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Patient Capital Return
(118012812)

Created by: PatientCapitalReturn PatientCapitalReturn
Started: 05/2018
Stocks, Forex
Last trade: 7 days ago
Trading style: Futures Short Term

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 $249.00 per month.

Trading Category: Futures
Short Term
Category: Equity

Short Term

Makes short-term trades or bases analysis on short-term market movements.
54.7%
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.

(19.8%)
Max Drawdown
76
Num Trades
42.1%
Win Trades
1.5 : 1
Profit Factor
42.9%
Win Months
Hypothetical Monthly Returns (includes system fee and Interactive Brokers commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2018                            (4.1%)+40.4%+3.9%+16.1%(3%)(0.8%)(0.9%)      +54.7%

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.

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

Trading Record

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Long
Short
Both
Win
Loss
Both
Show More details Show Fewer details
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
10/31/18 23:31 AUD/USD AUD/USD SHORT 250 0.71172 10/31 23:42 0.71250 2.35%
Trade id #120656483
Max drawdown($1,950)
Time10/31/18 23:42
Quant open0
Worst price0.71250
Drawdown as % of equity-2.35%
($2,050)
Includes Typical Broker Commissions trade costs of $100.00
10/31/18 0:27 AUD/USD AUD/USD SHORT 300 0.70815 10/31 7:27 0.71020 7.48%
Trade id #120634191
Max drawdown($6,150)
Time10/31/18 7:27
Quant open0
Worst price0.71020
Drawdown as % of equity-7.48%
($6,270)
Includes Typical Broker Commissions trade costs of $120.00
10/30/18 22:32 AUD/USD AUD/USD LONG 250 0.70879 10/31 0:26 0.70821 2.57%
Trade id #120633460
Max drawdown($2,150)
Time10/31/18 0:17
Quant open250
Worst price0.70793
Drawdown as % of equity-2.57%
($1,550)
Includes Typical Broker Commissions trade costs of $100.00
10/16/18 9:30 NSTG NANOSTRING TECHNOLOGIES INC. SHORT 3,000 15.58 10/26 11:02 13.85 2.93%
Trade id #120377419
Max drawdown($2,325)
Time10/17/18 10:17
Quant open-3,000
Worst price16.36
Drawdown as % of equity-2.93%
$5,160
Includes Typical Broker Commissions trade costs of $30.00
10/22/18 9:30 NVIV INVIVO THERAPEUTICS HOLDINGS LONG 1,000 2.40 10/25 10:13 1.90 0.61%
Trade id #120466080
Max drawdown($500)
Time10/25/18 10:13
Quant open0
Worst price1.90
Drawdown as % of equity-0.61%
($510)
Includes Typical Broker Commissions trade costs of $10.00
10/19/18 9:30 TSX.NSU NEVSUN RES LTD SHORT 12,000 CAD 5.74 10/24 15:40 CAD 5.82 0.88%
Trade id #120438000
Max drawdown($733)
Time10/24/18 15:40
Quant open0
Worst price5.82
Drawdown as % of equity-0.88%
($872)
Includes Typical Broker Commissions trade costs of $138.72
10/16/18 9:30 TSX.NSU NEVSUN RES LTD SHORT 12,000 CAD 5.70 10/17 12:06 CAD 5.78 0.94%
Trade id #120377435
Max drawdown($742)
Time10/17/18 12:06
Quant open0
Worst price5.78
Drawdown as % of equity-0.94%
($880)
Includes Typical Broker Commissions trade costs of $137.76
9/26/18 9:30 RCII RENT-A-CENTER SHORT 4,000 14.18 10/16 9:30 14.45 1.46%
Trade id #120040694
Max drawdown($1,200)
Time10/10/18 9:44
Quant open-4,000
Worst price14.48
Drawdown as % of equity-1.46%
($1,120)
Includes Typical Broker Commissions trade costs of $40.00
10/5/18 10:23 VXRT VAXART INC SHORT 1,000 5.35 10/12 9:39 3.51 0.43%
Trade id #120205742
Max drawdown($350)
Time10/5/18 10:57
Quant open-1,000
Worst price5.70
Drawdown as % of equity-0.43%
$1,830
Includes Typical Broker Commissions trade costs of $10.00
9/26/18 9:30 CCRC CHINA CUSTOMER RELATIONS CENTERS INC. O LONG 1,500 10.91 10/11 9:34 13.31 n/a $3,585
Includes Typical Broker Commissions trade costs of $15.00
10/8/18 18:17 AUD/JPY AUD/JPY SHORT 180 80.120 10/9 18:58 80.300 3.46%
Trade id #120242145
Max drawdown($2,867)
Time10/9/18 18:58
Quant open0
Worst price80.300
Drawdown as % of equity-3.46%
($2,939)
Includes Typical Broker Commissions trade costs of $72.00
9/26/18 9:30 JOUT JOHNSON OUTDOORS SHORT 250 93.76 10/8 15:57 83.12 0.95%
Trade id #120040678
Max drawdown($732)
Time9/26/18 13:51
Quant open-250
Worst price96.69
Drawdown as % of equity-0.95%
$2,658
Includes Typical Broker Commissions trade costs of $2.50
9/21/18 9:30 RBA RITCHIE BROS. AUCTIONEERS SHORT 1,500 37.38 10/5 10:35 36.38 0.06%
Trade id #119967103
Max drawdown($45)
Time9/21/18 10:03
Quant open-1,500
Worst price37.41
Drawdown as % of equity-0.06%
$1,493
Includes Typical Broker Commissions trade costs of $15.00
9/18/18 9:02 NZD/JPY NZD/JPY SHORT 60 74.091 9/20 11:23 75.160 7.4%
Trade id #119904778
Max drawdown($5,700)
Time9/20/18 11:23
Quant open30
Worst price75.160
Drawdown as % of equity-7.40%
($5,724)
Includes Typical Broker Commissions trade costs of $24.00
9/18/18 9:30 AWSM COOL HOLDINGS INC. COMMON STOCK SHORT 3,500 7.10 9/20 9:36 7.66 2.45%
Trade id #119905877
Max drawdown($1,960)
Time9/20/18 9:36
Quant open0
Worst price7.66
Drawdown as % of equity-2.45%
($1,995)
Includes Typical Broker Commissions trade costs of $35.00
8/24/18 9:30 CCRC CHINA CUSTOMER RELATIONS CENTERS INC. O LONG 2,500 9.41 9/18 9:34 9.36 1.84%
Trade id #119582019
Max drawdown($1,444)
Time8/27/18 9:33
Quant open2,500
Worst price8.83
Drawdown as % of equity-1.84%
($147)
Includes Typical Broker Commissions trade costs of $25.00
9/16/18 21:23 NZD/JPY NZD/JPY SHORT 150 73.401 9/17 5:35 73.540 2.22%
Trade id #119880416
Max drawdown($1,862)
Time9/17/18 5:35
Quant open0
Worst price73.540
Drawdown as % of equity-2.22%
($1,922)
Includes Typical Broker Commissions trade costs of $60.00
8/24/18 12:05 CYRX CRYOPORT INC. COMMON STOCK SHORT 1,200 14.19 9/10 9:32 14.80 0.85%
Trade id #119587049
Max drawdown($732)
Time9/10/18 9:32
Quant open0
Worst price14.80
Drawdown as % of equity-0.85%
($744)
Includes Typical Broker Commissions trade costs of $12.00
8/16/18 9:30 ECOM CHANNELADVISOR CORPORATION SHORT 500 13.35 9/6 12:29 12.05 0.06%
Trade id #119466781
Max drawdown($50)
Time8/27/18 9:37
Quant open-500
Worst price13.45
Drawdown as % of equity-0.06%
$645
Includes Typical Broker Commissions trade costs of $5.00
9/5/18 9:30 HEAR TURTLE BEACH CORPORATION COMMO LONG 2,800 23.36 9/6 11:13 22.21 3.7%
Trade id #119728577
Max drawdown($3,232)
Time9/6/18 11:13
Quant open2,000
Worst price22.21
Drawdown as % of equity-3.70%
($3,260)
Includes Typical Broker Commissions trade costs of $28.00
9/4/18 23:06 AUD/USD AUD/USD SHORT 120 0.72021 9/5 3:20 0.71600 n/a $5,004
Includes Typical Broker Commissions trade costs of $48.00
8/21/18 9:30 REPH RECRO PHARMA INC. COMMON STOC LONG 2,400 6.29 9/4 9:52 7.49 0.76%
Trade id #119528363
Max drawdown($576)
Time8/21/18 11:21
Quant open2,400
Worst price6.05
Drawdown as % of equity-0.76%
$2,856
Includes Typical Broker Commissions trade costs of $24.00
9/3/18 2:51 AUD/USD AUD/USD LONG 110 0.71957 9/4 3:55 0.71820 1.75%
Trade id #119697455
Max drawdown($1,507)
Time9/4/18 3:55
Quant open0
Worst price0.71820
Drawdown as % of equity-1.75%
($1,551)
Includes Typical Broker Commissions trade costs of $44.00
8/16/18 9:30 BOLD AUDENTES THERAPEUTICS INC SHORT 500 33.49 8/29 9:34 35.50 1.21%
Trade id #119466758
Max drawdown($1,005)
Time8/29/18 9:34
Quant open0
Worst price35.50
Drawdown as % of equity-1.21%
($1,010)
Includes Typical Broker Commissions trade costs of $5.00
8/27/18 21:38 AUD/USD AUD/USD LONG 120 0.73355 8/28 19:17 0.73373 2.08%
Trade id #119617093
Max drawdown($1,728)
Time8/28/18 1:18
Quant open120
Worst price0.73211
Drawdown as % of equity-2.08%
$168
Includes Typical Broker Commissions trade costs of $48.00
8/27/18 18:50 USD/JPY USD/JPY SHORT 75 111.075 8/27 20:56 111.220 1.17%
Trade id #119616139
Max drawdown($978)
Time8/27/18 20:56
Quant open0
Worst price111.220
Drawdown as % of equity-1.17%
($1,008)
Includes Typical Broker Commissions trade costs of $30.00
8/26/18 23:02 AUD/JPY AUD/JPY LONG 150 81.348 8/27 12:31 81.640 2.85%
Trade id #119597438
Max drawdown($2,242)
Time8/27/18 2:54
Quant open150
Worst price81.182
Drawdown as % of equity-2.85%
$3,884
Includes Typical Broker Commissions trade costs of $60.00
8/3/18 9:31 TROV TROVAGENE LONG 5,000 0.83 8/24 11:28 0.81 0.55%
Trade id #119267550
Max drawdown($400)
Time8/17/18 17:28
Quant open5,000
Worst price0.75
Drawdown as % of equity-0.55%
($150)
Includes Typical Broker Commissions trade costs of $50.00
8/16/18 18:49 AUD/USD AUD/USD LONG 130 0.72627 8/21 13:39 0.73750 2%
Trade id #119478196
Max drawdown($1,287)
Time8/16/18 20:19
Quant open130
Worst price0.72528
Drawdown as % of equity-2.00%
$14,547
Includes Typical Broker Commissions trade costs of $52.00
8/15/18 21:48 AUD/USD AUD/USD SHORT 120 0.72620 8/16 9:52 0.72820 3.64%
Trade id #119461901
Max drawdown($2,400)
Time8/16/18 9:52
Quant open0
Worst price0.72820
Drawdown as % of equity-3.64%
($2,448)
Includes Typical Broker Commissions trade costs of $48.00

Statistics

  • Strategy began
    5/21/2018
  • Suggested Minimum Cap
    $80,000
  • Strategy Age (days)
    176.63
  • Age
    177 days ago
  • What it trades
    Stocks, Forex
  • # Trades
    76
  • # Profitable
    32
  • % Profitable
    42.10%
  • Avg trade duration
    7.7 days
  • Max peak-to-valley drawdown
    19.76%
  • drawdown period
    Sept 05, 2018 - Nov 07, 2018
  • Cumul. Return
    56.2%
  • Avg win
    $2,853
  • Avg loss
    $1,385
  • Model Account Values (Raw)
  • Cash
    $117,423
  • Margin Used
    $79,055
  • Buying Power
    $38,532
  • Ratios
  • W:L ratio
    1.50:1
  • Sharpe Ratio
    2.286
  • Sortino Ratio
    5.076
  • Calmar Ratio
    11.074
  • CORRELATION STATISTICS
  • Correlation to SP500
    -0.00100
  • Return Statistics
  • Ann Return (w trading costs)
    147.6%
  • Ann Return (Compnd, No Fees)
    165.5%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    31.50%
  • Chance of 20% account loss
    6.00%
  • Chance of 30% account loss
    n/a
  • Chance of 40% account loss
    n/a
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    718
  • C2 Score
    52.6
  • 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
    $1,378
  • Avg Win
    $2,853
  • # Winners
    32
  • # Losers
    44
  • % Winners
    42.1%
  • Frequency
  • Avg Position Time (mins)
    11150.30
  • Avg Position Time (hrs)
    185.84
  • Avg Trade Length
    7.7 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
    1.35350
  • SD
    0.68380
  • Sharpe ratio (Glass type estimate)
    1.97937
  • Sharpe ratio (Hedges UMVUE)
    1.57931
  • df
    4.00000
  • t
    1.27768
  • p
    0.13524
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.43093
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.19386
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.64825
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.80688
  • Statistics related to Sortino ratio
  • Sortino ratio
    29.71060
  • Upside Potential Ratio
    31.87740
  • Upside part of mean
    1.45221
  • Downside part of mean
    -0.09871
  • Upside SD
    0.72433
  • Downside SD
    0.04556
  • N nonnegative terms
    3.00000
  • N negative terms
    2.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    5.00000
  • Mean of predictor
    -0.00179
  • Mean of criterion
    1.35350
  • SD of predictor
    0.12209
  • SD of criterion
    0.68380
  • Covariance
    0.00276
  • r
    0.03309
  • b (slope, estimate of beta)
    0.18533
  • a (intercept, estimate of alpha)
    1.35383
  • Mean Square Error
    0.62276
  • DF error
    3.00000
  • t(b)
    0.05735
  • p(b)
    0.47894
  • t(a)
    1.10737
  • p(a)
    0.17447
  • Lowerbound of 95% confidence interval for beta
    -10.09970
  • Upperbound of 95% confidence interval for beta
    10.47030
  • Lowerbound of 95% confidence interval for alpha
    -2.53692
  • Upperbound of 95% confidence interval for alpha
    5.24459
  • Treynor index (mean / b)
    7.30322
  • Jensen alpha (a)
    1.35383
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    1.14407
  • SD
    0.56708
  • Sharpe ratio (Glass type estimate)
    2.01749
  • Sharpe ratio (Hedges UMVUE)
    1.60972
  • df
    4.00000
  • t
    1.30228
  • p
    0.13137
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.40431
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.24106
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.62505
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.84449
  • Statistics related to Sortino ratio
  • Sortino ratio
    24.90130
  • Upside Potential Ratio
    27.06770
  • Upside part of mean
    1.24360
  • Downside part of mean
    -0.09953
  • Upside SD
    0.60351
  • Downside SD
    0.04594
  • N nonnegative terms
    3.00000
  • N negative terms
    2.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    5.00000
  • Mean of predictor
    -0.00791
  • Mean of criterion
    1.14407
  • SD of predictor
    0.12458
  • SD of criterion
    0.56708
  • Covariance
    0.00205
  • r
    0.02905
  • b (slope, estimate of beta)
    0.13224
  • a (intercept, estimate of alpha)
    1.14512
  • Mean Square Error
    0.42841
  • DF error
    3.00000
  • t(b)
    0.05034
  • p(b)
    0.48151
  • t(a)
    1.12908
  • p(a)
    0.17050
  • Lowerbound of 95% confidence interval for beta
    -8.22789
  • Upperbound of 95% confidence interval for beta
    8.49237
  • Lowerbound of 95% confidence interval for alpha
    -2.08253
  • Upperbound of 95% confidence interval for alpha
    4.37277
  • Treynor index (mean / b)
    8.65147
  • Jensen alpha (a)
    1.14512
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.15964
  • Expected Shortfall on VaR
    0.21379
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01701
  • Expected Shortfall on VaR
    0.02894
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    5.00000
  • Minimum
    0.97869
  • Quartile 1
    0.98484
  • Median
    1.03665
  • Quartile 3
    1.12258
  • Maximum
    1.45285
  • Mean of quarter 1
    0.98176
  • Mean of quarter 2
    1.03665
  • Mean of quarter 3
    1.12258
  • Mean of quarter 4
    1.45285
  • Inter Quartile Range
    0.13774
  • 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
    0.20000
  • Mean of outliers high
    1.45285
  • 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
    2.00000
  • Minimum
    0.01516
  • Quartile 1
    0.01670
  • Median
    0.01824
  • Quartile 3
    0.01977
  • Maximum
    0.02131
  • Mean of quarter 1
    0.01516
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.02131
  • Inter Quartile Range
    0.00307
  • 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)
    1.51100
  • Compounded annual return (geometric extrapolation)
    2.22838
  • Calmar ratio (compounded annual return / max draw down)
    104.56700
  • Compounded annual return / average of 25% largest draw downs
    104.56700
  • Compounded annual return / Expected Shortfall lognormal
    10.42320
  • 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
    1.08869
  • SD
    0.47326
  • Sharpe ratio (Glass type estimate)
    2.30041
  • Sharpe ratio (Hedges UMVUE)
    2.28646
  • df
    124.00000
  • t
    1.58894
  • p
    0.42937
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.55600
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.14779
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.56532
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.13825
  • Statistics related to Sortino ratio
  • Sortino ratio
    5.07607
  • Upside Potential Ratio
    13.09950
  • Upside part of mean
    2.80953
  • Downside part of mean
    -1.72084
  • Upside SD
    0.42510
  • Downside SD
    0.21447
  • N nonnegative terms
    64.00000
  • N negative terms
    61.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    125.00000
  • Mean of predictor
    -0.02772
  • Mean of criterion
    1.08869
  • SD of predictor
    0.13067
  • SD of criterion
    0.47326
  • Covariance
    0.00099
  • r
    0.01598
  • b (slope, estimate of beta)
    0.05788
  • a (intercept, estimate of alpha)
    1.09000
  • Mean Square Error
    0.22574
  • DF error
    123.00000
  • t(b)
    0.17726
  • p(b)
    0.48983
  • t(a)
    1.58492
  • p(a)
    0.41024
  • Lowerbound of 95% confidence interval for beta
    -0.58847
  • Upperbound of 95% confidence interval for beta
    0.70424
  • Lowerbound of 95% confidence interval for alpha
    -0.27139
  • Upperbound of 95% confidence interval for alpha
    2.45199
  • Treynor index (mean / b)
    18.80930
  • Jensen alpha (a)
    1.09030
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.98074
  • SD
    0.45669
  • Sharpe ratio (Glass type estimate)
    2.14749
  • Sharpe ratio (Hedges UMVUE)
    2.13447
  • df
    124.00000
  • t
    1.48332
  • p
    0.43398
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.70681
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.99334
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.71549
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.98443
  • Statistics related to Sortino ratio
  • Sortino ratio
    4.48575
  • Upside Potential Ratio
    12.46360
  • Upside part of mean
    2.72499
  • Downside part of mean
    -1.74425
  • Upside SD
    0.40345
  • Downside SD
    0.21863
  • N nonnegative terms
    64.00000
  • N negative terms
    61.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    125.00000
  • Mean of predictor
    -0.03623
  • Mean of criterion
    0.98074
  • SD of predictor
    0.13112
  • SD of criterion
    0.45669
  • Covariance
    0.00090
  • r
    0.01498
  • b (slope, estimate of beta)
    0.05218
  • a (intercept, estimate of alpha)
    0.98263
  • Mean Square Error
    0.21022
  • DF error
    123.00000
  • t(b)
    0.16618
  • p(b)
    0.49046
  • t(a)
    1.48012
  • p(a)
    0.41603
  • Lowerbound of 95% confidence interval for beta
    -0.56939
  • Upperbound of 95% confidence interval for beta
    0.67376
  • Lowerbound of 95% confidence interval for alpha
    -0.33149
  • Upperbound of 95% confidence interval for alpha
    2.29676
  • Treynor index (mean / b)
    18.79440
  • Jensen alpha (a)
    0.98263
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.04177
  • Expected Shortfall on VaR
    0.05295
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01492
  • Expected Shortfall on VaR
    0.02908
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    125.00000
  • Minimum
    0.93289
  • Quartile 1
    0.99163
  • Median
    1.00036
  • Quartile 3
    1.01139
  • Maximum
    1.17990
  • Mean of quarter 1
    0.97778
  • Mean of quarter 2
    0.99668
  • Mean of quarter 3
    1.00545
  • Mean of quarter 4
    1.03800
  • Inter Quartile Range
    0.01976
  • Number outliers low
    4.00000
  • Percentage of outliers low
    0.03200
  • Mean of outliers low
    0.95211
  • Number of outliers high
    9.00000
  • Percentage of outliers high
    0.07200
  • Mean of outliers high
    1.08191
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.01753
  • VaR(95%) (moments method)
    0.01997
  • Expected Shortfall (moments method)
    0.02746
  • Extreme Value Index (regression method)
    0.07820
  • VaR(95%) (regression method)
    0.02336
  • Expected Shortfall (regression method)
    0.03401
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    8.00000
  • Minimum
    0.00128
  • Quartile 1
    0.02001
  • Median
    0.04121
  • Quartile 3
    0.08567
  • Maximum
    0.15730
  • Mean of quarter 1
    0.00959
  • Mean of quarter 2
    0.02738
  • Mean of quarter 3
    0.06185
  • Mean of quarter 4
    0.13699
  • Inter Quartile Range
    0.06567
  • 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)
    1.29545
  • Compounded annual return (geometric extrapolation)
    1.74190
  • Calmar ratio (compounded annual return / max draw down)
    11.07380
  • Compounded annual return / average of 25% largest draw downs
    12.71520
  • Compounded annual return / Expected Shortfall lognormal
    32.89860

Strategy Description

DISCLAIMER:

THIS IS A VERY RISKY STRATEGY AND HYPOTHETICAL LOSSES MAY BE UNLIMITED. ALL RESULTS PRESENTED ON COLLECTIVE2 OF THIS STRATEGY ARE HYPOTHETICAL ONLY. I AM NOT A LICENSED FINANCIAL PROFESSIONAL AND NOTHING WRITTEN HERE OR ANYWHERE ELSE BY ME ON COLLECTIVE2 SHOULD BE CONSTRUED AS INVESTMENT ADVICE. ALL SIGNALS ARE PROVIDED FOR EDUCATIONAL AND DEMONSTRATION PURPOSES ONLY.

Summary Statistics

Strategy began
2018-05-21
Suggested Minimum Capital
$80,000
# Trades
76
# Profitable
32
% Profitable
42.1%
Net Dividends
Correlation S&P500
-0.001
Sharpe Ratio
2.286

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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