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

Trades-Own-Strategy Certification

This system has earned Trades-Own-Strategy (TOS) Certification. This means that the manager of this system trades his own strategy in a real-life, funded brokerage account.

Trades-Own-Strategy (TOS) Certification Details
Certification process started 08/07/2017
Most recent certification approved 8/7/17 10:10 ET
Trades at broker NinjaTrader Broker (CQG/Dorman)
Scaling percentage used 100%
# trading signals issued by system since certification 551
# trading signals executed in manager's NinjaTrader Broker (CQG/Dorman) account 551
Percent signals followed since 08/07/2017 100%
This information was last updated 11/13/18 17:43 ET

Warning: System trading results are still hypothetical.

Even though the system developer is currently trading his own system in a real-life brokerage account, the trading results presented on this Web site must still be regarded as purely hypothetical results. This is because (among other reasons) the system developer may not have traded all signals, particularly those that occurred before 08/07/2017, and the system developer's results may not match the system results presented here. In addition, not all subscribers have received the same trades or prices as the system manager has. For these reasons, and others, it is extremely important you remember the following:

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.

You may be interested to learn more technical details about how AGM - Access to Global Markets calculates the hypothetical results you see on this web site.

DRIVER Conservative
(112786719)

Created by: Quantraders Quantraders
Started: 07/2017
Futures
Last trade: 8 days ago
Trading style: Futures Trend-following Momentum

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 $99.00 per month.

Trading Category: Futures
Trend-following
Category: Equity

Trend-following

Buys when price goes up, and sells when price goes down, expecting price movements to continue. There are a number of different techniques and time-frames used, including moving averages and channel breakouts. Traders do not aim to forecast specific price levels; they simply jump on a trend and ride it. Typically, trend-following analysis is backward looking; that is, it attempts to recognize and profit from already-established trends.
Momentum
Category: Equity

Momentum

Aims to capitalize on the continuance of existing trends in the market. Trader takes a long position in an asset in an upward trend, and short-sells a security that has been in a downward trend. While similar to Trend-following, tends to be more forward-looking (predicting oncoming trend), while Momentum is more backward-looking (observing already-established price direction).
31.3%
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.

(10.1%)
Max Drawdown
229
Num Trades
49.3%
Win Trades
1.6 : 1
Profit Factor
58.8%
Win Months
Hypothetical Monthly Returns (includes system fee and Interactive Brokers commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2017                                          (0.3%)+10.0%(0.9%)+7.3%+0.7%+1.8%+19.6%
2018+10.1%+4.7%+7.2%(3.1%)(3.1%)(1.7%)+3.6%+0.9%(0.7%)(0.9%)+1.9%      +19.5%

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 168 hours.

Trading Record

This strategy has placed 549 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
11/5/18 14:50 @ESZ8 E-MINI S&P 500 LONG 1 2741.96 11/5 15:40 2737.08 0.65%
Trade id #120739769
Max drawdown($485)
Time11/5/18 15:26
Quant open1
Worst price2732.25
Drawdown as % of equity-0.65%
($248)
Includes Typical Broker Commissions trade costs of $4.02
11/5/18 14:20 @YMZ8 MINI DOW LONG 1 25421 11/5 15:40 25419 0.34%
Trade id #120738561
Max drawdown($256)
Time11/5/18 15:26
Quant open1
Worst price25370
Drawdown as % of equity-0.34%
($17)
Includes Typical Broker Commissions trade costs of $4.02
11/2/18 9:50 @YMZ8 MINI DOW LONG 1 25529 11/2 10:06 25426 0.71%
Trade id #120694145
Max drawdown($533)
Time11/2/18 10:06
Quant open1
Worst price25422
Drawdown as % of equity-0.71%
($515)
Includes Typical Broker Commissions trade costs of $4.02
11/1/18 11:20 @NQZ8 E-MINI NASDAQ 100 STK IDX LONG 1 7030.17 11/1 15:40 7063.25 0.39%
Trade id #120669518
Max drawdown($288)
Time11/1/18 12:20
Quant open1
Worst price7015.75
Drawdown as % of equity-0.39%
$658
Includes Typical Broker Commissions trade costs of $4.02
11/1/18 11:00 @ESZ8 E-MINI S&P 500 LONG 1 2731.25 11/1 15:40 2736.33 0.46%
Trade id #120668225
Max drawdown($337)
Time11/1/18 11:04
Quant open1
Worst price2724.50
Drawdown as % of equity-0.46%
$250
Includes Typical Broker Commissions trade costs of $4.02
11/1/18 11:00 @YMZ8 MINI DOW LONG 1 25277 11/1 15:40 25309 0.44%
Trade id #120668229
Max drawdown($327)
Time11/1/18 11:04
Quant open1
Worst price25212
Drawdown as % of equity-0.44%
$155
Includes Typical Broker Commissions trade costs of $4.02
10/31/18 10:20 @YMZ8 MINI DOW LONG 1 25152 10/31 15:40 25153 0.64%
Trade id #120641410
Max drawdown($465)
Time10/31/18 12:06
Quant open1
Worst price25059
Drawdown as % of equity-0.64%
$2
Includes Typical Broker Commissions trade costs of $4.02
10/31/18 10:00 @ESZ8 E-MINI S&P 500 LONG 1 2720.39 10/31 15:30 2728.79 0.83%
Trade id #120640754
Max drawdown($607)
Time10/31/18 12:06
Quant open1
Worst price2708.25
Drawdown as % of equity-0.83%
$416
Includes Typical Broker Commissions trade costs of $4.02
10/31/18 10:00 @NQZ8 E-MINI NASDAQ 100 STK IDX LONG 1 6985.11 10/31 12:04 6939.08 1.24%
Trade id #120640691
Max drawdown($920)
Time10/31/18 12:04
Quant open0
Worst price6939.08
Drawdown as % of equity-1.24%
($924)
Includes Typical Broker Commissions trade costs of $4.02
10/29/18 10:04 @ESZ8 E-MINI S&P 500 LONG 1 2706.21 10/29 11:58 2680.36 1.73%
Trade id #120594987
Max drawdown($1,293)
Time10/29/18 11:58
Quant open0
Worst price2680.36
Drawdown as % of equity-1.73%
($1,297)
Includes Typical Broker Commissions trade costs of $4.02
10/29/18 10:30 @YMZ8 MINI DOW LONG 1 24974 10/29 11:56 24797 1.16%
Trade id #120595744
Max drawdown($889)
Time10/29/18 11:56
Quant open0
Worst price24797
Drawdown as % of equity-1.16%
($893)
Includes Typical Broker Commissions trade costs of $4.02
10/25/18 10:01 @ESZ8 E-MINI S&P 500 LONG 2 2689.60 10/25 13:40 2705.43 0.89%
Trade id #120537845
Max drawdown($660)
Time10/25/18 10:23
Quant open2
Worst price2683.00
Drawdown as % of equity-0.89%
$1,575
Includes Typical Broker Commissions trade costs of $8.04
10/25/18 10:00 @NQZ8 E-MINI NASDAQ 100 STK IDX LONG 2 6952.75 10/25 13:40 7003.02 0.94%
Trade id #120537750
Max drawdown($700)
Time10/25/18 10:23
Quant open2
Worst price6935.25
Drawdown as % of equity-0.94%
$2,003
Includes Typical Broker Commissions trade costs of $8.04
10/25/18 10:30 @YMZ8 MINI DOW LONG 2 24832 10/25 13:40 24955 0.91%
Trade id #120538997
Max drawdown($665)
Time10/25/18 11:14
Quant open2
Worst price24765
Drawdown as % of equity-0.91%
$1,223
Includes Typical Broker Commissions trade costs of $8.04
10/22/18 10:50 @NQZ8 E-MINI NASDAQ 100 STK IDX LONG 2 7197.19 10/22 11:40 7162.20 1.9%
Trade id #120468614
Max drawdown($1,400)
Time10/22/18 11:40
Quant open1
Worst price7162.25
Drawdown as % of equity-1.90%
($1,408)
Includes Typical Broker Commissions trade costs of $8.04
10/19/18 9:40 @NQZ8 E-MINI NASDAQ 100 STK IDX LONG 2 7214.15 10/19 11:29 7183.95 1.61%
Trade id #120438470
Max drawdown($1,208)
Time10/19/18 11:29
Quant open1
Worst price7184.12
Drawdown as % of equity-1.61%
($1,216)
Includes Typical Broker Commissions trade costs of $8.04
10/16/18 10:10 @YMZ8 MINI DOW LONG 1 25515 10/16 14:59 25681 0.55%
Trade id #120379278
Max drawdown($398)
Time10/16/18 10:34
Quant open1
Worst price25435
Drawdown as % of equity-0.55%
$827
Includes Typical Broker Commissions trade costs of $4.02
10/16/18 10:00 @ESZ8 E-MINI S&P 500 LONG 1 2778.06 10/16 14:58 2803.94 0.25%
Trade id #120378782
Max drawdown($177)
Time10/16/18 10:34
Quant open1
Worst price2774.50
Drawdown as % of equity-0.25%
$1,290
Includes Typical Broker Commissions trade costs of $4.02
10/16/18 10:00 @NQZ8 E-MINI NASDAQ 100 STK IDX LONG 1 7189.69 10/16 10:30 7153.89 0.98%
Trade id #120378780
Max drawdown($716)
Time10/16/18 10:30
Quant open0
Worst price7153.89
Drawdown as % of equity-0.98%
($720)
Includes Typical Broker Commissions trade costs of $4.02
10/3/18 10:10 @YMZ8 MINI DOW LONG 1 26935 10/3 11:40 26898 0.32%
Trade id #120159966
Max drawdown($232)
Time10/3/18 11:36
Quant open1
Worst price26889
Drawdown as % of equity-0.32%
($194)
Includes Typical Broker Commissions trade costs of $4.02
10/3/18 10:20 @NQZ8 E-MINI NASDAQ 100 STK IDX LONG 1 7698.96 10/3 11:00 7676.40 0.73%
Trade id #120160283
Max drawdown($539)
Time10/3/18 10:56
Quant open1
Worst price7672.00
Drawdown as % of equity-0.73%
($455)
Includes Typical Broker Commissions trade costs of $4.02
10/3/18 9:40 @ESZ8 E-MINI S&P 500 LONG 1 2940.54 10/3 9:52 2937.96 0.19%
Trade id #120158561
Max drawdown($139)
Time10/3/18 9:43
Quant open1
Worst price2937.75
Drawdown as % of equity-0.19%
($133)
Includes Typical Broker Commissions trade costs of $4.02
10/2/18 12:00 @YMZ8 MINI DOW LONG 1 26793 10/2 15:20 26744 0.35%
Trade id #120138153
Max drawdown($260)
Time10/2/18 15:20
Quant open1
Worst price26741
Drawdown as % of equity-0.35%
($252)
Includes Typical Broker Commissions trade costs of $4.02
10/1/18 9:30 @ESZ8 E-MINI S&P 500 LONG 1 2934.04 10/1 12:22 2932.33 0.11%
Trade id #120114439
Max drawdown($85)
Time10/1/18 12:22
Quant open0
Worst price2932.33
Drawdown as % of equity-0.11%
($89)
Includes Typical Broker Commissions trade costs of $4.02
10/1/18 9:50 @YMZ8 MINI DOW LONG 1 26688 10/1 12:10 26714 0.06%
Trade id #120115555
Max drawdown($48)
Time10/1/18 9:53
Quant open1
Worst price26678
Drawdown as % of equity-0.06%
$128
Includes Typical Broker Commissions trade costs of $4.02
10/1/18 9:40 @NQZ8 E-MINI NASDAQ 100 STK IDX LONG 1 7720.39 10/1 12:10 7706.45 0.51%
Trade id #120115200
Max drawdown($382)
Time10/1/18 11:58
Quant open1
Worst price7701.25
Drawdown as % of equity-0.51%
($283)
Includes Typical Broker Commissions trade costs of $4.02
9/27/18 9:50 @NQZ8 E-MINI NASDAQ 100 STK IDX LONG 1 7652.42 9/27 15:40 7655.95 0.14%
Trade id #120063703
Max drawdown($103)
Time9/27/18 9:52
Quant open1
Worst price7647.25
Drawdown as % of equity-0.14%
$67
Includes Typical Broker Commissions trade costs of $4.02
9/27/18 10:00 @ESZ8 E-MINI S&P 500 LONG 1 2921.50 9/27 14:05 2924.77 n/a $160
Includes Typical Broker Commissions trade costs of $4.02
9/26/18 11:20 @NQZ8 E-MINI NASDAQ 100 STK IDX LONG 1 7635.23 9/26 13:48 7627.15 0.24%
Trade id #120045187
Max drawdown($179)
Time9/26/18 12:42
Quant open1
Worst price7626.25
Drawdown as % of equity-0.24%
($166)
Includes Typical Broker Commissions trade costs of $4.02
9/20/18 9:50 @NQZ8 E-MINI NASDAQ 100 STK IDX LONG 1 7580.31 9/20 15:40 7607.15 0.44%
Trade id #119945992
Max drawdown($326)
Time9/20/18 9:54
Quant open1
Worst price7564.00
Drawdown as % of equity-0.44%
$533
Includes Typical Broker Commissions trade costs of $4.02

Statistics

  • Strategy began
    7/26/2017
  • Suggested Minimum Cap
    $70,000
  • Strategy Age (days)
    475.38
  • Age
    16 months ago
  • What it trades
    Futures
  • # Trades
    229
  • # Profitable
    113
  • % Profitable
    49.30%
  • Avg trade duration
    3.3 hours
  • Max peak-to-valley drawdown
    10.08%
  • drawdown period
    March 29, 2018 - July 06, 2018
  • Annual Return (Compounded)
    32.0%
  • Avg win
    $587.42
  • Avg loss
    $350.13
  • Model Account Values (Raw)
  • Cash
    $75,763
  • Margin Used
    $0
  • Buying Power
    $75,763
  • Ratios
  • W:L ratio
    1.63:1
  • Sharpe Ratio
    2.418
  • Sortino Ratio
    5.573
  • Calmar Ratio
    4.891
  • CORRELATION STATISTICS
  • Correlation to SP500
    0.16200
  • Return Statistics
  • Ann Return (w trading costs)
    32.0%
  • Ann Return (Compnd, No Fees)
    37.5%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    0.50%
  • Chance of 20% account loss
    n/a
  • Chance of 30% account loss
    n/a
  • Chance of 40% account loss
    n/a
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    707
  • Popularity (Last 6 weeks)
    967
  • C2 Score
    92.7
  • Trades-Own-System Certification
  • Trades Own System?
    184329
  • TOS percent
    100%
  • Subscription Price
  • Billing Period (days)
    30
  • Trial Days
    0
  • Win / Loss
  • Avg Loss
    $350
  • Avg Win
    $587
  • # Winners
    113
  • # Losers
    116
  • % Winners
    49.3%
  • Frequency
  • Avg Position Time (mins)
    195.20
  • Avg Position Time (hrs)
    3.25
  • Avg Trade Length
    0.1 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
    0.30673
  • SD
    0.14013
  • Sharpe ratio (Glass type estimate)
    2.18899
  • Sharpe ratio (Hedges UMVUE)
    2.06923
  • df
    14.00000
  • t
    2.44737
  • p
    0.22631
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.22870
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.08530
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.15596
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.98250
  • Statistics related to Sortino ratio
  • Sortino ratio
    7.57197
  • Upside Potential Ratio
    9.22727
  • Upside part of mean
    0.37379
  • Downside part of mean
    -0.06706
  • Upside SD
    0.15661
  • Downside SD
    0.04051
  • N nonnegative terms
    11.00000
  • N negative terms
    4.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    15.00000
  • Mean of predictor
    0.06007
  • Mean of criterion
    0.30673
  • SD of predictor
    0.12326
  • SD of criterion
    0.14013
  • Covariance
    -0.00095
  • r
    -0.05502
  • b (slope, estimate of beta)
    -0.06254
  • a (intercept, estimate of alpha)
    0.31049
  • Mean Square Error
    0.02108
  • DF error
    13.00000
  • t(b)
    -0.19867
  • p(b)
    0.53501
  • t(a)
    2.36590
  • p(a)
    0.16915
  • Lowerbound of 95% confidence interval for beta
    -0.74266
  • Upperbound of 95% confidence interval for beta
    0.61758
  • Lowerbound of 95% confidence interval for alpha
    0.02697
  • Upperbound of 95% confidence interval for alpha
    0.59401
  • Treynor index (mean / b)
    -4.90437
  • Jensen alpha (a)
    0.31049
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.29357
  • SD
    0.13564
  • Sharpe ratio (Glass type estimate)
    2.16434
  • Sharpe ratio (Hedges UMVUE)
    2.04592
  • df
    14.00000
  • t
    2.41980
  • p
    0.22848
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.20798
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.05708
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.13609
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.95575
  • Statistics related to Sortino ratio
  • Sortino ratio
    7.16657
  • Upside Potential Ratio
    8.82000
  • Upside part of mean
    0.36130
  • Downside part of mean
    -0.06773
  • Upside SD
    0.15058
  • Downside SD
    0.04096
  • N nonnegative terms
    11.00000
  • N negative terms
    4.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    15.00000
  • Mean of predictor
    0.05266
  • Mean of criterion
    0.29357
  • SD of predictor
    0.12411
  • SD of criterion
    0.13564
  • Covariance
    -0.00113
  • r
    -0.06715
  • b (slope, estimate of beta)
    -0.07338
  • a (intercept, estimate of alpha)
    0.29744
  • Mean Square Error
    0.01972
  • DF error
    13.00000
  • t(b)
    -0.24265
  • p(b)
    0.54271
  • t(a)
    2.34901
  • p(a)
    0.17061
  • Lowerbound of 95% confidence interval for beta
    -0.72675
  • Upperbound of 95% confidence interval for beta
    0.57998
  • Lowerbound of 95% confidence interval for alpha
    0.02389
  • Upperbound of 95% confidence interval for alpha
    0.57098
  • Treynor index (mean / b)
    -4.00046
  • Jensen alpha (a)
    0.29744
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.03915
  • Expected Shortfall on VaR
    0.05465
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00826
  • Expected Shortfall on VaR
    0.01833
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    15.00000
  • Minimum
    0.97279
  • Quartile 1
    0.99922
  • Median
    1.01988
  • Quartile 3
    1.06081
  • Maximum
    1.10257
  • Mean of quarter 1
    0.98137
  • Mean of quarter 2
    1.01250
  • Mean of quarter 3
    1.03815
  • Mean of quarter 4
    1.08209
  • Inter Quartile Range
    0.06159
  • 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)
    -4.69819
  • VaR(95%) (moments method)
    0.01652
  • Expected Shortfall (moments method)
    0.01653
  • Extreme Value Index (regression method)
    -3.31753
  • VaR(95%) (regression method)
    0.03607
  • Expected Shortfall (regression method)
    0.03617
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    1.00000
  • Minimum
    0.06605
  • Quartile 1
    0.06605
  • Median
    0.06605
  • Quartile 3
    0.06605
  • Maximum
    0.06605
  • 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)
    0.39567
  • Compounded annual return (geometric extrapolation)
    0.37916
  • Calmar ratio (compounded annual return / max draw down)
    5.74052
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    6.93828
  • 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
    0.30761
  • SD
    0.12692
  • Sharpe ratio (Glass type estimate)
    2.42365
  • Sharpe ratio (Hedges UMVUE)
    2.41822
  • df
    335.00000
  • t
    2.74466
  • p
    0.00319
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.68147
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.16233
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.67783
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.15861
  • Statistics related to Sortino ratio
  • Sortino ratio
    5.57310
  • Upside Potential Ratio
    12.29140
  • Upside part of mean
    0.67842
  • Downside part of mean
    -0.37081
  • Upside SD
    0.11565
  • Downside SD
    0.05519
  • N nonnegative terms
    89.00000
  • N negative terms
    247.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    336.00000
  • Mean of predictor
    0.05408
  • Mean of criterion
    0.30761
  • SD of predictor
    0.13129
  • SD of criterion
    0.12692
  • Covariance
    0.00269
  • r
    0.16113
  • b (slope, estimate of beta)
    0.15576
  • a (intercept, estimate of alpha)
    0.29900
  • Mean Square Error
    0.01574
  • DF error
    334.00000
  • t(b)
    2.98381
  • p(b)
    0.00153
  • t(a)
    2.69992
  • p(a)
    0.00364
  • Lowerbound of 95% confidence interval for beta
    0.05308
  • Upperbound of 95% confidence interval for beta
    0.25845
  • Lowerbound of 95% confidence interval for alpha
    0.08121
  • Upperbound of 95% confidence interval for alpha
    0.51716
  • Treynor index (mean / b)
    1.97482
  • Jensen alpha (a)
    0.29918
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.29947
  • SD
    0.12573
  • Sharpe ratio (Glass type estimate)
    2.38189
  • Sharpe ratio (Hedges UMVUE)
    2.37656
  • df
    335.00000
  • t
    2.69738
  • p
    0.00367
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.64009
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.12024
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.63650
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.11662
  • Statistics related to Sortino ratio
  • Sortino ratio
    5.39156
  • Upside Potential Ratio
    12.09450
  • Upside part of mean
    0.67178
  • Downside part of mean
    -0.37231
  • Upside SD
    0.11409
  • Downside SD
    0.05554
  • N nonnegative terms
    89.00000
  • N negative terms
    247.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    336.00000
  • Mean of predictor
    0.04543
  • Mean of criterion
    0.29947
  • SD of predictor
    0.13187
  • SD of criterion
    0.12573
  • Covariance
    0.00264
  • r
    0.15938
  • b (slope, estimate of beta)
    0.15196
  • a (intercept, estimate of alpha)
    0.29257
  • Mean Square Error
    0.01545
  • DF error
    334.00000
  • t(b)
    2.95058
  • p(b)
    0.00170
  • t(a)
    2.66473
  • p(a)
    0.00404
  • Lowerbound of 95% confidence interval for beta
    0.05065
  • Upperbound of 95% confidence interval for beta
    0.25326
  • Lowerbound of 95% confidence interval for alpha
    0.07659
  • Upperbound of 95% confidence interval for alpha
    0.50854
  • Treynor index (mean / b)
    1.97077
  • Jensen alpha (a)
    0.29257
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01157
  • Expected Shortfall on VaR
    0.01476
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00410
  • Expected Shortfall on VaR
    0.00820
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    336.00000
  • Minimum
    0.97627
  • Quartile 1
    0.99881
  • Median
    1.00000
  • Quartile 3
    1.00045
  • Maximum
    1.04483
  • Mean of quarter 1
    0.99475
  • Mean of quarter 2
    0.99990
  • Mean of quarter 3
    1.00002
  • Mean of quarter 4
    1.01045
  • Inter Quartile Range
    0.00164
  • Number outliers low
    47.00000
  • Percentage of outliers low
    0.13988
  • Mean of outliers low
    0.99249
  • Number of outliers high
    68.00000
  • Percentage of outliers high
    0.20238
  • Mean of outliers high
    1.01262
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.01760
  • VaR(95%) (moments method)
    0.00366
  • Expected Shortfall (moments method)
    0.00524
  • Extreme Value Index (regression method)
    0.08855
  • VaR(95%) (regression method)
    0.00504
  • Expected Shortfall (regression method)
    0.00784
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    9.00000
  • Minimum
    0.00303
  • Quartile 1
    0.00699
  • Median
    0.02188
  • Quartile 3
    0.03183
  • Maximum
    0.07919
  • Mean of quarter 1
    0.00479
  • Mean of quarter 2
    0.02022
  • Mean of quarter 3
    0.03129
  • Mean of quarter 4
    0.05597
  • Inter Quartile Range
    0.02484
  • 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
    0.11111
  • Mean of outliers high
    0.07919
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.40434
  • VaR(95%) (moments method)
    0.06244
  • Expected Shortfall (moments method)
    0.10833
  • Extreme Value Index (regression method)
    4.68477
  • VaR(95%) (regression method)
    0.28682
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.40682
  • Compounded annual return (geometric extrapolation)
    0.38732
  • Calmar ratio (compounded annual return / max draw down)
    4.89082
  • Compounded annual return / average of 25% largest draw downs
    6.92080
  • Compounded annual return / Expected Shortfall lognormal
    26.23290
  • 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
    0.03606
  • SD
    0.11104
  • Sharpe ratio (Glass type estimate)
    0.32478
  • Sharpe ratio (Hedges UMVUE)
    0.32290
  • df
    130.00000
  • t
    0.22965
  • p
    0.48993
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.44791
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.09626
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.44918
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.09499
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.55600
  • Upside Potential Ratio
    8.20886
  • Upside part of mean
    0.53244
  • Downside part of mean
    -0.49637
  • Upside SD
    0.08963
  • Downside SD
    0.06486
  • N nonnegative terms
    40.00000
  • N negative terms
    91.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.02550
  • Mean of criterion
    0.03606
  • SD of predictor
    0.12860
  • SD of criterion
    0.11104
  • Covariance
    0.00137
  • r
    0.09610
  • b (slope, estimate of beta)
    0.08298
  • a (intercept, estimate of alpha)
    0.03818
  • Mean Square Error
    0.01231
  • DF error
    129.00000
  • t(b)
    1.09659
  • p(b)
    0.43891
  • t(a)
    0.24330
  • p(a)
    0.48637
  • Lowerbound of 95% confidence interval for beta
    -0.06673
  • Upperbound of 95% confidence interval for beta
    0.23269
  • Lowerbound of 95% confidence interval for alpha
    -0.27230
  • Upperbound of 95% confidence interval for alpha
    0.34865
  • Treynor index (mean / b)
    0.43461
  • Jensen alpha (a)
    0.03818
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.02998
  • SD
    0.11043
  • Sharpe ratio (Glass type estimate)
    0.27152
  • Sharpe ratio (Hedges UMVUE)
    0.26995
  • df
    130.00000
  • t
    0.19199
  • p
    0.49158
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.50097
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.04304
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.50205
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.04195
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.45960
  • Upside Potential Ratio
    8.09968
  • Upside part of mean
    0.52842
  • Downside part of mean
    -0.49844
  • Upside SD
    0.08860
  • Downside SD
    0.06524
  • N nonnegative terms
    40.00000
  • N negative terms
    91.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.03374
  • Mean of criterion
    0.02998
  • SD of predictor
    0.12904
  • SD of criterion
    0.11043
  • Covariance
    0.00134
  • r
    0.09419
  • b (slope, estimate of beta)
    0.08060
  • a (intercept, estimate of alpha)
    0.03270
  • Mean Square Error
    0.01218
  • DF error
    129.00000
  • t(b)
    1.07452
  • p(b)
    0.44013
  • t(a)
    0.20950
  • p(a)
    0.48826
  • Lowerbound of 95% confidence interval for beta
    -0.06781
  • Upperbound of 95% confidence interval for beta
    0.22902
  • Lowerbound of 95% confidence interval for alpha
    -0.27615
  • Upperbound of 95% confidence interval for alpha
    0.34156
  • Treynor index (mean / b)
    0.37200
  • Jensen alpha (a)
    0.03270
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01105
  • Expected Shortfall on VaR
    0.01386
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00532
  • Expected Shortfall on VaR
    0.01015
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.98208
  • Quartile 1
    0.99757
  • Median
    1.00000
  • Quartile 3
    1.00060
  • Maximum
    1.03596
  • Mean of quarter 1
    0.99341
  • Mean of quarter 2
    0.99936
  • Mean of quarter 3
    1.00008
  • Mean of quarter 4
    1.00812
  • Inter Quartile Range
    0.00304
  • Number outliers low
    12.00000
  • Percentage of outliers low
    0.09160
  • Mean of outliers low
    0.98886
  • Number of outliers high
    19.00000
  • Percentage of outliers high
    0.14504
  • Mean of outliers high
    1.01183
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.30277
  • VaR(95%) (moments method)
    0.00660
  • Expected Shortfall (moments method)
    0.01135
  • Extreme Value Index (regression method)
    0.04237
  • VaR(95%) (regression method)
    0.00624
  • Expected Shortfall (regression method)
    0.00880
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    5.00000
  • Minimum
    0.00623
  • Quartile 1
    0.01168
  • Median
    0.03183
  • Quartile 3
    0.03606
  • Maximum
    0.05093
  • Mean of quarter 1
    0.00896
  • Mean of quarter 2
    0.03183
  • Mean of quarter 3
    0.03606
  • Mean of quarter 4
    0.05093
  • Inter Quartile Range
    0.02438
  • 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)
    0.05874
  • Compounded annual return (geometric extrapolation)
    0.05960
  • Calmar ratio (compounded annual return / max draw down)
    1.17023
  • Compounded annual return / average of 25% largest draw downs
    1.17023
  • Compounded annual return / Expected Shortfall lognormal
    4.30064

Strategy Description

Recommended capital $ 30,000

Smart Bull Portfolio trades major US indices such as ES, NQ, YM ...
It is an intraday trading system that consists of trading different time frames and different input conditions.
Smart Bull is a simple, proven trend system based on strong fundamental logic.
Smart Bull is based on simplicity and the associated robustness of the system (idea first).

Summary Statistics

Strategy began
2017-07-26
Suggested Minimum Capital
$70,000
# Trades
229
# Profitable
113
% Profitable
49.3%
Correlation S&P500
0.162
Sharpe Ratio
2.418

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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