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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 07/06/2018
Most recent certification approved 7/6/18 9:31 ET
Trades at broker Interactive Brokers (Stocks / Options)
Scaling percentage used 100%
# trading signals issued by system since certification 268
# trading signals executed in manager's Interactive Brokers (Stocks / Options) account 208
Percent signals followed since 07/06/2018 77.6%
This information was last updated 1/22/19 8:10 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 07/06/2018, 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.

Albertson Fund
(115195169)

Created by: AlexBeast AlexBeast
Started: 09/2016
Stocks, Options
Last trade: 5 days ago
Trading style: Equity Hedged Equity

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 $50.00 per month.

Trading Category: Equity
Hedged Equity
Category: Equity

Hedged Equity

Core holding of long equities hedged at all times with short sales of stocks and/or stock index options.
174.5%
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.

(47.0%)
Max Drawdown
590
Num Trades
68.1%
Win Trades
2.4 : 1
Profit Factor
58.6%
Win Months
Hypothetical Monthly Returns (includes system fee and Interactive Brokers commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2016                                                        +1.1%(1.3%)+0.6%+1.1%+1.5%
2017+0.2%+4.6%(3.8%)+0.8%(4.4%)+3.6%(0.6%)+127.0%+1.8%(3.2%)+22.0%(10.9%)+143.3%
2018+246.2%(11%)+15.9%(29.7%)+59.0%+25.7%(5.5%)+1.8%(0.2%)(4.3%)+0.8%(4.2%)+345.4%
2019+1.1%                                                                  +1.1%

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 96 hours.

Trading Record

This strategy has placed 208 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
10/30/18 13:03 MA1918D190 MA Apr18'19 190 call LONG 5 14.20 1/15/19 15:11 14.71 0.27%
Trade id #120625187
Max drawdown($3,390)
Time12/24/18 9:31
Quant open5
Worst price7.42
Drawdown as % of equity-0.27%
$248
Includes Typical Broker Commissions trade costs of $7.00
1/3/19 15:14 AAPL2017A145 AAPL Jan17'20 145 call LONG 3 17.30 1/15 10:21 20.60 0%
Trade id #121771749
Max drawdown($60)
Time1/3/19 16:00
Quant open3
Worst price17.10
Drawdown as % of equity-0.00%
$986
Includes Typical Broker Commissions trade costs of $4.20
10/1/18 11:00 AMZN1915B1900 AMZN Feb15'19 1900 call LONG 2 234.88 1/11/19 13:22 8.10 3.66%
Trade id #120117537
Max drawdown($46,218)
Time12/24/18 9:57
Quant open2
Worst price3.79
Drawdown as % of equity-3.66%
($45,359)
Includes Typical Broker Commissions trade costs of $3.40
1/7/19 12:16 TSLA1925A310 TSLA Jan25'19 310 call SHORT 2 30.75 1/11 13:19 39.15 0.13%
Trade id #121822397
Max drawdown($1,680)
Time1/11/19 13:19
Quant open0
Worst price39.15
Drawdown as % of equity-0.13%
($1,683)
Includes Typical Broker Commissions trade costs of $3.40
10/30/18 13:09 AMZN1921F1400 AMZN Jun21'19 1400 call LONG 1 253.50 1/11/19 12:59 321.35 0.89%
Trade id #120625412
Max drawdown($11,105)
Time12/24/18 10:15
Quant open1
Worst price142.45
Drawdown as % of equity-0.89%
$6,783
Includes Typical Broker Commissions trade costs of $2.00
7/6/18 9:31 BABA ALIBABA GROUP HOLDING LIMITED LONG 400 172.21 1/11/19 12:52 141.78 1.37%
Trade id #118800791
Max drawdown($17,242)
Time12/24/18 9:22
Quant open400
Worst price129.10
Drawdown as % of equity-1.37%
($12,173)
Includes Typical Broker Commissions trade costs of $5.00
1/3/19 9:49 BABA1925A135 BABA Jan25'19 135 call SHORT 2 4.35 1/11 12:51 17.90 0.22%
Trade id #121762896
Max drawdown($2,830)
Time1/9/19 13:54
Quant open-2
Worst price18.50
Drawdown as % of equity-0.22%
($2,713)
Includes Typical Broker Commissions trade costs of $2.80
8/30/18 11:36 GDDY GODADDY INC LONG 200 80.15 1/11/19 12:49 63.45 0.35%
Trade id #119665462
Max drawdown($4,391)
Time12/24/18 9:58
Quant open200
Worst price58.19
Drawdown as % of equity-0.35%
($3,341)
Includes Typical Broker Commissions trade costs of $2.00
7/6/18 9:31 STZ CONSTELLATION BRANDS LONG 200 215.59 1/11/19 12:49 184.30 0.51%
Trade id #118800793
Max drawdown($6,554)
Time1/9/19 8:14
Quant open100
Worst price150.05
Drawdown as % of equity-0.51%
($6,260)
Includes Typical Broker Commissions trade costs of $3.00
1/10/19 12:35 STZ1908B162.5 STZ Feb8'19 162.5 call SHORT 1 4.20 1/11 12:47 3.50 0%
Trade id #121902903
Max drawdown($20)
Time1/10/19 12:41
Quant open-1
Worst price4.40
Drawdown as % of equity-0.00%
$68
Includes Typical Broker Commissions trade costs of $2.00
12/24/18 10:06 GDDY1918A65 GDDY Jan18'19 65 call SHORT 2 0.85 1/11/19 12:47 0.70 0.03%
Trade id #121642274
Max drawdown($390)
Time12/31/18 13:16
Quant open-2
Worst price2.80
Drawdown as % of equity-0.03%
$27
Includes Typical Broker Commissions trade costs of $2.80
1/9/19 15:25 STZ1925A160 STZ Jan25'19 160 call SHORT 1 1.15 1/10 12:34 4.00 0.02%
Trade id #121884269
Max drawdown($305)
Time1/10/19 11:16
Quant open-1
Worst price4.20
Drawdown as % of equity-0.02%
($287)
Includes Typical Broker Commissions trade costs of $2.00
1/3/19 9:57 STZ1918A165 STZ Jan18'19 165 call SHORT 1 5.60 1/9 15:24 0.25 0.04%
Trade id #121763311
Max drawdown($507)
Time1/8/19 15:25
Quant open-1
Worst price10.67
Drawdown as % of equity-0.04%
$533
Includes Typical Broker Commissions trade costs of $2.00
1/3/19 9:56 TSLA1911A305 TSLA Jan11'19 305 call SHORT 2 11.15 1/7 12:15 27.74 0.31%
Trade id #121763284
Max drawdown($3,970)
Time1/7/19 11:17
Quant open-2
Worst price31.00
Drawdown as % of equity-0.31%
($3,321)
Includes Typical Broker Commissions trade costs of $2.80
12/21/18 13:52 STZ1918A170 STZ Jan18'19 170 call SHORT 1 4.80 1/3/19 9:56 3.60 0%
Trade id #121625284
Max drawdown($30)
Time12/28/18 9:50
Quant open-1
Worst price5.10
Drawdown as % of equity-0.00%
$118
Includes Typical Broker Commissions trade costs of $2.00
1/2/19 14:40 TSLA1911A312.5 TSLA Jan11'19 312.5 call SHORT 2 12.80 1/3 9:55 7.50 n/a $1,057
Includes Typical Broker Commissions trade costs of $2.80
12/31/18 9:41 BABA1901B140 BABA Feb1'19 140 call SHORT 2 8.15 1/3/19 9:47 4.05 n/a $817
Includes Typical Broker Commissions trade costs of $2.80
12/28/18 9:46 TSLA1918A325 TSLA Jan18'19 325 call SHORT 2 21.93 1/2/19 14:39 10.40 0.08%
Trade id #121696220
Max drawdown($1,075)
Time12/31/18 9:41
Quant open-2
Worst price27.30
Drawdown as % of equity-0.08%
$2,302
Includes Typical Broker Commissions trade costs of $3.40
12/26/18 11:10 BABA1911A136 BABA Jan11'19 136 call SHORT 2 3.35 12/31 9:40 7.15 0.07%
Trade id #121662968
Max drawdown($870)
Time12/31/18 9:31
Quant open-2
Worst price7.70
Drawdown as % of equity-0.07%
($763)
Includes Typical Broker Commissions trade costs of $2.80
12/24/18 12:03 TSLA1911A320 TSLA Jan11'19 320 call SHORT 2 10.60 12/28 9:37 19.55 0.17%
Trade id #121644866
Max drawdown($2,160)
Time12/26/18 16:00
Quant open-2
Worst price21.40
Drawdown as % of equity-0.17%
($1,793)
Includes Typical Broker Commissions trade costs of $2.80
12/21/18 13:37 BABA1911A140 BABA Jan11'19 140 call SHORT 4 2.66 12/26 10:40 2.16 0.02%
Trade id #121624953
Max drawdown($256)
Time12/26/18 9:34
Quant open-4
Worst price3.30
Drawdown as % of equity-0.02%
$194
Includes Typical Broker Commissions trade costs of $5.60
12/21/18 10:57 TSLA1918A340 TSLA Jan18'19 340 call SHORT 2 12.55 12/24 12:02 7.00 0.01%
Trade id #121619189
Max drawdown($150)
Time12/21/18 15:08
Quant open-2
Worst price13.30
Drawdown as % of equity-0.01%
$1,107
Includes Typical Broker Commissions trade costs of $2.80
9/12/18 14:14 GOOGL1821L1275 GOOGL Dec21'18 1275 call LONG 1 24.63 12/22 9:36 0.00 0.2%
Trade id #119829881
Max drawdown($2,463)
Time12/22/18 9:36
Quant open0
Worst price0.00
Drawdown as % of equity-0.20%
($2,464)
Includes Typical Broker Commissions trade costs of $1.00
10/4/18 9:51 AMZN1821L2100 AMZN Dec21'18 2100 call LONG 1 59.55 12/22 9:36 0.00 0.47%
Trade id #120181435
Max drawdown($5,955)
Time12/22/18 9:36
Quant open0
Worst price0.00
Drawdown as % of equity-0.47%
($5,956)
Includes Typical Broker Commissions trade costs of $1.00
12/11/18 9:54 STZ1918A215 STZ Jan18'19 215 call SHORT 1 1.00 12/21 13:50 0.10 0%
Trade id #121441532
Max drawdown($1)
Time12/11/18 10:07
Quant open-1
Worst price1.01
Drawdown as % of equity-0.00%
$88
Includes Typical Broker Commissions trade costs of $2.00
12/11/18 9:56 BABA1918A175 BABA Jan18'19 175 call SHORT 4 1.22 12/21 13:35 0.18 0.01%
Trade id #121441588
Max drawdown($72)
Time12/12/18 9:32
Quant open-4
Worst price1.40
Drawdown as % of equity-0.01%
$410
Includes Typical Broker Commissions trade costs of $5.60
9/4/18 9:47 GOOGL1918A1190 GOOGL Jan18'19 1190 call LONG 1 87.24 12/21 11:57 1.05 0.68%
Trade id #119713135
Max drawdown($8,619)
Time12/21/18 11:57
Quant open0
Worst price1.05
Drawdown as % of equity-0.68%
($8,621)
Includes Typical Broker Commissions trade costs of $2.00
9/5/18 15:47 NFLX1918A320 NFLX Jan18'19 320 call LONG 2 46.43 12/21 11:52 1.27 0.7%
Trade id #119736961
Max drawdown($9,066)
Time12/20/18 11:52
Quant open2
Worst price1.10
Drawdown as % of equity-0.70%
($9,035)
Includes Typical Broker Commissions trade costs of $2.80
12/6/18 12:23 TSLA1828L340 TSLA Dec28'18 340 call SHORT 2 33.95 12/21 10:56 2.80 0.15%
Trade id #121380808
Max drawdown($2,020)
Time12/7/18 10:08
Quant open-2
Worst price44.05
Drawdown as % of equity-0.15%
$6,227
Includes Typical Broker Commissions trade costs of $2.80
8/30/18 11:40 GOOGL1918A1220 GOOGL Jan18'19 1220 call LONG 1 97.00 12/18 9:44 1.28 0.74%
Trade id #119665513
Max drawdown($9,605)
Time12/17/18 14:07
Quant open1
Worst price0.95
Drawdown as % of equity-0.74%
($9,574)
Includes Typical Broker Commissions trade costs of $2.00

Statistics

  • Strategy began
    9/7/2016
  • Suggested Minimum Cap
    $35,000
  • Strategy Age (days)
    867.24
  • Age
    29 months ago
  • What it trades
    Stocks, Options
  • # Trades
    590
  • # Profitable
    402
  • % Profitable
    68.10%
  • Avg trade duration
    27.8 days
  • Max peak-to-valley drawdown
    47.02%
  • drawdown period
    March 21, 2018 - April 04, 2018
  • Annual Return (Compounded)
    174.6%
  • Avg win
    $5,356
  • Avg loss
    $4,937
  • Model Account Values (Raw)
  • Cash
    $1,235,890
  • Margin Used
    $0
  • Buying Power
    $1,224,979
  • Ratios
  • W:L ratio
    2.39:1
  • Sharpe Ratio
    1.968
  • Sortino Ratio
    5.868
  • Calmar Ratio
    18.347
  • CORRELATION STATISTICS
  • Correlation to SP500
    0.11400
  • Return Statistics
  • Ann Return (w trading costs)
    174.6%
  • Ann Return (Compnd, No Fees)
    176.4%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    41.00%
  • Chance of 20% account loss
    28.50%
  • Chance of 30% account loss
    20.00%
  • Chance of 40% account loss
    12.00%
  • Chance of 50% account loss
    4.50%
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    909
  • C2 Score
    48.6
  • Trades-Own-System Certification
  • Trades Own System?
    184451
  • TOS percent
    100%
  • Subscription Price
  • Billing Period (days)
    30
  • Trial Days
    0
  • Win / Loss
  • Avg Loss
    $5,001
  • Avg Win
    $5,357
  • # Winners
    402
  • # Losers
    188
  • % Winners
    68.1%
  • Frequency
  • Avg Position Time (mins)
    40090.10
  • Avg Position Time (hrs)
    668.17
  • Avg Trade Length
    27.8 days
  • Last Trade Ago
    5
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    3.62386
  • SD
    1.85414
  • Sharpe ratio (Glass type estimate)
    1.95447
  • Sharpe ratio (Hedges UMVUE)
    1.81758
  • df
    11.00000
  • t
    1.95447
  • p
    0.03827
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.20251
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.03663
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.28440
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.91956
  • Statistics related to Sortino ratio
  • Sortino ratio
    15.97720
  • Upside Potential Ratio
    17.47300
  • Upside part of mean
    3.96312
  • Downside part of mean
    -0.33926
  • Upside SD
    2.04799
  • Downside SD
    0.22681
  • N nonnegative terms
    7.00000
  • N negative terms
    5.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    12.00000
  • Mean of predictor
    0.08691
  • Mean of criterion
    3.62386
  • SD of predictor
    0.17514
  • SD of criterion
    1.85414
  • Covariance
    0.12356
  • r
    0.38050
  • b (slope, estimate of beta)
    4.02821
  • a (intercept, estimate of alpha)
    3.27376
  • Mean Square Error
    3.23410
  • DF error
    10.00000
  • t(b)
    1.30112
  • p(b)
    0.11120
  • t(a)
    1.80037
  • p(a)
    0.05100
  • Lowerbound of 95% confidence interval for beta
    -2.87002
  • Upperbound of 95% confidence interval for beta
    10.92640
  • Lowerbound of 95% confidence interval for alpha
    -0.77785
  • Upperbound of 95% confidence interval for alpha
    7.32536
  • Treynor index (mean / b)
    0.89962
  • Jensen alpha (a)
    3.27376
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    2.37013
  • SD
    1.26214
  • Sharpe ratio (Glass type estimate)
    1.87787
  • Sharpe ratio (Hedges UMVUE)
    1.74634
  • df
    11.00000
  • t
    1.87787
  • p
    0.04357
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.26629
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.94922
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.34506
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.83775
  • Statistics related to Sortino ratio
  • Sortino ratio
    9.38130
  • Upside Potential Ratio
    10.83840
  • Upside part of mean
    2.73825
  • Downside part of mean
    -0.36812
  • Upside SD
    1.36548
  • Downside SD
    0.25264
  • N nonnegative terms
    7.00000
  • N negative terms
    5.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    12.00000
  • Mean of predictor
    0.07230
  • Mean of criterion
    2.37013
  • SD of predictor
    0.17632
  • SD of criterion
    1.26214
  • Covariance
    0.07983
  • r
    0.35870
  • b (slope, estimate of beta)
    2.56763
  • a (intercept, estimate of alpha)
    2.18448
  • Mean Square Error
    1.52683
  • DF error
    10.00000
  • t(b)
    1.21518
  • p(b)
    0.12610
  • t(a)
    1.75452
  • p(a)
    0.05494
  • Lowerbound of 95% confidence interval for beta
    -2.14033
  • Upperbound of 95% confidence interval for beta
    7.27558
  • Lowerbound of 95% confidence interval for alpha
    -0.58969
  • Upperbound of 95% confidence interval for alpha
    4.95865
  • Treynor index (mean / b)
    0.92308
  • Jensen alpha (a)
    2.18448
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.33088
  • Expected Shortfall on VaR
    0.42041
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.05699
  • Expected Shortfall on VaR
    0.12100
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    12.00000
  • Minimum
    0.78677
  • Quartile 1
    0.97281
  • Median
    1.00650
  • Quartile 3
    1.64481
  • Maximum
    2.50161
  • Mean of quarter 1
    0.90184
  • Mean of quarter 2
    0.99085
  • Mean of quarter 3
    1.22748
  • Mean of quarter 4
    2.09710
  • Inter Quartile Range
    0.67200
  • 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)
    -0.10917
  • VaR(95%) (moments method)
    0.07409
  • Expected Shortfall (moments method)
    0.10684
  • Extreme Value Index (regression method)
    1.58364
  • VaR(95%) (regression method)
    0.20869
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    2.00000
  • Minimum
    0.02734
  • Quartile 1
    0.08821
  • Median
    0.14907
  • Quartile 3
    0.20994
  • Maximum
    0.27081
  • Mean of quarter 1
    0.02734
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.27081
  • Inter Quartile Range
    0.12174
  • 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)
    10.00160
  • Compounded annual return (geometric extrapolation)
    10.00160
  • Calmar ratio (compounded annual return / max draw down)
    36.93190
  • Compounded annual return / average of 25% largest draw downs
    36.93190
  • Compounded annual return / Expected Shortfall lognormal
    23.78980
  • 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
    3.15121
  • SD
    1.59654
  • Sharpe ratio (Glass type estimate)
    1.97377
  • Sharpe ratio (Hedges UMVUE)
    1.96848
  • df
    280.00000
  • t
    2.04408
  • p
    0.02094
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.07249
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.87161
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.06893
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.86803
  • Statistics related to Sortino ratio
  • Sortino ratio
    5.86838
  • Upside Potential Ratio
    10.09230
  • Upside part of mean
    5.41937
  • Downside part of mean
    -2.26817
  • Upside SD
    1.51309
  • Downside SD
    0.53698
  • N nonnegative terms
    142.00000
  • N negative terms
    139.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    281.00000
  • Mean of predictor
    0.17369
  • Mean of criterion
    3.15121
  • SD of predictor
    0.17262
  • SD of criterion
    1.59654
  • Covariance
    0.03136
  • r
    0.11378
  • b (slope, estimate of beta)
    1.05231
  • a (intercept, estimate of alpha)
    2.96800
  • Mean Square Error
    2.52497
  • DF error
    279.00000
  • t(b)
    1.91290
  • p(b)
    0.02839
  • t(a)
    1.93091
  • p(a)
    0.02725
  • Lowerbound of 95% confidence interval for beta
    -0.03059
  • Upperbound of 95% confidence interval for beta
    2.13522
  • Lowerbound of 95% confidence interval for alpha
    -0.05780
  • Upperbound of 95% confidence interval for alpha
    5.99466
  • Treynor index (mean / b)
    2.99455
  • Jensen alpha (a)
    2.96843
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    2.22741
  • SD
    1.27603
  • Sharpe ratio (Glass type estimate)
    1.74558
  • Sharpe ratio (Hedges UMVUE)
    1.74090
  • df
    280.00000
  • t
    1.80777
  • p
    0.03586
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.15400
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.64212
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.15712
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.63893
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.28651
  • Upside Potential Ratio
    6.92131
  • Upside part of mean
    4.69087
  • Downside part of mean
    -2.46346
  • Upside SD
    1.08722
  • Downside SD
    0.67774
  • N nonnegative terms
    142.00000
  • N negative terms
    139.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    281.00000
  • Mean of predictor
    0.15876
  • Mean of criterion
    2.22741
  • SD of predictor
    0.17277
  • SD of criterion
    1.27603
  • Covariance
    0.03501
  • r
    0.15882
  • b (slope, estimate of beta)
    1.17305
  • a (intercept, estimate of alpha)
    2.04118
  • Mean Square Error
    1.59286
  • DF error
    279.00000
  • t(b)
    2.68698
  • p(b)
    0.00382
  • t(a)
    1.67222
  • p(a)
    0.04780
  • Lowerbound of 95% confidence interval for beta
    0.31366
  • Upperbound of 95% confidence interval for beta
    2.03243
  • Lowerbound of 95% confidence interval for alpha
    -0.36166
  • Upperbound of 95% confidence interval for alpha
    4.44401
  • Treynor index (mean / b)
    1.89882
  • Jensen alpha (a)
    2.04118
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.11411
  • Expected Shortfall on VaR
    0.14246
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01897
  • Expected Shortfall on VaR
    0.04401
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    281.00000
  • Minimum
    0.53463
  • Quartile 1
    0.99288
  • Median
    1.00020
  • Quartile 3
    1.00777
  • Maximum
    2.33013
  • Mean of quarter 1
    0.96834
  • Mean of quarter 2
    0.99757
  • Mean of quarter 3
    1.00303
  • Mean of quarter 4
    1.08022
  • Inter Quartile Range
    0.01489
  • Number outliers low
    19.00000
  • Percentage of outliers low
    0.06762
  • Mean of outliers low
    0.91713
  • Number of outliers high
    32.00000
  • Percentage of outliers high
    0.11388
  • Mean of outliers high
    1.15455
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.84177
  • VaR(95%) (moments method)
    0.03081
  • Expected Shortfall (moments method)
    0.20087
  • Extreme Value Index (regression method)
    0.75668
  • VaR(95%) (regression method)
    0.02151
  • Expected Shortfall (regression method)
    0.08493
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    19.00000
  • Minimum
    0.00185
  • Quartile 1
    0.01645
  • Median
    0.02830
  • Quartile 3
    0.10312
  • Maximum
    0.46537
  • Mean of quarter 1
    0.01049
  • Mean of quarter 2
    0.02343
  • Mean of quarter 3
    0.05841
  • Mean of quarter 4
    0.27670
  • Inter Quartile Range
    0.08668
  • 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
    0.21053
  • Mean of outliers high
    0.31729
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -6.81272
  • VaR(95%) (moments method)
    0.24400
  • Expected Shortfall (moments method)
    0.24400
  • Extreme Value Index (regression method)
    -0.65523
  • VaR(95%) (regression method)
    0.24542
  • Expected Shortfall (regression method)
    0.27316
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    9.54123
  • Compounded annual return (geometric extrapolation)
    8.53830
  • Calmar ratio (compounded annual return / max draw down)
    18.34740
  • Compounded annual return / average of 25% largest draw downs
    30.85770
  • Compounded annual return / Expected Shortfall lognormal
    59.93540
  • 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
    -0.13824
  • SD
    0.10917
  • Sharpe ratio (Glass type estimate)
    -1.26631
  • Sharpe ratio (Hedges UMVUE)
    -1.25899
  • df
    130.00000
  • t
    -0.89541
  • p
    0.53915
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -4.03997
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.51219
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -4.03502
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.51704
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.63873
  • Upside Potential Ratio
    6.69116
  • Upside part of mean
    0.56445
  • Downside part of mean
    -0.70269
  • Upside SD
    0.06916
  • Downside SD
    0.08436
  • N nonnegative terms
    65.00000
  • N negative terms
    66.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.11609
  • Mean of criterion
    -0.13824
  • SD of predictor
    0.18770
  • SD of criterion
    0.10917
  • Covariance
    0.01213
  • r
    0.59207
  • b (slope, estimate of beta)
    0.34436
  • a (intercept, estimate of alpha)
    -0.09826
  • Mean Square Error
    0.00780
  • DF error
    129.00000
  • t(b)
    8.34435
  • p(b)
    0.14643
  • t(a)
    -0.78617
  • p(a)
    0.54392
  • Lowerbound of 95% confidence interval for beta
    0.26271
  • Upperbound of 95% confidence interval for beta
    0.42601
  • Lowerbound of 95% confidence interval for alpha
    -0.34556
  • Upperbound of 95% confidence interval for alpha
    0.14903
  • Treynor index (mean / b)
    -0.40144
  • Jensen alpha (a)
    -0.09826
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.14419
  • SD
    0.10931
  • Sharpe ratio (Glass type estimate)
    -1.31900
  • Sharpe ratio (Hedges UMVUE)
    -1.31138
  • df
    130.00000
  • t
    -0.93268
  • p
    0.54076
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -4.09291
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.45986
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -4.08776
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.46501
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.69779
  • Upside Potential Ratio
    6.61774
  • Upside part of mean
    0.56202
  • Downside part of mean
    -0.70621
  • Upside SD
    0.06874
  • Downside SD
    0.08493
  • N nonnegative terms
    65.00000
  • N negative terms
    66.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.13358
  • Mean of criterion
    -0.14419
  • SD of predictor
    0.18768
  • SD of criterion
    0.10931
  • Covariance
    0.01218
  • r
    0.59381
  • b (slope, estimate of beta)
    0.34586
  • a (intercept, estimate of alpha)
    -0.09799
  • Mean Square Error
    0.00780
  • DF error
    129.00000
  • t(b)
    8.38213
  • p(b)
    0.14554
  • t(a)
    -0.78395
  • p(a)
    0.54380
  • Lowerbound of 95% confidence interval for beta
    0.26422
  • Upperbound of 95% confidence interval for beta
    0.42749
  • Lowerbound of 95% confidence interval for alpha
    -0.34529
  • Upperbound of 95% confidence interval for alpha
    0.14931
  • Treynor index (mean / b)
    -0.41690
  • Jensen alpha (a)
    -0.09799
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01159
  • Expected Shortfall on VaR
    0.01437
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00624
  • Expected Shortfall on VaR
    0.01185
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.97766
  • Quartile 1
    0.99623
  • Median
    1.00000
  • Quartile 3
    1.00286
  • Maximum
    1.01974
  • Mean of quarter 1
    0.99090
  • Mean of quarter 2
    0.99866
  • Mean of quarter 3
    1.00142
  • Mean of quarter 4
    1.00739
  • Inter Quartile Range
    0.00662
  • Number outliers low
    5.00000
  • Percentage of outliers low
    0.03817
  • Mean of outliers low
    0.98181
  • Number of outliers high
    3.00000
  • Percentage of outliers high
    0.02290
  • Mean of outliers high
    1.01806
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.55083
  • VaR(95%) (moments method)
    0.00876
  • Expected Shortfall (moments method)
    0.01003
  • Extreme Value Index (regression method)
    -0.26774
  • VaR(95%) (regression method)
    0.00843
  • Expected Shortfall (regression method)
    0.01025
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    5.00000
  • Minimum
    0.00032
  • Quartile 1
    0.00843
  • Median
    0.00981
  • Quartile 3
    0.01770
  • Maximum
    0.10001
  • Mean of quarter 1
    0.00437
  • Mean of quarter 2
    0.00981
  • Mean of quarter 3
    0.01770
  • Mean of quarter 4
    0.10001
  • Inter Quartile Range
    0.00927
  • 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
    0.20000
  • Mean of outliers high
    0.10001
  • 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)
    -0.11296
  • Compounded annual return (geometric extrapolation)
    -0.10977
  • Calmar ratio (compounded annual return / max draw down)
    -1.09763
  • Compounded annual return / average of 25% largest draw downs
    -1.09763
  • Compounded annual return / Expected Shortfall lognormal
    -7.63729

Strategy Description

This strategy is mainly based on hedged equity investments in which I utilize my proprietary indicators for buy or sell signals.

This strategy was traded with real money in a brokerage account since 2016. All trades prior to July 2018 were imported by C2 from E-trade. However, there is some discrepancy in performance numbers/chart as E-trade reports 199.9% gain in 2017. Message me if you want to see E-trade performance chart and monthly numbers.

PAST PERFORMANCE DOES NOT GUARANTEE FUTURE RESULTS.

Summary Statistics

Strategy began
2016-09-07
Suggested Minimum Capital
$35,000
# Trades
590
# Profitable
402
% Profitable
68.1%
Net Dividends
Correlation S&P500
0.114
Sharpe Ratio
1.968

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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