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TradeMate NQ Swing
(115878624)

Created by: TradeMate TradeMate
Started: 01/2018
Futures
Last trade: 28 days ago
Trading style: Futures Trend-following

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 $179.00 per month.

Trading Category: Futures
Trend-following
Category: Equity

Trend-following

Buys when price goes up, and sells when price goes down, expecting price movements to continue. There are a number of different techniques and time-frames used, including moving averages and channel breakouts. Traders do not aim to forecast specific price levels; they simply jump on a trend and ride it. Typically, trend-following analysis is backward looking; that is, it attempts to recognize and profit from already-established trends.
79.8%
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.

(14.9%)
Max Drawdown
35
Num Trades
54.3%
Win Trades
2.8 : 1
Profit Factor
63.6%
Win Months
Hypothetical Monthly Returns (includes system fee and Interactive Brokers commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2018+12.5%(0.1%)(3.3%)+9.5%+9.4%+17.7%(1.5%)(1.9%)+4.0%+5.5%+10.7%      +79.8%

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 75 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
10/16/18 12:55 @NQZ8 E-MINI NASDAQ 100 STK IDX LONG 3 7238.87 10/16 15:55 7305.62 0.59%
Trade id #120384214
Max drawdown($231)
Time10/16/18 12:58
Quant open3
Worst price7235.00
Drawdown as % of equity-0.59%
$3,993
Includes Typical Broker Commissions trade costs of $12.06
10/1/18 9:35 @NQZ8 E-MINI NASDAQ 100 STK IDX LONG 3 7711.69 10/1 12:55 7684.90 4.35%
Trade id #120115071
Max drawdown($1,751)
Time10/1/18 12:46
Quant open3
Worst price7682.50
Drawdown as % of equity-4.35%
($1,620)
Includes Typical Broker Commissions trade costs of $12.06
9/26/18 9:40 @NQZ8 E-MINI NASDAQ 100 STK IDX LONG 3 7603.55 9/26 15:50 7589.98 2.4%
Trade id #120041276
Max drawdown($1,052)
Time9/26/18 15:49
Quant open3
Worst price7586.00
Drawdown as % of equity-2.40%
($826)
Includes Typical Broker Commissions trade costs of $12.06
9/20/18 9:45 @NQZ8 E-MINI NASDAQ 100 STK IDX LONG 3 7584.84 9/21 10:00 7610.60 3.1%
Trade id #119945752
Max drawdown($1,250)
Time9/20/18 9:54
Quant open3
Worst price7564.00
Drawdown as % of equity-3.10%
$1,533
Includes Typical Broker Commissions trade costs of $12.06
9/13/18 9:35 @NQZ8 E-MINI NASDAQ 100 STK IDX LONG 3 7583.69 9/14 9:35 7599.29 3.45%
Trade id #119839922
Max drawdown($1,376)
Time9/13/18 10:44
Quant open3
Worst price7560.75
Drawdown as % of equity-3.45%
$924
Includes Typical Broker Commissions trade costs of $12.06
9/11/18 11:50 @NQZ8 E-MINI NASDAQ 100 STK IDX LONG 3 7519.47 9/12 9:35 7521.41 0.79%
Trade id #119803651
Max drawdown($313)
Time9/12/18 9:32
Quant open3
Worst price7514.25
Drawdown as % of equity-0.79%
$105
Includes Typical Broker Commissions trade costs of $12.06
8/16/18 12:30 @NQU8 E-MINI NASDAQ 100 STK IDX LONG 3 7424.16 8/16 12:45 7416.70 1.39%
Trade id #119472478
Max drawdown($549)
Time8/16/18 12:45
Quant open3
Worst price7415.00
Drawdown as % of equity-1.39%
($459)
Includes Typical Broker Commissions trade costs of $12.06
7/24/18 9:35 @NQU8 E-MINI NASDAQ 100 STK IDX LONG 3 7470.12 7/24 11:10 7438.54 5.09%
Trade id #119089007
Max drawdown($2,107)
Time7/24/18 11:09
Quant open3
Worst price7435.00
Drawdown as % of equity-5.09%
($1,907)
Includes Typical Broker Commissions trade costs of $12.06
7/17/18 12:25 @NQU8 E-MINI NASDAQ 100 STK IDX LONG 3 7412.48 7/18 9:40 7409.33 1.04%
Trade id #118977450
Max drawdown($434)
Time7/18/18 8:19
Quant open3
Worst price7405.25
Drawdown as % of equity-1.04%
($201)
Includes Typical Broker Commissions trade costs of $12.06
7/9/18 14:55 @NQU8 E-MINI NASDAQ 100 STK IDX LONG 3 7278.71 7/10 9:35 7300.76 0.55%
Trade id #118830737
Max drawdown($222)
Time7/9/18 15:18
Quant open3
Worst price7275.00
Drawdown as % of equity-0.55%
$1,310
Includes Typical Broker Commissions trade costs of $12.06
7/6/18 11:45 @NQU8 E-MINI NASDAQ 100 STK IDX LONG 3 7214.46 7/6 15:45 7222.72 1.4%
Trade id #118804784
Max drawdown($552)
Time7/6/18 11:54
Quant open3
Worst price7205.25
Drawdown as % of equity-1.40%
$484
Includes Typical Broker Commissions trade costs of $12.06
6/27/18 10:40 @NQU8 E-MINI NASDAQ 100 STK IDX LONG 3 7150.57 6/27 10:55 7129.80 3.03%
Trade id #118672012
Max drawdown($1,246)
Time6/27/18 10:55
Quant open0
Worst price7129.80
Drawdown as % of equity-3.03%
($1,258)
Includes Typical Broker Commissions trade costs of $12.06
6/20/18 9:40 @NQU8 E-MINI NASDAQ 100 STK IDX LONG 3 7293.31 6/21 5:43 7317.30 1.99%
Trade id #118533857
Max drawdown($798)
Time6/20/18 10:33
Quant open3
Worst price7280.00
Drawdown as % of equity-1.99%
$1,428
Includes Typical Broker Commissions trade costs of $12.06
6/14/18 10:05 @NQU8 E-MINI NASDAQ 100 STK IDX LONG 3 7294.93 6/14 11:00 7279.38 2.28%
Trade id #118434861
Max drawdown($933)
Time6/14/18 11:00
Quant open0
Worst price7279.38
Drawdown as % of equity-2.28%
($945)
Includes Typical Broker Commissions trade costs of $12.06
6/6/18 15:20 @NQM8 E-MINI NASDAQ 100 STK IDX LONG 3 7198.95 6/7 10:10 7202.43 0.79%
Trade id #118296938
Max drawdown($324)
Time6/7/18 10:10
Quant open1
Worst price7182.75
Drawdown as % of equity-0.79%
$196
Includes Typical Broker Commissions trade costs of $12.06
6/1/18 9:39 @NQM8 E-MINI NASDAQ 100 STK IDX LONG 6 7028.50 6/5 11:35 7083.90 1.45%
Trade id #118209968
Max drawdown($495)
Time6/1/18 10:17
Quant open3
Worst price7020.25
Drawdown as % of equity-1.45%
$6,624
Includes Typical Broker Commissions trade costs of $24.12
5/30/18 12:30 @NQM8 E-MINI NASDAQ 100 STK IDX LONG 3 6989.50 5/30 12:45 6973.06 2.83%
Trade id #118172150
Max drawdown($987)
Time5/30/18 12:45
Quant open0
Worst price6973.06
Drawdown as % of equity-2.83%
($999)
Includes Typical Broker Commissions trade costs of $12.06
5/21/18 9:35 @NQM8 E-MINI NASDAQ 100 STK IDX LONG 3 6946.36 5/21 11:15 6923.01 4.23%
Trade id #118017843
Max drawdown($1,491)
Time5/21/18 11:15
Quant open3
Worst price6921.50
Drawdown as % of equity-4.23%
($1,413)
Includes Typical Broker Commissions trade costs of $12.06
5/16/18 12:30 @NQM8 E-MINI NASDAQ 100 STK IDX LONG 2 6945.73 5/16 15:50 6926.89 2.55%
Trade id #117962614
Max drawdown($939)
Time5/16/18 15:50
Quant open2
Worst price6922.25
Drawdown as % of equity-2.55%
($762)
Includes Typical Broker Commissions trade costs of $8.04
5/9/18 12:25 @NQM8 E-MINI NASDAQ 100 STK IDX LONG 2 6850.68 5/11 9:35 6936.46 0.08%
Trade id #117859928
Max drawdown($27)
Time5/9/18 12:27
Quant open2
Worst price6850.00
Drawdown as % of equity-0.08%
$3,423
Includes Typical Broker Commissions trade costs of $8.04
5/4/18 14:25 @NQM8 E-MINI NASDAQ 100 STK IDX LONG 2 6774.92 5/7 14:30 6844.75 1.77%
Trade id #117804285
Max drawdown($546)
Time5/4/18 15:57
Quant open2
Worst price6761.25
Drawdown as % of equity-1.77%
$2,785
Includes Typical Broker Commissions trade costs of $8.04
4/26/18 10:10 @NQM8 E-MINI NASDAQ 100 STK IDX LONG 2 6636.75 4/27 9:40 6720.25 2.88%
Trade id #117674500
Max drawdown($790)
Time4/26/18 12:00
Quant open2
Worst price6617.00
Drawdown as % of equity-2.88%
$3,332
Includes Typical Broker Commissions trade costs of $8.04
4/17/18 12:20 @NQM8 E-MINI NASDAQ 100 STK IDX LONG 2 6819.92 4/17 15:05 6827.38 1.61%
Trade id #117544535
Max drawdown($436)
Time4/17/18 13:19
Quant open2
Worst price6809.00
Drawdown as % of equity-1.61%
$290
Includes Typical Broker Commissions trade costs of $8.04
3/29/18 13:40 @NQM8 E-MINI NASDAQ 100 STK IDX LONG 2 6574.73 4/2 9:35 6550.11 6.89%
Trade id #117302490
Max drawdown($1,899)
Time4/2/18 7:34
Quant open2
Worst price6527.25
Drawdown as % of equity-6.89%
($993)
Includes Typical Broker Commissions trade costs of $8.04
3/26/18 15:10 @NQM8 E-MINI NASDAQ 100 STK IDX LONG 2 6729.93 3/26 15:40 6746.45 0.57%
Trade id #117236563
Max drawdown($157)
Time3/26/18 15:12
Quant open2
Worst price6726.00
Drawdown as % of equity-0.57%
$653
Includes Typical Broker Commissions trade costs of $8.04
3/26/18 14:55 @NQM8 E-MINI NASDAQ 100 STK IDX LONG 2 6727.52 3/26 15:00 6708.81 2.73%
Trade id #117236241
Max drawdown($770)
Time3/26/18 15:00
Quant open2
Worst price6708.25
Drawdown as % of equity-2.73%
($757)
Includes Typical Broker Commissions trade costs of $8.04
3/21/18 12:40 @NQM8 E-MINI NASDAQ 100 STK IDX LONG 2 6923.65 3/21 13:10 6916.40 1.07%
Trade id #117158690
Max drawdown($306)
Time3/21/18 13:10
Quant open2
Worst price6916.00
Drawdown as % of equity-1.07%
($298)
Includes Typical Broker Commissions trade costs of $8.04
3/21/18 12:20 @NQM8 E-MINI NASDAQ 100 STK IDX LONG 2 6921.45 3/21 12:25 6920.70 0.31%
Trade id #117158120
Max drawdown($88)
Time3/21/18 12:24
Quant open2
Worst price6919.25
Drawdown as % of equity-0.31%
($38)
Includes Typical Broker Commissions trade costs of $8.04
3/9/18 12:20 @NQM8 E-MINI NASDAQ 100 STK IDX LONG 2 7100.42 3/9 12:25 7097.25 0.62%
Trade id #116964691
Max drawdown($176)
Time3/9/18 12:23
Quant open2
Worst price7096.00
Drawdown as % of equity-0.62%
($135)
Includes Typical Broker Commissions trade costs of $8.04
3/9/18 12:15 @NQM8 E-MINI NASDAQ 100 STK IDX LONG 2 7098.50 3/9 12:20 7100.17 0.18%
Trade id #116964548
Max drawdown($50)
Time3/9/18 12:17
Quant open2
Worst price7097.25
Drawdown as % of equity-0.18%
$59
Includes Typical Broker Commissions trade costs of $8.04

Statistics

  • Strategy began
    1/14/2018
  • Suggested Minimum Cap
    $45,000
  • Strategy Age (days)
    302.87
  • Age
    10 months ago
  • What it trades
    Futures
  • # Trades
    35
  • # Profitable
    19
  • % Profitable
    54.30%
  • Avg trade duration
    17.1 hours
  • Max peak-to-valley drawdown
    14.86%
  • drawdown period
    Feb 15, 2018 - April 17, 2018
  • Cumul. Return
    81.3%
  • Avg win
    $1,887
  • Avg loss
    $800.94
  • Model Account Values (Raw)
  • Cash
    $48,041
  • Margin Used
    $0
  • Buying Power
    $48,041
  • Ratios
  • W:L ratio
    2.80:1
  • Sharpe Ratio
    2.615
  • Sortino Ratio
    6.483
  • Calmar Ratio
    10.555
  • CORRELATION STATISTICS
  • Correlation to SP500
    0.22000
  • Return Statistics
  • Ann Return (w trading costs)
    103.6%
  • Ann Return (Compnd, No Fees)
    119.1%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    20.00%
  • Chance of 20% account loss
    1.50%
  • Chance of 30% account loss
    n/a
  • Chance of 40% account loss
    n/a
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    840
  • Popularity (Last 6 weeks)
    960
  • C2 Score
    91.8
  • 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
    $801
  • Avg Win
    $1,887
  • # Winners
    19
  • # Losers
    16
  • % Winners
    54.3%
  • Frequency
  • Avg Position Time (mins)
    1027.72
  • Avg Position Time (hrs)
    17.13
  • Avg Trade Length
    0.7 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
    0.80623
  • SD
    0.43673
  • Sharpe ratio (Glass type estimate)
    1.84607
  • Sharpe ratio (Hedges UMVUE)
    1.66646
  • df
    8.00000
  • t
    1.59875
  • p
    0.07427
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.63448
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.22888
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.73951
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.07243
  • Statistics related to Sortino ratio
  • Sortino ratio
    7.72308
  • Upside Potential Ratio
    9.53661
  • Upside part of mean
    0.99555
  • Downside part of mean
    -0.18932
  • Upside SD
    0.46131
  • Downside SD
    0.10439
  • N nonnegative terms
    6.00000
  • N negative terms
    3.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    9.00000
  • Mean of predictor
    -0.01470
  • Mean of criterion
    0.80623
  • SD of predictor
    0.07145
  • SD of criterion
    0.43673
  • Covariance
    -0.00521
  • r
    -0.16688
  • b (slope, estimate of beta)
    -1.02008
  • a (intercept, estimate of alpha)
    0.79123
  • Mean Square Error
    0.21191
  • DF error
    7.00000
  • t(b)
    -0.44781
  • p(b)
    0.66609
  • t(a)
    1.48560
  • p(a)
    0.09048
  • Lowerbound of 95% confidence interval for beta
    -6.40661
  • Upperbound of 95% confidence interval for beta
    4.36644
  • Lowerbound of 95% confidence interval for alpha
    -0.46817
  • Upperbound of 95% confidence interval for alpha
    2.05064
  • Treynor index (mean / b)
    -0.79035
  • Jensen alpha (a)
    0.79123
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.70895
  • SD
    0.38986
  • Sharpe ratio (Glass type estimate)
    1.81846
  • Sharpe ratio (Hedges UMVUE)
    1.64153
  • df
    8.00000
  • t
    1.57484
  • p
    0.07697
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.65672
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.19700
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.76032
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.04339
  • Statistics related to Sortino ratio
  • Sortino ratio
    6.58454
  • Upside Potential Ratio
    8.39144
  • Upside part of mean
    0.90350
  • Downside part of mean
    -0.19455
  • Upside SD
    0.40669
  • Downside SD
    0.10767
  • N nonnegative terms
    6.00000
  • N negative terms
    3.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    9.00000
  • Mean of predictor
    -0.01696
  • Mean of criterion
    0.70895
  • SD of predictor
    0.07184
  • SD of criterion
    0.38986
  • Covariance
    -0.00503
  • r
    -0.17964
  • b (slope, estimate of beta)
    -0.97492
  • a (intercept, estimate of alpha)
    0.69242
  • Mean Square Error
    0.16810
  • DF error
    7.00000
  • t(b)
    -0.48315
  • p(b)
    0.67813
  • t(a)
    1.45875
  • p(a)
    0.09400
  • Lowerbound of 95% confidence interval for beta
    -5.74636
  • Upperbound of 95% confidence interval for beta
    3.79653
  • Lowerbound of 95% confidence interval for alpha
    -0.42999
  • Upperbound of 95% confidence interval for alpha
    1.81482
  • Treynor index (mean / b)
    -0.72719
  • Jensen alpha (a)
    0.69242
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.11842
  • Expected Shortfall on VaR
    0.15820
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02810
  • Expected Shortfall on VaR
    0.05657
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    9.00000
  • Minimum
    0.92734
  • Quartile 1
    0.98119
  • Median
    1.06955
  • Quartile 3
    1.08521
  • Maximum
    1.34335
  • Mean of quarter 1
    0.95500
  • Mean of quarter 2
    1.04564
  • Mean of quarter 3
    1.08140
  • Mean of quarter 4
    1.25328
  • Inter Quartile Range
    0.10402
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.11111
  • Mean of outliers high
    1.34335
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -7.55043
  • VaR(95%) (moments method)
    0.04214
  • Expected Shortfall (moments method)
    0.04214
  • Extreme Value Index (regression method)
    -0.76385
  • VaR(95%) (regression method)
    0.08460
  • Expected Shortfall (regression method)
    0.09432
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    2.00000
  • Minimum
    0.06153
  • Quartile 1
    0.06431
  • Median
    0.06709
  • Quartile 3
    0.06988
  • Maximum
    0.07266
  • Mean of quarter 1
    0.06153
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.07266
  • Inter Quartile Range
    0.00557
  • 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)
    0.98379
  • Compounded annual return (geometric extrapolation)
    1.08936
  • Calmar ratio (compounded annual return / max draw down)
    14.99290
  • Compounded annual return / average of 25% largest draw downs
    14.99290
  • Compounded annual return / Expected Shortfall lognormal
    6.88610
  • 0.00000
  • 0.00000
  • Analysis based on DAILY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.81177
  • SD
    0.30936
  • Sharpe ratio (Glass type estimate)
    2.62405
  • Sharpe ratio (Hedges UMVUE)
    2.61488
  • df
    215.00000
  • t
    2.38258
  • p
    0.00903
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.44830
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.79383
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.44218
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.78758
  • Statistics related to Sortino ratio
  • Sortino ratio
    6.48341
  • Upside Potential Ratio
    12.17540
  • Upside part of mean
    1.52445
  • Downside part of mean
    -0.71267
  • Upside SD
    0.28653
  • Downside SD
    0.12521
  • N nonnegative terms
    39.00000
  • N negative terms
    177.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    216.00000
  • Mean of predictor
    -0.04377
  • Mean of criterion
    0.81177
  • SD of predictor
    0.15650
  • SD of criterion
    0.30936
  • Covariance
    0.01102
  • r
    0.22753
  • b (slope, estimate of beta)
    0.44975
  • a (intercept, estimate of alpha)
    0.83100
  • Mean Square Error
    0.09117
  • DF error
    214.00000
  • t(b)
    3.41807
  • p(b)
    0.00038
  • t(a)
    2.49988
  • p(a)
    0.00659
  • Lowerbound of 95% confidence interval for beta
    0.19039
  • Upperbound of 95% confidence interval for beta
    0.70911
  • Lowerbound of 95% confidence interval for alpha
    0.17587
  • Upperbound of 95% confidence interval for alpha
    1.48705
  • Treynor index (mean / b)
    1.80493
  • Jensen alpha (a)
    0.83146
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.76440
  • SD
    0.30206
  • Sharpe ratio (Glass type estimate)
    2.53060
  • Sharpe ratio (Hedges UMVUE)
    2.52176
  • df
    215.00000
  • t
    2.29773
  • p
    0.01127
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.35592
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.69954
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.35004
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.69348
  • Statistics related to Sortino ratio
  • Sortino ratio
    6.00411
  • Upside Potential Ratio
    11.66430
  • Upside part of mean
    1.48501
  • Downside part of mean
    -0.72061
  • Upside SD
    0.27720
  • Downside SD
    0.12731
  • N nonnegative terms
    39.00000
  • N negative terms
    177.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    216.00000
  • Mean of predictor
    -0.05603
  • Mean of criterion
    0.76440
  • SD of predictor
    0.15724
  • SD of criterion
    0.30206
  • Covariance
    0.01063
  • r
    0.22372
  • b (slope, estimate of beta)
    0.42977
  • a (intercept, estimate of alpha)
    0.78848
  • Mean Square Error
    0.08708
  • DF error
    214.00000
  • t(b)
    3.35785
  • p(b)
    0.00046
  • t(a)
    2.42550
  • p(a)
    0.00806
  • Lowerbound of 95% confidence interval for beta
    0.17749
  • Upperbound of 95% confidence interval for beta
    0.68204
  • Lowerbound of 95% confidence interval for alpha
    0.14771
  • Upperbound of 95% confidence interval for alpha
    1.42925
  • Treynor index (mean / b)
    1.77865
  • Jensen alpha (a)
    0.78848
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02740
  • Expected Shortfall on VaR
    0.03493
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00840
  • Expected Shortfall on VaR
    0.01744
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    216.00000
  • Minimum
    0.94113
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.10837
  • Mean of quarter 1
    0.98947
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.02335
  • Inter Quartile Range
    0.00000
  • Number outliers low
    41.00000
  • Percentage of outliers low
    0.18982
  • Mean of outliers low
    0.98613
  • Number of outliers high
    39.00000
  • Percentage of outliers high
    0.18056
  • Mean of outliers high
    1.03233
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -2.13949
  • VaR(95%) (moments method)
    0.00394
  • Expected Shortfall (moments method)
    0.00408
  • Extreme Value Index (regression method)
    -0.12788
  • VaR(95%) (regression method)
    0.01077
  • Expected Shortfall (regression method)
    0.01696
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    8.00000
  • Minimum
    0.00132
  • Quartile 1
    0.02085
  • Median
    0.04404
  • Quartile 3
    0.08127
  • Maximum
    0.11450
  • Mean of quarter 1
    0.00839
  • Mean of quarter 2
    0.03161
  • Mean of quarter 3
    0.06368
  • Mean of quarter 4
    0.10004
  • Inter Quartile Range
    0.06042
  • 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)
    1.11796
  • Compounded annual return (geometric extrapolation)
    1.20849
  • Calmar ratio (compounded annual return / max draw down)
    10.55460
  • Compounded annual return / average of 25% largest draw downs
    12.07960
  • Compounded annual return / Expected Shortfall lognormal
    34.60000
  • 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
    0.53872
  • SD
    0.30286
  • Sharpe ratio (Glass type estimate)
    1.77879
  • Sharpe ratio (Hedges UMVUE)
    1.76851
  • df
    130.00000
  • t
    1.25780
  • p
    0.44517
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.00470
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.55563
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.01162
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.54864
  • Statistics related to Sortino ratio
  • Sortino ratio
    4.28756
  • Upside Potential Ratio
    10.88620
  • Upside part of mean
    1.36782
  • Downside part of mean
    -0.82910
  • Upside SD
    0.27630
  • Downside SD
    0.12565
  • N nonnegative terms
    20.00000
  • N negative terms
    111.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.02535
  • Mean of criterion
    0.53872
  • SD of predictor
    0.12860
  • SD of criterion
    0.30286
  • Covariance
    0.01045
  • r
    0.26820
  • b (slope, estimate of beta)
    0.63162
  • a (intercept, estimate of alpha)
    0.55473
  • Mean Square Error
    0.08579
  • DF error
    129.00000
  • t(b)
    3.16203
  • p(b)
    0.33133
  • t(a)
    1.33916
  • p(a)
    0.42563
  • Lowerbound of 95% confidence interval for beta
    0.23641
  • Upperbound of 95% confidence interval for beta
    1.02683
  • Lowerbound of 95% confidence interval for alpha
    -0.26485
  • Upperbound of 95% confidence interval for alpha
    1.37432
  • Treynor index (mean / b)
    0.85292
  • Jensen alpha (a)
    0.55473
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.49425
  • SD
    0.29496
  • Sharpe ratio (Glass type estimate)
    1.67564
  • Sharpe ratio (Hedges UMVUE)
    1.66595
  • df
    130.00000
  • t
    1.18486
  • p
    0.44832
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.10679
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.45178
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.11324
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.44515
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.88594
  • Upside Potential Ratio
    10.46700
  • Upside part of mean
    1.33128
  • Downside part of mean
    -0.83704
  • Upside SD
    0.26663
  • Downside SD
    0.12719
  • N nonnegative terms
    20.00000
  • N negative terms
    111.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.03359
  • Mean of criterion
    0.49425
  • SD of predictor
    0.12904
  • SD of criterion
    0.29496
  • Covariance
    0.00995
  • r
    0.26154
  • b (slope, estimate of beta)
    0.59781
  • a (intercept, estimate of alpha)
    0.51433
  • Mean Square Error
    0.08168
  • DF error
    129.00000
  • t(b)
    3.07758
  • p(b)
    0.33542
  • t(a)
    1.27237
  • p(a)
    0.42927
  • Lowerbound of 95% confidence interval for beta
    0.21349
  • Upperbound of 95% confidence interval for beta
    0.98213
  • Lowerbound of 95% confidence interval for alpha
    -0.28545
  • Upperbound of 95% confidence interval for alpha
    1.31410
  • Treynor index (mean / b)
    0.82676
  • Jensen alpha (a)
    0.51433
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02770
  • Expected Shortfall on VaR
    0.03505
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00998
  • Expected Shortfall on VaR
    0.01980
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.96016
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.10837
  • Mean of quarter 1
    0.98780
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.02079
  • Inter Quartile Range
    0.00000
  • Number outliers low
    27.00000
  • Percentage of outliers low
    0.20611
  • Mean of outliers low
    0.98508
  • Number of outliers high
    20.00000
  • Percentage of outliers high
    0.15267
  • Mean of outliers high
    1.03430
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    -0.39044
  • VaR(95%) (regression method)
    0.01042
  • Expected Shortfall (regression method)
    0.01427
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    5.00000
  • Minimum
    0.01546
  • Quartile 1
    0.04056
  • Median
    0.04752
  • Quartile 3
    0.07983
  • Maximum
    0.08489
  • Mean of quarter 1
    0.02801
  • Mean of quarter 2
    0.04752
  • Mean of quarter 3
    0.07983
  • Mean of quarter 4
    0.08489
  • Inter Quartile Range
    0.03927
  • 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)
    0.59665
  • Compounded annual return (geometric extrapolation)
    0.68565
  • Calmar ratio (compounded annual return / max draw down)
    8.07744
  • Compounded annual return / average of 25% largest draw downs
    8.07744
  • Compounded annual return / Expected Shortfall lognormal
    19.56220

Strategy Description

Swing Trading on NQ. Duration can vary from few hours to few days. System tries to find the ideal timing to go in and tries to ride the wave up. Attempt is to achieve 100% annual return with 20% maximum drawdown - although there can be no guarantees. Trading inherently involves risk. System is automated

If you would like to trade all three trademate systems, I can offer $400 combined. Please send a message

Summary Statistics

Strategy began
2018-01-14
Suggested Minimum Capital
$45,000
# Trades
35
# Profitable
19
% Profitable
54.3%
Correlation S&P500
0.220
Sharpe Ratio
2.615

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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