Welcome to AGM - Access to Global Markets

Follow these tips for a better experience

Ok, let's start

Close
Add to Watch List Create new Watch List
Add
Enter a name for your Watch List.
Watch List name must be less than 60 characters.
You have reached the maximum number of custom Watch Lists.
You have reached the maximum number of strategies in this Watch List.
Strategy added to Watch List. Go to Watch List

Sim is unavailable for this strategy, because you've recently "Simmed" it.

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

Bitcoin Related Trader
(115425870)

Created by: QuantitativeModels QuantitativeModels
Started: 12/2017
Stocks
Last trade: 18 days ago

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 $149.00 per month.

124.2%
Cumul. Return

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 Cumulative Rate of Return is calculated

= (Ending_equity - Starting_equity) / Starting_equity

Remember that, following NFA requirements, strategy subscription costs and estimated commissions are included in marked-to-market equity calculations.

All results are hypothetical.

(16.5%)
Max Drawdown
81
Num Trades
46.9%
Win Trades
2.3 : 1
Profit Factor
58.3%
Win Months
Hypothetical Monthly Returns (includes system fee and Interactive Brokers commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2017                                                                             +84.3%+84.3%
2018+13.6%(5%)(0.8%)+6.5%(10.5%)+1.0%+4.8%+10.9%+3.5%(1.9%)  -        +21.6%

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.

System developer has asked us to delay this information by 168 hours.

Trading Record

This strategy has placed 52 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
10/25/18 15:45 GBTC BITCOIN INVT TR COMMON STOCK LONG 3,000 7.03 10/26 15:48 7.01 0.61%
Trade id #120547189
Max drawdown($360)
Time10/26/18 10:44
Quant open3,000
Worst price6.91
Drawdown as % of equity-0.61%
($90)
Includes Typical Broker Commissions trade costs of $30.00
10/16/18 15:06 GBTC BITCOIN INVT TR COMMON STOCK LONG 2,000 7.30 10/18 15:14 6.99 1.18%
Trade id #120386273
Max drawdown($700)
Time10/18/18 13:57
Quant open2,000
Worst price6.95
Drawdown as % of equity-1.18%
($640)
Includes Typical Broker Commissions trade costs of $20.00
10/11/18 14:07 GBTC BITCOIN INVT TR COMMON STOCK LONG 2,100 6.92 10/12 14:56 6.82 0.56%
Trade id #120306663
Max drawdown($336)
Time10/11/18 15:06
Quant open2,100
Worst price6.76
Drawdown as % of equity-0.56%
($232)
Includes Typical Broker Commissions trade costs of $21.50
10/3/18 12:41 GBTC BITCOIN INVT TR COMMON STOCK LONG 100 7.25 10/5 13:59 7.26 0.01%
Trade id #120164835
Max drawdown($5)
Time10/4/18 12:35
Quant open100
Worst price7.20
Drawdown as % of equity-0.01%
($1)
Includes Typical Broker Commissions trade costs of $2.00
10/1/18 14:17 @XBTV8 Bitcoin SHORT 1 6545 10/2 16:01 6520 0.07%
Trade id #120122033
Max drawdown($45)
Time10/1/18 21:51
Quant open-1
Worst price6590
Drawdown as % of equity-0.07%
$19
Includes Typical Broker Commissions trade costs of $6.00
9/28/18 14:55 GBTC BITCOIN INVT TR COMMON STOCK LONG 500 7.92 9/28 14:56 7.92 n/a ($5)
Includes Typical Broker Commissions trade costs of $5.00
9/27/18 15:46 GBTC BITCOIN INVT TR COMMON STOCK LONG 3,200 7.94 9/28 14:53 7.94 0.07%
Trade id #120075022
Max drawdown($41)
Time9/27/18 15:48
Quant open3,100
Worst price7.92
Drawdown as % of equity-0.07%
($6)
Includes Typical Broker Commissions trade costs of $34.50
9/26/18 15:57 GBTC BITCOIN INVT TR COMMON STOCK SHORT 2,000 8.07 9/27 14:12 7.94 0.1%
Trade id #120053156
Max drawdown($60)
Time9/27/18 9:31
Quant open-2,000
Worst price8.10
Drawdown as % of equity-0.10%
$240
Includes Typical Broker Commissions trade costs of $20.00
9/26/18 15:50 GBTC BITCOIN INVT TR COMMON STOCK SHORT 6,100 7.99 9/26 15:56 8.10 1.11%
Trade id #120052969
Max drawdown($663)
Time9/26/18 15:56
Quant open0
Worst price8.10
Drawdown as % of equity-1.11%
($725)
Includes Typical Broker Commissions trade costs of $61.50
9/21/18 14:59 GBTC BITCOIN INVT TR COMMON STOCK LONG 2,600 8.68 9/24 11:18 8.45 1.57%
Trade id #119983119
Max drawdown($964)
Time9/24/18 9:45
Quant open2,600
Worst price8.31
Drawdown as % of equity-1.57%
($631)
Includes Typical Broker Commissions trade costs of $27.00
9/20/18 14:07 GBTC BITCOIN INVT TR COMMON STOCK LONG 5,000 8.05 9/20 14:13 8.17 0.33%
Trade id #119956510
Max drawdown($200)
Time9/20/18 14:12
Quant open5,000
Worst price8.01
Drawdown as % of equity-0.33%
$550
Includes Typical Broker Commissions trade costs of $50.00
9/20/18 14:04 GBTC BITCOIN INVT TR COMMON STOCK LONG 4,000 8.02 9/20 14:05 8.17 n/a $560
Includes Typical Broker Commissions trade costs of $40.00
9/20/18 13:59 GBTC BITCOIN INVT TR COMMON STOCK SHORT 100 8.17 9/20 14:02 8.05 n/a $10
Includes Typical Broker Commissions trade costs of $2.00
9/18/18 14:09 GBTC BITCOIN INVT TR COMMON STOCK LONG 100 8.13 9/18 14:10 8.11 0%
Trade id #119915088
Max drawdown($2)
Time9/18/18 14:10
Quant open0
Worst price8.11
Drawdown as % of equity-0.00%
($4)
Includes Typical Broker Commissions trade costs of $2.00
9/17/18 15:23 @XBTV8 Bitcoin SHORT 1 6265 9/18 14:10 6320 0.16%
Trade id #119896389
Max drawdown($95)
Time9/18/18 9:19
Quant open-1
Worst price6360
Drawdown as % of equity-0.16%
($61)
Includes Typical Broker Commissions trade costs of $6.00
9/17/18 15:21 GBTC BITCOIN INVT TR COMMON STOCK SHORT 2,000 8.07 9/17 15:24 8.02 n/a $80
Includes Typical Broker Commissions trade costs of $20.50
9/12/18 12:53 GBTC BITCOIN INVT TR COMMON STOCK LONG 6,600 8.20 9/17 12:15 8.25 0.33%
Trade id #119828706
Max drawdown($200)
Time9/17/18 11:21
Quant open1,000
Worst price8.00
Drawdown as % of equity-0.33%
$270
Includes Typical Broker Commissions trade costs of $70.50
9/12/18 12:48 GBTC BITCOIN INVT TR COMMON STOCK LONG 3,100 8.10 9/12 12:51 8.14 0%
Trade id #119828564
Max drawdown$0
Time9/12/18 12:50
Quant open3,100
Worst price8.10
Drawdown as % of equity0.00%
$93
Includes Typical Broker Commissions trade costs of $31.50
9/7/18 15:43 GBTC BITCOIN INVT TR COMMON STOCK LONG 6,000 8.33 9/7 15:44 8.59 n/a $1,500
Includes Typical Broker Commissions trade costs of $60.00
9/7/18 15:32 GBTC BITCOIN INVT TR COMMON STOCK LONG 2,000 8.34 9/7 15:32 8.59 n/a $490
Includes Typical Broker Commissions trade costs of $20.00
9/7/18 15:30 GBTC BITCOIN INVT TR COMMON STOCK LONG 20 8.62 9/7 15:31 8.59 0%
Trade id #119766542
Max drawdown($1)
Time9/7/18 15:31
Quant open0
Worst price8.59
Drawdown as % of equity-0.00%
($3)
Includes Typical Broker Commissions trade costs of $2.00
9/6/18 14:56 GBTC BITCOIN INVT TR COMMON STOCK LONG 600 8.69 9/6 14:57 8.55 0.15%
Trade id #119751167
Max drawdown($84)
Time9/6/18 14:57
Quant open0
Worst price8.55
Drawdown as % of equity-0.15%
($90)
Includes Typical Broker Commissions trade costs of $6.00
8/24/18 15:49 GBTC BITCOIN INVT TR COMMON STOCK LONG 3,700 9.13 9/5 13:53 9.45 0.38%
Trade id #119591512
Max drawdown($215)
Time9/5/18 13:35
Quant open800
Worst price8.86
Drawdown as % of equity-0.38%
$1,157
Includes Typical Broker Commissions trade costs of $38.00
8/24/18 15:37 GBTC BITCOIN INVT TR COMMON STOCK LONG 3,000 8.94 8/24 15:46 9.20 n/a $735
Includes Typical Broker Commissions trade costs of $30.00
8/24/18 15:24 GBTC BITCOIN INVT TR COMMON STOCK LONG 3,000 8.94 8/24 15:35 9.18 n/a $690
Includes Typical Broker Commissions trade costs of $30.00
8/24/18 14:52 GBTC BITCOIN INVT TR COMMON STOCK LONG 29,100 8.94 8/24 15:23 9.08 n/a $3,745
Includes Typical Broker Commissions trade costs of $291.50
7/18/18 11:32 @XBTQ8 Bitcoin LONG 4 7171 8/15 9:00 7072 5.24%
Trade id #118996938
Max drawdown($2,632)
Time8/13/18 22:08
Quant open2
Worst price5855
Drawdown as % of equity-5.24%
($419)
Includes Typical Broker Commissions trade costs of $24.00
7/16/18 15:55 GBTC BITCOIN INVT TR COMMON STOCK LONG 1,900 10.56 7/18 11:30 11.88 0.12%
Trade id #118962759
Max drawdown($60)
Time7/16/18 16:00
Quant open1,500
Worst price10.16
Drawdown as % of equity-0.12%
$2,497
Includes Typical Broker Commissions trade costs of $19.00
6/15/18 15:56 @XBTN8 Bitcoin SHORT 1 6550 7/3 15:48 6575 0.62%
Trade id #118463931
Max drawdown($300)
Time6/19/18 9:16
Quant open-1
Worst price6850
Drawdown as % of equity-0.62%
($31)
Includes Typical Broker Commissions trade costs of $6.00
5/17/18 15:49 @XBTM8 Bitcoin LONG 1 8210 5/29 14:21 7505 2.4%
Trade id #117984833
Max drawdown($1,155)
Time5/28/18 21:41
Quant open1
Worst price7055
Drawdown as % of equity-2.40%
($711)
Includes Typical Broker Commissions trade costs of $6.00

Statistics

  • Strategy began
    12/19/2017
  • Suggested Minimum Cap
    $60,000
  • Strategy Age (days)
    329.21
  • Age
    11 months ago
  • What it trades
    Stocks
  • # Trades
    81
  • # Profitable
    38
  • % Profitable
    46.90%
  • Avg trade duration
    3.9 days
  • Max peak-to-valley drawdown
    16.55%
  • drawdown period
    April 24, 2018 - May 29, 2018
  • Cumul. Return
    128.1%
  • Avg win
    $1,600
  • Avg loss
    $619.91
  • Model Account Values (Raw)
  • Cash
    $59,151
  • Margin Used
    $0
  • Buying Power
    $59,151
  • Ratios
  • W:L ratio
    2.28:1
  • Sharpe Ratio
    2.112
  • Sortino Ratio
    10.371
  • Calmar Ratio
    12.422
  • CORRELATION STATISTICS
  • Correlation to SP500
    0.00600
  • Return Statistics
  • Ann Return (w trading costs)
    147.2%
  • Ann Return (Compnd, No Fees)
    159.1%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    15.00%
  • Chance of 20% account loss
    3.50%
  • Chance of 30% account loss
    n/a
  • Chance of 40% account loss
    n/a
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    588
  • Popularity (Last 6 weeks)
    871
  • C2 Score
    88.2
  • 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
    $620
  • Avg Win
    $1,600
  • # Winners
    38
  • # Losers
    43
  • % Winners
    46.9%
  • Frequency
  • Avg Position Time (mins)
    5586.82
  • Avg Position Time (hrs)
    93.11
  • Avg Trade Length
    3.9 days
  • Last Trade Ago
    18
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    1.36353
  • SD
    1.00914
  • Sharpe ratio (Glass type estimate)
    1.35118
  • Sharpe ratio (Hedges UMVUE)
    1.23481
  • df
    9.00000
  • t
    1.23345
  • p
    0.12433
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.91628
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.55047
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.98671
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.45633
  • Statistics related to Sortino ratio
  • Sortino ratio
    12.85960
  • Upside Potential Ratio
    14.31330
  • Upside part of mean
    1.51767
  • Downside part of mean
    -0.15414
  • Upside SD
    1.02967
  • Downside SD
    0.10603
  • N nonnegative terms
    6.00000
  • N negative terms
    4.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    10.00000
  • Mean of predictor
    -0.00477
  • Mean of criterion
    1.36353
  • SD of predictor
    0.14572
  • SD of criterion
    1.00914
  • Covariance
    0.07345
  • r
    0.49951
  • b (slope, estimate of beta)
    3.45926
  • a (intercept, estimate of alpha)
    1.38003
  • Mean Square Error
    0.85981
  • DF error
    8.00000
  • t(b)
    1.63085
  • p(b)
    0.07078
  • t(a)
    1.35855
  • p(a)
    0.10568
  • Lowerbound of 95% confidence interval for beta
    -1.43210
  • Upperbound of 95% confidence interval for beta
    8.35062
  • Lowerbound of 95% confidence interval for alpha
    -0.96244
  • Upperbound of 95% confidence interval for alpha
    3.72251
  • Treynor index (mean / b)
    0.39417
  • Jensen alpha (a)
    1.38003
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    1.01642
  • SD
    0.72129
  • Sharpe ratio (Glass type estimate)
    1.40917
  • Sharpe ratio (Hedges UMVUE)
    1.28780
  • df
    9.00000
  • t
    1.28639
  • p
    0.11521
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.86691
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.61472
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.94013
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.51573
  • Statistics related to Sortino ratio
  • Sortino ratio
    9.16542
  • Upside Potential Ratio
    10.60580
  • Upside part of mean
    1.17615
  • Downside part of mean
    -0.15974
  • Upside SD
    0.73622
  • Downside SD
    0.11090
  • N nonnegative terms
    6.00000
  • N negative terms
    4.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    10.00000
  • Mean of predictor
    -0.01444
  • Mean of criterion
    1.01642
  • SD of predictor
    0.14724
  • SD of criterion
    0.72129
  • Covariance
    0.05269
  • r
    0.49614
  • b (slope, estimate of beta)
    2.43035
  • a (intercept, estimate of alpha)
    1.05150
  • Mean Square Error
    0.44122
  • DF error
    8.00000
  • t(b)
    1.61623
  • p(b)
    0.07235
  • t(a)
    1.44444
  • p(a)
    0.09331
  • Lowerbound of 95% confidence interval for beta
    -1.03722
  • Upperbound of 95% confidence interval for beta
    5.89792
  • Lowerbound of 95% confidence interval for alpha
    -0.62719
  • Upperbound of 95% confidence interval for alpha
    2.73019
  • Treynor index (mean / b)
    0.41822
  • Jensen alpha (a)
    1.05150
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.22724
  • Expected Shortfall on VaR
    0.28959
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02508
  • Expected Shortfall on VaR
    0.05417
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    10.00000
  • Minimum
    0.90786
  • Quartile 1
    0.99250
  • Median
    1.05074
  • Quartile 3
    1.07136
  • Maximum
    1.92873
  • Mean of quarter 1
    0.96151
  • Mean of quarter 2
    1.02106
  • Mean of quarter 3
    1.06052
  • Mean of quarter 4
    1.37062
  • Inter Quartile Range
    0.07886
  • 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
    0.10000
  • Mean of outliers high
    1.92873
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.73084
  • VaR(95%) (moments method)
    0.03888
  • Expected Shortfall (moments method)
    0.16719
  • Extreme Value Index (regression method)
    2.74932
  • VaR(95%) (regression method)
    0.15343
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    3.00000
  • Minimum
    0.00878
  • Quartile 1
    0.01167
  • Median
    0.01455
  • Quartile 3
    0.05501
  • Maximum
    0.09546
  • Mean of quarter 1
    0.00878
  • Mean of quarter 2
    0.01455
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.09546
  • Inter Quartile Range
    0.04334
  • 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)
    1.66506
  • Compounded annual return (geometric extrapolation)
    1.84147
  • Calmar ratio (compounded annual return / max draw down)
    19.28970
  • Compounded annual return / average of 25% largest draw downs
    19.28970
  • Compounded annual return / Expected Shortfall lognormal
    6.35896
  • 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
    1.09118
  • SD
    0.51500
  • Sharpe ratio (Glass type estimate)
    2.11879
  • Sharpe ratio (Hedges UMVUE)
    2.11175
  • df
    226.00000
  • t
    1.97220
  • p
    0.02490
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.00180
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.23117
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.00287
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.22638
  • Statistics related to Sortino ratio
  • Sortino ratio
    10.37080
  • Upside Potential Ratio
    17.20680
  • Upside part of mean
    1.81045
  • Downside part of mean
    -0.71927
  • Upside SD
    0.50748
  • Downside SD
    0.10522
  • N nonnegative terms
    76.00000
  • N negative terms
    151.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    227.00000
  • Mean of predictor
    0.00144
  • Mean of criterion
    1.09118
  • SD of predictor
    0.15397
  • SD of criterion
    0.51500
  • Covariance
    0.00046
  • r
    0.00577
  • b (slope, estimate of beta)
    0.01930
  • a (intercept, estimate of alpha)
    1.09100
  • Mean Square Error
    0.26640
  • DF error
    225.00000
  • t(b)
    0.08653
  • p(b)
    0.46556
  • t(a)
    1.96781
  • p(a)
    0.02516
  • Lowerbound of 95% confidence interval for beta
    -0.42010
  • Upperbound of 95% confidence interval for beta
    0.45869
  • Lowerbound of 95% confidence interval for alpha
    -0.00153
  • Upperbound of 95% confidence interval for alpha
    2.18383
  • Treynor index (mean / b)
    56.55120
  • Jensen alpha (a)
    1.09115
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.97654
  • SD
    0.45757
  • Sharpe ratio (Glass type estimate)
    2.13419
  • Sharpe ratio (Hedges UMVUE)
    2.12710
  • df
    226.00000
  • t
    1.98653
  • p
    0.02409
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.01706
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.24670
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.01234
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.24186
  • Statistics related to Sortino ratio
  • Sortino ratio
    9.17831
  • Upside Potential Ratio
    15.99060
  • Upside part of mean
    1.70135
  • Downside part of mean
    -0.72481
  • Upside SD
    0.44807
  • Downside SD
    0.10640
  • N nonnegative terms
    76.00000
  • N negative terms
    151.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    227.00000
  • Mean of predictor
    -0.01043
  • Mean of criterion
    0.97654
  • SD of predictor
    0.15469
  • SD of criterion
    0.45757
  • Covariance
    0.00053
  • r
    0.00751
  • b (slope, estimate of beta)
    0.02221
  • a (intercept, estimate of alpha)
    0.97678
  • Mean Square Error
    0.21029
  • DF error
    225.00000
  • t(b)
    0.11264
  • p(b)
    0.45521
  • t(a)
    1.98264
  • p(a)
    0.02431
  • Lowerbound of 95% confidence interval for beta
    -0.36637
  • Upperbound of 95% confidence interval for beta
    0.41079
  • Lowerbound of 95% confidence interval for alpha
    0.00595
  • Upperbound of 95% confidence interval for alpha
    1.94760
  • Treynor index (mean / b)
    43.96470
  • Jensen alpha (a)
    0.97678
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.04187
  • Expected Shortfall on VaR
    0.05307
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00749
  • Expected Shortfall on VaR
    0.01505
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    227.00000
  • Minimum
    0.96503
  • Quartile 1
    0.99797
  • Median
    1.00000
  • Quartile 3
    1.00121
  • Maximum
    1.38375
  • Mean of quarter 1
    0.99004
  • Mean of quarter 2
    0.99930
  • Mean of quarter 3
    1.00023
  • Mean of quarter 4
    1.02744
  • Inter Quartile Range
    0.00325
  • Number outliers low
    30.00000
  • Percentage of outliers low
    0.13216
  • Mean of outliers low
    0.98452
  • Number of outliers high
    34.00000
  • Percentage of outliers high
    0.14978
  • Mean of outliers high
    1.04389
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.47070
  • VaR(95%) (moments method)
    0.00833
  • Expected Shortfall (moments method)
    0.01891
  • Extreme Value Index (regression method)
    0.11496
  • VaR(95%) (regression method)
    0.00995
  • Expected Shortfall (regression method)
    0.01603
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    9.00000
  • Minimum
    0.00004
  • Quartile 1
    0.00712
  • Median
    0.03314
  • Quartile 3
    0.08402
  • Maximum
    0.13931
  • Mean of quarter 1
    0.00432
  • Mean of quarter 2
    0.02251
  • Mean of quarter 3
    0.06719
  • Mean of quarter 4
    0.11289
  • Inter Quartile Range
    0.07690
  • 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)
    0.13916
  • VaR(95%) (moments method)
    0.12124
  • Expected Shortfall (moments method)
    0.15333
  • Extreme Value Index (regression method)
    3.42852
  • VaR(95%) (regression method)
    0.24957
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    1.60149
  • Compounded annual return (geometric extrapolation)
    1.73041
  • Calmar ratio (compounded annual return / max draw down)
    12.42170
  • Compounded annual return / average of 25% largest draw downs
    15.32800
  • Compounded annual return / Expected Shortfall lognormal
    32.60720
  • 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
    0.28167
  • SD
    0.16091
  • Sharpe ratio (Glass type estimate)
    1.75047
  • Sharpe ratio (Hedges UMVUE)
    1.74036
  • df
    130.00000
  • t
    1.23777
  • p
    0.44604
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.03276
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.52717
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.03951
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.52022
  • Statistics related to Sortino ratio
  • Sortino ratio
    4.64989
  • Upside Potential Ratio
    12.42860
  • Upside part of mean
    0.75287
  • Downside part of mean
    -0.47120
  • Upside SD
    0.14943
  • Downside SD
    0.06058
  • N nonnegative terms
    40.00000
  • N negative terms
    91.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.02436
  • Mean of criterion
    0.28167
  • SD of predictor
    0.13041
  • SD of criterion
    0.16091
  • Covariance
    0.00243
  • r
    0.11568
  • b (slope, estimate of beta)
    0.14273
  • a (intercept, estimate of alpha)
    0.27819
  • Mean Square Error
    0.02574
  • DF error
    129.00000
  • t(b)
    1.32269
  • p(b)
    0.42652
  • t(a)
    1.22593
  • p(a)
    0.43181
  • Lowerbound of 95% confidence interval for beta
    -0.07077
  • Upperbound of 95% confidence interval for beta
    0.35623
  • Lowerbound of 95% confidence interval for alpha
    -0.17078
  • Upperbound of 95% confidence interval for alpha
    0.72716
  • Treynor index (mean / b)
    1.97342
  • Jensen alpha (a)
    0.27819
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.26895
  • SD
    0.15811
  • Sharpe ratio (Glass type estimate)
    1.70099
  • Sharpe ratio (Hedges UMVUE)
    1.69116
  • df
    130.00000
  • t
    1.20278
  • p
    0.44755
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.08167
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.47735
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.08826
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.47057
  • Statistics related to Sortino ratio
  • Sortino ratio
    4.41751
  • Upside Potential Ratio
    12.18650
  • Upside part of mean
    0.74194
  • Downside part of mean
    -0.47299
  • Upside SD
    0.14621
  • Downside SD
    0.06088
  • N nonnegative terms
    40.00000
  • N negative terms
    91.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.01588
  • Mean of criterion
    0.26895
  • SD of predictor
    0.13083
  • SD of criterion
    0.15811
  • Covariance
    0.00238
  • r
    0.11491
  • b (slope, estimate of beta)
    0.13887
  • a (intercept, estimate of alpha)
    0.26674
  • Mean Square Error
    0.02486
  • DF error
    129.00000
  • t(b)
    1.31384
  • p(b)
    0.42701
  • t(a)
    1.19621
  • p(a)
    0.43344
  • Lowerbound of 95% confidence interval for beta
    -0.07026
  • Upperbound of 95% confidence interval for beta
    0.34800
  • Lowerbound of 95% confidence interval for alpha
    -0.17445
  • Upperbound of 95% confidence interval for alpha
    0.70793
  • Treynor index (mean / b)
    1.93664
  • Jensen alpha (a)
    0.26674
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01493
  • Expected Shortfall on VaR
    0.01893
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00505
  • Expected Shortfall on VaR
    0.00956
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.98313
  • Quartile 1
    0.99797
  • Median
    1.00000
  • Quartile 3
    1.00043
  • Maximum
    1.06111
  • Mean of quarter 1
    0.99369
  • Mean of quarter 2
    0.99947
  • Mean of quarter 3
    1.00006
  • Mean of quarter 4
    1.01148
  • Inter Quartile Range
    0.00246
  • Number outliers low
    15.00000
  • Percentage of outliers low
    0.11450
  • Mean of outliers low
    0.99024
  • Number of outliers high
    18.00000
  • Percentage of outliers high
    0.13740
  • Mean of outliers high
    1.01946
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.08964
  • VaR(95%) (moments method)
    0.00547
  • Expected Shortfall (moments method)
    0.00802
  • Extreme Value Index (regression method)
    0.01574
  • VaR(95%) (regression method)
    0.00602
  • Expected Shortfall (regression method)
    0.00855
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    5.00000
  • Minimum
    0.00712
  • Quartile 1
    0.01189
  • Median
    0.03314
  • Quartile 3
    0.05417
  • Maximum
    0.06204
  • Mean of quarter 1
    0.00950
  • Mean of quarter 2
    0.03314
  • Mean of quarter 3
    0.05417
  • Mean of quarter 4
    0.06204
  • Inter Quartile Range
    0.04228
  • 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)
    0.32002
  • Compounded annual return (geometric extrapolation)
    0.34562
  • Calmar ratio (compounded annual return / max draw down)
    5.57095
  • Compounded annual return / average of 25% largest draw downs
    5.57095
  • Compounded annual return / Expected Shortfall lognormal
    18.25350

Strategy Description

Compared to BITCOIN RELATED, this strategy (BITCOIN RELATED TRADER) is sometimes less aggressive in taking positions on the direction of the blockchain and crypto-currency market.

When this strategy takes a bullish position on Bitcoin, it will usually buy GBTC or buy XBT Bitcoin futures. But when the strategy takes a bearish position on Bitcoin, GBTC is usually unavailable at most brokerage houses to allow shorting. In that event, a bearish position in Bitcoin will usually be implemented by selling Bitcoin futures contracts.

Warning: Bitcoin and blockchain trading is highly volatile.

Summary Statistics

Strategy began
2017-12-19
Suggested Minimum Capital
$60,000
# Trades
81
# Profitable
38
% Profitable
46.9%
Correlation S&P500
0.006
Sharpe Ratio
2.112

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.

Okay, gotcha.

Not available

This feature isn't available under your current Trade Leader Plan.

Want to see available plans and features?

Strategy is now visible

This strategy is now visible to the public. New subscribers will be able to follow it.

Strategy is no longer visible

This strategy is no longer visible to anyone except current subscribers.

(Current subscribers will remain subscribed. You can see who is subscribed, and control their subscriptions, on your Subscriber Management screen.)

Finally, please note that you can restore public visibility at any time.

This strategy is no longer visible to the public. No subscribers will be allowed.

You can restore public visibility at any time.

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.

0