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RSA US
(116902900)

Created by: RSATrading RSATrading
Started: 03/2018
Futures
Last trade: 4 days ago
Trading style: Futures Momentum Financials / Indexes

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 $85.00 per month.

Trading Category: Futures
Momentum
Category: Equity

Momentum

Aims to capitalize on the continuance of existing trends in the market. Trader takes a long position in an asset in an upward trend, and short-sells a security that has been in a downward trend. While similar to Trend-following, tends to be more forward-looking (predicting oncoming trend), while Momentum is more backward-looking (observing already-established price direction).
Financials / Indexes
Category: Equity

Financials / Indexes

Focuses on market indexes or interest rates futures.
146.8%
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.

(21.0%)
Max Drawdown
36
Num Trades
80.6%
Win Trades
3.5 : 1
Profit Factor
77.8%
Win Months
Hypothetical Monthly Returns (includes system fee and Interactive Brokers commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2018              +39.1%+4.3%+2.1%(1.6%)+20.5%(8.6%)+10.9%+26.2%+9.9%      +146.8%

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 48 hours.

Trading Record

This strategy has placed 35 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
11/9/18 9:42 @ESZ8 E-MINI S&P 500 SHORT 1 2786.14 11/9 14:33 2768.75 0.79%
Trade id #120849368
Max drawdown($193)
Time11/9/18 9:49
Quant open-1
Worst price2790.00
Drawdown as % of equity-0.79%
$865
Includes Typical Broker Commissions trade costs of $4.02
11/7/18 4:53 @ESZ8 E-MINI S&P 500 LONG 1 2783.50 11/7 12:18 2796.03 2.13%
Trade id #120785569
Max drawdown($500)
Time11/7/18 9:22
Quant open1
Worst price2773.50
Drawdown as % of equity-2.13%
$623
Includes Typical Broker Commissions trade costs of $4.02
11/6/18 9:40 @NQZ8 E-MINI NASDAQ 100 STK IDX LONG 1 7010.78 11/6 16:04 7014.45 6.76%
Trade id #120757792
Max drawdown($1,570)
Time11/6/18 14:31
Quant open1
Worst price6932.25
Drawdown as % of equity-6.76%
$69
Includes Typical Broker Commissions trade costs of $4.02
10/29/18 9:33 @YMZ8 MINI DOW LONG 1 24889 10/29 11:11 24897 1.71%
Trade id #120593953
Max drawdown($401)
Time10/29/18 9:52
Quant open1
Worst price24809
Drawdown as % of equity-1.71%
$34
Includes Typical Broker Commissions trade costs of $4.02
10/26/18 12:26 @ESZ8 E-MINI S&P 500 LONG 1 2670.20 10/26 13:16 2687.40 0.65%
Trade id #120567385
Max drawdown($147)
Time10/26/18 12:30
Quant open1
Worst price2667.25
Drawdown as % of equity-0.65%
$856
Includes Typical Broker Commissions trade costs of $4.02
10/25/18 10:34 @ESZ8 E-MINI S&P 500 LONG 1 2695.22 10/25 13:51 2704.75 2.41%
Trade id #120539181
Max drawdown($536)
Time10/25/18 11:14
Quant open1
Worst price2684.50
Drawdown as % of equity-2.41%
$472
Includes Typical Broker Commissions trade costs of $4.02
10/24/18 4:44 @NQZ8 E-MINI NASDAQ 100 STK IDX SHORT 1 7063.58 10/24 11:48 7034.75 7.97%
Trade id #120505287
Max drawdown($1,703)
Time10/24/18 8:09
Quant open-1
Worst price7148.75
Drawdown as % of equity-7.97%
$573
Includes Typical Broker Commissions trade costs of $4.02
10/22/18 4:49 @YMZ8 MINI DOW SHORT 1 25442 10/22 10:41 25341 3%
Trade id #120463484
Max drawdown($620)
Time10/22/18 7:54
Quant open-1
Worst price25566
Drawdown as % of equity-3.00%
$501
Includes Typical Broker Commissions trade costs of $4.02
10/19/18 9:45 @NQZ8 E-MINI NASDAQ 100 STK IDX LONG 1 7224.00 10/19 12:20 7141.00 8.68%
Trade id #120438875
Max drawdown($1,660)
Time10/19/18 12:20
Quant open0
Worst price7141.00
Drawdown as % of equity-8.68%
($1,664)
Includes Typical Broker Commissions trade costs of $4.02
10/18/18 9:35 @NQZ8 E-MINI NASDAQ 100 STK IDX SHORT 1 7227.25 10/18 14:45 7160.00 3%
Trade id #120417563
Max drawdown($595)
Time10/18/18 9:49
Quant open-1
Worst price7257.00
Drawdown as % of equity-3.00%
$1,341
Includes Typical Broker Commissions trade costs of $4.02
10/18/18 9:35 @ESZ8 E-MINI S&P 500 SHORT 1 2792.50 10/18 13:38 2762.50 4.05%
Trade id #120417520
Max drawdown($775)
Time10/18/18 10:59
Quant open-1
Worst price2808.00
Drawdown as % of equity-4.05%
$1,496
Includes Typical Broker Commissions trade costs of $4.02
10/16/18 10:04 @ESZ8 E-MINI S&P 500 LONG 2 2794.75 10/17 18:00 2813.25 1.99%
Trade id #120379039
Max drawdown($362)
Time10/16/18 10:34
Quant open1
Worst price2774.50
Drawdown as % of equity-1.99%
$1,842
Includes Typical Broker Commissions trade costs of $8.04
10/9/18 10:37 @ESZ8 E-MINI S&P 500 LONG 1 2898.25 10/10 9:38 2869.00 7.8%
Trade id #120253791
Max drawdown($1,463)
Time10/10/18 9:38
Quant open0
Worst price2869.00
Drawdown as % of equity-7.80%
($1,467)
Includes Typical Broker Commissions trade costs of $4.02
10/4/18 10:07 @YMZ8 MINI DOW SHORT 1 26688 10/5 16:08 26482 1.29%
Trade id #120182066
Max drawdown($240)
Time10/4/18 21:38
Quant open-1
Worst price26736
Drawdown as % of equity-1.29%
$1,026
Includes Typical Broker Commissions trade costs of $4.02
9/28/18 9:55 @ESZ8 E-MINI S&P 500 SHORT 1 2914.50 10/1 10:05 2940.00 6.69%
Trade id #120086193
Max drawdown($1,275)
Time10/1/18 10:05
Quant open0
Worst price2940.00
Drawdown as % of equity-6.69%
($1,279)
Includes Typical Broker Commissions trade costs of $4.02
9/18/18 11:14 @NQZ8 E-MINI NASDAQ 100 STK IDX LONG 1 7548.75 9/20 10:03 7597.75 8.56%
Trade id #119910034
Max drawdown($1,560)
Time9/19/18 10:21
Quant open1
Worst price7470.75
Drawdown as % of equity-8.56%
$976
Includes Typical Broker Commissions trade costs of $4.02
9/11/18 12:06 @NQU8 E-MINI NASDAQ 100 STK IDX LONG 1 7513.75 9/14 12:04 7541.75 10.61%
Trade id #119804634
Max drawdown($1,775)
Time9/12/18 10:36
Quant open1
Worst price7425.00
Drawdown as % of equity-10.61%
$556
Includes Typical Broker Commissions trade costs of $4.02
9/10/18 10:05 @ESU8 E-MINI S&P 500 SHORT 1 2881.25 9/11 9:59 2875.75 1.04%
Trade id #119778745
Max drawdown($187)
Time9/10/18 23:25
Quant open-1
Worst price2885.00
Drawdown as % of equity-1.04%
$271
Includes Typical Broker Commissions trade costs of $4.02
9/6/18 9:44 @YMU8 MINI DOW SHORT 1 26034 9/6 13:42 26002 1.85%
Trade id #119744034
Max drawdown($330)
Time9/6/18 10:00
Quant open-1
Worst price26100
Drawdown as % of equity-1.85%
$156
Includes Typical Broker Commissions trade costs of $4.02
8/30/18 15:22 @ESU8 E-MINI S&P 500 SHORT 1 2897.50 9/4 12:26 2886.25 4.49%
Trade id #119671377
Max drawdown($750)
Time9/3/18 7:40
Quant open-1
Worst price2912.50
Drawdown as % of equity-4.49%
$559
Includes Typical Broker Commissions trade costs of $4.02
8/30/18 12:16 @ESU8 E-MINI S&P 500 LONG 1 2907.25 8/30 15:19 2898.25 3.25%
Trade id #119666779
Max drawdown($587)
Time8/30/18 15:03
Quant open1
Worst price2895.50
Drawdown as % of equity-3.25%
($454)
Includes Typical Broker Commissions trade costs of $4.02
8/17/18 10:28 @ESU8 E-MINI S&P 500 SHORT 1 2836.50 8/17 11:42 2845.50 2.46%
Trade id #119487716
Max drawdown($450)
Time8/17/18 11:42
Quant open0
Worst price2845.50
Drawdown as % of equity-2.46%
($454)
Includes Typical Broker Commissions trade costs of $4.02
8/13/18 8:29 @ESU8 E-MINI S&P 500 SHORT 1 2837.50 8/13 15:52 2823.25 1.8%
Trade id #119404509
Max drawdown($312)
Time8/13/18 10:26
Quant open-1
Worst price2843.75
Drawdown as % of equity-1.80%
$709
Includes Typical Broker Commissions trade costs of $4.02
8/10/18 4:58 @ESU8 E-MINI S&P 500 LONG 1 2840.75 8/10 15:07 2826.75 4.15%
Trade id #119373310
Max drawdown($737)
Time8/10/18 15:03
Quant open1
Worst price2826.00
Drawdown as % of equity-4.15%
($704)
Includes Typical Broker Commissions trade costs of $4.02
7/19/18 11:51 @ESU8 E-MINI S&P 500 LONG 1 2810.75 7/24 10:42 2829.25 5.39%
Trade id #119018570
Max drawdown($912)
Time7/22/18 22:26
Quant open1
Worst price2792.50
Drawdown as % of equity-5.39%
$921
Includes Typical Broker Commissions trade costs of $4.02
6/27/18 10:47 @ESU8 E-MINI S&P 500 LONG 1 2745.50 7/6 13:41 2765.00 18.03%
Trade id #118672358
Max drawdown($2,612)
Time6/28/18 8:37
Quant open1
Worst price2693.25
Drawdown as % of equity-18.03%
$971
Includes Typical Broker Commissions trade costs of $4.02
6/14/18 4:38 @ESU8 E-MINI S&P 500 SHORT 1 2777.75 6/18 22:11 2755.00 5.51%
Trade id #118430209
Max drawdown($812)
Time6/14/18 10:07
Quant open-1
Worst price2794.00
Drawdown as % of equity-5.51%
$1,134
Includes Typical Broker Commissions trade costs of $4.02
5/15/18 9:44 @ESM8 E-MINI S&P 500 SHORT 1 2707.75 5/29 6:46 2698.75 12.83%
Trade id #117937592
Max drawdown($1,700)
Time5/22/18 9:37
Quant open-1
Worst price2741.75
Drawdown as % of equity-12.83%
$446
Includes Typical Broker Commissions trade costs of $4.02
4/27/18 10:56 @ESM8 E-MINI S&P 500 SHORT 1 2658.25 4/30 16:00 2647.75 9%
Trade id #117696292
Max drawdown($1,200)
Time4/30/18 6:01
Quant open-1
Worst price2682.25
Drawdown as % of equity-9.00%
$521
Includes Typical Broker Commissions trade costs of $4.02
4/20/18 9:58 @ESM8 E-MINI S&P 500 SHORT 1 2687.00 4/24 4:50 2685.00 0.62%
Trade id #117595564
Max drawdown($87)
Time4/20/18 10:01
Quant open-1
Worst price2688.75
Drawdown as % of equity-0.62%
$96
Includes Typical Broker Commissions trade costs of $4.02

Statistics

  • Strategy began
    3/7/2018
  • Suggested Minimum Cap
    $25,000
  • Strategy Age (days)
    251.33
  • Age
    8 months ago
  • What it trades
    Futures
  • # Trades
    36
  • # Profitable
    29
  • % Profitable
    80.60%
  • Avg trade duration
    1.9 days
  • Max peak-to-valley drawdown
    20.95%
  • drawdown period
    April 06, 2018 - April 06, 2018
  • Cumul. Return
    150.6%
  • Avg win
    $774.34
  • Avg loss
    $906.14
  • Model Account Values (Raw)
  • Cash
    $26,113
  • Margin Used
    $0
  • Buying Power
    $26,113
  • Ratios
  • W:L ratio
    3.54:1
  • Sharpe Ratio
    3.382
  • Sortino Ratio
    6.359
  • Calmar Ratio
    27.477
  • CORRELATION STATISTICS
  • Correlation to SP500
    0.18000
  • Return Statistics
  • Ann Return (w trading costs)
    273.1%
  • Ann Return (Compnd, No Fees)
    300.8%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    36.00%
  • Chance of 20% account loss
    10.00%
  • Chance of 30% account loss
    4.00%
  • Chance of 40% account loss
    0.50%
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    986
  • Popularity (Last 6 weeks)
    987
  • C2 Score
    87.0
  • 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
    $906
  • Avg Win
    $774
  • # Winners
    29
  • # Losers
    7
  • % Winners
    80.6%
  • Frequency
  • Avg Position Time (mins)
    2729.93
  • Avg Position Time (hrs)
    45.50
  • Avg Trade Length
    1.9 days
  • Last Trade Ago
    0
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    1.35415
  • SD
    0.32372
  • Sharpe ratio (Glass type estimate)
    4.18307
  • Sharpe ratio (Hedges UMVUE)
    3.71541
  • df
    7.00000
  • t
    3.41546
  • p
    0.00560
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.88411
  • Upperbound of 95% confidence interval for Sharpe Ratio
    7.32515
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.62512
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    6.80571
  • Statistics related to Sortino ratio
  • Sortino ratio
    122.62800
  • Upside Potential Ratio
    123.85200
  • Upside part of mean
    1.36767
  • Downside part of mean
    -0.01352
  • Upside SD
    0.49435
  • Downside SD
    0.01104
  • N nonnegative terms
    7.00000
  • N negative terms
    1.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    8.00000
  • Mean of predictor
    0.04790
  • Mean of criterion
    1.35415
  • SD of predictor
    0.10046
  • SD of criterion
    0.32372
  • Covariance
    -0.01983
  • r
    -0.60981
  • b (slope, estimate of beta)
    -1.96505
  • a (intercept, estimate of alpha)
    1.44828
  • Mean Square Error
    0.07680
  • DF error
    6.00000
  • t(b)
    -1.88469
  • p(b)
    0.94578
  • t(a)
    4.22165
  • p(a)
    0.00278
  • Lowerbound of 95% confidence interval for beta
    -4.51633
  • Upperbound of 95% confidence interval for beta
    0.58622
  • Lowerbound of 95% confidence interval for alpha
    0.60883
  • Upperbound of 95% confidence interval for alpha
    2.28772
  • Treynor index (mean / b)
    -0.68912
  • Jensen alpha (a)
    1.44828
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    1.24665
  • SD
    0.28725
  • Sharpe ratio (Glass type estimate)
    4.34000
  • Sharpe ratio (Hedges UMVUE)
    3.85480
  • df
    7.00000
  • t
    3.54359
  • p
    0.00471
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.98699
  • Upperbound of 95% confidence interval for Sharpe Ratio
    7.53605
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.71801
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    6.99159
  • Statistics related to Sortino ratio
  • Sortino ratio
    112.38300
  • Upside Potential Ratio
    113.60800
  • Upside part of mean
    1.26024
  • Downside part of mean
    -0.01359
  • Upside SD
    0.44898
  • Downside SD
    0.01109
  • N nonnegative terms
    7.00000
  • N negative terms
    1.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    8.00000
  • Mean of predictor
    0.04339
  • Mean of criterion
    1.24665
  • SD of predictor
    0.10067
  • SD of criterion
    0.28725
  • Covariance
    -0.01737
  • r
    -0.60072
  • b (slope, estimate of beta)
    -1.71411
  • a (intercept, estimate of alpha)
    1.32103
  • Mean Square Error
    0.06152
  • DF error
    6.00000
  • t(b)
    -1.84057
  • p(b)
    0.94236
  • t(a)
    4.31055
  • p(a)
    0.00252
  • Lowerbound of 95% confidence interval for beta
    -3.99294
  • Upperbound of 95% confidence interval for beta
    0.56471
  • Lowerbound of 95% confidence interval for alpha
    0.57113
  • Upperbound of 95% confidence interval for alpha
    2.07093
  • Treynor index (mean / b)
    -0.72729
  • Jensen alpha (a)
    1.32103
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.03198
  • Expected Shortfall on VaR
    0.06451
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00072
  • Expected Shortfall on VaR
    0.00239
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    8.00000
  • Minimum
    0.99098
  • Quartile 1
    1.05474
  • Median
    1.09509
  • Quartile 3
    1.16172
  • Maximum
    1.26766
  • Mean of quarter 1
    1.01068
  • Mean of quarter 2
    1.07114
  • Mean of quarter 3
    1.12693
  • Mean of quarter 4
    1.24264
  • Inter Quartile Range
    0.10699
  • 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
    1.00000
  • Minimum
    0.00902
  • Quartile 1
    0.00902
  • Median
    0.00902
  • Quartile 3
    0.00902
  • Maximum
    0.00902
  • 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)
    1.94377
  • Compounded annual return (geometric extrapolation)
    2.47868
  • Calmar ratio (compounded annual return / max draw down)
    274.90800
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    38.42190
  • 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
    1.42406
  • SD
    0.41926
  • Sharpe ratio (Glass type estimate)
    3.39662
  • Sharpe ratio (Hedges UMVUE)
    3.38221
  • df
    177.00000
  • t
    2.79967
  • p
    0.36984
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.98799
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.79601
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.97838
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.78604
  • Statistics related to Sortino ratio
  • Sortino ratio
    6.35929
  • Upside Potential Ratio
    12.38520
  • Upside part of mean
    2.77348
  • Downside part of mean
    -1.34941
  • Upside SD
    0.36385
  • Downside SD
    0.22393
  • N nonnegative terms
    137.00000
  • N negative terms
    41.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    178.00000
  • Mean of predictor
    0.00778
  • Mean of criterion
    1.42406
  • SD of predictor
    0.14349
  • SD of criterion
    0.41926
  • Covariance
    0.01114
  • r
    0.18516
  • b (slope, estimate of beta)
    0.54103
  • a (intercept, estimate of alpha)
    1.42000
  • Mean Square Error
    0.17072
  • DF error
    176.00000
  • t(b)
    2.49967
  • p(b)
    0.40742
  • t(a)
    2.83246
  • p(a)
    0.39560
  • Lowerbound of 95% confidence interval for beta
    0.11388
  • Upperbound of 95% confidence interval for beta
    0.96818
  • Lowerbound of 95% confidence interval for alpha
    0.43056
  • Upperbound of 95% confidence interval for alpha
    2.40915
  • Treynor index (mean / b)
    2.63214
  • Jensen alpha (a)
    1.41985
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    1.33420
  • SD
    0.41544
  • Sharpe ratio (Glass type estimate)
    3.21154
  • Sharpe ratio (Hedges UMVUE)
    3.19791
  • df
    177.00000
  • t
    2.64711
  • p
    0.37656
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.80585
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.60835
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.79682
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.59900
  • Statistics related to Sortino ratio
  • Sortino ratio
    5.79296
  • Upside Potential Ratio
    11.76500
  • Upside part of mean
    2.70965
  • Downside part of mean
    -1.37544
  • Upside SD
    0.35408
  • Downside SD
    0.23031
  • N nonnegative terms
    137.00000
  • N negative terms
    41.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    178.00000
  • Mean of predictor
    -0.00250
  • Mean of criterion
    1.33420
  • SD of predictor
    0.14387
  • SD of criterion
    0.41544
  • Covariance
    0.01120
  • r
    0.18733
  • b (slope, estimate of beta)
    0.54093
  • a (intercept, estimate of alpha)
    1.33555
  • Mean Square Error
    0.16748
  • DF error
    176.00000
  • t(b)
    2.52994
  • p(b)
    0.40634
  • t(a)
    2.68991
  • p(a)
    0.40064
  • Lowerbound of 95% confidence interval for beta
    0.11897
  • Upperbound of 95% confidence interval for beta
    0.96289
  • Lowerbound of 95% confidence interval for alpha
    0.35568
  • Upperbound of 95% confidence interval for alpha
    2.31542
  • Treynor index (mean / b)
    2.46651
  • Jensen alpha (a)
    1.33555
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.03644
  • Expected Shortfall on VaR
    0.04668
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00640
  • Expected Shortfall on VaR
    0.01618
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    178.00000
  • Minimum
    0.91284
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.01407
  • Maximum
    1.08444
  • Mean of quarter 1
    0.97963
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00160
  • Mean of quarter 4
    1.04031
  • Inter Quartile Range
    0.01407
  • Number outliers low
    15.00000
  • Percentage of outliers low
    0.08427
  • Mean of outliers low
    0.96040
  • Number of outliers high
    23.00000
  • Percentage of outliers high
    0.12921
  • Mean of outliers high
    1.05655
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -24.38090
  • VaR(95%) (moments method)
    0.00041
  • Expected Shortfall (moments method)
    0.00041
  • Extreme Value Index (regression method)
    -0.08757
  • VaR(95%) (regression method)
    0.01668
  • Expected Shortfall (regression method)
    0.02607
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    14.00000
  • Minimum
    0.00420
  • Quartile 1
    0.02082
  • Median
    0.03540
  • Quartile 3
    0.07803
  • Maximum
    0.10179
  • Mean of quarter 1
    0.01001
  • Mean of quarter 2
    0.02297
  • Mean of quarter 3
    0.06163
  • Mean of quarter 4
    0.09089
  • Inter Quartile Range
    0.05721
  • 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)
    -2.52623
  • VaR(95%) (moments method)
    0.09859
  • Expected Shortfall (moments method)
    0.09897
  • Extreme Value Index (regression method)
    -1.60155
  • VaR(95%) (regression method)
    0.10491
  • Expected Shortfall (regression method)
    0.10611
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    2.17181
  • Compounded annual return (geometric extrapolation)
    2.79697
  • Calmar ratio (compounded annual return / max draw down)
    27.47660
  • Compounded annual return / average of 25% largest draw downs
    30.77330
  • Compounded annual return / Expected Shortfall lognormal
    59.91880
  • 0.00000
  • 0.00000
  • Analysis based on DAILY values, last 6 months only
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    1.23516
  • SD
    0.40590
  • Sharpe ratio (Glass type estimate)
    3.04297
  • Sharpe ratio (Hedges UMVUE)
    3.02538
  • df
    130.00000
  • t
    2.15171
  • p
    0.40728
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.24099
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.83363
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.22929
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.82148
  • Statistics related to Sortino ratio
  • Sortino ratio
    5.54569
  • Upside Potential Ratio
    11.98890
  • Upside part of mean
    2.67022
  • Downside part of mean
    -1.43506
  • Upside SD
    0.34600
  • Downside SD
    0.22272
  • N nonnegative terms
    96.00000
  • N negative terms
    35.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.00418
  • Mean of criterion
    1.23516
  • SD of predictor
    0.12862
  • SD of criterion
    0.40590
  • Covariance
    0.00670
  • r
    0.12832
  • b (slope, estimate of beta)
    0.40499
  • a (intercept, estimate of alpha)
    1.23346
  • Mean Square Error
    0.16330
  • DF error
    129.00000
  • t(b)
    1.46963
  • p(b)
    0.41853
  • t(a)
    2.15832
  • p(a)
    0.38184
  • Lowerbound of 95% confidence interval for beta
    -0.14024
  • Upperbound of 95% confidence interval for beta
    0.95021
  • Lowerbound of 95% confidence interval for alpha
    0.10275
  • Upperbound of 95% confidence interval for alpha
    2.36418
  • Treynor index (mean / b)
    3.04987
  • Jensen alpha (a)
    1.23346
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    1.15162
  • SD
    0.40274
  • Sharpe ratio (Glass type estimate)
    2.85951
  • Sharpe ratio (Hedges UMVUE)
    2.84298
  • df
    130.00000
  • t
    2.02198
  • p
    0.41269
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.06064
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.64767
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.04972
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.63624
  • Statistics related to Sortino ratio
  • Sortino ratio
    5.03433
  • Upside Potential Ratio
    11.42000
  • Upside part of mean
    2.61238
  • Downside part of mean
    -1.46076
  • Upside SD
    0.33718
  • Downside SD
    0.22875
  • N nonnegative terms
    96.00000
  • N negative terms
    35.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.00407
  • Mean of criterion
    1.15162
  • SD of predictor
    0.12906
  • SD of criterion
    0.40274
  • Covariance
    0.00668
  • r
    0.12843
  • b (slope, estimate of beta)
    0.40079
  • a (intercept, estimate of alpha)
    1.15325
  • Mean Square Error
    0.16076
  • DF error
    129.00000
  • t(b)
    1.47088
  • p(b)
    0.41846
  • t(a)
    2.03388
  • p(a)
    0.38837
  • Lowerbound of 95% confidence interval for beta
    -0.13832
  • Upperbound of 95% confidence interval for beta
    0.93990
  • Lowerbound of 95% confidence interval for alpha
    0.03139
  • Upperbound of 95% confidence interval for alpha
    2.27512
  • Treynor index (mean / b)
    2.87340
  • Jensen alpha (a)
    1.15325
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.03587
  • Expected Shortfall on VaR
    0.04580
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00781
  • Expected Shortfall on VaR
    0.01862
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.91284
  • Quartile 1
    0.99692
  • Median
    1.00000
  • Quartile 3
    1.01502
  • Maximum
    1.08103
  • Mean of quarter 1
    0.97832
  • Mean of quarter 2
    0.99994
  • Mean of quarter 3
    1.00196
  • Mean of quarter 4
    1.03856
  • Inter Quartile Range
    0.01810
  • Number outliers low
    8.00000
  • Percentage of outliers low
    0.06107
  • Mean of outliers low
    0.95449
  • Number of outliers high
    12.00000
  • Percentage of outliers high
    0.09160
  • Mean of outliers high
    1.05928
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -1.04965
  • VaR(95%) (moments method)
    0.01394
  • Expected Shortfall (moments method)
    0.01511
  • Extreme Value Index (regression method)
    0.10970
  • VaR(95%) (regression method)
    0.01950
  • Expected Shortfall (regression method)
    0.03115
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    12.00000
  • Minimum
    0.00420
  • Quartile 1
    0.01758
  • Median
    0.02375
  • Quartile 3
    0.07880
  • Maximum
    0.10179
  • Mean of quarter 1
    0.00647
  • Mean of quarter 2
    0.02155
  • Mean of quarter 3
    0.05461
  • Mean of quarter 4
    0.09336
  • Inter Quartile Range
    0.06122
  • 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)
    -3.08210
  • VaR(95%) (moments method)
    0.09961
  • Expected Shortfall (moments method)
    0.09988
  • Extreme Value Index (regression method)
    -0.66004
  • VaR(95%) (regression method)
    0.10359
  • Expected Shortfall (regression method)
    0.10770
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    1.55715
  • Compounded annual return (geometric extrapolation)
    2.16333
  • Calmar ratio (compounded annual return / max draw down)
    21.25190
  • Compounded annual return / average of 25% largest draw downs
    23.17140
  • Compounded annual return / Expected Shortfall lognormal
    47.23180

Strategy Description

This strategy is a momentum based trading system using technical & fundamental data that combines multiple time frames and various indices.

The aim is to trade the core part of the move once it has been established.

Trades can closed after several hours or days.
Stop-loss will be placed when trades are open and moved to lock-in profits as and when trend progresses.
The initial target will be set when trades are entered but these may be changed depending on market conditions.

All entries are on US futures (S&P, NAS 100 & DJ) and most will be opened during US day trading times.

Performance statistics on this website speak for themselves.

The overall long term aim is to increase the account size consistently. Then increase the trade size or trade multiple indices when the account has achieved a significant percentage increase.

"Of course these are goals only. No performance can be guaranteed, and the actual real-world results may be vastly different from these goals."

Summary Statistics

Strategy began
2018-03-07
Suggested Minimum Capital
$25,000
# Trades
36
# Profitable
29
% Profitable
80.6%
Correlation S&P500
0.180
Sharpe Ratio
3.382

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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