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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 190
# trading signals executed in manager's Interactive Brokers (Stocks / Options) account 140
Percent signals followed since 07/06/2018 73.7%
This information was last updated 11/13/18 17:54 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: 14 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.
203.1%
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
559
Num Trades
68.5%
Win Trades
2.5 : 1
Profit Factor
55.6%
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%)  -        +361.3%

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 140 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 10:42 TSLA1830K320 TSLA Nov30'18 320 call SHORT 3 30.40 10/30 13:18 26.10 n/a $1,286
Includes Typical Broker Commissions trade costs of $4.20
9/4/18 10:08 RHT RED HAT LONG 300 138.10 10/30 13:08 169.95 0.59%
Trade id #119713845
Max drawdown($7,641)
Time10/11/18 8:29
Quant open300
Worst price112.63
Drawdown as % of equity-0.59%
$9,551
Includes Typical Broker Commissions trade costs of $3.50
10/29/18 9:34 TSLA1830K300 TSLA Nov30'18 300 call SHORT 3 51.20 10/29 15:57 48.00 0.09%
Trade id #120594010
Max drawdown($1,140)
Time10/29/18 9:38
Quant open-3
Worst price55.00
Drawdown as % of equity-0.09%
$956
Includes Typical Broker Commissions trade costs of $4.20
10/16/18 10:38 RHT1821L140 RHT Dec21'18 140 call SHORT 3 2.11 10/29 12:01 31.15 0.82%
Trade id #120380504
Max drawdown($10,737)
Time10/29/18 9:31
Quant open-3
Worst price37.90
Drawdown as % of equity-0.82%
($8,716)
Includes Typical Broker Commissions trade costs of $4.20
10/1/18 10:24 STZ1826J217.5 STZ Oct26'18 217.5 call SHORT 1 5.08 10/27 9:36 0.00 0.05%
Trade id #120116562
Max drawdown($687)
Time10/8/18 15:45
Quant open-1
Worst price11.95
Drawdown as % of equity-0.05%
$507
Includes Typical Broker Commissions trade costs of $1.00
10/1/18 10:22 INTC1826J48 INTC Oct26'18 48 call SHORT 4 1.03 10/27 9:36 0.00 0.05%
Trade id #120116518
Max drawdown($628)
Time10/3/18 9:41
Quant open-4
Worst price2.60
Drawdown as % of equity-0.05%
$409
Includes Typical Broker Commissions trade costs of $2.80
10/1/18 10:19 TSLA1826J330 TSLA Oct26'18 330 call SHORT 3 9.83 10/27 9:36 0.00 0.03%
Trade id #120116453
Max drawdown($381)
Time10/2/18 9:35
Quant open-3
Worst price11.10
Drawdown as % of equity-0.03%
$2,947
Includes Typical Broker Commissions trade costs of $2.10
7/6/18 9:35 TSLA TESLA INC. LONG 300 298.40 10/27 9:36 330.00 1.14%
Trade id #118800997
Max drawdown($15,188)
Time10/10/18 10:00
Quant open300
Worst price247.77
Drawdown as % of equity-1.14%
$9,477
Includes Typical Broker Commissions trade costs of $4.50
10/1/18 13:19 BABA1819J180 BABA Oct19'18 180 call SHORT 2 0.30 10/19 10:11 0.01 0.01%
Trade id #120120967
Max drawdown($128)
Time10/2/18 9:32
Quant open-2
Worst price0.94
Drawdown as % of equity-0.01%
$55
Includes Typical Broker Commissions trade costs of $2.80
9/11/18 12:19 GOOGL1819J1295 GOOGL Oct19'18 1295 call SHORT 4 4.70 10/10 15:15 0.20 n/a $1,794
Includes Typical Broker Commissions trade costs of $5.90
9/24/18 10:25 GDDY1819J80 GDDY Oct19'18 80 call SHORT 2 2.45 10/10 15:14 0.06 0.04%
Trade id #120001798
Max drawdown($570)
Time10/1/18 9:43
Quant open-2
Worst price5.30
Drawdown as % of equity-0.04%
$475
Includes Typical Broker Commissions trade costs of $2.80
10/1/18 13:18 RHT1826J140 RHT Oct26'18 140 call SHORT 2 1.08 10/10 15:14 0.09 0%
Trade id #120120939
Max drawdown($6)
Time10/1/18 13:43
Quant open-2
Worst price1.11
Drawdown as % of equity-0.00%
$195
Includes Typical Broker Commissions trade costs of $2.80
9/13/18 10:10 BABA1819J185 BABA Oct19'18 185 call SHORT 2 1.45 10/10 15:13 0.04 0.01%
Trade id #119841447
Max drawdown($88)
Time9/14/18 9:31
Quant open-2
Worst price1.89
Drawdown as % of equity-0.01%
$279
Includes Typical Broker Commissions trade costs of $2.80
10/1/18 10:25 RHT1826J147 RHT Oct26'18 147 call SHORT 1 0.37 10/10 15:08 0.06 n/a $29
Includes Typical Broker Commissions trade costs of $2.00
10/1/18 11:06 MA1826J232.5 MA Oct26'18 232.5 call SHORT 10 1.35 10/1 14:38 1.17 n/a $170
Includes Typical Broker Commissions trade costs of $14.00
10/1/18 11:02 AMZN1826J2150 AMZN Oct26'18 2150 call SHORT 2 28.70 10/1 14:38 25.07 0.01%
Trade id #120117570
Max drawdown($110)
Time10/1/18 11:56
Quant open-2
Worst price29.25
Drawdown as % of equity-0.01%
$723
Includes Typical Broker Commissions trade costs of $2.80
9/20/18 13:10 INTC1826J49 INTC Oct26'18 49 call SHORT 4 0.91 10/1 10:23 0.70 0.01%
Trade id #119954397
Max drawdown($76)
Time9/28/18 11:16
Quant open-4
Worst price1.10
Drawdown as % of equity-0.01%
$78
Includes Typical Broker Commissions trade costs of $5.60
8/20/18 10:13 NFLX1828I367.5 NFLX Sep28'18 367.5 call SHORT 5 1.19 9/29 9:36 0.00 0.65%
Trade id #119511985
Max drawdown($8,955)
Time8/30/18 13:36
Quant open-5
Worst price19.10
Drawdown as % of equity-0.65%
$592
Includes Typical Broker Commissions trade costs of $3.50
7/16/18 10:02 NFLX NETFLIX LONG 600 354.16 9/29 9:36 360.08 1.78%
Trade id #118952533
Max drawdown($24,252)
Time8/20/18 9:43
Quant open400
Worst price310.93
Drawdown as % of equity-1.78%
$3,544
Includes Typical Broker Commissions trade costs of $9.50
9/11/18 12:27 MSFT1828I113 MSFT Sep28'18 113 call SHORT 2 1.16 9/29 9:36 0.00 0.02%
Trade id #119805377
Max drawdown($228)
Time9/25/18 9:31
Quant open-2
Worst price2.30
Drawdown as % of equity-0.02%
$231
Includes Typical Broker Commissions trade costs of $1.40
9/4/18 10:04 MSFT MICROSOFT LONG 200 111.20 9/29 9:36 113.00 0.06%
Trade id #119713788
Max drawdown($794)
Time9/7/18 9:33
Quant open200
Worst price107.23
Drawdown as % of equity-0.06%
$358
Includes Typical Broker Commissions trade costs of $2.00
9/7/18 10:40 RHT1828I152.5 RHT Sep28'18 152.5 call SHORT 1 4.48 9/29 9:36 0.00 0.01%
Trade id #119761426
Max drawdown($202)
Time9/11/18 9:54
Quant open-1
Worst price6.50
Drawdown as % of equity-0.01%
$447
Includes Typical Broker Commissions trade costs of $1.00
8/20/18 10:19 STZ1828I217.5 STZ Sep28'18 217.5 call SHORT 1 0.84 9/29 9:36 0.00 0.03%
Trade id #119512192
Max drawdown($370)
Time9/12/18 9:55
Quant open-1
Worst price4.54
Drawdown as % of equity-0.03%
$83
Includes Typical Broker Commissions trade costs of $1.00
9/14/18 12:03 TSLA1828I325 TSLA Sep28'18 325 call SHORT 3 3.03 9/28 14:41 0.01 0.01%
Trade id #119866263
Max drawdown($201)
Time9/20/18 9:41
Quant open-3
Worst price3.70
Drawdown as % of equity-0.01%
$902
Includes Typical Broker Commissions trade costs of $4.20
8/30/18 11:41 GDDY1821I82.5 GDDY Sep21'18 82.5 call SHORT 2 0.96 9/22 9:36 0.00 0.02%
Trade id #119665554
Max drawdown($268)
Time9/13/18 13:35
Quant open-2
Worst price2.30
Drawdown as % of equity-0.02%
$191
Includes Typical Broker Commissions trade costs of $1.40
9/11/18 12:36 TSLA1814I310 TSLA Sep14'18 310 call SHORT 3 0.32 9/14 15:41 0.01 0.02%
Trade id #119805705
Max drawdown($222)
Time9/12/18 10:09
Quant open-3
Worst price1.06
Drawdown as % of equity-0.02%
$89
Includes Typical Broker Commissions trade costs of $4.20
9/4/18 10:13 PH PARKER HANNIFIN LONG 100 175.40 9/5 11:19 176.76 0.01%
Trade id #119713951
Max drawdown($151)
Time9/4/18 12:26
Quant open100
Worst price173.88
Drawdown as % of equity-0.01%
$135
Includes Typical Broker Commissions trade costs of $2.00
8/24/18 10:27 AAP1915C150 AAP Mar15'19 150 call LONG 1 23.50 9/4 15:43 28.29 0%
Trade id #119584142
Max drawdown($45)
Time8/27/18 15:13
Quant open1
Worst price23.05
Drawdown as % of equity-0.00%
$477
Includes Typical Broker Commissions trade costs of $2.00
8/20/18 10:35 FB1831H175 FB Aug31'18 175 call SHORT 3 2.09 9/1 9:37 0.00 0.06%
Trade id #119512793
Max drawdown($843)
Time8/30/18 10:29
Quant open-3
Worst price4.90
Drawdown as % of equity-0.06%
$625
Includes Typical Broker Commissions trade costs of $2.10
8/20/18 10:34 FB FACEBOOK LONG 300 171.96 9/1 9:37 175.00 0.01%
Trade id #119512759
Max drawdown($196)
Time8/20/18 10:44
Quant open300
Worst price171.31
Drawdown as % of equity-0.01%
$908
Includes Typical Broker Commissions trade costs of $3.00

Statistics

  • Strategy began
    9/7/2016
  • Suggested Minimum Cap
    $35,000
  • Strategy Age (days)
    797.71
  • Age
    27 months ago
  • What it trades
    Stocks, Options
  • # Trades
    559
  • # Profitable
    383
  • % Profitable
    68.50%
  • Avg trade duration
    27.3 days
  • Max peak-to-valley drawdown
    47.02%
  • drawdown period
    March 21, 2018 - April 04, 2018
  • Annual Return (Compounded)
    203.3%
  • Avg win
    $5,553
  • Avg loss
    $5,016
  • Model Account Values (Raw)
  • Cash
    $1,161,070
  • Margin Used
    $0
  • Buying Power
    $1,159,956
  • Ratios
  • W:L ratio
    2.48:1
  • Sharpe Ratio
    2.179
  • Sortino Ratio
    6.503
  • Calmar Ratio
    31.055
  • CORRELATION STATISTICS
  • Correlation to SP500
    0.12500
  • Return Statistics
  • Ann Return (w trading costs)
    203.3%
  • Ann Return (Compnd, No Fees)
    205.3%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    39.50%
  • Chance of 20% account loss
    30.00%
  • Chance of 30% account loss
    17.50%
  • Chance of 40% account loss
    11.50%
  • Chance of 50% account loss
    2.00%
  • Popularity
  • Popularity (Today)
    578
  • Popularity (Last 6 weeks)
    920
  • C2 Score
    38.5
  • Trades-Own-System Certification
  • Trades Own System?
    184451
  • TOS percent
    100%
  • Subscription Price
  • Billing Period (days)
    30
  • Trial Days
    0
  • Win / Loss
  • Avg Loss
    $5,016
  • Avg Win
    $5,554
  • # Winners
    383
  • # Losers
    176
  • % Winners
    68.5%
  • Frequency
  • Avg Position Time (mins)
    39379.10
  • Avg Position Time (hrs)
    656.32
  • Avg Trade Length
    27.3 days
  • Last Trade Ago
    14
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    4.39399
  • SD
    1.96773
  • Sharpe ratio (Glass type estimate)
    2.23302
  • Sharpe ratio (Hedges UMVUE)
    2.04070
  • df
    9.00000
  • t
    2.03846
  • p
    0.03597
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.19204
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.55882
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.30419
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.38559
  • Statistics related to Sortino ratio
  • Sortino ratio
    17.84820
  • Upside Potential Ratio
    19.31760
  • Upside part of mean
    4.75575
  • Downside part of mean
    -0.36175
  • Upside SD
    2.24346
  • Downside SD
    0.24619
  • N nonnegative terms
    7.00000
  • N negative terms
    3.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    10.00000
  • Mean of predictor
    0.26169
  • Mean of criterion
    4.39399
  • SD of predictor
    0.13740
  • SD of criterion
    1.96773
  • Covariance
    0.07554
  • r
    0.27940
  • b (slope, estimate of beta)
    4.00135
  • a (intercept, estimate of alpha)
    3.34689
  • Mean Square Error
    4.01592
  • DF error
    8.00000
  • t(b)
    0.82305
  • p(b)
    0.21716
  • t(a)
    1.31910
  • p(a)
    0.11182
  • Lowerbound of 95% confidence interval for beta
    -7.20952
  • Upperbound of 95% confidence interval for beta
    15.21220
  • Lowerbound of 95% confidence interval for alpha
    -2.50403
  • Upperbound of 95% confidence interval for alpha
    9.19781
  • Treynor index (mean / b)
    1.09813
  • Jensen alpha (a)
    3.34689
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    2.88999
  • SD
    1.34035
  • Sharpe ratio (Glass type estimate)
    2.15614
  • Sharpe ratio (Hedges UMVUE)
    1.97044
  • df
    9.00000
  • t
    1.96828
  • p
    0.04028
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.25311
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.46825
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.36159
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.30247
  • Statistics related to Sortino ratio
  • Sortino ratio
    10.52170
  • Upside Potential Ratio
    11.96310
  • Upside part of mean
    3.28590
  • Downside part of mean
    -0.39592
  • Upside SD
    1.49581
  • Downside SD
    0.27467
  • N nonnegative terms
    7.00000
  • N negative terms
    3.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    10.00000
  • Mean of predictor
    0.25001
  • Mean of criterion
    2.88999
  • SD of predictor
    0.13633
  • SD of criterion
    1.34035
  • Covariance
    0.04549
  • r
    0.24893
  • b (slope, estimate of beta)
    2.44754
  • a (intercept, estimate of alpha)
    2.27809
  • Mean Square Error
    1.89587
  • DF error
    8.00000
  • t(b)
    0.72698
  • p(b)
    0.24398
  • t(a)
    1.31888
  • p(a)
    0.11185
  • Lowerbound of 95% confidence interval for beta
    -5.31618
  • Upperbound of 95% confidence interval for beta
    10.21130
  • Lowerbound of 95% confidence interval for alpha
    -1.70505
  • Upperbound of 95% confidence interval for alpha
    6.26122
  • Treynor index (mean / b)
    1.18077
  • Jensen alpha (a)
    2.27809
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.32673
  • Expected Shortfall on VaR
    0.42168
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.04768
  • Expected Shortfall on VaR
    0.10834
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    10.00000
  • Minimum
    0.78677
  • Quartile 1
    0.98092
  • Median
    1.04983
  • Quartile 3
    1.76889
  • Maximum
    2.50161
  • Mean of quarter 1
    0.90184
  • Mean of quarter 2
    1.00650
  • Mean of quarter 3
    1.33756
  • Mean of quarter 4
    2.09710
  • Inter Quartile Range
    0.78797
  • 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)
    0.08065
  • Expected Shortfall (moments method)
    0.11276
  • Extreme Value Index (regression method)
    1.58364
  • VaR(95%) (regression method)
    0.26895
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    2.00000
  • Minimum
    0.02734
  • Quartile 1
    0.08199
  • Median
    0.13664
  • Quartile 3
    0.19129
  • Maximum
    0.24594
  • Mean of quarter 1
    0.02734
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.24594
  • Inter Quartile Range
    0.10930
  • 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)
    12.45220
  • Compounded annual return (geometric extrapolation)
    17.50230
  • Calmar ratio (compounded annual return / max draw down)
    71.16510
  • Compounded annual return / average of 25% largest draw downs
    71.16510
  • Compounded annual return / Expected Shortfall lognormal
    41.50590
  • 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
    3.81789
  • SD
    1.74652
  • Sharpe ratio (Glass type estimate)
    2.18600
  • Sharpe ratio (Hedges UMVUE)
    2.17896
  • df
    233.00000
  • t
    2.06589
  • p
    0.01997
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.10030
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.26708
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.09563
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.26228
  • Statistics related to Sortino ratio
  • Sortino ratio
    6.50294
  • Upside Potential Ratio
    10.87350
  • Upside part of mean
    6.38386
  • Downside part of mean
    -2.56596
  • Upside SD
    1.65778
  • Downside SD
    0.58710
  • N nonnegative terms
    120.00000
  • N negative terms
    114.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    234.00000
  • Mean of predictor
    0.22989
  • Mean of criterion
    3.81789
  • SD of predictor
    0.15350
  • SD of criterion
    1.74652
  • Covariance
    0.03351
  • r
    0.12501
  • b (slope, estimate of beta)
    1.42235
  • a (intercept, estimate of alpha)
    3.49100
  • Mean Square Error
    3.01561
  • DF error
    232.00000
  • t(b)
    1.91917
  • p(b)
    0.02810
  • t(a)
    1.89169
  • p(a)
    0.02989
  • Lowerbound of 95% confidence interval for beta
    -0.03785
  • Upperbound of 95% confidence interval for beta
    2.88255
  • Lowerbound of 95% confidence interval for alpha
    -0.14496
  • Upperbound of 95% confidence interval for alpha
    7.12679
  • Treynor index (mean / b)
    2.68422
  • Jensen alpha (a)
    3.49092
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    2.70985
  • SD
    1.39598
  • Sharpe ratio (Glass type estimate)
    1.94118
  • Sharpe ratio (Hedges UMVUE)
    1.93493
  • df
    233.00000
  • t
    1.83453
  • p
    0.03393
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.14224
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.02054
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.14641
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.01627
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.65396
  • Upside Potential Ratio
    7.42909
  • Upside part of mean
    5.50955
  • Downside part of mean
    -2.79970
  • Upside SD
    1.19099
  • Downside SD
    0.74162
  • N nonnegative terms
    120.00000
  • N negative terms
    114.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    234.00000
  • Mean of predictor
    0.21800
  • Mean of criterion
    2.70985
  • SD of predictor
    0.15388
  • SD of criterion
    1.39598
  • Covariance
    0.03810
  • r
    0.17737
  • b (slope, estimate of beta)
    1.60907
  • a (intercept, estimate of alpha)
    2.35907
  • Mean Square Error
    1.89558
  • DF error
    232.00000
  • t(b)
    2.74514
  • p(b)
    0.00326
  • t(a)
    1.61311
  • p(a)
    0.05404
  • Lowerbound of 95% confidence interval for beta
    0.45421
  • Upperbound of 95% confidence interval for beta
    2.76393
  • Lowerbound of 95% confidence interval for alpha
    -0.52228
  • Upperbound of 95% confidence interval for alpha
    5.24043
  • Treynor index (mean / b)
    1.68411
  • Jensen alpha (a)
    2.35907
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.12323
  • Expected Shortfall on VaR
    0.15384
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02126
  • Expected Shortfall on VaR
    0.04921
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    234.00000
  • Minimum
    0.53463
  • Quartile 1
    0.99222
  • Median
    1.00034
  • Quartile 3
    1.01207
  • Maximum
    2.33013
  • Mean of quarter 1
    0.96388
  • Mean of quarter 2
    0.99745
  • Mean of quarter 3
    1.00366
  • Mean of quarter 4
    1.09325
  • Inter Quartile Range
    0.01985
  • Number outliers low
    15.00000
  • Percentage of outliers low
    0.06410
  • Mean of outliers low
    0.90440
  • Number of outliers high
    28.00000
  • Percentage of outliers high
    0.11966
  • Mean of outliers high
    1.17129
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.82519
  • VaR(95%) (moments method)
    0.03472
  • Expected Shortfall (moments method)
    0.20804
  • Extreme Value Index (regression method)
    0.78231
  • VaR(95%) (regression method)
    0.02436
  • Expected Shortfall (regression method)
    0.10733
  • 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
    0.27240
  • 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
    0.31192
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -5.83671
  • VaR(95%) (moments method)
    0.24405
  • Expected Shortfall (moments method)
    0.24408
  • Extreme Value Index (regression method)
    -0.00376
  • VaR(95%) (regression method)
    0.25438
  • Expected Shortfall (regression method)
    0.34080
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    11.79280
  • Compounded annual return (geometric extrapolation)
    14.45230
  • Calmar ratio (compounded annual return / max draw down)
    31.05550
  • Compounded annual return / average of 25% largest draw downs
    53.05440
  • Compounded annual return / Expected Shortfall lognormal
    93.94310
  • 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
    1.38788
  • SD
    1.19006
  • Sharpe ratio (Glass type estimate)
    1.16622
  • Sharpe ratio (Hedges UMVUE)
    1.15948
  • df
    130.00000
  • t
    0.82464
  • p
    0.46393
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.61138
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.93948
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.61590
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.93487
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.87859
  • Upside Potential Ratio
    5.57668
  • Upside part of mean
    4.11997
  • Downside part of mean
    -2.73210
  • Upside SD
    0.93112
  • Downside SD
    0.73879
  • 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
    -0.08680
  • Mean of criterion
    1.38788
  • SD of predictor
    0.15981
  • SD of criterion
    1.19006
  • Covariance
    0.05411
  • r
    0.28450
  • b (slope, estimate of beta)
    2.11857
  • a (intercept, estimate of alpha)
    1.57178
  • Mean Square Error
    1.31170
  • DF error
    129.00000
  • t(b)
    3.37059
  • p(b)
    0.32136
  • t(a)
    0.96986
  • p(a)
    0.44590
  • Lowerbound of 95% confidence interval for beta
    0.87497
  • Upperbound of 95% confidence interval for beta
    3.36216
  • Lowerbound of 95% confidence interval for alpha
    -1.63465
  • Upperbound of 95% confidence interval for alpha
    4.77820
  • Treynor index (mean / b)
    0.65510
  • Jensen alpha (a)
    1.57178
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.64112
  • SD
    1.26068
  • Sharpe ratio (Glass type estimate)
    0.50855
  • Sharpe ratio (Hedges UMVUE)
    0.50561
  • df
    130.00000
  • t
    0.35960
  • p
    0.48424
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.26491
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.28008
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.26688
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.27810
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.67249
  • Upside Potential Ratio
    3.93848
  • Upside part of mean
    3.75478
  • Downside part of mean
    -3.11366
  • Upside SD
    0.81846
  • Downside SD
    0.95336
  • 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
    -0.09957
  • Mean of criterion
    0.64112
  • SD of predictor
    0.16064
  • SD of criterion
    1.26068
  • Covariance
    0.06128
  • r
    0.30259
  • b (slope, estimate of beta)
    2.37472
  • a (intercept, estimate of alpha)
    0.87757
  • Mean Square Error
    1.45500
  • DF error
    129.00000
  • t(b)
    3.60581
  • p(b)
    0.31035
  • t(a)
    0.51406
  • p(a)
    0.47123
  • Lowerbound of 95% confidence interval for beta
    1.07170
  • Upperbound of 95% confidence interval for beta
    3.67774
  • Lowerbound of 95% confidence interval for alpha
    -2.50003
  • Upperbound of 95% confidence interval for alpha
    4.25517
  • Treynor index (mean / b)
    0.26998
  • Jensen alpha (a)
    0.87757
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.11809
  • Expected Shortfall on VaR
    0.14597
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02279
  • Expected Shortfall on VaR
    0.05363
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.53463
  • Quartile 1
    0.99623
  • Median
    1.00012
  • Quartile 3
    1.00387
  • Maximum
    1.36432
  • Mean of quarter 1
    0.96011
  • Mean of quarter 2
    0.99871
  • Mean of quarter 3
    1.00162
  • Mean of quarter 4
    1.06106
  • Inter Quartile Range
    0.00764
  • Number outliers low
    16.00000
  • Percentage of outliers low
    0.12214
  • Mean of outliers low
    0.92643
  • Number of outliers high
    18.00000
  • Percentage of outliers high
    0.13740
  • Mean of outliers high
    1.10643
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    1.00421
  • VaR(95%) (moments method)
    0.02719
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    1.01833
  • VaR(95%) (regression method)
    0.02483
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    6.00000
  • Minimum
    0.00185
  • Quartile 1
    0.02976
  • Median
    0.14515
  • Quartile 3
    0.27031
  • Maximum
    0.46537
  • Mean of quarter 1
    0.01505
  • Mean of quarter 2
    0.03427
  • Mean of quarter 3
    0.25602
  • Mean of quarter 4
    0.37022
  • Inter Quartile Range
    0.24055
  • 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)
    0.79452
  • Compounded annual return (geometric extrapolation)
    0.95234
  • Calmar ratio (compounded annual return / max draw down)
    2.04641
  • Compounded annual return / average of 25% largest draw downs
    2.57234
  • Compounded annual return / Expected Shortfall lognormal
    6.52395

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
559
# Profitable
383
% Profitable
68.5%
Net Dividends
Correlation S&P500
0.125
Sharpe Ratio
2.179

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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