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

Trades-Own-Strategy Certification

This system has earned Trades-Own-Strategy (TOS) Certification. This means that the manager of this system trades his own strategy in a real-life, funded brokerage account.

Trades-Own-Strategy (TOS) Certification Details
Certification process started 08/20/2018
Most recent certification approved 8/20/18 13:39 ET
Trades at broker Interactive Brokers (Stocks / Options, server 2)
Scaling percentage used 100%
# trading signals issued by system since certification 34
# trading signals executed in manager's Interactive Brokers (Stocks / Options, server 2) account 31
Percent signals followed since 08/20/2018 91.2%
This information was last updated 11/13/18 17:42 ET

Warning: System trading results are still hypothetical.

Even though the system developer is currently trading his own system in a real-life brokerage account, the trading results presented on this Web site must still be regarded as purely hypothetical results. This is because (among other reasons) the system developer may not have traded all signals, particularly those that occurred before 08/20/2018, and the system developer's results may not match the system results presented here. In addition, not all subscribers have received the same trades or prices as the system manager has. For these reasons, and others, it is extremely important you remember the following:

About the results you see on this Web site

Past results are not necessarily indicative of future results.

These results are based on simulated or hypothetical performance results that have certain inherent limitations. Unlike the results shown in an actual performance record, these results do not represent actual trading. Also, because these trades have not actually been executed, these results may have under-or over-compensated for the impact, if any, of certain market factors, such as lack of liquidity. Simulated or hypothetical trading programs in general are also subject to the fact that they are designed with the benefit of hindsight. No representation is being made that any account will or is likely to achieve profits or losses similar to these being shown.

In addition, hypothetical trading does not involve financial risk, and no hypothetical trading record can completely account for the impact of financial risk in actual trading. For example, the ability to withstand losses or to adhere to a particular trading program in spite of trading losses are material points which can also adversely affect actual trading results. There are numerous other factors related to the markets in general or to the implementation of any specific trading program, which cannot be fully accounted for in the preparation of hypothetical performance results and all of which can adversely affect actual trading results.

You may be interested to learn more technical details about how AGM - Access to Global Markets calculates the hypothetical results you see on this web site.

Volatility Balanced
(117580044)

Created by: PremiumScalping PremiumScalping
Started: 04/2018
Stocks
Last trade: Yesterday

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.

26.7%
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.

(21.2%)
Max Drawdown
13
Num Trades
38.5%
Win Trades
2.5 : 1
Profit Factor
50.0%
Win Months
Hypothetical Monthly Returns (includes system fee and Interactive Brokers commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2018                     (1.8%)+11.9%(2.5%)+15.7%+10.3%+6.0%(3.1%)(9.8%)      +26.7%

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.

Trading Record

This strategy has placed 31 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
11/7/18 14:34 VXX IPATH S&P 500 VIX ST FUTURES E SHORT 3,000 32.83 11/12 15:57 36.13 10.9%
Trade id #120804876
Max drawdown($10,315)
Time11/12/18 15:55
Quant open-3,000
Worst price36.27
Drawdown as % of equity-10.90%
($9,925)
Includes Typical Broker Commissions trade costs of $30.00
10/1/18 15:50 VXX IPATH S&P 500 VIX ST FUTURES E SHORT 2,398.700000000 26.52 10/4 15:59 27.82 4.55%
Trade id #120123712
Max drawdown($4,655)
Time10/4/18 14:22
Quant open-1,991
Worst price28.86
Drawdown as % of equity-4.55%
($3,137)
Includes Typical Broker Commissions trade costs of $23.98
10/3/18 9:59 VIX1817J30 VIX Oct17'18 30 call LONG 4.150000000 0.10 10/4 10:48 0.10 0.01%
Trade id #120159491
Max drawdown($6)
Time10/4/18 9:51
Quant open3
Worst price0.08
Drawdown as % of equity-0.01%
($6)
Includes Typical Broker Commissions trade costs of $5.82
9/26/18 13:46 VIX1817J40 VIX Oct17'18 40 call LONG 3.628000000 0.10 9/28 15:56 0.05 0.01%
Trade id #120049053
Max drawdown($15)
Time9/28/18 15:56
Quant open0
Worst price0.05
Drawdown as % of equity-0.01%
($23)
Includes Typical Broker Commissions trade costs of $5.08
9/26/18 13:45 VIX1817J32.5 VIX Oct17'18 32.5 call LONG 3.628000000 0.15 9/28 15:55 0.10 0.01%
Trade id #120049005
Max drawdown($15)
Time9/28/18 15:55
Quant open0
Worst price0.10
Drawdown as % of equity-0.01%
($23)
Includes Typical Broker Commissions trade costs of $5.08
9/14/18 13:47 VXX IPATH S&P 500 VIX ST FUTURES E SHORT 3,664.209000000 27.58 9/28 15:54 26.78 3.49%
Trade id #119869941
Max drawdown($3,592)
Time9/17/18 20:00
Quant open-2,619
Worst price28.94
Drawdown as % of equity-3.49%
$2,904
Includes Typical Broker Commissions trade costs of $39.45
9/14/18 14:43 VXX1821I32 VXX Sep21'18 32 call LONG 3.628000000 0.15 9/22 9:37 0.00 0.04%
Trade id #119871631
Max drawdown($39)
Time9/22/18 9:37
Quant open0
Worst price0.00
Drawdown as % of equity-0.04%
($57)
Includes Typical Broker Commissions trade costs of $2.54
9/14/18 14:29 VXX1821I33.5 VXX Sep21'18 33.5 call LONG 3.628000000 0.12 9/22 9:36 0.00 0.03%
Trade id #119871167
Max drawdown($31)
Time9/22/18 9:36
Quant open0
Worst price0.00
Drawdown as % of equity-0.03%
($47)
Includes Typical Broker Commissions trade costs of $2.54
9/14/18 14:25 VXX1821I35 VXX Sep21'18 35 call LONG 7.256000000 0.10 9/22 9:36 0.00 0.05%
Trade id #119871030
Max drawdown($52)
Time9/22/18 9:36
Quant open0
Worst price0.00
Drawdown as % of equity-0.05%
($78)
Includes Typical Broker Commissions trade costs of $5.08
8/31/18 9:30 VXX IPATH S&P 500 VIX ST FUTURES E SHORT 2,546.807000000 29.68 9/14 12:55 27.76 2.38%
Trade id #119678801
Max drawdown($2,306)
Time9/7/18 9:39
Quant open-1,478
Worst price31.36
Drawdown as % of equity-2.38%
$4,866
Includes Typical Broker Commissions trade costs of $25.47
8/17/18 9:30 VXX IPATH S&P 500 VIX ST FUTURES E SHORT 3,175.019000000 30.60 8/20 13:39 28.82 0.33%
Trade id #119485279
Max drawdown($311)
Time8/17/18 10:27
Quant open-917
Worst price30.94
Drawdown as % of equity-0.33%
$5,620
Includes Typical Broker Commissions trade costs of $31.76
8/15/18 9:30 VXX IPATH S&P 500 VIX ST FUTURES E SHORT 3,175.019000000 31.66 8/16 9:57 30.73 2.68%
Trade id #119447466
Max drawdown($2,226)
Time8/15/18 10:57
Quant open-917
Worst price34.09
Drawdown as % of equity-2.68%
$2,912
Includes Typical Broker Commissions trade costs of $32.28
4/19/18 10:37 VXX IPATH S&P 500 VIX ST FUTURES E SHORT 2,583.311000000 38.55 8/13 15:48 31.87 0.79%
Trade id #117580166
Max drawdown($572)
Time6/28/18 10:38
Quant open-619
Worst price40.51
Drawdown as % of equity-0.79%
$17,240
Includes Typical Broker Commissions trade costs of $27.38

Statistics

  • Strategy began
    4/19/2018
  • Suggested Minimum Cap
    $90,000
  • Strategy Age (days)
    208.2
  • Age
    7 months ago
  • What it trades
    Stocks, Options
  • # Trades
    13
  • # Profitable
    5
  • % Profitable
    38.50%
  • Avg trade duration
    14.3 days
  • Max peak-to-valley drawdown
    21.25%
  • drawdown period
    Oct 14, 2018 - Nov 12, 2018
  • Cumul. Return
    27.3%
  • Avg win
    $6,739
  • Avg loss
    $1,651
  • Model Account Values (Raw)
  • Cash
    $92,641
  • Margin Used
    $0
  • Buying Power
    $92,641
  • Ratios
  • W:L ratio
    2.55:1
  • Sharpe Ratio
    1.558
  • Sortino Ratio
    2.264
  • Calmar Ratio
    3.421
  • CORRELATION STATISTICS
  • Correlation to SP500
    0.34900
  • Return Statistics
  • Ann Return (w trading costs)
    51.6%
  • Ann Return (Compnd, No Fees)
    54.6%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    56.00%
  • Chance of 20% account loss
    20.00%
  • Chance of 30% account loss
    4.50%
  • Chance of 40% account loss
    n/a
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    328
  • Popularity (Last 6 weeks)
    858
  • C2 Score
    55.1
  • Trades-Own-System Certification
  • Trades Own System?
    184512
  • TOS percent
    100%
  • Subscription Price
  • Billing Period (days)
    30
  • Trial Days
    0
  • Win / Loss
  • Avg Loss
    $1,652
  • Avg Win
    $6,739
  • # Winners
    5
  • # Losers
    8
  • % Winners
    38.5%
  • Frequency
  • Avg Position Time (mins)
    20525.40
  • Avg Position Time (hrs)
    342.09
  • Avg Trade Length
    14.3 days
  • Last Trade Ago
    1
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.73665
  • SD
    0.22360
  • Sharpe ratio (Glass type estimate)
    3.29452
  • Sharpe ratio (Hedges UMVUE)
    2.76987
  • df
    5.00000
  • t
    2.32958
  • p
    0.03362
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.21587
  • Upperbound of 95% confidence interval for Sharpe Ratio
    6.60218
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.49052
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    6.03025
  • Statistics related to Sortino ratio
  • Sortino ratio
    21.10380
  • Upside Potential Ratio
    22.51800
  • Upside part of mean
    0.78602
  • Downside part of mean
    -0.04936
  • Upside SD
    0.29269
  • Downside SD
    0.03491
  • N nonnegative terms
    5.00000
  • N negative terms
    1.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    6.00000
  • Mean of predictor
    0.03037
  • Mean of criterion
    0.73665
  • SD of predictor
    0.09060
  • SD of criterion
    0.22360
  • Covariance
    0.01353
  • r
    0.66808
  • b (slope, estimate of beta)
    1.64883
  • a (intercept, estimate of alpha)
    0.68658
  • Mean Square Error
    0.03460
  • DF error
    4.00000
  • t(b)
    1.79568
  • p(b)
    0.07349
  • t(a)
    2.59536
  • p(a)
    0.03017
  • Lowerbound of 95% confidence interval for beta
    -0.90106
  • Upperbound of 95% confidence interval for beta
    4.19871
  • Lowerbound of 95% confidence interval for alpha
    -0.04805
  • Upperbound of 95% confidence interval for alpha
    1.42120
  • Treynor index (mean / b)
    0.44677
  • Jensen alpha (a)
    0.68658
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.69515
  • SD
    0.20810
  • Sharpe ratio (Glass type estimate)
    3.34044
  • Sharpe ratio (Hedges UMVUE)
    2.80847
  • df
    5.00000
  • t
    2.36205
  • p
    0.03229
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.18645
  • Upperbound of 95% confidence interval for Sharpe Ratio
    6.66395
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.46458
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    6.08152
  • Statistics related to Sortino ratio
  • Sortino ratio
    19.71450
  • Upside Potential Ratio
    21.12870
  • Upside part of mean
    0.74502
  • Downside part of mean
    -0.04987
  • Upside SD
    0.27407
  • Downside SD
    0.03526
  • N nonnegative terms
    5.00000
  • N negative terms
    1.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    6.00000
  • Mean of predictor
    0.02678
  • Mean of criterion
    0.69515
  • SD of predictor
    0.09210
  • SD of criterion
    0.20810
  • Covariance
    0.01324
  • r
    0.69089
  • b (slope, estimate of beta)
    1.56114
  • a (intercept, estimate of alpha)
    0.65335
  • Mean Square Error
    0.02829
  • DF error
    4.00000
  • t(b)
    1.91129
  • p(b)
    0.06428
  • t(a)
    2.73501
  • p(a)
    0.02609
  • Lowerbound of 95% confidence interval for beta
    -0.70710
  • Upperbound of 95% confidence interval for beta
    3.82938
  • Lowerbound of 95% confidence interval for alpha
    -0.01003
  • Upperbound of 95% confidence interval for alpha
    1.31673
  • Treynor index (mean / b)
    0.44528
  • Jensen alpha (a)
    0.65335
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.04006
  • Expected Shortfall on VaR
    0.06363
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00382
  • Expected Shortfall on VaR
    0.01048
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    6.00000
  • Minimum
    0.97765
  • Quartile 1
    1.03422
  • Median
    1.06342
  • Quartile 3
    1.07700
  • Maximum
    1.17179
  • Mean of quarter 1
    1.00327
  • Mean of quarter 2
    1.05016
  • Mean of quarter 3
    1.07668
  • Mean of quarter 4
    1.12445
  • Inter Quartile Range
    0.04278
  • 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
    0.16667
  • Mean of outliers high
    1.17179
  • 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
    0.02235
  • Quartile 1
    0.02235
  • Median
    0.02235
  • Quartile 3
    0.02235
  • Maximum
    0.02235
  • 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)
    0.87105
  • Compounded annual return (geometric extrapolation)
    1.06073
  • Calmar ratio (compounded annual return / max draw down)
    47.45130
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    16.67150
  • 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
    0.47963
  • SD
    0.30635
  • Sharpe ratio (Glass type estimate)
    1.56560
  • Sharpe ratio (Hedges UMVUE)
    1.55760
  • df
    147.00000
  • t
    1.17669
  • p
    0.43860
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.05087
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.17692
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.05623
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.17143
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.26393
  • Upside Potential Ratio
    9.08500
  • Upside part of mean
    1.92470
  • Downside part of mean
    -1.44508
  • Upside SD
    0.22184
  • Downside SD
    0.21185
  • N nonnegative terms
    72.00000
  • N negative terms
    76.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    148.00000
  • Mean of predictor
    0.00680
  • Mean of criterion
    0.47963
  • SD of predictor
    0.12712
  • SD of criterion
    0.30635
  • Covariance
    0.01388
  • r
    0.35650
  • b (slope, estimate of beta)
    0.85914
  • a (intercept, estimate of alpha)
    0.47400
  • Mean Square Error
    0.08249
  • DF error
    146.00000
  • t(b)
    4.61057
  • p(b)
    0.32175
  • t(a)
    1.23985
  • p(a)
    0.44896
  • Lowerbound of 95% confidence interval for beta
    0.49086
  • Upperbound of 95% confidence interval for beta
    1.22741
  • Lowerbound of 95% confidence interval for alpha
    -0.28144
  • Upperbound of 95% confidence interval for alpha
    1.22900
  • Treynor index (mean / b)
    0.55826
  • Jensen alpha (a)
    0.47378
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.43245
  • SD
    0.30707
  • Sharpe ratio (Glass type estimate)
    1.40830
  • Sharpe ratio (Hedges UMVUE)
    1.40110
  • df
    147.00000
  • t
    1.05846
  • p
    0.44470
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.20678
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.01867
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.21157
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.01377
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.99956
  • Upside Potential Ratio
    8.78730
  • Upside part of mean
    1.90044
  • Downside part of mean
    -1.46799
  • Upside SD
    0.21817
  • Downside SD
    0.21627
  • N nonnegative terms
    72.00000
  • N negative terms
    76.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    148.00000
  • Mean of predictor
    -0.00126
  • Mean of criterion
    0.43245
  • SD of predictor
    0.12752
  • SD of criterion
    0.30707
  • Covariance
    0.01397
  • r
    0.35677
  • b (slope, estimate of beta)
    0.85913
  • a (intercept, estimate of alpha)
    0.43353
  • Mean Square Error
    0.08285
  • DF error
    146.00000
  • t(b)
    4.61453
  • p(b)
    0.32161
  • t(a)
    1.13198
  • p(a)
    0.45336
  • Lowerbound of 95% confidence interval for beta
    0.49118
  • Upperbound of 95% confidence interval for beta
    1.22709
  • Lowerbound of 95% confidence interval for alpha
    -0.32338
  • Upperbound of 95% confidence interval for alpha
    1.19043
  • Treynor index (mean / b)
    0.50335
  • Jensen alpha (a)
    0.43353
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02912
  • Expected Shortfall on VaR
    0.03676
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01276
  • Expected Shortfall on VaR
    0.02651
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    148.00000
  • Minimum
    0.93255
  • Quartile 1
    0.99529
  • Median
    1.00000
  • Quartile 3
    1.01286
  • Maximum
    1.06069
  • Mean of quarter 1
    0.97872
  • Mean of quarter 2
    0.99943
  • Mean of quarter 3
    1.00519
  • Mean of quarter 4
    1.02441
  • Inter Quartile Range
    0.01757
  • Number outliers low
    10.00000
  • Percentage of outliers low
    0.06757
  • Mean of outliers low
    0.95833
  • Number of outliers high
    4.00000
  • Percentage of outliers high
    0.02703
  • Mean of outliers high
    1.04979
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.33492
  • VaR(95%) (moments method)
    0.01762
  • Expected Shortfall (moments method)
    0.03313
  • Extreme Value Index (regression method)
    0.02864
  • VaR(95%) (regression method)
    0.02332
  • Expected Shortfall (regression method)
    0.03539
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    15.00000
  • Minimum
    0.00102
  • Quartile 1
    0.00794
  • Median
    0.02562
  • Quartile 3
    0.07529
  • Maximum
    0.17087
  • Mean of quarter 1
    0.00460
  • Mean of quarter 2
    0.01741
  • Mean of quarter 3
    0.04949
  • Mean of quarter 4
    0.12371
  • Inter Quartile Range
    0.06735
  • 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)
    -4.98482
  • VaR(95%) (moments method)
    0.13085
  • Expected Shortfall (moments method)
    0.13089
  • Extreme Value Index (regression method)
    -0.73357
  • VaR(95%) (regression method)
    0.16040
  • Expected Shortfall (regression method)
    0.17581
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.52575
  • Compounded annual return (geometric extrapolation)
    0.58464
  • Calmar ratio (compounded annual return / max draw down)
    3.42146
  • Compounded annual return / average of 25% largest draw downs
    4.72579
  • Compounded annual return / Expected Shortfall lognormal
    15.90260
  • 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
    0.24403
  • SD
    0.29538
  • Sharpe ratio (Glass type estimate)
    0.82615
  • Sharpe ratio (Hedges UMVUE)
    0.82137
  • df
    130.00000
  • t
    0.58417
  • p
    0.47442
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.94905
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.59820
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.95223
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.59497
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.15002
  • Upside Potential Ratio
    7.84452
  • Upside part of mean
    1.66458
  • Downside part of mean
    -1.42055
  • Upside SD
    0.20442
  • Downside SD
    0.21220
  • N nonnegative terms
    62.00000
  • N negative terms
    69.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.01684
  • Mean of criterion
    0.24403
  • SD of predictor
    0.12865
  • SD of criterion
    0.29538
  • Covariance
    0.01287
  • r
    0.33877
  • b (slope, estimate of beta)
    0.77785
  • a (intercept, estimate of alpha)
    0.25713
  • Mean Square Error
    0.07784
  • DF error
    129.00000
  • t(b)
    4.08958
  • p(b)
    0.28853
  • t(a)
    0.65168
  • p(a)
    0.46355
  • Lowerbound of 95% confidence interval for beta
    0.40153
  • Upperbound of 95% confidence interval for beta
    1.15418
  • Lowerbound of 95% confidence interval for alpha
    -0.52353
  • Upperbound of 95% confidence interval for alpha
    1.03779
  • Treynor index (mean / b)
    0.31372
  • Jensen alpha (a)
    0.25713
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.20044
  • SD
    0.29637
  • Sharpe ratio (Glass type estimate)
    0.67633
  • Sharpe ratio (Hedges UMVUE)
    0.67242
  • df
    130.00000
  • t
    0.47824
  • p
    0.47905
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.09791
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.44815
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.10059
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.44543
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.92486
  • Upside Potential Ratio
    7.58555
  • Upside part of mean
    1.64399
  • Downside part of mean
    -1.44355
  • Upside SD
    0.20086
  • Downside SD
    0.21673
  • N nonnegative terms
    62.00000
  • N negative terms
    69.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.02509
  • Mean of criterion
    0.20044
  • SD of predictor
    0.12909
  • SD of criterion
    0.29637
  • Covariance
    0.01300
  • r
    0.33976
  • b (slope, estimate of beta)
    0.78003
  • a (intercept, estimate of alpha)
    0.22001
  • Mean Square Error
    0.07830
  • DF error
    129.00000
  • t(b)
    4.10299
  • p(b)
    0.28794
  • t(a)
    0.55594
  • p(a)
    0.46889
  • Lowerbound of 95% confidence interval for beta
    0.40389
  • Upperbound of 95% confidence interval for beta
    1.15618
  • Lowerbound of 95% confidence interval for alpha
    -0.56299
  • Upperbound of 95% confidence interval for alpha
    1.00301
  • Treynor index (mean / b)
    0.25697
  • Jensen alpha (a)
    0.22001
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02893
  • Expected Shortfall on VaR
    0.03630
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01274
  • Expected Shortfall on VaR
    0.02654
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.93255
  • Quartile 1
    0.99545
  • Median
    1.00000
  • Quartile 3
    1.01000
  • Maximum
    1.06069
  • Mean of quarter 1
    0.97911
  • Mean of quarter 2
    0.99959
  • Mean of quarter 3
    1.00391
  • Mean of quarter 4
    1.02163
  • Inter Quartile Range
    0.01455
  • Number outliers low
    10.00000
  • Percentage of outliers low
    0.07634
  • Mean of outliers low
    0.95966
  • Number of outliers high
    5.00000
  • Percentage of outliers high
    0.03817
  • Mean of outliers high
    1.04670
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.43508
  • VaR(95%) (moments method)
    0.01788
  • Expected Shortfall (moments method)
    0.03836
  • Extreme Value Index (regression method)
    0.05735
  • VaR(95%) (regression method)
    0.02254
  • Expected Shortfall (regression method)
    0.03490
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    12.00000
  • Minimum
    0.00311
  • Quartile 1
    0.00832
  • Median
    0.03112
  • Quartile 3
    0.08345
  • Maximum
    0.17087
  • Mean of quarter 1
    0.00579
  • Mean of quarter 2
    0.01586
  • Mean of quarter 3
    0.04949
  • Mean of quarter 4
    0.13886
  • Inter Quartile Range
    0.07513
  • 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)
    -0.67894
  • VaR(95%) (moments method)
    0.15535
  • Expected Shortfall (moments method)
    0.16764
  • Extreme Value Index (regression method)
    0.82707
  • VaR(95%) (regression method)
    0.16908
  • Expected Shortfall (regression method)
    0.51669
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.24189
  • Compounded annual return (geometric extrapolation)
    0.25652
  • Calmar ratio (compounded annual return / max draw down)
    1.50125
  • Compounded annual return / average of 25% largest draw downs
    1.84742
  • Compounded annual return / Expected Shortfall lognormal
    7.06595

Strategy Description

Summary Statistics

Strategy began
2018-04-19
Suggested Minimum Capital
$90,000
# Trades
13
# Profitable
5
% Profitable
38.5%
Correlation S&P500
0.349
Sharpe Ratio
1.558

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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