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AI Algorthims 13
(114100880)

Created by: KevinSingh KevinSingh
Started: 10/2017
Forex
Last trade: Today
Trading style: Futures Short Term Currencies

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 $39.00 per month.

Trading Category: Futures
Short Term
Category: Equity

Short Term

Makes short-term trades or bases analysis on short-term market movements.
Currencies
Category: Equity

Currencies

Focuses on currency futures.
145.9%
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.

(69.2%)
Max Drawdown
500
Num Trades
61.2%
Win Trades
1.3 : 1
Profit Factor
75.0%
Win Months
Hypothetical Monthly Returns (includes system fee and Interactive Brokers commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2017                                                               (5.3%)+55.8%+27.0%+87.4%
2018+9.2%+9.1%(28.3%)(4.3%)+24.2%+12.5%+24.9%+2.5%+12.6%(36.2%)+3.9%+56.3%+70.4%
2019+0.6%                                                                  +0.6%

Model Account Details

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

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

Trading Record

This strategy has placed 1,011 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
1/16/19 22:02 EUR/CHF EUR/CHF SHORT 15 1.12881 1/21 4:42 1.13414 2.34%
Trade id #122021762
Max drawdown($802)
Time1/21/19 4:42
Quant open0
Worst price1.13414
Drawdown as % of equity-2.34%
($808)
Includes Typical Broker Commissions trade costs of $6.00
1/17/19 6:37 EUR/USD EUR/USD LONG 15 1.14046 1/18 10:05 1.13678 1.56%
Trade id #122025309
Max drawdown($551)
Time1/18/19 10:05
Quant open0
Worst price1.13679
Drawdown as % of equity-1.56%
($557)
Includes Typical Broker Commissions trade costs of $6.00
1/15/19 12:59 USD/CAD USD/CAD LONG 15 1.32820 1/17 11:12 1.32955 1.46%
Trade id #121988626
Max drawdown($526)
Time1/16/19 10:09
Quant open15
Worst price1.32353
Drawdown as % of equity-1.46%
$147
Includes Typical Broker Commissions trade costs of $6.00
1/16/19 12:22 USD/JPY USD/JPY SHORT 15 108.830 1/16 15:28 109.161 1.29%
Trade id #122012261
Max drawdown($456)
Time1/16/19 15:28
Quant open0
Worst price109.161
Drawdown as % of equity-1.29%
($462)
Includes Typical Broker Commissions trade costs of $6.00
10/4/18 19:45 USD/TRY USD/TRY LONG 15 6.19080 1/16/19 11:53 5.44607 58.68%
Trade id #120192465
Max drawdown($20,899)
Time1/16/19 11:53
Quant open8
Worst price5.34640
Drawdown as % of equity-58.68%
($20,908)
Includes Typical Broker Commissions trade costs of $9.00
1/15/19 11:26 AUD/JPY AUD/JPY SHORT 15 78.081 1/16 6:38 78.053 0.85%
Trade id #121984700
Max drawdown($313)
Time1/16/19 3:02
Quant open-15
Worst price78.308
Drawdown as % of equity-0.85%
$32
Includes Typical Broker Commissions trade costs of $6.00
1/8/19 19:57 USD/JPY USD/JPY SHORT 15 108.729 1/15 0:21 108.328 1.01%
Trade id #121858365
Max drawdown($379)
Time1/8/19 21:43
Quant open-15
Worst price109.004
Drawdown as % of equity-1.01%
$544
Includes Typical Broker Commissions trade costs of $9.00
1/14/19 21:38 AUD/JPY AUD/JPY SHORT 15 78.190 1/15 0:17 78.404 0.77%
Trade id #121969323
Max drawdown($296)
Time1/15/19 0:17
Quant open0
Worst price78.404
Drawdown as % of equity-0.77%
($302)
Includes Typical Broker Commissions trade costs of $6.00
1/14/19 6:33 EUR/USD EUR/USD LONG 10 1.14680 1/14 12:38 1.14768 0.37%
Trade id #121945896
Max drawdown($146)
Time1/14/19 6:56
Quant open10
Worst price1.14534
Drawdown as % of equity-0.37%
$84
Includes Typical Broker Commissions trade costs of $4.00
1/14/19 6:29 AUD/JPY AUD/JPY LONG 15 77.716 1/14 10:52 77.938 0.1%
Trade id #121945817
Max drawdown($40)
Time1/14/19 8:14
Quant open15
Worst price77.687
Drawdown as % of equity-0.10%
$302
Includes Typical Broker Commissions trade costs of $6.00
1/11/19 11:02 NZD/CHF NZD/CHF SHORT 15 0.67005 1/11 13:44 0.67220 0.85%
Trade id #121921674
Max drawdown($327)
Time1/11/19 13:44
Quant open0
Worst price0.67220
Drawdown as % of equity-0.85%
($333)
Includes Typical Broker Commissions trade costs of $6.00
1/11/19 9:08 EUR/USD EUR/USD SHORT 15 1.15067 1/11 10:29 1.14711 0.13%
Trade id #121916616
Max drawdown($51)
Time1/11/19 9:10
Quant open-15
Worst price1.15101
Drawdown as % of equity-0.13%
$528
Includes Typical Broker Commissions trade costs of $6.00
1/11/19 0:09 EUR/GBP EUR/GBP LONG 15 0.90316 1/11 5:53 0.90000 1.6%
Trade id #121910666
Max drawdown($608)
Time1/11/19 5:53
Quant open0
Worst price0.90000
Drawdown as % of equity-1.60%
($614)
Includes Typical Broker Commissions trade costs of $6.00
1/10/19 10:25 NZD/USD NZD/USD SHORT 15 0.67853 1/10 23:15 0.68102 0.98%
Trade id #121897124
Max drawdown($374)
Time1/10/19 23:15
Quant open0
Worst price0.68102
Drawdown as % of equity-0.98%
($380)
Includes Typical Broker Commissions trade costs of $6.00
1/10/19 0:39 NZD/CHF NZD/CHF LONG 15 0.66008 1/10 13:41 0.66536 0.13%
Trade id #121889051
Max drawdown($50)
Time1/10/19 1:10
Quant open15
Worst price0.65975
Drawdown as % of equity-0.13%
$798
Includes Typical Broker Commissions trade costs of $7.00
1/10/19 6:01 GBP/JPY GBP/JPY SHORT 15 137.894 1/10 6:35 137.498 0.3%
Trade id #121890932
Max drawdown($113)
Time1/10/19 6:12
Quant open-15
Worst price137.976
Drawdown as % of equity-0.30%
$545
Includes Typical Broker Commissions trade costs of $6.00
1/8/19 22:33 EUR/NZD EUR/NZD SHORT 15 1.69697 1/9 20:40 1.69718 0.98%
Trade id #121859826
Max drawdown($375)
Time1/9/19 20:26
Quant open-8
Worst price1.70390
Drawdown as % of equity-0.98%
($29)
Includes Typical Broker Commissions trade costs of $7.00
1/8/19 2:01 EUR/CHF EUR/CHF LONG 15 1.12203 1/9 8:55 1.12224 0.03%
Trade id #121835017
Max drawdown($10)
Time1/8/19 2:40
Quant open15
Worst price1.12196
Drawdown as % of equity-0.03%
$26
Includes Typical Broker Commissions trade costs of $6.00
1/8/19 15:35 USD/CHF USD/CHF LONG 20 0.98188 1/9 8:55 0.97898 1.52%
Trade id #121855253
Max drawdown($592)
Time1/9/19 8:55
Quant open0
Worst price0.97898
Drawdown as % of equity-1.52%
($600)
Includes Typical Broker Commissions trade costs of $8.00
1/7/19 22:21 EUR/AUD EUR/AUD SHORT 15 1.60349 1/9 2:05 1.60342 1.22%
Trade id #121833849
Max drawdown($436)
Time1/8/19 2:51
Quant open-15
Worst price1.60756
Drawdown as % of equity-1.22%
$2
Includes Typical Broker Commissions trade costs of $6.00
1/8/19 10:09 GBP/AUD GBP/AUD SHORT 15 1.78355 1/8 23:02 1.77890 1.19%
Trade id #121842458
Max drawdown($445)
Time1/8/19 10:54
Quant open-15
Worst price1.78770
Drawdown as % of equity-1.19%
$493
Includes Typical Broker Commissions trade costs of $6.00
1/6/19 21:47 EUR/GBP EUR/GBP LONG 15 0.89631 1/7 21:49 0.89663 0.6%
Trade id #121808276
Max drawdown($212)
Time1/7/19 2:01
Quant open15
Worst price0.89520
Drawdown as % of equity-0.60%
$55
Includes Typical Broker Commissions trade costs of $6.00
1/7/19 11:29 USD/JPY USD/JPY SHORT 15 108.488 1/7 13:04 108.659 0.64%
Trade id #121820602
Max drawdown($236)
Time1/7/19 13:04
Quant open0
Worst price108.659
Drawdown as % of equity-0.64%
($242)
Includes Typical Broker Commissions trade costs of $6.00
1/3/19 16:40 USD/SGD USD/SGD SHORT 10 1.36387 1/4 13:05 1.35920 n/a $338
Includes Typical Broker Commissions trade costs of $6.00
9/25/18 7:30 EUR/GBP EUR/GBP LONG 15 0.89547 1/4/19 12:01 0.89550 5.81%
Trade id #120018172
Max drawdown($1,535)
Time12/5/18 6:17
Quant open15
Worst price0.88743
Drawdown as % of equity-5.81%
$0
Includes Typical Broker Commissions trade costs of $6.00
1/3/19 11:31 CAD/CHF CAD/CHF SHORT 15 0.73262 1/4 8:19 0.73509 1.01%
Trade id #121765620
Max drawdown($375)
Time1/4/19 8:19
Quant open0
Worst price0.73509
Drawdown as % of equity-1.01%
($381)
Includes Typical Broker Commissions trade costs of $6.00
9/12/18 10:15 USD/JPY USD/JPY SHORT 30 112.012 1/3/19 0:12 109.993 7.81%
Trade id #119821637
Max drawdown($2,461)
Time9/24/18 20:48
Quant open-30
Worst price112.890
Drawdown as % of equity-7.81%
$5,643
Includes Typical Broker Commissions trade costs of $12.00
10/2/18 5:01 GBP/NZD GBP/NZD SHORT 15 1.96995 12/5 14:18 1.84992 n/a $12,406
Includes Typical Broker Commissions trade costs of $6.00
10/4/18 20:43 EUR/USD EUR/USD SHORT 15 1.15155 10/5 9:53 1.15486 1.87%
Trade id #120193379
Max drawdown($496)
Time10/5/18 9:53
Quant open0
Worst price1.15486
Drawdown as % of equity-1.87%
($502)
Includes Typical Broker Commissions trade costs of $6.00
10/3/18 22:29 AUD/NZD AUD/NZD SHORT 15 1.09185 10/5 0:43 1.09333 0.51%
Trade id #120174357
Max drawdown($144)
Time10/5/18 0:43
Quant open0
Worst price1.09333
Drawdown as % of equity-0.51%
($150)
Includes Typical Broker Commissions trade costs of $6.00

Statistics

  • Strategy began
    10/8/2017
  • Suggested Minimum Cap
    $35,000
  • Strategy Age (days)
    470.51
  • Age
    16 months ago
  • What it trades
    Forex
  • # Trades
    500
  • # Profitable
    306
  • % Profitable
    61.20%
  • Avg trade duration
    3.1 days
  • Max peak-to-valley drawdown
    69.25%
  • drawdown period
    Sept 27, 2018 - Nov 05, 2018
  • Annual Return (Compounded)
    153.1%
  • Avg win
    $310.90
  • Avg loss
    $366.67
  • Model Account Values (Raw)
  • Cash
    $34,699
  • Margin Used
    $16,460
  • Buying Power
    $17,539
  • Ratios
  • W:L ratio
    1.34:1
  • Sharpe Ratio
    1.602
  • Sortino Ratio
    2.547
  • Calmar Ratio
    2.68
  • CORRELATION STATISTICS
  • Correlation to SP500
    -0.00100
  • Return Statistics
  • Ann Return (w trading costs)
    153.1%
  • Ann Return (Compnd, No Fees)
    158.0%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    74.00%
  • Chance of 20% account loss
    54.50%
  • Chance of 30% account loss
    36.00%
  • Chance of 40% account loss
    23.00%
  • Chance of 50% account loss
    12.50%
  • Popularity
  • Popularity (Today)
    833
  • Popularity (Last 6 weeks)
    926
  • C2 Score
    72.7
  • Trades-Own-System Certification
  • Trades Own System?
    0
  • TOS percent
    n/a
  • Subscription Price
  • Billing Period (days)
    30
  • Trial Days
    0
  • Win / Loss
  • Avg Loss
    $369
  • Avg Win
    $310
  • # Winners
    307
  • # Losers
    193
  • % Winners
    61.4%
  • Frequency
  • Avg Position Time (mins)
    4515.30
  • Avg Position Time (hrs)
    75.25
  • Avg Trade Length
    3.1 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
    1.40657
  • SD
    1.07892
  • Sharpe ratio (Glass type estimate)
    1.30368
  • Sharpe ratio (Hedges UMVUE)
    1.22674
  • df
    13.00000
  • t
    1.40814
  • p
    0.27362
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.60056
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.16180
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.64810
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.10158
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.49312
  • Upside Potential Ratio
    5.35657
  • Upside part of mean
    2.15692
  • Downside part of mean
    -0.75035
  • Upside SD
    1.04098
  • Downside SD
    0.40267
  • N nonnegative terms
    9.00000
  • N negative terms
    5.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    14.00000
  • Mean of predictor
    -0.06051
  • Mean of criterion
    1.40657
  • SD of predictor
    0.15557
  • SD of criterion
    1.07892
  • Covariance
    -0.04432
  • r
    -0.26403
  • b (slope, estimate of beta)
    -1.83112
  • a (intercept, estimate of alpha)
    1.29577
  • Mean Square Error
    1.17316
  • DF error
    12.00000
  • t(b)
    -0.94827
  • p(b)
    0.63201
  • t(a)
    1.28350
  • p(a)
    0.32628
  • Lowerbound of 95% confidence interval for beta
    -6.03841
  • Upperbound of 95% confidence interval for beta
    2.37617
  • Lowerbound of 95% confidence interval for alpha
    -0.90388
  • Upperbound of 95% confidence interval for alpha
    3.49541
  • Treynor index (mean / b)
    -0.76815
  • Jensen alpha (a)
    1.29577
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.92480
  • SD
    0.91959
  • Sharpe ratio (Glass type estimate)
    1.00566
  • Sharpe ratio (Hedges UMVUE)
    0.94631
  • df
    13.00000
  • t
    1.08624
  • p
    0.31894
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.86711
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.84187
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.90436
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.79698
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.02206
  • Upside Potential Ratio
    3.86852
  • Upside part of mean
    1.76929
  • Downside part of mean
    -0.84449
  • Upside SD
    0.80458
  • Downside SD
    0.45736
  • N nonnegative terms
    9.00000
  • N negative terms
    5.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    14.00000
  • Mean of predictor
    -0.07220
  • Mean of criterion
    0.92480
  • SD of predictor
    0.15992
  • SD of criterion
    0.91959
  • Covariance
    -0.02645
  • r
    -0.17988
  • b (slope, estimate of beta)
    -1.03439
  • a (intercept, estimate of alpha)
    0.85012
  • Mean Square Error
    0.88648
  • DF error
    12.00000
  • t(b)
    -0.63347
  • p(b)
    0.58994
  • t(a)
    0.96646
  • p(a)
    0.36563
  • Lowerbound of 95% confidence interval for beta
    -4.59215
  • Upperbound of 95% confidence interval for beta
    2.52337
  • Lowerbound of 95% confidence interval for alpha
    -1.06641
  • Upperbound of 95% confidence interval for alpha
    2.76665
  • Treynor index (mean / b)
    -0.89405
  • Jensen alpha (a)
    0.85012
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.30203
  • Expected Shortfall on VaR
    0.37241
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.11741
  • Expected Shortfall on VaR
    0.22939
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    14.00000
  • Minimum
    0.71781
  • Quartile 1
    0.87140
  • Median
    1.10491
  • Quartile 3
    1.21431
  • Maximum
    1.83556
  • Mean of quarter 1
    0.78971
  • Mean of quarter 2
    1.04747
  • Mean of quarter 3
    1.13813
  • Mean of quarter 4
    1.48949
  • Inter Quartile Range
    0.34292
  • 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
    0.07143
  • Mean of outliers high
    1.83556
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.80341
  • VaR(95%) (moments method)
    0.24131
  • Expected Shortfall (moments method)
    0.25684
  • Extreme Value Index (regression method)
    0.14559
  • VaR(95%) (regression method)
    0.25409
  • Expected Shortfall (regression method)
    0.32511
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    3.00000
  • Minimum
    0.02259
  • Quartile 1
    0.17343
  • Median
    0.32426
  • Quartile 3
    0.37619
  • Maximum
    0.42811
  • Mean of quarter 1
    0.02259
  • Mean of quarter 2
    0.32426
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.42811
  • Inter Quartile Range
    0.20276
  • 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)
    1.74762
  • Compounded annual return (geometric extrapolation)
    1.59272
  • Calmar ratio (compounded annual return / max draw down)
    3.72032
  • Compounded annual return / average of 25% largest draw downs
    3.72032
  • Compounded annual return / Expected Shortfall lognormal
    4.27679
  • 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
    1.28794
  • SD
    0.80221
  • Sharpe ratio (Glass type estimate)
    1.60549
  • Sharpe ratio (Hedges UMVUE)
    1.60179
  • df
    325.00000
  • t
    1.79088
  • p
    0.03712
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.15712
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.36568
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.15960
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.36317
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.54727
  • Upside Potential Ratio
    10.10780
  • Upside part of mean
    5.11068
  • Downside part of mean
    -3.82274
  • Upside SD
    0.62630
  • Downside SD
    0.50562
  • N nonnegative terms
    176.00000
  • N negative terms
    150.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    326.00000
  • Mean of predictor
    0.02366
  • Mean of criterion
    1.28794
  • SD of predictor
    0.15962
  • SD of criterion
    0.80221
  • Covariance
    -0.00337
  • r
    -0.02629
  • b (slope, estimate of beta)
    -0.13215
  • a (intercept, estimate of alpha)
    1.29100
  • Mean Square Error
    0.64508
  • DF error
    324.00000
  • t(b)
    -0.47344
  • p(b)
    0.68189
  • t(a)
    1.79301
  • p(a)
    0.03695
  • Lowerbound of 95% confidence interval for beta
    -0.68127
  • Upperbound of 95% confidence interval for beta
    0.41697
  • Lowerbound of 95% confidence interval for alpha
    -0.12551
  • Upperbound of 95% confidence interval for alpha
    2.70765
  • Treynor index (mean / b)
    -9.74633
  • Jensen alpha (a)
    1.29107
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.97008
  • SD
    0.79359
  • Sharpe ratio (Glass type estimate)
    1.22239
  • Sharpe ratio (Hedges UMVUE)
    1.21957
  • df
    325.00000
  • t
    1.36354
  • p
    0.08683
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.53811
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.98106
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.54000
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.97914
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.81567
  • Upside Potential Ratio
    9.22718
  • Upside part of mean
    4.92992
  • Downside part of mean
    -3.95983
  • Upside SD
    0.58821
  • Downside SD
    0.53428
  • N nonnegative terms
    176.00000
  • N negative terms
    150.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    326.00000
  • Mean of predictor
    0.01093
  • Mean of criterion
    0.97008
  • SD of predictor
    0.15996
  • SD of criterion
    0.79359
  • Covariance
    -0.00363
  • r
    -0.02861
  • b (slope, estimate of beta)
    -0.14192
  • a (intercept, estimate of alpha)
    0.97163
  • Mean Square Error
    0.63121
  • DF error
    324.00000
  • t(b)
    -0.51512
  • p(b)
    0.69659
  • t(a)
    1.36417
  • p(a)
    0.08673
  • Lowerbound of 95% confidence interval for beta
    -0.68394
  • Upperbound of 95% confidence interval for beta
    0.40009
  • Lowerbound of 95% confidence interval for alpha
    -0.42959
  • Upperbound of 95% confidence interval for alpha
    2.37286
  • Treynor index (mean / b)
    -6.83531
  • Jensen alpha (a)
    0.97163
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.07406
  • Expected Shortfall on VaR
    0.09268
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.03173
  • Expected Shortfall on VaR
    0.06420
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    326.00000
  • Minimum
    0.79256
  • Quartile 1
    0.98105
  • Median
    1.00363
  • Quartile 3
    1.02759
  • Maximum
    1.32264
  • Mean of quarter 1
    0.94874
  • Mean of quarter 2
    0.99375
  • Mean of quarter 3
    1.01492
  • Mean of quarter 4
    1.06267
  • Inter Quartile Range
    0.04654
  • Number outliers low
    9.00000
  • Percentage of outliers low
    0.02761
  • Mean of outliers low
    0.86925
  • Number of outliers high
    10.00000
  • Percentage of outliers high
    0.03067
  • Mean of outliers high
    1.14887
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.17329
  • VaR(95%) (moments method)
    0.04835
  • Expected Shortfall (moments method)
    0.07371
  • Extreme Value Index (regression method)
    0.16400
  • VaR(95%) (regression method)
    0.04995
  • Expected Shortfall (regression method)
    0.07608
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    25.00000
  • Minimum
    0.00355
  • Quartile 1
    0.02602
  • Median
    0.04028
  • Quartile 3
    0.07499
  • Maximum
    0.63904
  • Mean of quarter 1
    0.01366
  • Mean of quarter 2
    0.03478
  • Mean of quarter 3
    0.06142
  • Mean of quarter 4
    0.27601
  • Inter Quartile Range
    0.04897
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    4.00000
  • Percentage of outliers high
    0.16000
  • Mean of outliers high
    0.35866
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.32829
  • VaR(95%) (moments method)
    0.23856
  • Expected Shortfall (moments method)
    0.43719
  • Extreme Value Index (regression method)
    0.43344
  • VaR(95%) (regression method)
    0.36981
  • Expected Shortfall (regression method)
    0.80527
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    1.97845
  • Compounded annual return (geometric extrapolation)
    1.71282
  • Calmar ratio (compounded annual return / max draw down)
    2.68032
  • Compounded annual return / average of 25% largest draw downs
    6.20573
  • Compounded annual return / Expected Shortfall lognormal
    18.48030
  • 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
    1.20243
  • SD
    1.02387
  • Sharpe ratio (Glass type estimate)
    1.17439
  • Sharpe ratio (Hedges UMVUE)
    1.16760
  • df
    130.00000
  • t
    0.83042
  • p
    0.46368
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.60326
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.94770
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.60783
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.94304
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.91462
  • Upside Potential Ratio
    9.46967
  • Upside part of mean
    5.94720
  • Downside part of mean
    -4.74477
  • Upside SD
    0.80710
  • Downside SD
    0.62803
  • N nonnegative terms
    66.00000
  • N negative terms
    65.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.08657
  • Mean of criterion
    1.20243
  • SD of predictor
    0.18639
  • SD of criterion
    1.02387
  • Covariance
    -0.00193
  • r
    -0.01012
  • b (slope, estimate of beta)
    -0.05561
  • a (intercept, estimate of alpha)
    1.19761
  • Mean Square Error
    1.05633
  • DF error
    129.00000
  • t(b)
    -0.11498
  • p(b)
    0.50644
  • t(a)
    0.82361
  • p(a)
    0.45400
  • Lowerbound of 95% confidence interval for beta
    -1.01248
  • Upperbound of 95% confidence interval for beta
    0.90126
  • Lowerbound of 95% confidence interval for alpha
    -1.67937
  • Upperbound of 95% confidence interval for alpha
    4.07460
  • Treynor index (mean / b)
    -21.62310
  • Jensen alpha (a)
    1.19761
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.69451
  • SD
    1.00565
  • Sharpe ratio (Glass type estimate)
    0.69061
  • Sharpe ratio (Hedges UMVUE)
    0.68662
  • df
    130.00000
  • t
    0.48834
  • p
    0.47861
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.08368
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.46236
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.08644
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.45968
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.03433
  • Upside Potential Ratio
    8.42083
  • Upside part of mean
    5.65426
  • Downside part of mean
    -4.95975
  • Upside SD
    0.74472
  • Downside SD
    0.67146
  • N nonnegative terms
    66.00000
  • N negative terms
    65.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.10381
  • Mean of criterion
    0.69451
  • SD of predictor
    0.18637
  • SD of criterion
    1.00565
  • Covariance
    -0.00287
  • r
    -0.01534
  • b (slope, estimate of beta)
    -0.08276
  • a (intercept, estimate of alpha)
    0.68592
  • Mean Square Error
    1.01894
  • DF error
    129.00000
  • t(b)
    -0.17421
  • p(b)
    0.50976
  • t(a)
    0.48020
  • p(a)
    0.47312
  • Lowerbound of 95% confidence interval for beta
    -1.02265
  • Upperbound of 95% confidence interval for beta
    0.85713
  • Lowerbound of 95% confidence interval for alpha
    -2.14019
  • Upperbound of 95% confidence interval for alpha
    3.51204
  • Treynor index (mean / b)
    -8.39225
  • Jensen alpha (a)
    0.68592
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.09475
  • Expected Shortfall on VaR
    0.11772
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.04135
  • Expected Shortfall on VaR
    0.08279
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.79256
  • Quartile 1
    0.97807
  • Median
    1.00053
  • Quartile 3
    1.02460
  • Maximum
    1.32264
  • Mean of quarter 1
    0.93683
  • Mean of quarter 2
    0.99150
  • Mean of quarter 3
    1.01228
  • Mean of quarter 4
    1.07840
  • Inter Quartile Range
    0.04654
  • Number outliers low
    6.00000
  • Percentage of outliers low
    0.04580
  • Mean of outliers low
    0.85680
  • Number of outliers high
    11.00000
  • Percentage of outliers high
    0.08397
  • Mean of outliers high
    1.14296
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.20285
  • VaR(95%) (moments method)
    0.05939
  • Expected Shortfall (moments method)
    0.09345
  • Extreme Value Index (regression method)
    0.04115
  • VaR(95%) (regression method)
    0.06172
  • Expected Shortfall (regression method)
    0.08793
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    8.00000
  • Minimum
    0.03443
  • Quartile 1
    0.03979
  • Median
    0.08674
  • Quartile 3
    0.13132
  • Maximum
    0.63904
  • Mean of quarter 1
    0.03638
  • Mean of quarter 2
    0.05763
  • Mean of quarter 3
    0.11070
  • Mean of quarter 4
    0.39778
  • Inter Quartile Range
    0.09153
  • 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
    0.12500
  • Mean of outliers high
    0.63904
  • 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)
    0.87013
  • Compounded annual return (geometric extrapolation)
    1.05941
  • Calmar ratio (compounded annual return / max draw down)
    1.65783
  • Compounded annual return / average of 25% largest draw downs
    2.66330
  • Compounded annual return / Expected Shortfall lognormal
    8.99976

Strategy Description

Summary Statistics

Strategy began
2017-10-08
Suggested Minimum Capital
$35,000
# Trades
500
# Profitable
306
% Profitable
61.2%
Correlation S&P500
-0.001
Sharpe Ratio
1.602

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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