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HighProbTrend
(119043738)

Created by: isla15 isla15
Started: 07/2018
Futures
Last trade: 4 days ago
Trading style: Futures Momentum 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 $130.00 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).
Short Term
Category: Equity

Short Term

Makes short-term trades or bases analysis on short-term market movements.
29.8%
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.

(8.3%)
Max Drawdown
76
Num Trades
67.1%
Win Trades
1.7 : 1
Profit Factor
71.4%
Win Months
Hypothetical Monthly Returns (includes system fee and Interactive Brokers commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2018                                          (5%)+17.4%(2.3%)+9.7%+0.3%+5.0%+25.9%
2019+3.1%                                                                  +3.1%

Model Account Details

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

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

Trading Record

This strategy has placed 60 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
1/18/19 11:29 @NQH9 E-MINI NASDAQ 100 STK IDX LONG 1 6814.40 1/18 12:41 6825.35 0.8%
Trade id #122057542
Max drawdown($273)
Time1/18/19 11:52
Quant open1
Worst price6800.75
Drawdown as % of equity-0.80%
$215
Includes Typical Broker Commissions trade costs of $4.02
1/15/19 10:56 @ESH9 E-MINI S&P 500 LONG 1 2599.00 1/15 14:28 2598.75 0.18%
Trade id #121982968
Max drawdown($62)
Time1/15/19 11:26
Quant open1
Worst price2597.75
Drawdown as % of equity-0.18%
($17)
Includes Typical Broker Commissions trade costs of $4.02
1/11/19 9:36 QGCG9 Gold 100 oz SHORT 1 1288.1 1/11 13:39 1288.9 1.02%
Trade id #121917768
Max drawdown($350)
Time1/11/19 10:31
Quant open-1
Worst price1291.6
Drawdown as % of equity-1.02%
($86)
Includes Typical Broker Commissions trade costs of $6.00
1/9/19 9:40 @EUH9 EUROFX LONG 3 1.15795 1/9 12:06 1.15967 0.11%
Trade id #121867701
Max drawdown($36)
Time1/9/19 9:45
Quant open2
Worst price1.15740
Drawdown as % of equity-0.11%
$627
Includes Typical Broker Commissions trade costs of $18.00
1/8/19 11:17 @ESH9 E-MINI S&P 500 SHORT 1 2558.75 1/8 12:48 2558.75 1.4%
Trade id #121845477
Max drawdown($475)
Time1/8/19 12:27
Quant open-1
Worst price2568.25
Drawdown as % of equity-1.40%
($4)
Includes Typical Broker Commissions trade costs of $4.02
1/7/19 10:52 @NQH9 E-MINI NASDAQ 100 STK IDX LONG 2 6496.78 1/7 15:37 6508.00 1.15%
Trade id #121819275
Max drawdown($381)
Time1/7/19 11:28
Quant open1
Worst price6462.75
Drawdown as % of equity-1.15%
$441
Includes Typical Broker Commissions trade costs of $8.04
12/20/18 12:35 @ESH9 E-MINI S&P 500 SHORT 2 2474.75 12/20 14:03 2456.38 0.04%
Trade id #121599366
Max drawdown($12)
Time12/20/18 12:37
Quant open-1
Worst price2480.75
Drawdown as % of equity-0.04%
$1,830
Includes Typical Broker Commissions trade costs of $8.04
12/19/18 9:45 QGCG9 Gold 100 oz LONG 2 1257.9 12/19 14:00 1254.8 2.44%
Trade id #121569327
Max drawdown($780)
Time12/19/18 13:43
Quant open2
Worst price1254.0
Drawdown as % of equity-2.44%
($640)
Includes Typical Broker Commissions trade costs of $12.00
12/18/18 11:43 @ESH9 E-MINI S&P 500 SHORT 1 2562.50 12/18 14:35 2552.25 2.17%
Trade id #121553632
Max drawdown($687)
Time12/18/18 12:23
Quant open-1
Worst price2576.25
Drawdown as % of equity-2.17%
$509
Includes Typical Broker Commissions trade costs of $4.02
12/13/18 11:15 @NQZ8 E-MINI NASDAQ 100 STK IDX SHORT 1 6753.94 12/13 13:54 6752.81 2.56%
Trade id #121482445
Max drawdown($811)
Time12/13/18 11:45
Quant open-1
Worst price6794.50
Drawdown as % of equity-2.56%
$19
Includes Typical Broker Commissions trade costs of $4.02
12/12/18 9:50 @EUZ8 EUROFX LONG 2 1.13690 12/12 14:58 1.13710 0.79%
Trade id #121461871
Max drawdown($250)
Time12/12/18 11:32
Quant open2
Worst price1.13590
Drawdown as % of equity-0.79%
$38
Includes Typical Broker Commissions trade costs of $12.00
12/10/18 11:57 @ESZ8 E-MINI S&P 500 SHORT 1 2603.00 12/10 12:49 2622.05 2.91%
Trade id #121426198
Max drawdown($953)
Time12/10/18 12:49
Quant open0
Worst price2622.05
Drawdown as % of equity-2.91%
($957)
Includes Typical Broker Commissions trade costs of $4.02
12/10/18 11:37 @NQZ8 E-MINI NASDAQ 100 STK IDX SHORT 1 6589.55 12/10 11:58 6585.85 1.57%
Trade id #121425276
Max drawdown($509)
Time12/10/18 11:47
Quant open-1
Worst price6615.00
Drawdown as % of equity-1.57%
$70
Includes Typical Broker Commissions trade costs of $4.02
12/10/18 11:05 @EUZ8 EUROFX SHORT 2 1.13736 12/10 11:43 1.13710 0.26%
Trade id #121424735
Max drawdown($85)
Time12/10/18 11:07
Quant open-2
Worst price1.13770
Drawdown as % of equity-0.26%
$53
Includes Typical Broker Commissions trade costs of $12.00
12/7/18 10:36 @NQZ8 E-MINI NASDAQ 100 STK IDX SHORT 1 6745.69 12/7 11:56 6684.06 1.06%
Trade id #121397980
Max drawdown($331)
Time12/7/18 10:48
Quant open-1
Worst price6762.25
Drawdown as % of equity-1.06%
$1,229
Includes Typical Broker Commissions trade costs of $4.02
12/6/18 12:10 @ESZ8 E-MINI S&P 500 SHORT 1 2642.06 12/6 12:33 2662.00 3.1%
Trade id #121380515
Max drawdown($997)
Time12/6/18 12:33
Quant open0
Worst price2662.00
Drawdown as % of equity-3.10%
($1,001)
Includes Typical Broker Commissions trade costs of $4.02
12/4/18 11:07 @ESZ8 E-MINI S&P 500 SHORT 1 2773.25 12/4 12:00 2761.69 0.08%
Trade id #121333732
Max drawdown($25)
Time12/4/18 11:25
Quant open-1
Worst price2773.75
Drawdown as % of equity-0.08%
$574
Includes Typical Broker Commissions trade costs of $4.02
11/27/18 10:05 @EUZ8 EUROFX SHORT 2 1.13130 11/27 11:52 1.12965 1.18%
Trade id #121189671
Max drawdown($362)
Time11/27/18 10:23
Quant open-2
Worst price1.13275
Drawdown as % of equity-1.18%
$401
Includes Typical Broker Commissions trade costs of $12.00
11/27/18 10:16 QGCZ8 Gold 100 oz SHORT 1 1215.9 11/27 11:25 1212.4 0.72%
Trade id #121190215
Max drawdown($220)
Time11/27/18 10:23
Quant open-1
Worst price1218.1
Drawdown as % of equity-0.72%
$344
Includes Typical Broker Commissions trade costs of $6.00
11/16/18 9:11 QGCZ8 Gold 100 oz LONG 2 1224.1 11/16 15:47 1222.2 1.51%
Trade id #121000745
Max drawdown($470)
Time11/16/18 10:36
Quant open1
Worst price1220.4
Drawdown as % of equity-1.51%
($392)
Includes Typical Broker Commissions trade costs of $12.00
11/14/18 12:45 @EUZ8 EUROFX SHORT 2 1.13175 11/14 14:12 1.13515 2.69%
Trade id #120941102
Max drawdown($850)
Time11/14/18 14:12
Quant open0
Worst price1.13515
Drawdown as % of equity-2.69%
($862)
Includes Typical Broker Commissions trade costs of $12.00
11/14/18 12:31 @ESZ8 E-MINI S&P 500 SHORT 1 2714.75 11/14 14:02 2691.00 0.12%
Trade id #120940433
Max drawdown($37)
Time11/14/18 12:33
Quant open-1
Worst price2715.50
Drawdown as % of equity-0.12%
$1,184
Includes Typical Broker Commissions trade costs of $4.02
11/13/18 14:23 @ESZ8 E-MINI S&P 500 SHORT 1 2717.00 11/13 14:29 2724.00 1.12%
Trade id #120913890
Max drawdown($350)
Time11/13/18 14:29
Quant open0
Worst price2724.00
Drawdown as % of equity-1.12%
($354)
Includes Typical Broker Commissions trade costs of $4.02
11/13/18 11:45 @ESZ8 E-MINI S&P 500 LONG 1 2744.50 11/13 14:14 2726.50 2.82%
Trade id #120908951
Max drawdown($900)
Time11/13/18 14:14
Quant open0
Worst price2726.50
Drawdown as % of equity-2.82%
($904)
Includes Typical Broker Commissions trade costs of $4.02
11/2/18 12:11 @EUZ8 EUROFX SHORT 4 1.14183 11/2 15:05 1.14207 1.01%
Trade id #120700200
Max drawdown($325)
Time11/2/18 14:30
Quant open-2
Worst price1.14265
Drawdown as % of equity-1.01%
($149)
Includes Typical Broker Commissions trade costs of $24.00
11/2/18 11:10 @ESZ8 E-MINI S&P 500 SHORT 1 2730.25 11/2 12:40 2710.00 0.28%
Trade id #120697607
Max drawdown($87)
Time11/2/18 11:12
Quant open-1
Worst price2732.00
Drawdown as % of equity-0.28%
$1,009
Includes Typical Broker Commissions trade costs of $4.02
11/1/18 11:18 @ESZ8 E-MINI S&P 500 LONG 1 2731.25 11/1 12:31 2731.50 0.92%
Trade id #120669498
Max drawdown($287)
Time11/1/18 12:28
Quant open1
Worst price2725.50
Drawdown as % of equity-0.92%
$9
Includes Typical Broker Commissions trade costs of $4.02
10/29/18 11:51 @ESZ8 E-MINI S&P 500 SHORT 1 2691.25 10/29 12:23 2667.00 0.21%
Trade id #120598640
Max drawdown($62)
Time10/29/18 11:53
Quant open-1
Worst price2692.50
Drawdown as % of equity-0.21%
$1,209
Includes Typical Broker Commissions trade costs of $4.02
10/26/18 11:00 QGCZ8 Gold 100 oz LONG 2 1243.8 10/26 12:49 1237.8 3.92%
Trade id #120563854
Max drawdown($1,180)
Time10/26/18 12:49
Quant open1
Worst price1236.9
Drawdown as % of equity-3.92%
($1,192)
Includes Typical Broker Commissions trade costs of $12.00
10/25/18 9:35 @EUZ8 EUROFX SHORT 2 1.14303 10/25 14:46 1.14160 0.18%
Trade id #120536256
Max drawdown($56)
Time10/25/18 9:37
Quant open-2
Worst price1.14325
Drawdown as % of equity-0.18%
$344
Includes Typical Broker Commissions trade costs of $12.00

Statistics

  • Strategy began
    7/20/2018
  • Suggested Minimum Cap
    $35,000
  • Strategy Age (days)
    185.7
  • Age
    6 months ago
  • What it trades
    Futures
  • # Trades
    76
  • # Profitable
    51
  • % Profitable
    67.10%
  • Avg trade duration
    2.9 hours
  • Max peak-to-valley drawdown
    8.34%
  • drawdown period
    Aug 27, 2018 - Sept 12, 2018
  • Cumul. Return
    30.4%
  • Avg win
    $470.18
  • Avg loss
    $575.48
  • Model Account Values (Raw)
  • Cash
    $34,592
  • Margin Used
    $0
  • Buying Power
    $34,592
  • Ratios
  • W:L ratio
    1.67:1
  • Sharpe Ratio
    3.536
  • Sortino Ratio
    6.118
  • Calmar Ratio
    14.939
  • CORRELATION STATISTICS
  • Correlation to SP500
    -0.02900
  • Return Statistics
  • Ann Return (w trading costs)
    67.2%
  • Ann Return (Compnd, No Fees)
    88.6%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    4.50%
  • Chance of 20% account loss
    n/a
  • Chance of 30% account loss
    n/a
  • Chance of 40% account loss
    n/a
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    865
  • Popularity (Last 6 weeks)
    942
  • C2 Score
    88.0
  • 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
    $575
  • Avg Win
    $470
  • # Winners
    51
  • # Losers
    25
  • % Winners
    67.1%
  • Frequency
  • Avg Position Time (mins)
    171.38
  • Avg Position Time (hrs)
    2.86
  • Avg Trade Length
    0.1 days
  • Last Trade Ago
    4
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.60017
  • SD
    0.16039
  • Sharpe ratio (Glass type estimate)
    3.74196
  • Sharpe ratio (Hedges UMVUE)
    2.98565
  • df
    4.00000
  • t
    2.41542
  • p
    0.03656
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.31465
  • Upperbound of 95% confidence interval for Sharpe Ratio
    7.55089
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.68857
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    6.65987
  • Statistics related to Sortino ratio
  • Sortino ratio
    29.80970
  • Upside Potential Ratio
    31.35890
  • Upside part of mean
    0.63136
  • Downside part of mean
    -0.03119
  • Upside SD
    0.22403
  • Downside SD
    0.02013
  • N nonnegative terms
    4.00000
  • N negative terms
    1.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    5.00000
  • Mean of predictor
    -0.31972
  • Mean of criterion
    0.60017
  • SD of predictor
    0.15212
  • SD of criterion
    0.16039
  • Covariance
    -0.00169
  • r
    -0.06940
  • b (slope, estimate of beta)
    -0.07318
  • a (intercept, estimate of alpha)
    0.57677
  • Mean Square Error
    0.03413
  • DF error
    3.00000
  • t(b)
    -0.12050
  • p(b)
    0.54415
  • t(a)
    1.66764
  • p(a)
    0.09699
  • Lowerbound of 95% confidence interval for beta
    -2.00584
  • Upperbound of 95% confidence interval for beta
    1.85949
  • Lowerbound of 95% confidence interval for alpha
    -0.52392
  • Upperbound of 95% confidence interval for alpha
    1.67746
  • Treynor index (mean / b)
    -8.20145
  • Jensen alpha (a)
    0.57677
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.57500
  • SD
    0.15276
  • Sharpe ratio (Glass type estimate)
    3.76413
  • Sharpe ratio (Hedges UMVUE)
    3.00334
  • df
    4.00000
  • t
    2.42974
  • p
    0.03600
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.30185
  • Upperbound of 95% confidence interval for Sharpe Ratio
    7.58249
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.67779
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    6.68448
  • Statistics related to Sortino ratio
  • Sortino ratio
    28.43990
  • Upside Potential Ratio
    29.98910
  • Upside part of mean
    0.60632
  • Downside part of mean
    -0.03132
  • Upside SD
    0.21403
  • Downside SD
    0.02022
  • N nonnegative terms
    4.00000
  • N negative terms
    1.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    5.00000
  • Mean of predictor
    -0.33295
  • Mean of criterion
    0.57500
  • SD of predictor
    0.15511
  • SD of criterion
    0.15276
  • Covariance
    -0.00210
  • r
    -0.08843
  • b (slope, estimate of beta)
    -0.08708
  • a (intercept, estimate of alpha)
    0.54600
  • Mean Square Error
    0.03087
  • DF error
    3.00000
  • t(b)
    -0.15376
  • p(b)
    0.55622
  • t(a)
    1.64892
  • p(a)
    0.09886
  • Lowerbound of 95% confidence interval for beta
    -1.88950
  • Upperbound of 95% confidence interval for beta
    1.71533
  • Lowerbound of 95% confidence interval for alpha
    -0.50779
  • Upperbound of 95% confidence interval for alpha
    1.59980
  • Treynor index (mean / b)
    -6.60283
  • Jensen alpha (a)
    0.54600
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02432
  • Expected Shortfall on VaR
    0.04200
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00295
  • Expected Shortfall on VaR
    0.00732
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    5.00000
  • Minimum
    0.98933
  • Quartile 1
    1.03792
  • Median
    1.04315
  • Quartile 3
    1.07893
  • Maximum
    1.11239
  • Mean of quarter 1
    1.01362
  • Mean of quarter 2
    1.04315
  • Mean of quarter 3
    1.07893
  • Mean of quarter 4
    1.11239
  • Inter Quartile Range
    0.04101
  • 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
    0.01067
  • Quartile 1
    0.01067
  • Median
    0.01067
  • Quartile 3
    0.01067
  • Maximum
    0.01067
  • 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)
    0.68539
  • Compounded annual return (geometric extrapolation)
    0.82742
  • Calmar ratio (compounded annual return / max draw down)
    77.56250
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    19.69930
  • 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
    0.64335
  • SD
    0.18090
  • Sharpe ratio (Glass type estimate)
    3.55641
  • Sharpe ratio (Hedges UMVUE)
    3.53570
  • df
    129.00000
  • t
    2.50515
  • p
    0.36395
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.73368
  • Upperbound of 95% confidence interval for Sharpe Ratio
    6.36573
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.72000
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    6.35139
  • Statistics related to Sortino ratio
  • Sortino ratio
    6.11805
  • Upside Potential Ratio
    11.92230
  • Upside part of mean
    1.25371
  • Downside part of mean
    -0.61035
  • Upside SD
    0.15164
  • Downside SD
    0.10516
  • N nonnegative terms
    55.00000
  • N negative terms
    75.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    130.00000
  • Mean of predictor
    -0.10689
  • Mean of criterion
    0.64335
  • SD of predictor
    0.18835
  • SD of criterion
    0.18090
  • Covariance
    -0.00045
  • r
    -0.01313
  • b (slope, estimate of beta)
    -0.01262
  • a (intercept, estimate of alpha)
    0.64200
  • Mean Square Error
    0.03297
  • DF error
    128.00000
  • t(b)
    -0.14861
  • p(b)
    0.50657
  • t(a)
    2.48886
  • p(a)
    0.39258
  • Lowerbound of 95% confidence interval for beta
    -0.18058
  • Upperbound of 95% confidence interval for beta
    0.15534
  • Lowerbound of 95% confidence interval for alpha
    0.13160
  • Upperbound of 95% confidence interval for alpha
    1.15241
  • Treynor index (mean / b)
    -50.99870
  • Jensen alpha (a)
    0.64201
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.62635
  • SD
    0.18039
  • Sharpe ratio (Glass type estimate)
    3.47218
  • Sharpe ratio (Hedges UMVUE)
    3.45196
  • df
    129.00000
  • t
    2.44582
  • p
    0.36698
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.65127
  • Upperbound of 95% confidence interval for Sharpe Ratio
    6.28006
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.63781
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    6.26611
  • Statistics related to Sortino ratio
  • Sortino ratio
    5.88265
  • Upside Potential Ratio
    11.66730
  • Upside part of mean
    1.24226
  • Downside part of mean
    -0.61591
  • Upside SD
    0.14984
  • Downside SD
    0.10647
  • N nonnegative terms
    55.00000
  • N negative terms
    75.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    130.00000
  • Mean of predictor
    -0.12450
  • Mean of criterion
    0.62635
  • SD of predictor
    0.18834
  • SD of criterion
    0.18039
  • Covariance
    -0.00048
  • r
    -0.01408
  • b (slope, estimate of beta)
    -0.01349
  • a (intercept, estimate of alpha)
    0.62467
  • Mean Square Error
    0.03279
  • DF error
    128.00000
  • t(b)
    -0.15933
  • p(b)
    0.50704
  • t(a)
    2.42799
  • p(a)
    0.39509
  • Lowerbound of 95% confidence interval for beta
    -0.18098
  • Upperbound of 95% confidence interval for beta
    0.15401
  • Lowerbound of 95% confidence interval for alpha
    0.11560
  • Upperbound of 95% confidence interval for alpha
    1.13374
  • Treynor index (mean / b)
    -46.44020
  • Jensen alpha (a)
    0.62467
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01581
  • Expected Shortfall on VaR
    0.02038
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00576
  • Expected Shortfall on VaR
    0.01236
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    130.00000
  • Minimum
    0.95840
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00740
  • Maximum
    1.03944
  • Mean of quarter 1
    0.99106
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00243
  • Mean of quarter 4
    1.01667
  • Inter Quartile Range
    0.00740
  • Number outliers low
    14.00000
  • Percentage of outliers low
    0.10769
  • Mean of outliers low
    0.98241
  • Number of outliers high
    12.00000
  • Percentage of outliers high
    0.09231
  • Mean of outliers high
    1.02499
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -2.08850
  • VaR(95%) (moments method)
    0.00361
  • Expected Shortfall (moments method)
    0.00376
  • Extreme Value Index (regression method)
    -0.19112
  • VaR(95%) (regression method)
    0.00956
  • Expected Shortfall (regression method)
    0.01455
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    12.00000
  • Minimum
    0.00014
  • Quartile 1
    0.00348
  • Median
    0.01187
  • Quartile 3
    0.02928
  • Maximum
    0.06183
  • Mean of quarter 1
    0.00094
  • Mean of quarter 2
    0.00624
  • Mean of quarter 3
    0.02117
  • Mean of quarter 4
    0.04968
  • Inter Quartile Range
    0.02580
  • 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)
    -1.42816
  • VaR(95%) (moments method)
    0.05661
  • Expected Shortfall (moments method)
    0.05871
  • Extreme Value Index (regression method)
    0.16627
  • VaR(95%) (regression method)
    0.06191
  • Expected Shortfall (regression method)
    0.08112
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.77294
  • Compounded annual return (geometric extrapolation)
    0.92371
  • Calmar ratio (compounded annual return / max draw down)
    14.93940
  • Compounded annual return / average of 25% largest draw downs
    18.59480
  • Compounded annual return / Expected Shortfall lognormal
    45.32810
  • 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
    0.64335
  • SD
    0.18090
  • Sharpe ratio (Glass type estimate)
    3.55641
  • Sharpe ratio (Hedges UMVUE)
    3.53570
  • df
    129.00000
  • t
    2.50515
  • p
    0.36395
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.73368
  • Upperbound of 95% confidence interval for Sharpe Ratio
    6.36573
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.72000
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    6.35139
  • Statistics related to Sortino ratio
  • Sortino ratio
    6.11805
  • Upside Potential Ratio
    11.92230
  • Upside part of mean
    1.25371
  • Downside part of mean
    -0.61035
  • Upside SD
    0.15164
  • Downside SD
    0.10516
  • N nonnegative terms
    55.00000
  • N negative terms
    75.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    130.00000
  • Mean of predictor
    -0.10689
  • Mean of criterion
    0.64335
  • SD of predictor
    0.18835
  • SD of criterion
    0.18090
  • Covariance
    -0.00045
  • r
    -0.01313
  • b (slope, estimate of beta)
    -0.01262
  • a (intercept, estimate of alpha)
    0.64201
  • Mean Square Error
    0.03297
  • DF error
    128.00000
  • t(b)
    -0.14861
  • p(b)
    0.50657
  • t(a)
    2.48886
  • p(a)
    0.39258
  • Lowerbound of 95% confidence interval for beta
    -0.18058
  • Upperbound of 95% confidence interval for beta
    0.15534
  • Lowerbound of 95% confidence interval for alpha
    0.13160
  • Upperbound of 95% confidence interval for alpha
    1.15241
  • Treynor index (mean / b)
    -50.99870
  • Jensen alpha (a)
    0.64201
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.62635
  • SD
    0.18039
  • Sharpe ratio (Glass type estimate)
    3.47218
  • Sharpe ratio (Hedges UMVUE)
    3.45196
  • df
    129.00000
  • t
    2.44582
  • p
    0.36698
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.65127
  • Upperbound of 95% confidence interval for Sharpe Ratio
    6.28006
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.63781
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    6.26611
  • Statistics related to Sortino ratio
  • Sortino ratio
    5.88265
  • Upside Potential Ratio
    11.66730
  • Upside part of mean
    1.24226
  • Downside part of mean
    -0.61591
  • Upside SD
    0.14984
  • Downside SD
    0.10647
  • N nonnegative terms
    55.00000
  • N negative terms
    75.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    130.00000
  • Mean of predictor
    -0.12450
  • Mean of criterion
    0.62635
  • SD of predictor
    0.18834
  • SD of criterion
    0.18039
  • Covariance
    -0.00048
  • r
    -0.01408
  • b (slope, estimate of beta)
    -0.01349
  • a (intercept, estimate of alpha)
    0.62467
  • Mean Square Error
    0.03279
  • DF error
    128.00000
  • t(b)
    -0.15933
  • p(b)
    0.50704
  • t(a)
    2.42799
  • p(a)
    0.39509
  • Lowerbound of 95% confidence interval for beta
    -0.18098
  • Upperbound of 95% confidence interval for beta
    0.15401
  • Lowerbound of 95% confidence interval for alpha
    0.11560
  • Upperbound of 95% confidence interval for alpha
    1.13374
  • Treynor index (mean / b)
    -46.44020
  • Jensen alpha (a)
    0.62467
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01581
  • Expected Shortfall on VaR
    0.02038
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00576
  • Expected Shortfall on VaR
    0.01236
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    130.00000
  • Minimum
    0.95840
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00740
  • Maximum
    1.03944
  • Mean of quarter 1
    0.99106
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00243
  • Mean of quarter 4
    1.01667
  • Inter Quartile Range
    0.00740
  • Number outliers low
    14.00000
  • Percentage of outliers low
    0.10769
  • Mean of outliers low
    0.98241
  • Number of outliers high
    12.00000
  • Percentage of outliers high
    0.09231
  • Mean of outliers high
    1.02499
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -2.08850
  • VaR(95%) (moments method)
    0.00361
  • Expected Shortfall (moments method)
    0.00376
  • Extreme Value Index (regression method)
    -0.19112
  • VaR(95%) (regression method)
    0.00956
  • Expected Shortfall (regression method)
    0.01455
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    12.00000
  • Minimum
    0.00014
  • Quartile 1
    0.00348
  • Median
    0.01187
  • Quartile 3
    0.02928
  • Maximum
    0.06183
  • Mean of quarter 1
    0.00094
  • Mean of quarter 2
    0.00624
  • Mean of quarter 3
    0.02117
  • Mean of quarter 4
    0.04968
  • Inter Quartile Range
    0.02580
  • 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)
    -1.42816
  • VaR(95%) (moments method)
    0.05661
  • Expected Shortfall (moments method)
    0.05871
  • Extreme Value Index (regression method)
    0.16627
  • VaR(95%) (regression method)
    0.06191
  • Expected Shortfall (regression method)
    0.08112
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.77294
  • Compounded annual return (geometric extrapolation)
    0.92371
  • Calmar ratio (compounded annual return / max draw down)
    14.93940
  • Compounded annual return / average of 25% largest draw downs
    18.59480
  • Compounded annual return / Expected Shortfall lognormal
    45.32810

Strategy Description

A hybrid trading style: multiple setups with predefined entry/exit parameters based on momentum/volume/market internals/time of the day, utilizing discretionary filters for big-picture context, changing volume and volatility regimes.

Maximum per-trade risk: $1200 plus commissions and slippage.

Summary Statistics

Strategy began
2018-07-20
Suggested Minimum Capital
$35,000
# Trades
76
# Profitable
51
% Profitable
67.1%
Correlation S&P500
-0.029
Sharpe Ratio
3.536

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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