Collective2 Collective2
Featured Strategy S2Prox0 Followed by live capital $151,000 Hypothetical

Welcome to Collective2

Follow these tips for a better experience

Ok, let's start

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

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

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

Okay, no problem

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

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

Got it

Later

You can find it here.

Got it

Video Saved for Later

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

Got it
Watchlist Watchlist
These are hypothetical performance results that have certain inherent limitations. Learn more
Listing Edit Subscribers Broadcast Share System Watchlist Watchlist More...

Stock200K
(61762109)

Created by: StockCounsel StockCounsel
Started: 05/2011
Stocks
Last trade: 4,548 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. Subscriptions to this system cost $299.00 per month.

C2Star

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

You can read more about C2Star certification requirements here.

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

-16.9%
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.

(93.2%)
Max Drawdown
257
Num Trades
63.4%
Win Trades
0.7 : 1
Profit Factor
43.3%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2011                              -  +26.2%(8.6%)(28.9%)+6.9%(16.1%)+0.9%(11.1%)(34.1%)
2012+0.9%+2.1%(18.6%)(13.2%)(4.3%)+8.8%+5.3%+49.4%+12.1%(28.6%)(16.2%)(25.1%)(40.1%)
2013+10.7%(8.1%)(3.8%)(3.5%)+7.9%(22.8%)+4.4%(9.1%)(12.9%)+86.1%(27%)(12.2%)(22.4%)
2014+26.4%(6.3%)+10.7%(15.3%)+5.1%+6.2%+11.8%(2.9%)+1.4%(14.3%)+17.1%(11.9%)+20.9%
2015(10.3%)(4.9%)(5.2%)(2.4%)+15.3%+2.3%(5.1%)(2.7%)(9.5%)(5%)+1.8%(12.1%)(33.8%)
2016(5%)(4%)+1.7%(1.3%)+2.1%+3.8%+12.0%+26.9%(13.5%)(9.9%)+20.1%(5%)+22.5%
2017+9.7%+9.6%(13.1%)(19.5%)(10.5%)+11.1%+1.2%+6.6%  -  +1.0%+5.2%+1.4%(3%)
2018(2.2%)+11.9%(5.4%)(3.2%)+5.3%(2.9%)+0.4%(2.8%)+0.3%+0.2%(59.4%)(8%)(62.5%)
2019+4.6%(0.4%)(4.2%)(1.6%)+4.2%+21.1%(0.3%)(9.2%)(3.5%)(7.6%)(1.8%)(1.4%)(3.3%)
2020+5.5%(0.8%)(3.5%)(1.3%)(2.2%)+2.0%+1.6%+10.1%(4%)(4%)(8%)+4.8%(1.1%)
2021  -  +5.1%(6.5%)+12.2%(7.7%)(1.5%)(2.3%)(3.1%)(7.2%)(0.2%)(0.5%)(0.6%)(13.1%)
2022+0.4%(1%)(1.7%)(0.8%)+1.1%+1.1%+0.5%(0.5%)(0.5%)(0.7%)+0.1%+1.8%(0.1%)
2023+3.7%+3.7%(2.1%)(2.2%)+2.2%+0.3%(4%)+1.1%(0.7%)+2.8%+0.2%(2.4%)+2.3%
2024(1.3%)+1.5%(3.4%)+0.3%+0.5%                                          (2.5%)

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 120 hours.

Trading Record

This strategy has placed 55 trades in real-life brokerage accounts. The most recent trade in a real-money brokerage account occurred more than 4685 days ago.

Show AutoTrade data Hide AutoTrade data
Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
11/18/11 12:04 ATPG ATP Oil & Gas Corp. LONG 3,400 6.96 11/22 13:41 7.11 0.92%
Trade id #68118094
Max drawdown($1,734)
Time11/21/11 9:57
Quant open3,400
Worst price6.45
Drawdown as % of equity-0.92%
 $505
Includes Typical Broker Commissions trade costs of $5.00
11/8/11 13:21 DXCM DEXCOM LONG 2,200 7.14 11/21 14:52 6.95 0.32%
Trade id #67722868
Max drawdown($594)
Time11/21/11 10:07
Quant open2,200
Worst price6.87
Drawdown as % of equity-0.32%
 ($423)
Includes Typical Broker Commissions trade costs of $5.00
11/3/11 16:00 EXEL1119K5 EXEL Nov19'11 5 call LONG 130 0.15 11/20 9:03 0.00 1.04%
Trade id #67593340
Max drawdown($1,950)
Time11/20/11 9:03
Quant open0
Worst price0.00
Drawdown as % of equity-1.04%
 ($2,041)
Includes Typical Broker Commissions trade costs of $91.00
11/3/11 13:27 EXEL EXELIXIS LONG 6,000 4.47 11/18 11:13 4.19 1.11%
Trade id #67587652
Max drawdown($2,115)
Time11/18/11 9:51
Quant open6,000
Worst price4.12
Drawdown as % of equity-1.11%
 ($1,703)
Includes Typical Broker Commissions trade costs of $7.50
11/16/11 10:52 MTOR MERITOR LONG 4,600 6.66 11/17 13:33 5.69 2.19%
Trade id #68034527
Max drawdown($4,508)
Time11/17/11 13:21
Quant open4,600
Worst price5.68
Drawdown as % of equity-2.19%
 ($4,467)
Includes Typical Broker Commissions trade costs of $5.00
11/9/11 13:36 SGEN SEATTLE GENETICS LONG 1,000 16.22 11/17 13:30 15.42 0.42%
Trade id #67781406
Max drawdown($860)
Time11/17/11 13:03
Quant open1,000
Worst price15.36
Drawdown as % of equity-0.42%
 ($805)
Includes Typical Broker Commissions trade costs of $5.00
11/9/11 15:10 IL INTRALINKS HOLDINGS LONG 3,533 5.48 11/16 10:30 5.69 1.29%
Trade id #67784841
Max drawdown($2,614)
Time11/10/11 15:39
Quant open3,533
Worst price4.74
Drawdown as % of equity-1.29%
 $737
Includes Typical Broker Commissions trade costs of $5.00
11/8/11 13:24 OPTR OPTIMER PHARMACEUTICALS LONG 900 10.68 11/10 11:22 11.42 0.15%
Trade id #67722937
Max drawdown($279)
Time11/8/11 14:22
Quant open900
Worst price10.37
Drawdown as % of equity-0.15%
 $661
Includes Typical Broker Commissions trade costs of $5.00
11/7/11 10:05 DNDN DENDREON LONG 3,566 6.65 11/8 14:49 7.42 0.31%
Trade id #67673462
Max drawdown($606)
Time11/7/11 10:52
Quant open3,566
Worst price6.48
Drawdown as % of equity-0.31%
 $2,741
Includes Typical Broker Commissions trade costs of $5.00
11/2/11 12:52 GEOY GeoEye, Inc. LONG 831 27.70 11/8 13:15 26.00 1.09%
Trade id #67538020
Max drawdown($1,952)
Time11/3/11 10:52
Quant open831
Worst price25.35
Drawdown as % of equity-1.09%
 ($1,418)
Includes Typical Broker Commissions trade costs of $5.00
11/3/11 13:27 NPSP NPS PHARMACEUTICALS LONG 5,577 5.50 11/7 10:03 5.93 0.38%
Trade id #67587674
Max drawdown($685)
Time11/3/11 14:01
Quant open5,577
Worst price5.38
Drawdown as % of equity-0.38%
 $2,375
Includes Typical Broker Commissions trade costs of $7.50
10/31/11 10:40 DV DOUBLE VERIFY HOLDINGS INC. LONG 1,800 38.03 11/3 13:26 38.11 1.98%
Trade id #67432709
Max drawdown($3,564)
Time11/2/11 9:58
Quant open1,800
Worst price36.05
Drawdown as % of equity-1.98%
 $139
Includes Typical Broker Commissions trade costs of $5.00
10/25/11 15:40 DRV DIREXION DAILY REAL ES BEAR 3X LONG 126 203.60 11/1 10:27 181.80 2.19%
Trade id #67195798
Max drawdown($4,640)
Time10/27/11 15:27
Quant open2,522
Worst price8.34
Drawdown as % of equity-2.19%
 ($2,750)
Includes Typical Broker Commissions trade costs of $2.52
10/27/11 11:50 SPY1104W125 SPY Nov4'11 125 put LONG 370 0.72 10/31 10:39 0.78 4.14%
Trade id #67287424
Max drawdown($8,765)
Time10/28/11 15:55
Quant open370
Worst price0.48
Drawdown as % of equity-4.14%
 $1,797
Includes Typical Broker Commissions trade costs of $518.00
10/26/11 14:57 AMZN1119K215 AMZN Nov19'11 215 call LONG 106 2.95 10/27 10:08 3.17 3.13%
Trade id #67249869
Max drawdown($5,476)
Time10/26/11 15:54
Quant open86
Worst price2.36
Drawdown as % of equity-3.13%
 $2,120
Includes Typical Broker Commissions trade costs of $148.40
10/26/11 10:41 NFLX1119K90 NFLX Nov19'11 90 call LONG 120 1.88 10/26 14:02 2.69 2.27%
Trade id #67238208
Max drawdown($3,960)
Time10/26/11 11:38
Quant open120
Worst price1.55
Drawdown as % of equity-2.27%
 $9,582
Includes Typical Broker Commissions trade costs of $168.00
10/24/11 11:10 AEM AGNICO EAGLE MINES LIMITED LONG 1,412 44.87 10/25 12:41 45.81 0.87%
Trade id #67115911
Max drawdown($1,516)
Time10/25/11 10:01
Quant open1,412
Worst price43.80
Drawdown as % of equity-0.87%
 $1,314
Includes Typical Broker Commissions trade costs of $7.50
10/19/11 10:18 CROX CROCS LONG 2,676 16.42 10/24 10:55 16.46 1.99%
Trade id #66965948
Max drawdown($3,933)
Time10/20/11 12:06
Quant open2,676
Worst price14.95
Drawdown as % of equity-1.99%
 $102
Includes Typical Broker Commissions trade costs of $5.00
10/18/11 11:40 AGQ PROSHARES ULTRA SILVER LONG 308 227.40 10/18 15:50 239.44 0.05%
Trade id #66920303
Max drawdown($98)
Time10/18/11 11:42
Quant open1,233
Worst price56.77
Drawdown as % of equity-0.05%
 $3,702
Includes Typical Broker Commissions trade costs of $6.16
10/10/11 13:55 QID PROSHARES ULTRASHORT QQQ LONG 131 191.68 10/18 11:40 179.08 1.08%
Trade id #66616885
Max drawdown($2,191)
Time10/14/11 16:01
Quant open523
Worst price43.73
Drawdown as % of equity-1.08%
 ($1,654)
Includes Typical Broker Commissions trade costs of $2.62
10/12/11 11:15 DRV DIREXION DAILY REAL ES BEAR 3X LONG 116 250.60 10/13 13:10 266.00 0.4%
Trade id #66698842
Max drawdown($835)
Time10/12/11 14:33
Quant open2,321
Worst price12.17
Drawdown as % of equity-0.40%
 $1,784
Includes Typical Broker Commissions trade costs of $2.32
10/11/11 11:17 CLWR Clearwire Corporation LONG 73,280 1.30 10/13 10:30 1.48 0.06%
Trade id #66658283
Max drawdown($125)
Time10/11/11 11:22
Quant open12,500
Worst price1.28
Drawdown as % of equity-0.06%
 $12,846
Includes Typical Broker Commissions trade costs of $12.50
9/23/11 11:39 III INFORMATION SERVICES GRP LONG 66,222 0.99 10/12 13:55 1.04 1.55%
Trade id #66040050
Max drawdown($3,484)
Time9/27/11 13:41
Quant open30,222
Worst price0.92
Drawdown as % of equity-1.55%
 $3,288
Includes Typical Broker Commissions trade costs of $20.00
10/10/11 13:32 DRV DIREXION DAILY REAL ES BEAR 3X LONG 430 264.72 10/11 12:48 268.23 1.74%
Trade id #66616124
Max drawdown($3,491)
Time10/11/11 10:46
Quant open8,598
Worst price12.83
Drawdown as % of equity-1.74%
 $1,500
Includes Typical Broker Commissions trade costs of $8.60
9/27/11 11:13 MVG MAG SILVER LONG 35,154 8.79 10/7 12:16 7.86 38.34%
Trade id #66148648
Max drawdown($68,735)
Time10/4/11 15:24
Quant open35,154
Worst price6.83
Drawdown as % of equity-38.34%
 ($32,537)
Includes Typical Broker Commissions trade costs of $10.00
10/6/11 15:36 MHR MAGNUM HUNTER RESOURCES LONG 3,500 3.06 10/7 12:08 3.24 0.03%
Trade id #66516766
Max drawdown($70)
Time10/6/11 15:38
Quant open3,500
Worst price3.04
Drawdown as % of equity-0.03%
 $625
Includes Typical Broker Commissions trade costs of $5.00
10/3/11 11:24 SPRD SPREADTRUM COMMUNICATIONS LONG 988 17.63 10/4 11:31 18.02 0.61%
Trade id #66351664
Max drawdown($1,096)
Time10/4/11 9:44
Quant open988
Worst price16.52
Drawdown as % of equity-0.61%
 $380
Includes Typical Broker Commissions trade costs of $5.00
9/26/11 14:46 KGN Keegan Resources Inc. LONG 15,377 5.19 9/27 11:44 5.64 0.56%
Trade id #66109219
Max drawdown($1,230)
Time9/26/11 14:56
Quant open15,377
Worst price5.11
Drawdown as % of equity-0.56%
 $6,915
Includes Typical Broker Commissions trade costs of $5.00
9/22/11 12:51 SPY1122V118 SPY Oct22'11 118 put SHORT 53 7.06 9/23 11:31 6.77 3.58%
Trade id #65993899
Max drawdown($7,844)
Time9/22/11 15:25
Quant open-53
Worst price8.54
Drawdown as % of equity-3.58%
 $1,463
Includes Typical Broker Commissions trade costs of $74.20
9/18/11 9:02 AMZN AMAZON.COM SHORT 1,000 190.00 9/22 15:57 224.80 28.37%
Trade id #65798102
Max drawdown($54,000)
Time9/19/11 15:40
Quant open-1,000
Worst price244.00
Drawdown as % of equity-28.37%
 ($34,805)
Includes Typical Broker Commissions trade costs of $5.00
Next

Statistics

  • Strategy began
    5/25/2011
  • Suggested Minimum Cap
    $200,000
  • Strategy Age (days)
    4728.86
  • Age
    158 months ago
  • What it trades
    Stocks
  • # Trades
    257
  • # Profitable
    163
  • % Profitable
    63.40%
  • Avg trade duration
    76.7 days
  • Max peak-to-valley drawdown
    93.19%
  • drawdown period
    June 29, 2011 - April 14, 2022
  • Annual Return (Compounded)
    -16.9%
  • Avg win
    $2,128
  • Avg loss
    $5,239
  • Model Account Values (Raw)
  • Cash
    $38,538
  • Margin Used
    $2,643
  • Buying Power
    ($130,561)
  • Ratios
  • W:L ratio
    0.71:1
  • Sharpe Ratio
    -0.01
  • Sortino Ratio
    -0.01
  • Calmar Ratio
    -0.416
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -379.27%
  • Correlation to SP500
    0.06850
  • Return Percent SP500 (cumu) during strategy life
    288.33%
  • Return Statistics
  • Ann Return (w trading costs)
    -16.9%
  • Slump
  • Current Slump as Pcnt Equity
    1330.20%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.99%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    -0.169%
  • Instruments
  • Percent Trades Options
    0.14%
  • Percent Trades Stocks
    0.86%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    -9.3%
  • 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 60% account loss (Monte Carlo)
    100.00%
  • Chance of 70% account loss (Monte Carlo)
    100.00%
  • Chance of 80% account loss (Monte Carlo)
    100.00%
  • Chance of 90% account loss (Monte Carlo)
    n/a
  • Chance of 100% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    100.00%
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    0
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Popularity
  • Popularity (7 days, Percentile 1000 scale)
    0
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $5,240
  • Avg Win
    $2,129
  • Sum Trade PL (losers)
    $492,517.000
  • Age
  • Num Months filled monthly returns table
    157
  • Win / Loss
  • Sum Trade PL (winners)
    $346,967.000
  • # Winners
    163
  • Num Months Winners
    69
  • Dividends
  • Dividends Received in Model Acct
    1779
  • Win / Loss
  • # Losers
    94
  • % Winners
    63.4%
  • Frequency
  • Avg Position Time (mins)
    110434.00
  • Avg Position Time (hrs)
    1840.57
  • Avg Trade Length
    76.7 days
  • Last Trade Ago
    4548
  • Regression
  • Alpha
    -0.01
  • Beta
    0.26
  • Treynor Index
    -0.01
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.06
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    41.79
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    54.57
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    0.04
  • MAE:Equity, average, winning trades
    0.01
  • MAE:Equity, average, losing trades
    0.13
  • Avg(MAE) / Avg(PL) - All trades
    -7.634
  • 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
    0.685
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.440
  • Hold-and-Hope Ratio
    -0.169
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.30394
  • SD
    0.46797
  • Sharpe ratio (Glass type estimate)
    -0.64949
  • Sharpe ratio (Hedges UMVUE)
    -0.63622
  • df
    37.00000
  • t
    -1.15578
  • p
    0.87241
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.75644
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.46603
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.74712
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.47468
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.77948
  • Upside Potential Ratio
    1.10329
  • Upside part of mean
    0.43021
  • Downside part of mean
    -0.73415
  • Upside SD
    0.26246
  • Downside SD
    0.38993
  • N nonnegative terms
    18.00000
  • N negative terms
    20.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    38.00000
  • Mean of predictor
    0.42079
  • Mean of criterion
    -0.30394
  • SD of predictor
    0.28721
  • SD of criterion
    0.46797
  • Covariance
    0.01747
  • r
    0.13000
  • b (slope, estimate of beta)
    0.21183
  • a (intercept, estimate of alpha)
    -0.39308
  • Mean Square Error
    0.22127
  • DF error
    36.00000
  • t(b)
    0.78670
  • p(b)
    0.21830
  • t(a)
    -1.36675
  • p(a)
    0.90991
  • Lowerbound of 95% confidence interval for beta
    -0.33426
  • Upperbound of 95% confidence interval for beta
    0.75791
  • Lowerbound of 95% confidence interval for alpha
    -0.97635
  • Upperbound of 95% confidence interval for alpha
    0.19020
  • Treynor index (mean / b)
    -1.43487
  • Jensen alpha (a)
    -0.39308
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.42723
  • SD
    0.50788
  • Sharpe ratio (Glass type estimate)
    -0.84122
  • Sharpe ratio (Hedges UMVUE)
    -0.82403
  • df
    37.00000
  • t
    -1.49696
  • p
    0.92856
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.95357
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.28212
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.94132
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.29326
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.93252
  • Upside Potential Ratio
    0.87111
  • Upside part of mean
    0.39910
  • Downside part of mean
    -0.82634
  • Upside SD
    0.23761
  • Downside SD
    0.45815
  • N nonnegative terms
    18.00000
  • N negative terms
    20.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    38.00000
  • Mean of predictor
    0.37666
  • Mean of criterion
    -0.42723
  • SD of predictor
    0.26969
  • SD of criterion
    0.50788
  • Covariance
    0.02141
  • r
    0.15628
  • b (slope, estimate of beta)
    0.29429
  • a (intercept, estimate of alpha)
    -0.53808
  • Mean Square Error
    0.25863
  • DF error
    36.00000
  • t(b)
    0.94932
  • p(b)
    0.17439
  • t(a)
    -1.74296
  • p(a)
    0.95506
  • Lowerbound of 95% confidence interval for beta
    -0.33442
  • Upperbound of 95% confidence interval for beta
    0.92301
  • Lowerbound of 95% confidence interval for alpha
    -1.16419
  • Upperbound of 95% confidence interval for alpha
    0.08803
  • Treynor index (mean / b)
    -1.45173
  • Jensen alpha (a)
    -0.53808
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.24176
  • Expected Shortfall on VaR
    0.28579
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.14664
  • Expected Shortfall on VaR
    0.26783
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    38.00000
  • Minimum
    0.60151
  • Quartile 1
    0.91923
  • Median
    0.99395
  • Quartile 3
    1.04613
  • Maximum
    1.26737
  • Mean of quarter 1
    0.80882
  • Mean of quarter 2
    0.95986
  • Mean of quarter 3
    1.01871
  • Mean of quarter 4
    1.12306
  • Inter Quartile Range
    0.12690
  • Number outliers low
    2.00000
  • Percentage of outliers low
    0.05263
  • Mean of outliers low
    0.65060
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.05263
  • Mean of outliers high
    1.25359
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.71397
  • VaR(95%) (moments method)
    0.19032
  • Expected Shortfall (moments method)
    0.21252
  • Extreme Value Index (regression method)
    0.15697
  • VaR(95%) (regression method)
    0.22759
  • Expected Shortfall (regression method)
    0.34750
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    1.00000
  • Minimum
    0.77855
  • Quartile 1
    0.77855
  • Median
    0.77855
  • Quartile 3
    0.77855
  • Maximum
    0.77855
  • 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)
    -0.22662
  • Compounded annual return (geometric extrapolation)
    -0.32923
  • Calmar ratio (compounded annual return / max draw down)
    -0.42287
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    -1.15201
  • 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
    -0.14848
  • SD
    0.74596
  • Sharpe ratio (Glass type estimate)
    -0.19904
  • Sharpe ratio (Hedges UMVUE)
    -0.19886
  • df
    835.00000
  • t
    -0.35555
  • p
    0.63887
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.29627
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.89826
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.29613
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.89840
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.29642
  • Upside Potential Ratio
    6.85118
  • Upside part of mean
    3.43175
  • Downside part of mean
    -3.58022
  • Upside SD
    0.55224
  • Downside SD
    0.50090
  • N nonnegative terms
    376.00000
  • N negative terms
    460.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    836.00000
  • Mean of predictor
    0.45307
  • Mean of criterion
    -0.14848
  • SD of predictor
    0.35541
  • SD of criterion
    0.74596
  • Covariance
    0.00909
  • r
    0.03431
  • b (slope, estimate of beta)
    0.07200
  • a (intercept, estimate of alpha)
    -0.18100
  • Mean Square Error
    0.55647
  • DF error
    834.00000
  • t(b)
    0.99129
  • p(b)
    0.16092
  • t(a)
    -0.43232
  • p(a)
    0.66719
  • Lowerbound of 95% confidence interval for beta
    -0.07057
  • Upperbound of 95% confidence interval for beta
    0.21457
  • Lowerbound of 95% confidence interval for alpha
    -1.00332
  • Upperbound of 95% confidence interval for alpha
    0.64112
  • Treynor index (mean / b)
    -2.06208
  • Jensen alpha (a)
    -0.18110
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.42640
  • SD
    0.74817
  • Sharpe ratio (Glass type estimate)
    -0.56993
  • Sharpe ratio (Hedges UMVUE)
    -0.56942
  • df
    835.00000
  • t
    -1.01806
  • p
    0.84553
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.66734
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.52779
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.66698
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.52815
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.78140
  • Upside Potential Ratio
    6.03586
  • Upside part of mean
    3.29371
  • Downside part of mean
    -3.72012
  • Upside SD
    0.51186
  • Downside SD
    0.54569
  • N nonnegative terms
    376.00000
  • N negative terms
    460.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    836.00000
  • Mean of predictor
    0.39006
  • Mean of criterion
    -0.42640
  • SD of predictor
    0.35389
  • SD of criterion
    0.74817
  • Covariance
    0.00920
  • r
    0.03474
  • b (slope, estimate of beta)
    0.07345
  • a (intercept, estimate of alpha)
    -0.45505
  • Mean Square Error
    0.55975
  • DF error
    834.00000
  • t(b)
    1.00390
  • p(b)
    0.15786
  • t(a)
    -1.08395
  • p(a)
    0.86065
  • Lowerbound of 95% confidence interval for beta
    -0.07015
  • Upperbound of 95% confidence interval for beta
    0.21705
  • Lowerbound of 95% confidence interval for alpha
    -1.27905
  • Upperbound of 95% confidence interval for alpha
    0.36895
  • Treynor index (mean / b)
    -5.80557
  • Jensen alpha (a)
    -0.45505
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.07472
  • Expected Shortfall on VaR
    0.09228
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.03318
  • Expected Shortfall on VaR
    0.06708
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    836.00000
  • Minimum
    0.62910
  • Quartile 1
    0.98337
  • Median
    0.99959
  • Quartile 3
    1.01359
  • Maximum
    1.34668
  • Mean of quarter 1
    0.95260
  • Mean of quarter 2
    0.99299
  • Mean of quarter 3
    1.00466
  • Mean of quarter 4
    1.04792
  • Inter Quartile Range
    0.03021
  • Number outliers low
    43.00000
  • Percentage of outliers low
    0.05144
  • Mean of outliers low
    0.89743
  • Number of outliers high
    47.00000
  • Percentage of outliers high
    0.05622
  • Mean of outliers high
    1.11617
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.25236
  • VaR(95%) (moments method)
    0.04508
  • Expected Shortfall (moments method)
    0.07362
  • Extreme Value Index (regression method)
    0.18144
  • VaR(95%) (regression method)
    0.04470
  • Expected Shortfall (regression method)
    0.06904
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    6.00000
  • Minimum
    0.00147
  • Quartile 1
    0.00741
  • Median
    0.01420
  • Quartile 3
    0.02359
  • Maximum
    0.78936
  • Mean of quarter 1
    0.00340
  • Mean of quarter 2
    0.01365
  • Mean of quarter 3
    0.01475
  • Mean of quarter 4
    0.40795
  • Inter Quartile Range
    0.01617
  • 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
    0.16667
  • Mean of outliers high
    0.78936
  • 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)
    -0.22552
  • Compounded annual return (geometric extrapolation)
    -0.32867
  • Calmar ratio (compounded annual return / max draw down)
    -0.41637
  • Compounded annual return / average of 25% largest draw downs
    -0.80566
  • Compounded annual return / Expected Shortfall lognormal
    -3.56150
  • 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
    -0.12072
  • SD
    0.17040
  • Sharpe ratio (Glass type estimate)
    -0.70845
  • Sharpe ratio (Hedges UMVUE)
    -0.70435
  • df
    130.00000
  • t
    -0.50095
  • p
    0.52195
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.48027
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.06603
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.47748
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.06877
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.01153
  • Upside Potential Ratio
    6.01522
  • Upside part of mean
    0.71788
  • Downside part of mean
    -0.83860
  • Upside SD
    0.12094
  • Downside SD
    0.11934
  • N nonnegative terms
    54.00000
  • N negative terms
    77.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    1.09904
  • Mean of criterion
    -0.12072
  • SD of predictor
    0.67512
  • SD of criterion
    0.17040
  • Covariance
    -0.01125
  • r
    -0.09781
  • b (slope, estimate of beta)
    -0.02469
  • a (intercept, estimate of alpha)
    -0.09359
  • Mean Square Error
    0.02898
  • DF error
    129.00000
  • t(b)
    -1.11622
  • p(b)
    0.56217
  • t(a)
    -0.38676
  • p(a)
    0.52166
  • Lowerbound of 95% confidence interval for beta
    -0.06844
  • Upperbound of 95% confidence interval for beta
    0.01907
  • Lowerbound of 95% confidence interval for alpha
    -0.57235
  • Upperbound of 95% confidence interval for alpha
    0.38517
  • Treynor index (mean / b)
    4.89017
  • Jensen alpha (a)
    -0.09359
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.13512
  • SD
    0.17019
  • Sharpe ratio (Glass type estimate)
    -0.79396
  • Sharpe ratio (Hedges UMVUE)
    -0.78937
  • df
    130.00000
  • t
    -0.56141
  • p
    0.52459
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.56599
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.98098
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.56283
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.98410
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.11722
  • Upside Potential Ratio
    5.87577
  • Upside part of mean
    0.71064
  • Downside part of mean
    -0.84576
  • Upside SD
    0.11910
  • Downside SD
    0.12094
  • N nonnegative terms
    54.00000
  • N negative terms
    77.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.87446
  • Mean of criterion
    -0.13512
  • SD of predictor
    0.66853
  • SD of criterion
    0.17019
  • Covariance
    -0.01141
  • r
    -0.10027
  • b (slope, estimate of beta)
    -0.02552
  • a (intercept, estimate of alpha)
    -0.11280
  • Mean Square Error
    0.02889
  • DF error
    129.00000
  • t(b)
    -1.14459
  • p(b)
    0.56373
  • t(a)
    -0.46770
  • p(a)
    0.52619
  • VAR (95 Confidence Intrvl)
    0.07500
  • Lowerbound of 95% confidence interval for beta
    -0.06965
  • Upperbound of 95% confidence interval for beta
    0.01860
  • Lowerbound of 95% confidence interval for alpha
    -0.58999
  • Upperbound of 95% confidence interval for alpha
    0.36439
  • Treynor index (mean / b)
    5.29369
  • Jensen alpha (a)
    -0.11280
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01765
  • Expected Shortfall on VaR
    0.02195
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00809
  • Expected Shortfall on VaR
    0.01634
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.95812
  • Quartile 1
    0.99647
  • Median
    0.99993
  • Quartile 3
    1.00201
  • Maximum
    1.04242
  • Mean of quarter 1
    0.98879
  • Mean of quarter 2
    0.99875
  • Mean of quarter 3
    1.00051
  • Mean of quarter 4
    1.01055
  • Inter Quartile Range
    0.00555
  • Number outliers low
    9.00000
  • Percentage of outliers low
    0.06870
  • Mean of outliers low
    0.97606
  • Number of outliers high
    11.00000
  • Percentage of outliers high
    0.08397
  • Mean of outliers high
    1.02181
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.47752
  • VaR(95%) (moments method)
    0.01139
  • Expected Shortfall (moments method)
    0.02475
  • Extreme Value Index (regression method)
    0.46993
  • VaR(95%) (regression method)
    0.00981
  • Expected Shortfall (regression method)
    0.02013
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    3.00000
  • Minimum
    0.00468
  • Quartile 1
    0.03137
  • Median
    0.05805
  • Quartile 3
    0.07953
  • Maximum
    0.10100
  • Mean of quarter 1
    0.00468
  • Mean of quarter 2
    0.05805
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.10100
  • Inter Quartile Range
    0.04816
  • 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
    0.25%
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -369415000
  • Max Equity Drawdown (num days)
    3942
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.10439
  • Compounded annual return (geometric extrapolation)
    -0.10167
  • Calmar ratio (compounded annual return / max draw down)
    -1.00658
  • Compounded annual return / average of 25% largest draw downs
    -1.00658
  • Compounded annual return / Expected Shortfall lognormal
    -4.63145

Strategy Description

Capture short term price swings that last several days. Both small and huge portfolios can follow the signals and AutoTrade is not required. Just divide or multiply trade size by appropriate ratio. Goal: >=10% per month.

UNIQUE FEATURES:
1. System based on extremely precise, reliable timing.
2. Highly profitable both short-term and long-term. In fact, profitable since Day One.
3. Extremely high return (ROI), weekly, monthly and yearly.
4. Extremely good at recovering from a price setback and turning it into an opportunity and a profitable outcome.
5. Extremely small drawdowns. Compare our small max peak-to-valley drawdown (historical) to other systems. Plus high profit factor, i.e. (Avg. Win) / (Avg. Loss) ratio.
6. Very small draw-downs means you can trade very safely in a proportional way. It is very easy to trade the system manually since the time frame is typically several days for price targets to be met. You can also do AutoTrading, of course.
7. Balanced: Both long and short positions are maintained. This means added safety in both bull and bear markets. However, you don't have to play the short side if you don't want to.
8. High percentage of profitable trades and extremely low drawdowns mean that you can be a pure bull or pure bear and do well from our signals, i.e. you can be selective and do not have to follow every trade mechanically, and still do very well.
9. Low demand on time and effort. This is not a day-trading system. Positions are typically held several days.

Trade this strategy at Interactive Brokers

Summary Statistics

Strategy began
2011-05-25
Suggested Minimum Capital
$200,000
# Trades
257
# Profitable
163
% Profitable
63.4%
Net Dividends
$1,779
Correlation S&P500
0.069
Sharpe Ratio
-0.01
Sortino Ratio
-0.01
Beta
0.26
Alpha
-0.01

Latest Activity

#PERSONNAME#
subscribed on started simulation #SUBSCRIBEDDATE#

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

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

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

About the results you see on this Web site

Past results are not necessarily indicative of future results.

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

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

Material assumptions and methods used when calculating results

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

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

Trading is risky

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

Okay, gotcha.

Not available

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

Want to see available plans and features?

Please hold...

Strategy is now visible

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

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

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

Continue to designate your strategy as Private?

Mark as Private Keep Public

Strategy is no longer visible

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

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

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

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

You can restore public visibility at any time.

Suggested Minimum Capital

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