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SNIPER STKS OPTS FUTURES
(107858429)

Created by: WilliamDalton2 WilliamDalton2
Started: 12/2016
Stocks
Last trade: 10 days ago
Trading style: Futures Macro / Fundamental

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 $150.00 per month.

Trading Category: Futures
Macro / Fundamental
Category: Equity

Macro / Fundamental

Predicts large-scale events related to national economies, history, and international relations. The strategy typically employs forecasts and analysis of interest rate trends, international trade and payments, political changes, government policies, inter-government relations, and other broad systemic factors.
30.0%
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.

(9.6%)
Max Drawdown
1202
Num Trades
59.9%
Win Trades
1.4 : 1
Profit Factor
62.5%
Win Months
Hypothetical Monthly Returns (includes system fee and Interactive Brokers commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2016                                                                             +0.9%+0.9%
2017+7.2%+3.0%(1.2%)+6.9%(0.3%)+2.5%+9.7%+6.2%(1.2%)+2.5%+4.5%(2%)+43.9%
2018(0.6%)(0.5%)+2.8%(1.4%)+0.1%+8.5%+4.6%+4.8%+3.2%(7.1%)(0.2%)      +14.4%

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 168 hours.

Trading Record

This strategy has placed 1,799 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
10/26/18 15:40 AXP1802W99.5 AXP Nov2'18 99.5 put SHORT 2 1.05 11/3 9:36 0.00 n/a $209
Includes Typical Broker Commissions trade costs of $1.40
10/26/18 15:36 V1802W134 V Nov2'18 134 put SHORT 2 1.16 11/2 11:18 0.01 0.34%
Trade id #120574149
Max drawdown($598)
Time10/30/18 13:16
Quant open-2
Worst price4.15
Drawdown as % of equity-0.34%
$227
Includes Typical Broker Commissions trade costs of $2.80
10/24/18 15:13 AAPL APPLE LONG 100 218.68 10/31 10:53 218.50 0.71%
Trade id #120520161
Max drawdown($1,258)
Time10/29/18 15:45
Quant open100
Worst price206.09
Drawdown as % of equity-0.71%
($20)
Includes Typical Broker Commissions trade costs of $2.00
10/25/18 15:03 AAPL1802K225 AAPL Nov2'18 225 call SHORT 1 3.92 10/29 15:52 1.44 0.02%
Trade id #120546053
Max drawdown($36)
Time10/25/18 15:19
Quant open-1
Worst price4.28
Drawdown as % of equity-0.02%
$246
Includes Typical Broker Commissions trade costs of $2.00
10/22/18 15:25 UAL UNITED CONTINENTAL LONG 225 88.04 10/29 15:44 85.43 0.78%
Trade id #120473828
Max drawdown($1,377)
Time10/24/18 15:57
Quant open225
Worst price81.92
Drawdown as % of equity-0.78%
($592)
Includes Typical Broker Commissions trade costs of $4.00
10/26/18 15:38 BA1802W347.5 BA Nov2'18 347.5 put SHORT 1 3.35 10/29 15:09 16.39 0.74%
Trade id #120574207
Max drawdown($1,304)
Time10/29/18 15:09
Quant open0
Worst price16.39
Drawdown as % of equity-0.74%
($1,306)
Includes Typical Broker Commissions trade costs of $2.00
10/24/18 15:39 GLW CORNING LONG 500 30.68 10/29 11:13 31.26 0.14%
Trade id #120520993
Max drawdown($241)
Time10/26/18 11:00
Quant open500
Worst price30.20
Drawdown as % of equity-0.14%
$287
Includes Typical Broker Commissions trade costs of $5.00
10/18/18 14:53 LULU LULULEMON ATHLETICA LONG 125 141.77 10/29 11:13 137.32 0.56%
Trade id #120425532
Max drawdown($1,000)
Time10/23/18 10:25
Quant open100
Worst price133.13
Drawdown as % of equity-0.56%
($560)
Includes Typical Broker Commissions trade costs of $3.00
10/23/18 15:58 NSC1826V150 NSC Oct26'18 150 put SHORT 2 1.65 10/25 11:49 0.25 n/a $277
Includes Typical Broker Commissions trade costs of $2.80
10/24/18 15:16 MSFT MICROSOFT LONG 150 104.80 10/25 10:06 108.99 0.53%
Trade id #120520258
Max drawdown($933)
Time10/24/18 16:06
Quant open150
Worst price98.58
Drawdown as % of equity-0.53%
$626
Includes Typical Broker Commissions trade costs of $2.00
10/22/18 15:26 V VISA LONG 225 140.36 10/25 9:38 133.62 1.8%
Trade id #120473836
Max drawdown($3,180)
Time10/24/18 16:10
Quant open225
Worst price126.22
Drawdown as % of equity-1.80%
($1,519)
Includes Typical Broker Commissions trade costs of $3.12
10/18/18 14:53 AGN ALLERGAN INC LONG 125 187.76 10/25 9:37 176.62 0.79%
Trade id #120425540
Max drawdown($1,392)
Time10/25/18 9:37
Quant open0
Worst price176.62
Drawdown as % of equity-0.79%
($1,395)
Includes Typical Broker Commissions trade costs of $3.00
10/18/18 15:42 JNJ1802K141 JNJ Nov2'18 141 call SHORT 2 1.55 10/24 14:07 1.15 n/a $76
Includes Typical Broker Commissions trade costs of $2.80
10/18/18 15:37 JNJ JOHNSON & JOHNSON LONG 200 139.65 10/24 14:07 139.14 0.28%
Trade id #120426328
Max drawdown($509)
Time10/23/18 5:39
Quant open200
Worst price137.10
Drawdown as % of equity-0.28%
($104)
Includes Typical Broker Commissions trade costs of $2.00
10/22/18 15:27 I INTELSAT S.A. LONG 500 35.12 10/24 14:07 33.20 0.54%
Trade id #120473866
Max drawdown($958)
Time10/24/18 14:07
Quant open0
Worst price33.20
Drawdown as % of equity-0.54%
($963)
Includes Typical Broker Commissions trade costs of $5.00
10/15/18 15:52 JWN NORDSTROM LONG 150 61.98 10/24 11:10 60.93 0.31%
Trade id #120363073
Max drawdown($562)
Time10/23/18 10:36
Quant open150
Worst price58.23
Drawdown as % of equity-0.31%
($160)
Includes Typical Broker Commissions trade costs of $2.00
10/18/18 14:50 PPG PPG INDUSTRIES LONG 200 98.86 10/24 9:44 100.23 0.06%
Trade id #120425491
Max drawdown($114)
Time10/23/18 10:55
Quant open200
Worst price98.29
Drawdown as % of equity-0.06%
$271
Includes Typical Broker Commissions trade costs of $2.00
10/17/18 13:19 ADS1816K210 ADS Nov16'18 210 call SHORT 1 9.91 10/22 13:44 5.77 0.31%
Trade id #120406718
Max drawdown($569)
Time10/18/18 15:55
Quant open-1
Worst price15.60
Drawdown as % of equity-0.31%
$412
Includes Typical Broker Commissions trade costs of $2.00
10/17/18 13:18 ADS ALLIANCE DATA SYSTEMS LONG 100 212.84 10/22 13:43 209.00 0.32%
Trade id #120406686
Max drawdown($584)
Time10/18/18 9:16
Quant open100
Worst price207.00
Drawdown as % of equity-0.32%
($386)
Includes Typical Broker Commissions trade costs of $2.00
10/17/18 13:22 DHR1816K105 DHR Nov16'18 105 call SHORT 2 2.89 10/22 11:34 0.25 0.01%
Trade id #120406774
Max drawdown($22)
Time10/17/18 15:15
Quant open-2
Worst price3.00
Drawdown as % of equity-0.01%
$525
Includes Typical Broker Commissions trade costs of $2.80
10/17/18 13:21 DHR DANAHER LONG 200 105.24 10/22 10:04 98.55 0.74%
Trade id #120406754
Max drawdown($1,338)
Time10/22/18 10:04
Quant open0
Worst price98.55
Drawdown as % of equity-0.74%
($1,340)
Includes Typical Broker Commissions trade costs of $2.00
10/17/18 13:37 AXP1819J104 AXP Oct19'18 104 call SHORT 2 2.25 10/20 9:36 0.00 0.12%
Trade id #120406909
Max drawdown($220)
Time10/19/18 9:54
Quant open-2
Worst price3.35
Drawdown as % of equity-0.12%
$449
Includes Typical Broker Commissions trade costs of $1.40
10/17/18 13:36 AXP AMERICAN EXPRESS LONG 200 104.95 10/20 9:36 104.00 0.32%
Trade id #120406897
Max drawdown($589)
Time10/18/18 16:08
Quant open200
Worst price102.00
Drawdown as % of equity-0.32%
($192)
Includes Typical Broker Commissions trade costs of $2.00
10/16/18 14:55 URI UNITED RENTALS LONG 200 140.65 10/18 13:29 123.30 1.9%
Trade id #120385980
Max drawdown($3,471)
Time10/18/18 13:29
Quant open100
Worst price122.33
Drawdown as % of equity-1.90%
($3,475)
Includes Typical Broker Commissions trade costs of $4.00
10/16/18 15:12 SERV SERVICEMASTER GLOBAL HOLDINGS LONG 300 45.43 10/18 13:18 44.76 0.13%
Trade id #120386382
Max drawdown($239)
Time10/18/18 12:05
Quant open300
Worst price44.63
Drawdown as % of equity-0.13%
($203)
Includes Typical Broker Commissions trade costs of $3.00
10/17/18 15:55 SYF SYNCHRONY FINANCIAL LONG 500 30.05 10/18 13:18 29.77 0.12%
Trade id #120408962
Max drawdown($227)
Time10/18/18 11:52
Quant open500
Worst price29.60
Drawdown as % of equity-0.12%
($147)
Includes Typical Broker Commissions trade costs of $5.00
10/17/18 13:11 WNC WABASH NATIONAL SHORT 600 14.31 10/18 13:01 13.84 0.03%
Trade id #120406599
Max drawdown($46)
Time10/17/18 14:09
Quant open-600
Worst price14.39
Drawdown as % of equity-0.03%
$277
Includes Typical Broker Commissions trade costs of $6.00
10/15/18 15:17 MDT MEDTRONIC PLC LONG 125 94.29 10/18 13:00 95.81 0.03%
Trade id #120362064
Max drawdown($60)
Time10/15/18 16:00
Quant open125
Worst price93.81
Drawdown as % of equity-0.03%
$188
Includes Typical Broker Commissions trade costs of $2.00
10/16/18 15:54 URI1826J142 URI Oct26'18 142 call SHORT 2 4.10 10/18 12:26 0.07 0.04%
Trade id #120387530
Max drawdown($80)
Time10/17/18 9:36
Quant open-2
Worst price4.50
Drawdown as % of equity-0.04%
$803
Includes Typical Broker Commissions trade costs of $2.80
10/16/18 10:19 PLCE CHILDRENS PLACE INC. LONG 150 137.18 10/17 9:58 134.66 0.22%
Trade id #120379644
Max drawdown($403)
Time10/17/18 9:58
Quant open150
Worst price134.49
Drawdown as % of equity-0.22%
($380)
Includes Typical Broker Commissions trade costs of $2.00

Statistics

  • Strategy began
    12/10/2016
  • Suggested Minimum Cap
    $35,000
  • Strategy Age (days)
    702.95
  • Age
    23 months ago
  • What it trades
    Stocks
  • # Trades
    1202
  • # Profitable
    720
  • % Profitable
    59.90%
  • Avg trade duration
    5.7 days
  • Max peak-to-valley drawdown
    9.65%
  • drawdown period
    Nov 29, 2017 - Feb 09, 2018
  • Annual Return (Compounded)
    30.0%
  • Avg win
    $406.47
  • Avg loss
    $450.35
  • Model Account Values (Raw)
  • Cash
    $113,891
  • Margin Used
    $0
  • Buying Power
    $112,507
  • Ratios
  • W:L ratio
    1.38:1
  • Sharpe Ratio
    2.261
  • Sortino Ratio
    3.727
  • Calmar Ratio
    4.872
  • CORRELATION STATISTICS
  • Correlation to SP500
    0.29100
  • Return Statistics
  • Ann Return (w trading costs)
    30.0%
  • Ann Return (Compnd, No Fees)
    34.5%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    5.50%
  • Chance of 20% account loss
    0.50%
  • Chance of 30% account loss
    n/a
  • Chance of 40% account loss
    n/a
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    890
  • Popularity (Last 6 weeks)
    985
  • C2 Score
    99.8
  • Trades-Own-System Certification
  • Trades Own System?
    0
  • TOS percent
    n/a
  • Subscription Price
  • Billing Period (days)
    30
  • Trial Days
    7
  • Win / Loss
  • Avg Loss
    $450
  • Avg Win
    $406
  • # Winners
    720
  • # Losers
    482
  • % Winners
    59.9%
  • Frequency
  • Avg Position Time (mins)
    8237.27
  • Avg Position Time (hrs)
    137.29
  • Avg Trade Length
    5.7 days
  • Last Trade Ago
    0
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.31711
  • SD
    0.14987
  • Sharpe ratio (Glass type estimate)
    2.11596
  • Sharpe ratio (Hedges UMVUE)
    2.03932
  • df
    21.00000
  • t
    2.86502
  • p
    0.17907
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.51382
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.67601
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.46588
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.61276
  • Statistics related to Sortino ratio
  • Sortino ratio
    6.68243
  • Upside Potential Ratio
    8.26794
  • Upside part of mean
    0.39235
  • Downside part of mean
    -0.07524
  • Upside SD
    0.16603
  • Downside SD
    0.04745
  • N nonnegative terms
    14.00000
  • N negative terms
    8.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    22.00000
  • Mean of predictor
    0.08597
  • Mean of criterion
    0.31711
  • SD of predictor
    0.06302
  • SD of criterion
    0.14987
  • Covariance
    0.00185
  • r
    0.19600
  • b (slope, estimate of beta)
    0.46607
  • a (intercept, estimate of alpha)
    0.27704
  • Mean Square Error
    0.02268
  • DF error
    20.00000
  • t(b)
    0.89386
  • p(b)
    0.40200
  • t(a)
    2.31039
  • p(a)
    0.27051
  • Lowerbound of 95% confidence interval for beta
    -0.62158
  • Upperbound of 95% confidence interval for beta
    1.55373
  • Lowerbound of 95% confidence interval for alpha
    0.02691
  • Upperbound of 95% confidence interval for alpha
    0.52717
  • Treynor index (mean / b)
    0.68039
  • Jensen alpha (a)
    0.27704
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.30220
  • SD
    0.14513
  • Sharpe ratio (Glass type estimate)
    2.08227
  • Sharpe ratio (Hedges UMVUE)
    2.00685
  • df
    21.00000
  • t
    2.81940
  • p
    0.18237
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.48440
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.63850
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.43723
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.57647
  • Statistics related to Sortino ratio
  • Sortino ratio
    6.26082
  • Upside Potential Ratio
    7.83979
  • Upside part of mean
    0.37841
  • Downside part of mean
    -0.07621
  • Upside SD
    0.15933
  • Downside SD
    0.04827
  • N nonnegative terms
    14.00000
  • N negative terms
    8.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    22.00000
  • Mean of predictor
    0.08358
  • Mean of criterion
    0.30220
  • SD of predictor
    0.06316
  • SD of criterion
    0.14513
  • Covariance
    0.00185
  • r
    0.20196
  • b (slope, estimate of beta)
    0.46410
  • a (intercept, estimate of alpha)
    0.26341
  • Mean Square Error
    0.02121
  • DF error
    20.00000
  • t(b)
    0.92221
  • p(b)
    0.39902
  • t(a)
    2.28062
  • p(a)
    0.27285
  • Lowerbound of 95% confidence interval for beta
    -0.58565
  • Upperbound of 95% confidence interval for beta
    1.51385
  • Lowerbound of 95% confidence interval for alpha
    0.02248
  • Upperbound of 95% confidence interval for alpha
    0.50434
  • Treynor index (mean / b)
    0.65115
  • Jensen alpha (a)
    0.26341
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.04279
  • Expected Shortfall on VaR
    0.05928
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01158
  • Expected Shortfall on VaR
    0.02458
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    22.00000
  • Minimum
    0.95313
  • Quartile 1
    0.99687
  • Median
    1.02457
  • Quartile 3
    1.06250
  • Maximum
    1.10350
  • Mean of quarter 1
    0.98030
  • Mean of quarter 2
    1.00908
  • Mean of quarter 3
    1.03738
  • Mean of quarter 4
    1.08642
  • Inter Quartile Range
    0.06563
  • 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)
    -0.33003
  • VaR(95%) (moments method)
    0.01367
  • Expected Shortfall (moments method)
    0.01738
  • Extreme Value Index (regression method)
    -0.19889
  • VaR(95%) (regression method)
    0.01716
  • Expected Shortfall (regression method)
    0.02278
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    7.00000
  • Minimum
    0.00055
  • Quartile 1
    0.00462
  • Median
    0.01893
  • Quartile 3
    0.02157
  • Maximum
    0.04743
  • Mean of quarter 1
    0.00227
  • Mean of quarter 2
    0.01209
  • Mean of quarter 3
    0.02145
  • Mean of quarter 4
    0.03456
  • Inter Quartile Range
    0.01695
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.14286
  • Mean of outliers high
    0.04743
  • 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)
    0.45360
  • Compounded annual return (geometric extrapolation)
    0.39112
  • Calmar ratio (compounded annual return / max draw down)
    8.24690
  • Compounded annual return / average of 25% largest draw downs
    11.31780
  • Compounded annual return / Expected Shortfall lognormal
    6.59725
  • 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
    0.28411
  • SD
    0.12544
  • Sharpe ratio (Glass type estimate)
    2.26483
  • Sharpe ratio (Hedges UMVUE)
    2.26141
  • df
    497.00000
  • t
    3.12248
  • p
    0.00095
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.83517
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.69232
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.83285
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.68996
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.72749
  • Upside Potential Ratio
    11.37810
  • Upside part of mean
    0.86724
  • Downside part of mean
    -0.58313
  • Upside SD
    0.10101
  • Downside SD
    0.07622
  • N nonnegative terms
    261.00000
  • N negative terms
    237.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    498.00000
  • Mean of predictor
    0.07735
  • Mean of criterion
    0.28411
  • SD of predictor
    0.11507
  • SD of criterion
    0.12544
  • Covariance
    0.00420
  • r
    0.29077
  • b (slope, estimate of beta)
    0.31699
  • a (intercept, estimate of alpha)
    0.26000
  • Mean Square Error
    0.01443
  • DF error
    496.00000
  • t(b)
    6.76829
  • p(b)
    0.00000
  • t(a)
    2.97626
  • p(a)
    0.00153
  • Lowerbound of 95% confidence interval for beta
    0.22498
  • Upperbound of 95% confidence interval for beta
    0.40901
  • Lowerbound of 95% confidence interval for alpha
    0.08822
  • Upperbound of 95% confidence interval for alpha
    0.43095
  • Treynor index (mean / b)
    0.89626
  • Jensen alpha (a)
    0.25959
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.27610
  • SD
    0.12524
  • Sharpe ratio (Glass type estimate)
    2.20448
  • Sharpe ratio (Hedges UMVUE)
    2.20115
  • df
    497.00000
  • t
    3.03928
  • p
    0.00125
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.77518
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.63161
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.77296
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.62934
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.59313
  • Upside Potential Ratio
    11.21950
  • Upside part of mean
    0.86210
  • Downside part of mean
    -0.58600
  • Upside SD
    0.10020
  • Downside SD
    0.07684
  • N nonnegative terms
    261.00000
  • N negative terms
    237.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    498.00000
  • Mean of predictor
    0.07069
  • Mean of criterion
    0.27610
  • SD of predictor
    0.11553
  • SD of criterion
    0.12524
  • Covariance
    0.00420
  • r
    0.29044
  • b (slope, estimate of beta)
    0.31487
  • a (intercept, estimate of alpha)
    0.25384
  • Mean Square Error
    0.01439
  • DF error
    496.00000
  • t(b)
    6.75980
  • p(b)
    0.00000
  • t(a)
    2.91510
  • p(a)
    0.00186
  • Lowerbound of 95% confidence interval for beta
    0.22335
  • Upperbound of 95% confidence interval for beta
    0.40639
  • Lowerbound of 95% confidence interval for alpha
    0.08275
  • Upperbound of 95% confidence interval for alpha
    0.42492
  • Treynor index (mean / b)
    0.87686
  • Jensen alpha (a)
    0.25384
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01161
  • Expected Shortfall on VaR
    0.01479
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00495
  • Expected Shortfall on VaR
    0.00992
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    498.00000
  • Minimum
    0.96283
  • Quartile 1
    0.99723
  • Median
    1.00039
  • Quartile 3
    1.00508
  • Maximum
    1.03340
  • Mean of quarter 1
    0.99241
  • Mean of quarter 2
    0.99894
  • Mean of quarter 3
    1.00240
  • Mean of quarter 4
    1.01100
  • Inter Quartile Range
    0.00785
  • Number outliers low
    13.00000
  • Percentage of outliers low
    0.02610
  • Mean of outliers low
    0.98043
  • Number of outliers high
    20.00000
  • Percentage of outliers high
    0.04016
  • Mean of outliers high
    1.02099
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.13981
  • VaR(95%) (moments method)
    0.00700
  • Expected Shortfall (moments method)
    0.01042
  • Extreme Value Index (regression method)
    0.06078
  • VaR(95%) (regression method)
    0.00738
  • Expected Shortfall (regression method)
    0.01058
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    39.00000
  • Minimum
    0.00011
  • Quartile 1
    0.00265
  • Median
    0.00820
  • Quartile 3
    0.01578
  • Maximum
    0.07291
  • Mean of quarter 1
    0.00117
  • Mean of quarter 2
    0.00480
  • Mean of quarter 3
    0.01253
  • Mean of quarter 4
    0.04635
  • Inter Quartile Range
    0.01312
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    6.00000
  • Percentage of outliers high
    0.15385
  • Mean of outliers high
    0.06280
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -0.52459
  • VaR(95%) (moments method)
    0.04234
  • Expected Shortfall (moments method)
    0.04967
  • Extreme Value Index (regression method)
    -1.65811
  • VaR(95%) (regression method)
    0.06079
  • Expected Shortfall (regression method)
    0.06287
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.41151
  • Compounded annual return (geometric extrapolation)
    0.35527
  • Calmar ratio (compounded annual return / max draw down)
    4.87249
  • Compounded annual return / average of 25% largest draw downs
    7.66445
  • Compounded annual return / Expected Shortfall lognormal
    24.01810
  • 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
    0.25545
  • SD
    0.11233
  • Sharpe ratio (Glass type estimate)
    2.27418
  • Sharpe ratio (Hedges UMVUE)
    2.26103
  • df
    130.00000
  • t
    1.60809
  • p
    0.43017
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.51562
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.05549
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.52436
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.04643
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.95852
  • Upside Potential Ratio
    11.60770
  • Upside part of mean
    0.74906
  • Downside part of mean
    -0.49361
  • Upside SD
    0.09277
  • Downside SD
    0.06453
  • N nonnegative terms
    70.00000
  • N negative terms
    61.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.02372
  • Mean of criterion
    0.25545
  • SD of predictor
    0.12866
  • SD of criterion
    0.11233
  • Covariance
    0.00593
  • r
    0.41025
  • b (slope, estimate of beta)
    0.35817
  • a (intercept, estimate of alpha)
    0.26395
  • Mean Square Error
    0.01057
  • DF error
    129.00000
  • t(b)
    5.10925
  • p(b)
    0.24635
  • t(a)
    1.81482
  • p(a)
    0.39997
  • Lowerbound of 95% confidence interval for beta
    0.21947
  • Upperbound of 95% confidence interval for beta
    0.49687
  • Lowerbound of 95% confidence interval for alpha
    -0.02381
  • Upperbound of 95% confidence interval for alpha
    0.55170
  • Treynor index (mean / b)
    0.71321
  • Jensen alpha (a)
    0.26395
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.24907
  • SD
    0.11193
  • Sharpe ratio (Glass type estimate)
    2.22528
  • Sharpe ratio (Hedges UMVUE)
    2.21241
  • df
    130.00000
  • t
    1.57351
  • p
    0.43165
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.56382
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.00601
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.57241
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.99723
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.83600
  • Upside Potential Ratio
    11.46980
  • Upside part of mean
    0.74473
  • Downside part of mean
    -0.49566
  • Upside SD
    0.09194
  • Downside SD
    0.06493
  • N nonnegative terms
    70.00000
  • N negative terms
    61.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.03197
  • Mean of criterion
    0.24907
  • SD of predictor
    0.12910
  • SD of criterion
    0.11193
  • Covariance
    0.00594
  • r
    0.41104
  • b (slope, estimate of beta)
    0.35637
  • a (intercept, estimate of alpha)
    0.26047
  • Mean Square Error
    0.01049
  • DF error
    129.00000
  • t(b)
    5.12108
  • p(b)
    0.24589
  • t(a)
    1.79785
  • p(a)
    0.40087
  • Lowerbound of 95% confidence interval for beta
    0.21869
  • Upperbound of 95% confidence interval for beta
    0.49405
  • Lowerbound of 95% confidence interval for alpha
    -0.02618
  • Upperbound of 95% confidence interval for alpha
    0.54711
  • Treynor index (mean / b)
    0.69891
  • Jensen alpha (a)
    0.26047
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01037
  • Expected Shortfall on VaR
    0.01322
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00413
  • Expected Shortfall on VaR
    0.00831
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.97961
  • Quartile 1
    0.99744
  • Median
    1.00025
  • Quartile 3
    1.00410
  • Maximum
    1.03340
  • Mean of quarter 1
    0.99347
  • Mean of quarter 2
    0.99927
  • Mean of quarter 3
    1.00183
  • Mean of quarter 4
    1.00977
  • Inter Quartile Range
    0.00666
  • Number outliers low
    3.00000
  • Percentage of outliers low
    0.02290
  • Mean of outliers low
    0.98227
  • Number of outliers high
    3.00000
  • Percentage of outliers high
    0.02290
  • Mean of outliers high
    1.02489
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.19668
  • VaR(95%) (moments method)
    0.00646
  • Expected Shortfall (moments method)
    0.00991
  • Extreme Value Index (regression method)
    0.03146
  • VaR(95%) (regression method)
    0.00663
  • Expected Shortfall (regression method)
    0.00924
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    17.00000
  • Minimum
    0.00011
  • Quartile 1
    0.00296
  • Median
    0.00820
  • Quartile 3
    0.01214
  • Maximum
    0.07209
  • Mean of quarter 1
    0.00128
  • Mean of quarter 2
    0.00646
  • Mean of quarter 3
    0.00974
  • Mean of quarter 4
    0.03247
  • Inter Quartile Range
    0.00918
  • 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
    0.05882
  • Mean of outliers high
    0.07209
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.41602
  • VaR(95%) (moments method)
    0.03277
  • Expected Shortfall (moments method)
    0.06372
  • Extreme Value Index (regression method)
    1.06968
  • VaR(95%) (regression method)
    0.04287
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.29707
  • Compounded annual return (geometric extrapolation)
    0.31914
  • Calmar ratio (compounded annual return / max draw down)
    4.42700
  • Compounded annual return / average of 25% largest draw downs
    9.82971
  • Compounded annual return / Expected Shortfall lognormal
    24.13790

Strategy Description

Stocks will be chosen on the basis of strong earnings, revenues, and superior chart analysis. We will use trailing stop loss limits to keep losses to a minimum and let profits run in an attempt to minimize draw-downs and maximize returns. We may also use Options or Index Futures to enhance our returns.

Summary Statistics

Strategy began
2016-12-10
Suggested Minimum Capital
$35,000
# Trades
1202
# Profitable
720
% Profitable
59.9%
Net Dividends
Correlation S&P500
0.291
Sharpe Ratio
2.261

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.

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