394
  • a (intercept, estimate of alpha)
    0.01733
  • Mean Square Error
    0.00213
  • DF error
    742.00000
  • t(b)
    0.76473
  • p(b)
    0.22234
  • t(a)
    0.63106
  • p(a)
    0.26410
  • Lowerbound of 95% confidence interval for beta
    -0.00617
  • Upperbound of 95% confidence interval for beta
    0.01404
  • Lowerbound of 95% confidence interval for alpha
    -0.03659
  • Upperbound of 95% confidence interval for alpha
    0.07126
  • Treynor index (mean / b)
    4.73146
  • Jensen alpha (a)
    0.01733
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00461
  • Expected Shortfall on VaR
    0.00580
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00132
  • Expected Shortfall on VaR
    0.00293
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    744.00000
  • Minimum
    0.96817
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.02604
  • Mean of quarter 1
    0.99875
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.00197
  • Inter Quartile Range
    0.00000
  • Number outliers low
    47.00000
  • Percentage of outliers low
    0.06317
  • Mean of outliers low
    0.99507
  • Number of outliers high
    80.00000
  • Percentage of outliers high
    0.10753
  • Mean of outliers high
    1.00458
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.38994
  • VaR(95%) (moments method)
    0.00105
  • Expected Shortfall (moments method)
    0.00328
  • Extreme Value Index (regression method)
    0.47087
  • VaR(95%) (regression method)
    0.00115
  • Expected Shortfall (regression method)
    0.00482
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    10.00000
  • Minimum
    0.00282
  • Quartile 1
    0.00416
  • Median
    0.00544
  • Quartile 3
    0.01598
  • Maximum
    0.07079
  • Mean of quarter 1
    0.00351
  • Mean of quarter 2
    0.00456
  • Mean of quarter 3
    0.00617
  • Mean of quarter 4
    0.04980
  • Inter Quartile Range
    0.01182
  • 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
    0.20000
  • Mean of outliers high
    0.06510
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -94.62230
  • VaR(95%) (moments method)
    0.04283
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    -2.82014
  • VaR(95%) (regression method)
    0.10792
  • Expected Shortfall (regression method)
    0.10847
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.04975
  • Compounded annual return (geometric extrapolation)
    0.04763
  • Calmar ratio (compounded annual return / max draw down)
    0.67283
  • Compounded annual return / average of 25% largest draw downs
    0.95641
  • Compounded annual return / Expected Shortfall lognormal
    8.21635
  • 0.00000
  • 0.00000
  • Analysis based on DAILY values, last 6 months only
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.02791
  • SD
    0.00000
  • Sharpe ratio (Glass type estimate)
    0.00000
  • Sharpe ratio (Hedges UMVUE)
    0.00000
  • df
    0.00000
  • t
    0.00000
  • p
    0.00000
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.00000
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.00000
  • Statistics related to Sortino ratio
  • Sortino ratio
    -16.18640
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    0.00000
  • Downside part of mean
    -0.02791
  • Upside SD
    0.00000
  • Downside SD
    0.00172
  • N nonnegative terms
    0.00000
  • N negative terms
    131.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    1.24804
  • Mean of criterion
    -0.02791
  • SD of predictor
    0.45521
  • SD of criterion
    0.00000
  • Covariance
    0.00000
  • r
    0.00000
  • b (slope, estimate of beta)
    0.00000
  • a (intercept, estimate of alpha)
    0.00000
  • Mean Square Error
    0.00000
  • DF error
    0.00000
  • t(b)
    0.00000
  • p(b)
    0.00000
  • t(a)
    0.00000
  • p(a)
    0.00000
  • Lowerbound of 95% confidence interval for beta
    0.00000
  • Upperbound of 95% confidence interval for beta
    0.00000
  • Lowerbound of 95% confidence interval for alpha
    0.00000
  • Upperbound of 95% confidence interval for alpha
    0.00000
  • Treynor index (mean / b)
    0.00000
  • Jensen alpha (a)
    0.00000
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.02791
  • SD
    0.00000
  • Sharpe ratio (Glass type estimate)
    -9748420000000000.00000
  • Sharpe ratio (Hedges UMVUE)
    -9692070000000000.00000
  • df
    130.00000
  • t
    -6893170000000000.00000
  • p
    1.00000
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -10870200000000000.00000
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -8513980000000000.00000
  • Statistics related to Sortino ratio
  • Sortino ratio
    -16.18640
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    0.00000
  • Downside part of mean
    -0.02791
  • Upside SD
    0.00000
  • Downside SD
    0.00172
  • N nonnegative terms
    0.00000
  • N negative terms
    131.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    1.14147
  • Mean of criterion
    -0.02791
  • SD of predictor
    0.45867
  • SD of criterion
    0.00000
  • Covariance
    -0.00000
  • r
    -0.00000
  • b (slope, estimate of beta)
    -0.00000
  • a (intercept, estimate of alpha)
    -0.02791
  • Mean Square Error
    0.00000
  • DF error
    129.00000
  • t(b)
    -0.00000
  • p(b)
    0.50000
  • t(a)
    -6786260000000000.00000
  • p(a)
    1.00000
  • VAR (95 Confidence Intrvl)
    0.00500
  • Lowerbound of 95% confidence interval for beta
    -0.00000
  • Upperbound of 95% confidence interval for beta
    0.00000
  • Lowerbound of 95% confidence interval for alpha
    -0.02791
  • Upperbound of 95% confidence interval for alpha
    -0.02791
  • Treynor index (mean / b)
    69768399999999998581463301750784.00000
  • Jensen alpha (a)
    -0.02791
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00011
  • Expected Shortfall on VaR
    0.00011
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00000
  • Expected Shortfall on VaR
    0.00000
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    1.00000
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.00000
  • Mean of quarter 1
    1.00000
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.00000
  • Inter Quartile Range
    0.00000
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    0.00000
  • Minimum
    0.00000
  • Quartile 1
    0.00000
  • Median
    0.00000
  • Quartile 3
    0.00000
  • Maximum
    0.00000
  • Mean of quarter 1
    0.00000
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.00000
  • Inter Quartile Range
    0.00000
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Last 4 Months - Pcnt Negative
    n/a
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -378016000
  • Max Equity Drawdown (num days)
    3
  • 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

This system was re-scaled on 9/22/14 to a more realistic starting capital of $50K. Please visit http://www.collective2.com/cgi-perl/system89822583 for the most recent signals.
Trade this strategy at Interactive Brokers

Summary Statistics

Strategy began
2014-03-31
Suggested Minimum Capital
$8,000
# Trades
102
# Profitable
49
% Profitable
48.0%
Net Dividends
$12
Correlation S&P500
0.034
Sharpe Ratio
-0.33
Sortino Ratio
-0.46
Beta
0.01
Alpha
-0.00

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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Suggested Minimum Capital

This is our estimate of the minimum amount of capital to follow a strategy, assuming you use the smallest reasonable AutoTrade Scaling % for the strategy.