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Premium Scalping
(116811782)

Created by: PremiumScalping PremiumScalping
Started: 03/2018
Options
Last trade: 13 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 $99.00 per month.

162.4%
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.

(19.9%)
Max Drawdown
61
Num Trades
90.2%
Win Trades
15.2 : 1
Profit Factor
100.0%
Win Months
Hypothetical Monthly Returns (includes system fee and Interactive Brokers commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2018              +12.4%+17.2%+20.9%+10.2%+6.1%+11.3%+14.1%+0.5%+3.1%+3.9%+154.6%
2019+3.1%                                                                  +3.1%

Model Account Details

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

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

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

Trading Record

This strategy has placed 72 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
1/8/19 14:40 VIXW1909A22 VIXW Jan9'19 22 call SHORT 100 0.10 1/9 8:06 0.00 0.42%
Trade id #121853687
Max drawdown($600)
Time1/8/19 15:27
Quant open-100
Worst price0.16
Drawdown as % of equity-0.42%
$930
Includes Typical Broker Commissions trade costs of $70.00
12/31/18 15:35 VXX1904A54.5 VXX Jan4'19 54.5 call SHORT 100 0.10 1/5/19 9:36 0.00 0.07%
Trade id #121726841
Max drawdown($100)
Time12/31/18 16:00
Quant open-100
Worst price0.11
Drawdown as % of equity-0.07%
$930
Includes Typical Broker Commissions trade costs of $70.00
12/21/18 11:00 VIXW1826L37.5 VIXW Dec26'18 37.5 call SHORT 100 0.05 12/26 8:05 0.00 7.22%
Trade id #121619238
Max drawdown($9,500)
Time12/24/18 13:13
Quant open-100
Worst price1.00
Drawdown as % of equity-7.22%
$430
Includes Typical Broker Commissions trade costs of $70.00
12/17/18 15:19 VXX1821L50 VXX Dec21'18 50 call SHORT 100 0.13 12/19 15:19 0.10 1.03%
Trade id #121534670
Max drawdown($1,400)
Time12/17/18 15:50
Quant open-100
Worst price0.27
Drawdown as % of equity-1.03%
$160
Includes Typical Broker Commissions trade costs of $140.00
12/17/18 14:45 VIX1819L32.5 VIX Dec19'18 32.5 call SHORT 100 0.05 12/19 8:05 0.00 0.22%
Trade id #121533992
Max drawdown($300)
Time12/17/18 15:30
Quant open-100
Worst price0.08
Drawdown as % of equity-0.22%
$430
Includes Typical Broker Commissions trade costs of $70.00
12/4/18 14:09 VIX1819L42.5 VIX Dec19'18 42.5 call SHORT 100 0.05 12/19 8:05 0.00 0.74%
Trade id #121340835
Max drawdown($1,000)
Time12/6/18 11:18
Quant open-100
Worst price0.15
Drawdown as % of equity-0.74%
$430
Includes Typical Broker Commissions trade costs of $70.00
11/15/18 9:45 VIX1819L65 VIX Dec19'18 65 call SHORT 200 0.10 12/19 8:05 0.03 0.73%
Trade id #120964705
Max drawdown($975)
Time11/20/18 10:12
Quant open-195
Worst price0.15
Drawdown as % of equity-0.73%
$1,232
Includes Typical Broker Commissions trade costs of $168.00
12/11/18 9:40 VIXW1812L26 VIXW Dec12'18 26 call SHORT 100 0.04 12/12 8:06 0.00 0.21%
Trade id #121440977
Max drawdown($280)
Time12/11/18 12:46
Quant open-100
Worst price0.07
Drawdown as % of equity-0.21%
$350
Includes Typical Broker Commissions trade costs of $70.00
12/11/18 9:38 VIXW1812L27 VIXW Dec12'18 27 call SHORT 100 0.01 12/12 8:06 0.00 0.28%
Trade id #121440938
Max drawdown($380)
Time12/11/18 15:27
Quant open-100
Worst price0.05
Drawdown as % of equity-0.28%
$50
Includes Typical Broker Commissions trade costs of $70.00
12/6/18 9:32 VIXW1812L40 VIXW Dec12'18 40 call SHORT 50 0.05 12/12 8:06 0.00 0.19%
Trade id #121373881
Max drawdown($250)
Time12/10/18 12:21
Quant open-50
Worst price0.10
Drawdown as % of equity-0.19%
$215
Includes Typical Broker Commissions trade costs of $35.00
12/6/18 9:37 VXX1807L49 VXX Dec7'18 49 call SHORT 50 0.05 12/8 9:36 0.00 0.03%
Trade id #121374099
Max drawdown($43)
Time12/6/18 9:48
Quant open-50
Worst price0.06
Drawdown as % of equity-0.03%
$221
Includes Typical Broker Commissions trade costs of $35.00
11/21/18 14:32 VIX1828K35 VIX Nov28'18 35 call SHORT 100 0.05 11/28 8:06 0.00 0.37%
Trade id #121108518
Max drawdown($500)
Time11/21/18 15:55
Quant open-100
Worst price0.10
Drawdown as % of equity-0.37%
$430
Includes Typical Broker Commissions trade costs of $70.00
10/18/18 14:12 VIX1821K65 VIX Nov21'18 65 call SHORT 200 0.10 11/21 8:06 0.00 0.77%
Trade id #120424652
Max drawdown($1,000)
Time10/23/18 9:34
Quant open-200
Worst price0.15
Drawdown as % of equity-0.77%
$1,803
Includes Typical Broker Commissions trade costs of $147.00
10/19/18 10:25 VIX1821K60 VIX Nov21'18 60 call SHORT 200 0.10 11/21 8:06 0.00 0.79%
Trade id #120440157
Max drawdown($1,000)
Time10/23/18 10:04
Quant open-200
Worst price0.15
Drawdown as % of equity-0.79%
$1,860
Includes Typical Broker Commissions trade costs of $140.00
11/9/18 14:07 VIX1814K30 VIX Nov14'18 30 call SHORT 200 0.05 11/14 8:06 0.00 3.78%
Trade id #120859312
Max drawdown($5,000)
Time11/13/18 9:31
Quant open-200
Worst price0.30
Drawdown as % of equity-3.78%
$860
Includes Typical Broker Commissions trade costs of $140.00
10/30/18 12:03 VIX1831J28 VIX Oct31'18 28 call SHORT 120 0.13 10/31 8:06 0.00 0.78%
Trade id #120623089
Max drawdown($1,000)
Time10/30/18 13:36
Quant open-50
Worst price0.30
Drawdown as % of equity-0.78%
$1,466
Includes Typical Broker Commissions trade costs of $84.00
10/29/18 9:33 VIX1831J35 VIX Oct31'18 35 call SHORT 50 0.05 10/31 8:06 0.12 0.46%
Trade id #120593970
Max drawdown($600)
Time10/29/18 15:19
Quant open-50
Worst price0.17
Drawdown as % of equity-0.46%
($416)
Includes Typical Broker Commissions trade costs of $65.80
10/18/18 14:22 VIX1821K45 VIX Nov21'18 45 call SHORT 200 0.30 10/30 13:51 0.27 0.78%
Trade id #120424883
Max drawdown($1,000)
Time10/18/18 14:50
Quant open-200
Worst price0.35
Drawdown as % of equity-0.78%
$340
Includes Typical Broker Commissions trade costs of $280.00
10/17/18 15:29 VIX1821K70 VIX Nov21'18 70 call SHORT 50 0.05 10/26 10:03 0.10 0.19%
Trade id #120408543
Max drawdown($250)
Time10/18/18 14:29
Quant open-50
Worst price0.10
Drawdown as % of equity-0.19%
($320)
Includes Typical Broker Commissions trade costs of $70.00
10/12/18 15:38 VIX1817J50 VIX Oct17'18 50 call SHORT 70 0.05 10/17 8:06 0.01 0%
Trade id #120332267
Max drawdown$0
Time10/12/18 15:46
Quant open-40
Worst price0.05
Drawdown as % of equity0.00%
$198
Includes Typical Broker Commissions trade costs of $61.60
10/16/18 13:40 VIX1817J22 VIX Oct17'18 22 call SHORT 10 0.05 10/17 8:06 0.00 0.04%
Trade id #120384767
Max drawdown($50)
Time10/16/18 13:42
Quant open-10
Worst price0.10
Drawdown as % of equity-0.04%
$43
Includes Typical Broker Commissions trade costs of $7.00
10/15/18 11:55 VIX1817J35 VIX Oct17'18 35 call SHORT 10 0.05 10/17 8:06 0.00 0.02%
Trade id #120355454
Max drawdown($30)
Time10/15/18 12:38
Quant open-10
Worst price0.08
Drawdown as % of equity-0.02%
$43
Includes Typical Broker Commissions trade costs of $7.00
10/12/18 15:01 VIX1817J42.5 VIX Oct17'18 42.5 call SHORT 90 0.10 10/17 8:06 0.00 0.22%
Trade id #120331249
Max drawdown($270)
Time10/12/18 15:15
Quant open-90
Worst price0.13
Drawdown as % of equity-0.22%
$837
Includes Typical Broker Commissions trade costs of $63.00
9/18/18 14:27 VIX1817J60 VIX Oct17'18 60 call SHORT 500 0.05 10/17 8:06 0.01 2.01%
Trade id #119915497
Max drawdown($2,500)
Time10/10/18 16:04
Quant open-500
Worst price0.10
Drawdown as % of equity-2.01%
$1,433
Includes Typical Broker Commissions trade costs of $396.90
9/20/18 15:43 VIX1817J40 VIX Oct17'18 40 call SHORT 210 0.05 10/11 14:41 0.19 3.29%
Trade id #119958730
Max drawdown($4,085)
Time10/11/18 7:28
Quant open-165
Worst price0.30
Drawdown as % of equity-3.29%
($3,084)
Includes Typical Broker Commissions trade costs of $294.00
10/4/18 9:35 VIX1817J35 VIX Oct17'18 35 call SHORT 200 0.05 10/10 14:36 0.20 2.42%
Trade id #120180684
Max drawdown($3,085)
Time10/10/18 14:36
Quant open185
Worst price0.20
Drawdown as % of equity-2.42%
($3,365)
Includes Typical Broker Commissions trade costs of $280.00
9/20/18 9:30 VIX1817J50 VIX Oct17'18 50 call SHORT 10 0.05 10/4 12:54 0.10 0.04%
Trade id #119944780
Max drawdown($50)
Time9/20/18 15:59
Quant open-10
Worst price0.10
Drawdown as % of equity-0.04%
($64)
Includes Typical Broker Commissions trade costs of $14.00
9/24/18 15:11 VIX1803J30 VIX Oct3'18 30 call SHORT 500 0.05 10/3 8:06 0.00 0%
Trade id #120010453
Max drawdown$0
Time9/25/18 13:58
Quant open-500
Worst price0.05
Drawdown as % of equity0.00%
$2,150
Includes Typical Broker Commissions trade costs of $350.00
9/5/18 10:27 VIX1819I32.5 VIX Sep19'18 32.5 call SHORT 400 0.10 9/19 8:06 0.00 0.65%
Trade id #119731413
Max drawdown($800)
Time9/6/18 14:08
Quant open-400
Worst price0.12
Drawdown as % of equity-0.65%
$3,720
Includes Typical Broker Commissions trade costs of $280.00
8/30/18 15:13 VIX1819I35 VIX Sep19'18 35 call SHORT 400 0.10 9/19 8:06 0.00 1.78%
Trade id #119671227
Max drawdown($2,000)
Time8/31/18 12:10
Quant open-400
Worst price0.15
Drawdown as % of equity-1.78%
$3,720
Includes Typical Broker Commissions trade costs of $280.00

Statistics

  • Strategy began
    3/1/2018
  • Suggested Minimum Cap
    $35,000
  • Strategy Age (days)
    326.7
  • Age
    11 months ago
  • What it trades
    Options
  • # Trades
    61
  • # Profitable
    55
  • % Profitable
    90.20%
  • Avg trade duration
    10.7 days
  • Max peak-to-valley drawdown
    19.9%
  • drawdown period
    March 09, 2018 - March 28, 2018
  • Cumul. Return
    163.5%
  • Avg win
    $1,847
  • Avg loss
    $1,110
  • Model Account Values (Raw)
  • Cash
    $144,944
  • Margin Used
    $0
  • Buying Power
    $144,944
  • Ratios
  • W:L ratio
    15.25:1
  • Sharpe Ratio
    3.943
  • Sortino Ratio
    10.323
  • Calmar Ratio
    34.573
  • CORRELATION STATISTICS
  • Correlation to SP500
    0.20600
  • Return Statistics
  • Ann Return (w trading costs)
    192.3%
  • Ann Return (Compnd, No Fees)
    227.2%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    13.00%
  • 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)
    901
  • Popularity (Last 6 weeks)
    986
  • C2 Score
    66.7
  • Trades-Own-System Certification
  • Trades Own System?
    0
  • TOS percent
    n/a
  • Subscription Price
  • Billing Period (days)
    30
  • Trial Days
    0
  • Win / Loss
  • Avg Loss
    $1,111
  • Avg Win
    $1,847
  • # Winners
    55
  • # Losers
    6
  • % Winners
    90.2%
  • Frequency
  • Avg Position Time (mins)
    15367.90
  • Avg Position Time (hrs)
    256.13
  • Avg Trade Length
    10.7 days
  • Last Trade Ago
    6
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    1.31710
  • SD
    0.25110
  • Sharpe ratio (Glass type estimate)
    5.24526
  • Sharpe ratio (Hedges UMVUE)
    4.79351
  • df
    9.00000
  • t
    4.78824
  • p
    0.00049
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    1.97448
  • Upperbound of 95% confidence interval for Sharpe Ratio
    8.39157
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.70911
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    7.87791
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.00000
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    1.31710
  • Downside part of mean
    0.00000
  • Upside SD
    0.44868
  • Downside SD
    0.00000
  • N nonnegative terms
    10.00000
  • N negative terms
    0.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    10.00000
  • Mean of predictor
    -0.06912
  • Mean of criterion
    1.31710
  • SD of predictor
    0.11449
  • SD of criterion
    0.25110
  • Covariance
    0.02006
  • r
    0.69770
  • b (slope, estimate of beta)
    1.53015
  • a (intercept, estimate of alpha)
    1.42287
  • Mean Square Error
    0.03640
  • DF error
    8.00000
  • t(b)
    2.75462
  • p(b)
    0.01244
  • t(a)
    6.69557
  • p(a)
    0.00008
  • Lowerbound of 95% confidence interval for beta
    0.24920
  • Upperbound of 95% confidence interval for beta
    2.81111
  • Lowerbound of 95% confidence interval for alpha
    0.93282
  • Upperbound of 95% confidence interval for alpha
    1.91292
  • Treynor index (mean / b)
    0.86076
  • Jensen alpha (a)
    1.42287
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    1.22415
  • SD
    0.22477
  • Sharpe ratio (Glass type estimate)
    5.44626
  • Sharpe ratio (Hedges UMVUE)
    4.97720
  • df
    9.00000
  • t
    4.97174
  • p
    0.00038
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    2.10756
  • Upperbound of 95% confidence interval for Sharpe Ratio
    8.66120
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.83132
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    8.12308
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.00000
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    1.22415
  • Downside part of mean
    0.00000
  • Upside SD
    0.41273
  • Downside SD
    0.00000
  • N nonnegative terms
    10.00000
  • N negative terms
    0.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    10.00000
  • Mean of predictor
    -0.07510
  • Mean of criterion
    1.22415
  • SD of predictor
    0.11484
  • SD of criterion
    0.22477
  • Covariance
    0.01808
  • r
    0.70056
  • b (slope, estimate of beta)
    1.37118
  • a (intercept, estimate of alpha)
    1.32712
  • Mean Square Error
    0.02894
  • DF error
    8.00000
  • t(b)
    2.77679
  • p(b)
    0.01202
  • t(a)
    6.98437
  • p(a)
    0.00006
  • Lowerbound of 95% confidence interval for beta
    0.23247
  • Upperbound of 95% confidence interval for beta
    2.50989
  • Lowerbound of 95% confidence interval for alpha
    0.88895
  • Upperbound of 95% confidence interval for alpha
    1.76530
  • Treynor index (mean / b)
    0.89277
  • Jensen alpha (a)
    1.32712
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00470
  • Expected Shortfall on VaR
    0.03105
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00000
  • Expected Shortfall on VaR
    0.00000
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    10.00000
  • Minimum
    1.02008
  • Quartile 1
    1.05851
  • Median
    1.11184
  • Quartile 3
    1.16035
  • Maximum
    1.22937
  • Mean of quarter 1
    1.03212
  • Mean of quarter 2
    1.09002
  • Mean of quarter 3
    1.12108
  • Mean of quarter 4
    1.20076
  • Inter Quartile Range
    0.10184
  • 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)
    0.00000
  • 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
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    0.00000
  • Minimum
    0.00000
  • Quartile 1
    0.00000
  • Median
    0.00000
  • Quartile 3
    0.00000
  • Maximum
    0.00000
  • Mean of quarter 1
    0.00000
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.00000
  • Inter Quartile Range
    0.00000
  • 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)
    2.20656
  • Compounded annual return (geometric extrapolation)
    2.49753
  • Calmar ratio (compounded annual return / max draw down)
    0.00000
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    80.44220
  • 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
    1.24604
  • SD
    0.31494
  • Sharpe ratio (Glass type estimate)
    3.95648
  • Sharpe ratio (Hedges UMVUE)
    3.94339
  • df
    227.00000
  • t
    3.69084
  • p
    0.00014
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    1.82001
  • Upperbound of 95% confidence interval for Sharpe Ratio
    6.08457
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.81128
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    6.07550
  • Statistics related to Sortino ratio
  • Sortino ratio
    10.32330
  • Upside Potential Ratio
    15.23180
  • Upside part of mean
    1.83849
  • Downside part of mean
    -0.59245
  • Upside SD
    0.30018
  • Downside SD
    0.12070
  • N nonnegative terms
    97.00000
  • N negative terms
    131.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    228.00000
  • Mean of predictor
    -0.01654
  • Mean of criterion
    1.24604
  • SD of predictor
    0.16983
  • SD of criterion
    0.31494
  • Covariance
    0.01136
  • r
    0.21233
  • b (slope, estimate of beta)
    0.39375
  • a (intercept, estimate of alpha)
    1.25300
  • Mean Square Error
    0.09513
  • DF error
    226.00000
  • t(b)
    3.26656
  • p(b)
    0.00063
  • t(a)
    3.78826
  • p(a)
    0.00010
  • Lowerbound of 95% confidence interval for beta
    0.15623
  • Upperbound of 95% confidence interval for beta
    0.63128
  • Lowerbound of 95% confidence interval for alpha
    0.60102
  • Upperbound of 95% confidence interval for alpha
    1.90408
  • Treynor index (mean / b)
    3.16451
  • Jensen alpha (a)
    1.25255
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    1.19587
  • SD
    0.30475
  • Sharpe ratio (Glass type estimate)
    3.92406
  • Sharpe ratio (Hedges UMVUE)
    3.91108
  • df
    227.00000
  • t
    3.66060
  • p
    0.00016
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    1.78811
  • Upperbound of 95% confidence interval for Sharpe Ratio
    6.05165
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.77948
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    6.04269
  • Statistics related to Sortino ratio
  • Sortino ratio
    9.70214
  • Upside Potential Ratio
    14.56900
  • Upside part of mean
    1.79575
  • Downside part of mean
    -0.59988
  • Upside SD
    0.28763
  • Downside SD
    0.12326
  • N nonnegative terms
    97.00000
  • N negative terms
    131.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    228.00000
  • Mean of predictor
    -0.03090
  • Mean of criterion
    1.19587
  • SD of predictor
    0.16989
  • SD of criterion
    0.30475
  • Covariance
    0.01112
  • r
    0.21475
  • b (slope, estimate of beta)
    0.38522
  • a (intercept, estimate of alpha)
    1.20777
  • Mean Square Error
    0.08898
  • DF error
    226.00000
  • t(b)
    3.30555
  • p(b)
    0.00055
  • t(a)
    3.77677
  • p(a)
    0.00010
  • Lowerbound of 95% confidence interval for beta
    0.15558
  • Upperbound of 95% confidence interval for beta
    0.61487
  • Lowerbound of 95% confidence interval for alpha
    0.57762
  • Upperbound of 95% confidence interval for alpha
    1.83792
  • Treynor index (mean / b)
    3.10434
  • Jensen alpha (a)
    1.20777
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02606
  • Expected Shortfall on VaR
    0.03367
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00553
  • Expected Shortfall on VaR
    0.01230
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    228.00000
  • Minimum
    0.93729
  • Quartile 1
    0.99982
  • Median
    1.00000
  • Quartile 3
    1.00551
  • Maximum
    1.15581
  • Mean of quarter 1
    0.99121
  • Mean of quarter 2
    0.99999
  • Mean of quarter 3
    1.00144
  • Mean of quarter 4
    1.02681
  • Inter Quartile Range
    0.00569
  • Number outliers low
    18.00000
  • Percentage of outliers low
    0.07895
  • Mean of outliers low
    0.97870
  • Number of outliers high
    43.00000
  • Percentage of outliers high
    0.18860
  • Mean of outliers high
    1.03288
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.51211
  • VaR(95%) (moments method)
    0.00432
  • Expected Shortfall (moments method)
    0.01147
  • Extreme Value Index (regression method)
    0.30297
  • VaR(95%) (regression method)
    0.00864
  • Expected Shortfall (regression method)
    0.01839
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    32.00000
  • Minimum
    0.00008
  • Quartile 1
    0.00137
  • Median
    0.00749
  • Quartile 3
    0.01507
  • Maximum
    0.06942
  • Mean of quarter 1
    0.00057
  • Mean of quarter 2
    0.00344
  • Mean of quarter 3
    0.01208
  • Mean of quarter 4
    0.03838
  • Inter Quartile Range
    0.01370
  • 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
    0.12500
  • Mean of outliers high
    0.05382
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -0.47929
  • VaR(95%) (moments method)
    0.03689
  • Expected Shortfall (moments method)
    0.04369
  • Extreme Value Index (regression method)
    -0.37742
  • VaR(95%) (regression method)
    0.04737
  • Expected Shortfall (regression method)
    0.05815
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    2.18418
  • Compounded annual return (geometric extrapolation)
    2.40000
  • Calmar ratio (compounded annual return / max draw down)
    34.57320
  • Compounded annual return / average of 25% largest draw downs
    62.52460
  • Compounded annual return / Expected Shortfall lognormal
    71.28530
  • 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
    0.82119
  • SD
    0.22040
  • Sharpe ratio (Glass type estimate)
    3.72593
  • Sharpe ratio (Hedges UMVUE)
    3.70440
  • df
    130.00000
  • t
    2.63463
  • p
    0.38743
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.91052
  • Upperbound of 95% confidence interval for Sharpe Ratio
    6.52753
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.89626
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    6.51254
  • Statistics related to Sortino ratio
  • Sortino ratio
    7.28357
  • Upside Potential Ratio
    12.62900
  • Upside part of mean
    1.42387
  • Downside part of mean
    -0.60268
  • Upside SD
    0.19511
  • Downside SD
    0.11274
  • N nonnegative terms
    56.00000
  • N negative terms
    75.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.10818
  • Mean of criterion
    0.82119
  • SD of predictor
    0.18763
  • SD of criterion
    0.22040
  • Covariance
    0.01099
  • r
    0.26580
  • b (slope, estimate of beta)
    0.31222
  • a (intercept, estimate of alpha)
    0.85497
  • Mean Square Error
    0.04549
  • DF error
    129.00000
  • t(b)
    3.13150
  • p(b)
    0.33280
  • t(a)
    2.83257
  • p(a)
    0.34747
  • Lowerbound of 95% confidence interval for beta
    0.11496
  • Upperbound of 95% confidence interval for beta
    0.50949
  • Lowerbound of 95% confidence interval for alpha
    0.25778
  • Upperbound of 95% confidence interval for alpha
    1.45215
  • Treynor index (mean / b)
    2.63015
  • Jensen alpha (a)
    0.85497
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.79603
  • SD
    0.21862
  • Sharpe ratio (Glass type estimate)
    3.64115
  • Sharpe ratio (Hedges UMVUE)
    3.62010
  • df
    130.00000
  • t
    2.57468
  • p
    0.38987
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.82751
  • Upperbound of 95% confidence interval for Sharpe Ratio
    6.44123
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.81358
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    6.42662
  • Statistics related to Sortino ratio
  • Sortino ratio
    6.93907
  • Upside Potential Ratio
    12.24880
  • Upside part of mean
    1.40515
  • Downside part of mean
    -0.60912
  • Upside SD
    0.19154
  • Downside SD
    0.11472
  • N nonnegative terms
    56.00000
  • N negative terms
    75.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.12566
  • Mean of criterion
    0.79603
  • SD of predictor
    0.18762
  • SD of criterion
    0.21862
  • Covariance
    0.01095
  • r
    0.26694
  • b (slope, estimate of beta)
    0.31105
  • a (intercept, estimate of alpha)
    0.83512
  • Mean Square Error
    0.04473
  • DF error
    129.00000
  • t(b)
    3.14600
  • p(b)
    0.33210
  • t(a)
    2.78960
  • p(a)
    0.34960
  • Lowerbound of 95% confidence interval for beta
    0.11543
  • Upperbound of 95% confidence interval for beta
    0.50667
  • Lowerbound of 95% confidence interval for alpha
    0.24281
  • Upperbound of 95% confidence interval for alpha
    1.42742
  • Treynor index (mean / b)
    2.55917
  • Jensen alpha (a)
    0.83512
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01900
  • Expected Shortfall on VaR
    0.02450
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00563
  • Expected Shortfall on VaR
    0.01234
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.94893
  • Quartile 1
    0.99988
  • Median
    1.00000
  • Quartile 3
    1.00563
  • Maximum
    1.06498
  • Mean of quarter 1
    0.99111
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00176
  • Mean of quarter 4
    1.02005
  • Inter Quartile Range
    0.00575
  • Number outliers low
    10.00000
  • Percentage of outliers low
    0.07634
  • Mean of outliers low
    0.97919
  • Number of outliers high
    21.00000
  • Percentage of outliers high
    0.16031
  • Mean of outliers high
    1.02665
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.14916
  • VaR(95%) (moments method)
    0.00321
  • Expected Shortfall (moments method)
    0.00451
  • Extreme Value Index (regression method)
    0.28097
  • VaR(95%) (regression method)
    0.00833
  • Expected Shortfall (regression method)
    0.01688
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    18.00000
  • Minimum
    0.00008
  • Quartile 1
    0.00120
  • Median
    0.00537
  • Quartile 3
    0.01451
  • Maximum
    0.06208
  • Mean of quarter 1
    0.00062
  • Mean of quarter 2
    0.00259
  • Mean of quarter 3
    0.00959
  • Mean of quarter 4
    0.03582
  • Inter Quartile Range
    0.01331
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    3.00000
  • Percentage of outliers high
    0.16667
  • Mean of outliers high
    0.04862
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -0.57840
  • VaR(95%) (moments method)
    0.03657
  • Expected Shortfall (moments method)
    0.04235
  • Extreme Value Index (regression method)
    -0.27160
  • VaR(95%) (regression method)
    0.05167
  • Expected Shortfall (regression method)
    0.06542
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    1.01957
  • Compounded annual return (geometric extrapolation)
    1.27945
  • Calmar ratio (compounded annual return / max draw down)
    20.61120
  • Compounded annual return / average of 25% largest draw downs
    35.72380
  • Compounded annual return / Expected Shortfall lognormal
    52.21450

Strategy Description

Summary Statistics

Strategy began
2018-03-01
Suggested Minimum Capital
$35,000
# Trades
61
# Profitable
55
% Profitable
90.2%
Correlation S&P500
0.206
Sharpe Ratio
3.943

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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