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ADAPTNN
(119990435)

Created by: EmanueleFerraro2 EmanueleFerraro2
Started: 09/2018
Futures
Last trade: Today
Trading style: Futures Momentum

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 $197.00 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).
35.9%
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.

(11.8%)
Max Drawdown
64
Num Trades
87.5%
Win Trades
2.5 : 1
Profit Factor
80.0%
Win Months
Hypothetical Monthly Returns (includes system fee and Interactive Brokers commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2018                                                        +5.1%+12.0%+13.8%(6.3%)+25.5%
2019+8.7%                                                                  +8.7%

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 104 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
1/21/19 2:53 XGH9 DAX INDEX SHORT 1 11185.14 1/21 3:09 11158.02 0.24%
Trade id #122077616
Max drawdown($166)
Time1/21/19 3:00
Quant open-1
Worst price11191.00
Drawdown as % of equity-0.24%
$766
Includes Typical Broker Commissions trade costs of $6.00
1/18/19 3:01 XGH9 DAX INDEX LONG 1 10993.12 1/18 3:44 11003.48 0.33%
Trade id #122045915
Max drawdown($230)
Time1/18/19 3:13
Quant open1
Worst price10985.00
Drawdown as % of equity-0.33%
$289
Includes Typical Broker Commissions trade costs of $6.00
1/16/19 2:42 XGH9 DAX INDEX SHORT 1 10922.89 1/16 3:17 10902.74 0.76%
Trade id #121998591
Max drawdown($514)
Time1/16/19 3:02
Quant open-1
Worst price10941.00
Drawdown as % of equity-0.76%
$569
Includes Typical Broker Commissions trade costs of $6.00
1/15/19 4:05 XGH9 DAX INDEX SHORT 1 10887.50 1/15 4:51 10868.93 0.52%
Trade id #121972677
Max drawdown($355)
Time1/15/19 4:33
Quant open-1
Worst price10900.00
Drawdown as % of equity-0.52%
$525
Includes Typical Broker Commissions trade costs of $6.00
1/14/19 2:09 XGH9 DAX INDEX LONG 1 10810.06 1/14 2:27 10810.61 0.4%
Trade id #121943520
Max drawdown($271)
Time1/14/19 2:25
Quant open1
Worst price10800.50
Drawdown as % of equity-0.40%
$10
Includes Typical Broker Commissions trade costs of $6.00
1/11/19 9:29 XGH9 DAX INDEX SHORT 1 10854.17 1/14 2:04 10810.11 1.7%
Trade id #121917156
Max drawdown($1,117)
Time1/11/19 11:01
Quant open-1
Worst price10893.50
Drawdown as % of equity-1.70%
$1,258
Includes Typical Broker Commissions trade costs of $6.00
1/10/19 2:30 XGH9 DAX INDEX SHORT 2 10819.70 1/10 3:14 10811.25 1.43%
Trade id #121889546
Max drawdown($939)
Time1/10/19 3:01
Quant open-1
Worst price10857.50
Drawdown as % of equity-1.43%
$476
Includes Typical Broker Commissions trade costs of $12.00
1/8/19 5:05 XGH9 DAX INDEX LONG 1 10741.97 1/8 5:53 10788.29 0.07%
Trade id #121836392
Max drawdown($42)
Time1/8/19 5:07
Quant open1
Worst price10740.50
Drawdown as % of equity-0.07%
$1,319
Includes Typical Broker Commissions trade costs of $6.00
1/7/19 2:36 XGH9 DAX INDEX SHORT 1 10819.86 1/7 3:03 10801.00 0.7%
Trade id #121810138
Max drawdown($448)
Time1/7/19 2:51
Quant open-1
Worst price10835.50
Drawdown as % of equity-0.70%
$533
Includes Typical Broker Commissions trade costs of $6.00
1/7/19 2:35 XGH9 DAX INDEX SHORT 1 10820.96 1/7 2:35 10820.54 n/a $6
Includes Typical Broker Commissions trade costs of $6.00
12/27/18 2:38 XGH9 DAX INDEX LONG 1 10641.35 12/27 4:27 10432.75 8.63%
Trade id #121673532
Max drawdown($5,944)
Time12/27/18 4:27
Quant open0
Worst price10432.80
Drawdown as % of equity-8.63%
($5,950)
Includes Typical Broker Commissions trade costs of $6.00
12/21/18 3:05 XGH9 DAX INDEX SHORT 1 10540.53 12/21 4:22 10524.23 1.32%
Trade id #121612219
Max drawdown($911)
Time12/21/18 4:14
Quant open-1
Worst price10572.50
Drawdown as % of equity-1.32%
$460
Includes Typical Broker Commissions trade costs of $6.00
12/20/18 2:37 XGZ8 DAX INDEX LONG 1 10641.36 12/20 8:46 10635.06 3.32%
Trade id #121588212
Max drawdown($2,319)
Time12/20/18 3:28
Quant open1
Worst price10560.00
Drawdown as % of equity-3.32%
($186)
Includes Typical Broker Commissions trade costs of $6.00
12/19/18 3:07 XGZ8 DAX INDEX SHORT 1 10760.15 12/19 14:07 10767.30 3.06%
Trade id #121565590
Max drawdown($2,099)
Time12/19/18 7:14
Quant open-1
Worst price10834.00
Drawdown as % of equity-3.06%
($210)
Includes Typical Broker Commissions trade costs of $6.00
12/18/18 3:11 XGZ8 DAX INDEX SHORT 1 10741.79 12/18 9:46 10820.27 3.83%
Trade id #121543596
Max drawdown($2,677)
Time12/18/18 6:43
Quant open-1
Worst price10836.00
Drawdown as % of equity-3.83%
($2,237)
Includes Typical Broker Commissions trade costs of $6.00
12/17/18 3:50 XGZ8 DAX INDEX SHORT 1 10850.40 12/17 6:25 10831.98 1.49%
Trade id #121521916
Max drawdown($1,054)
Time12/17/18 5:28
Quant open-1
Worst price10887.50
Drawdown as % of equity-1.49%
$516
Includes Typical Broker Commissions trade costs of $6.00
12/14/18 3:04 XGZ8 DAX INDEX SHORT 1 10811.82 12/14 3:19 10791.82 0.21%
Trade id #121495260
Max drawdown($147)
Time12/14/18 3:08
Quant open-1
Worst price10817.00
Drawdown as % of equity-0.21%
$561
Includes Typical Broker Commissions trade costs of $6.00
12/13/18 3:06 XGZ8 DAX INDEX SHORT 1 10973.51 12/13 3:28 10957.85 0.46%
Trade id #121474121
Max drawdown($326)
Time12/13/18 3:12
Quant open-1
Worst price10985.00
Drawdown as % of equity-0.46%
$440
Includes Typical Broker Commissions trade costs of $6.00
12/12/18 2:34 XGZ8 DAX INDEX LONG 1 10862.55 12/12 4:44 10892.04 2.05%
Trade id #121456822
Max drawdown($1,428)
Time12/12/18 3:11
Quant open1
Worst price10812.00
Drawdown as % of equity-2.05%
$829
Includes Typical Broker Commissions trade costs of $6.00
12/11/18 3:08 XGZ8 DAX INDEX SHORT 1 10709.77 12/11 3:46 10695.50 0.93%
Trade id #121436563
Max drawdown($642)
Time12/11/18 3:26
Quant open-1
Worst price10732.50
Drawdown as % of equity-0.93%
$400
Includes Typical Broker Commissions trade costs of $6.00
12/7/18 3:03 XGZ8 DAX INDEX SHORT 1 10868.44 12/7 3:14 10853.09 0.27%
Trade id #121391408
Max drawdown($185)
Time12/7/18 3:05
Quant open-1
Worst price10875.00
Drawdown as % of equity-0.27%
$430
Includes Typical Broker Commissions trade costs of $6.00
12/6/18 3:42 XGZ8 DAX INDEX SHORT 1 11009.40 12/6 3:52 10991.68 n/a $496
Includes Typical Broker Commissions trade costs of $6.00
12/4/18 3:14 XGZ8 DAX INDEX SHORT 1 11420.91 12/4 3:56 11404.26 0.84%
Trade id #121326859
Max drawdown($572)
Time12/4/18 3:16
Quant open-1
Worst price11441.00
Drawdown as % of equity-0.84%
$468
Includes Typical Broker Commissions trade costs of $6.00
12/3/18 2:51 XGZ8 DAX INDEX LONG 1 11521.34 12/3 3:01 11522.15 0.16%
Trade id #121303036
Max drawdown($109)
Time12/3/18 2:53
Quant open1
Worst price11517.50
Drawdown as % of equity-0.16%
$17
Includes Typical Broker Commissions trade costs of $6.00
11/30/18 3:02 XGZ8 DAX INDEX SHORT 1 11310.49 11/30 3:13 11269.40 0.13%
Trade id #121264596
Max drawdown($85)
Time11/30/18 3:04
Quant open-1
Worst price11313.50
Drawdown as % of equity-0.13%
$1,163
Includes Typical Broker Commissions trade costs of $6.00
11/29/18 4:22 XGZ8 DAX INDEX SHORT 1 11363.65 11/29 5:18 11334.87 0.55%
Trade id #121233951
Max drawdown($364)
Time11/29/18 4:34
Quant open-1
Worst price11376.50
Drawdown as % of equity-0.55%
$812
Includes Typical Broker Commissions trade costs of $6.00
11/28/18 4:51 XGZ8 DAX INDEX LONG 1 11333.69 11/28 9:44 11294.84 1.64%
Trade id #121208373
Max drawdown($1,096)
Time11/28/18 9:44
Quant open0
Worst price11294.80
Drawdown as % of equity-1.64%
($1,102)
Includes Typical Broker Commissions trade costs of $6.00
11/26/18 3:21 XGZ8 DAX INDEX LONG 1 11327.24 11/26 4:40 11348.49 0.5%
Trade id #121157056
Max drawdown($332)
Time11/26/18 3:33
Quant open1
Worst price11315.50
Drawdown as % of equity-0.50%
$599
Includes Typical Broker Commissions trade costs of $6.00
11/23/18 3:42 XGZ8 DAX INDEX SHORT 1 11176.15 11/23 5:54 11151.50 1.19%
Trade id #121130192
Max drawdown($786)
Time11/23/18 3:52
Quant open-1
Worst price11204.00
Drawdown as % of equity-1.19%
$694
Includes Typical Broker Commissions trade costs of $6.00
11/22/18 5:48 XGZ8 DAX INDEX SHORT 1 11176.65 11/22 7:36 11159.05 0.62%
Trade id #121116878
Max drawdown($406)
Time11/22/18 7:04
Quant open-1
Worst price11191.00
Drawdown as % of equity-0.62%
$496
Includes Typical Broker Commissions trade costs of $6.00

Statistics

  • Strategy began
    9/23/2018
  • Suggested Minimum Cap
    $25,000
  • Strategy Age (days)
    121.09
  • Age
    121 days ago
  • What it trades
    Futures
  • # Trades
    64
  • # Profitable
    56
  • % Profitable
    87.50%
  • Avg trade duration
    2.6 hours
  • Max peak-to-valley drawdown
    11.78%
  • drawdown period
    Dec 18, 2018 - Dec 27, 2018
  • Cumul. Return
    36.3%
  • Avg win
    $573.27
  • Avg loss
    $1,596
  • Model Account Values (Raw)
  • Cash
    $69,920
  • Margin Used
    $13,921
  • Buying Power
    $55,582
  • Ratios
  • W:L ratio
    2.51:1
  • Sharpe Ratio
    5.934
  • Sortino Ratio
    8.265
  • Calmar Ratio
    16.764
  • CORRELATION STATISTICS
  • Correlation to SP500
    -0.03000
  • Return Statistics
  • Ann Return (w trading costs)
    147.8%
  • Ann Return (Compnd, No Fees)
    169.6%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    2.00%
  • 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)
    955
  • Popularity (Last 6 weeks)
    998
  • C2 Score
    87.0
  • Trades-Own-System Certification
  • Trades Own System?
    0
  • TOS percent
    n/a
  • Subscription Price
  • Billing Period (days)
    30
  • Trial Days
    0
  • Win / Loss
  • Avg Loss
    $1,554
  • Avg Win
    $573
  • # Winners
    56
  • # Losers
    8
  • % Winners
    87.5%
  • Frequency
  • Avg Position Time (mins)
    157.02
  • Avg Position Time (hrs)
    2.62
  • Avg Trade Length
    0.1 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
    1.39034
  • SD
    0.17626
  • Sharpe ratio (Glass type estimate)
    7.88815
  • Sharpe ratio (Hedges UMVUE)
    4.45041
  • df
    2.00000
  • t
    3.94408
  • p
    0.02934
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.20306
  • Upperbound of 95% confidence interval for Sharpe Ratio
    15.96240
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.41363
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    10.31450
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.00000
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    1.39034
  • Downside part of mean
    0.00000
  • Upside SD
    0.42638
  • Downside SD
    0.00000
  • N nonnegative terms
    3.00000
  • N negative terms
    0.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    3.00000
  • Mean of predictor
    -0.67461
  • Mean of criterion
    1.39034
  • SD of predictor
    0.14326
  • SD of criterion
    0.17626
  • Covariance
    -0.00060
  • r
    -0.02376
  • b (slope, estimate of beta)
    -0.02923
  • a (intercept, estimate of alpha)
    1.37061
  • Mean Square Error
    0.06210
  • DF error
    1.00000
  • t(b)
    -0.02377
  • p(b)
    0.50757
  • t(a)
    1.41606
  • p(a)
    0.19572
  • Lowerbound of 95% confidence interval for beta
    -15.65720
  • Upperbound of 95% confidence interval for beta
    15.59870
  • Lowerbound of 95% confidence interval for alpha
    -10.92780
  • Upperbound of 95% confidence interval for alpha
    13.66900
  • Treynor index (mean / b)
    -47.55760
  • Jensen alpha (a)
    1.37061
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    1.30422
  • SD
    0.15942
  • Sharpe ratio (Glass type estimate)
    8.18079
  • Sharpe ratio (Hedges UMVUE)
    4.61551
  • df
    2.00000
  • t
    4.09039
  • p
    0.02745
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.11911
  • Upperbound of 95% confidence interval for Sharpe Ratio
    16.49740
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.36984
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    10.60090
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.00000
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    1.30422
  • Downside part of mean
    0.00000
  • Upside SD
    0.39836
  • Downside SD
    0.00000
  • N nonnegative terms
    3.00000
  • N negative terms
    0.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    3.00000
  • Mean of predictor
    -0.70023
  • Mean of criterion
    1.30422
  • SD of predictor
    0.15052
  • SD of criterion
    0.15942
  • Covariance
    -0.00065
  • r
    -0.02699
  • b (slope, estimate of beta)
    -0.02859
  • a (intercept, estimate of alpha)
    1.28420
  • Mean Square Error
    0.05080
  • DF error
    1.00000
  • t(b)
    -0.02700
  • p(b)
    0.50859
  • t(a)
    1.48011
  • p(a)
    0.18913
  • Lowerbound of 95% confidence interval for beta
    -13.48110
  • Upperbound of 95% confidence interval for beta
    13.42390
  • Lowerbound of 95% confidence interval for alpha
    -9.74017
  • Upperbound of 95% confidence interval for alpha
    12.30860
  • Treynor index (mean / b)
    -45.61740
  • Jensen alpha (a)
    1.28420
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    -0.03354
  • Expected Shortfall on VaR
    -0.01400
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00000
  • Expected Shortfall on VaR
    0.00000
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    3.00000
  • Minimum
    1.06070
  • Quartile 1
    1.09857
  • Median
    1.13644
  • Quartile 3
    1.14693
  • Maximum
    1.15743
  • Mean of quarter 1
    1.06070
  • Mean of quarter 2
    1.13644
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    1.15743
  • Inter Quartile Range
    0.04836
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    0.00000
  • Minimum
    0.00000
  • Quartile 1
    0.00000
  • Median
    0.00000
  • Quartile 3
    0.00000
  • Maximum
    0.00000
  • Mean of quarter 1
    0.00000
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.00000
  • Inter Quartile Range
    0.00000
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    1.58076
  • Compounded annual return (geometric extrapolation)
    2.78908
  • Calmar ratio (compounded annual return / max draw down)
    0.00000
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    0.00000
  • 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
    1.00699
  • SD
    0.16817
  • Sharpe ratio (Glass type estimate)
    5.98791
  • Sharpe ratio (Hedges UMVUE)
    5.93364
  • df
    83.00000
  • t
    3.39050
  • p
    0.00054
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    2.39207
  • Upperbound of 95% confidence interval for Sharpe Ratio
    9.55000
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.35643
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    9.51085
  • Statistics related to Sortino ratio
  • Sortino ratio
    8.26535
  • Upside Potential Ratio
    12.31290
  • Upside part of mean
    1.50011
  • Downside part of mean
    -0.49312
  • Upside SD
    0.13028
  • Downside SD
    0.12183
  • N nonnegative terms
    62.00000
  • N negative terms
    22.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    84.00000
  • Mean of predictor
    -0.27972
  • Mean of criterion
    1.00699
  • SD of predictor
    0.22824
  • SD of criterion
    0.16817
  • Covariance
    -0.00137
  • r
    -0.03574
  • b (slope, estimate of beta)
    -0.02633
  • a (intercept, estimate of alpha)
    1.00000
  • Mean Square Error
    0.02859
  • DF error
    82.00000
  • t(b)
    -0.32383
  • p(b)
    0.62656
  • t(a)
    3.33784
  • p(a)
    0.00064
  • Lowerbound of 95% confidence interval for beta
    -0.18810
  • Upperbound of 95% confidence interval for beta
    0.13543
  • Lowerbound of 95% confidence interval for alpha
    0.40386
  • Upperbound of 95% confidence interval for alpha
    1.59539
  • Treynor index (mean / b)
    -38.24060
  • Jensen alpha (a)
    0.99962
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.99085
  • SD
    0.16970
  • Sharpe ratio (Glass type estimate)
    5.83884
  • Sharpe ratio (Hedges UMVUE)
    5.78592
  • df
    83.00000
  • t
    3.30610
  • p
    0.00070
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    2.24911
  • Upperbound of 95% confidence interval for Sharpe Ratio
    9.39564
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.21431
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    9.35753
  • Statistics related to Sortino ratio
  • Sortino ratio
    7.96124
  • Upside Potential Ratio
    11.98430
  • Upside part of mean
    1.49155
  • Downside part of mean
    -0.50070
  • Upside SD
    0.12928
  • Downside SD
    0.12446
  • N nonnegative terms
    62.00000
  • N negative terms
    22.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    84.00000
  • Mean of predictor
    -0.30557
  • Mean of criterion
    0.99085
  • SD of predictor
    0.22817
  • SD of criterion
    0.16970
  • Covariance
    -0.00137
  • r
    -0.03528
  • b (slope, estimate of beta)
    -0.02624
  • a (intercept, estimate of alpha)
    0.98283
  • Mean Square Error
    0.02911
  • DF error
    82.00000
  • t(b)
    -0.31966
  • p(b)
    0.62498
  • t(a)
    3.25032
  • p(a)
    0.00084
  • Lowerbound of 95% confidence interval for beta
    -0.18953
  • Upperbound of 95% confidence interval for beta
    0.13705
  • Lowerbound of 95% confidence interval for alpha
    0.38130
  • Upperbound of 95% confidence interval for alpha
    1.58436
  • Treynor index (mean / b)
    -37.76350
  • Jensen alpha (a)
    0.98283
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01337
  • Expected Shortfall on VaR
    0.01768
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00251
  • Expected Shortfall on VaR
    0.00658
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    84.00000
  • Minimum
    0.94739
  • Quartile 1
    1.00004
  • Median
    1.00503
  • Quartile 3
    1.00899
  • Maximum
    1.03102
  • Mean of quarter 1
    0.99258
  • Mean of quarter 2
    1.00280
  • Mean of quarter 3
    1.00705
  • Mean of quarter 4
    1.01337
  • Inter Quartile Range
    0.00896
  • Number outliers low
    3.00000
  • Percentage of outliers low
    0.03571
  • Mean of outliers low
    0.96392
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.01190
  • Mean of outliers high
    1.03102
  • 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)
    0.46802
  • VaR(95%) (regression method)
    0.00916
  • Expected Shortfall (regression method)
    0.02893
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    4.00000
  • Minimum
    0.00655
  • Quartile 1
    0.00737
  • Median
    0.00994
  • Quartile 3
    0.03558
  • Maximum
    0.10557
  • Mean of quarter 1
    0.00655
  • Mean of quarter 2
    0.00764
  • Mean of quarter 3
    0.01225
  • Mean of quarter 4
    0.10557
  • Inter Quartile Range
    0.02821
  • 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
    0.25000
  • Mean of outliers high
    0.10557
  • 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)
    1.20482
  • Compounded annual return (geometric extrapolation)
    1.76974
  • Calmar ratio (compounded annual return / max draw down)
    16.76400
  • Compounded annual return / average of 25% largest draw downs
    16.76400
  • Compounded annual return / Expected Shortfall lognormal
    100.11000

Strategy Description

The strategy is generated by a complex algorithm based on genetic programming and a neural network for pattern identification.
The algorithm optimizes the strategy every night and generates on average one trade per day with a contract but it is possible to operate with several contracts. If the market is very volatile or opens with very large gaps, the risk increases and I tend to manually stop the strategy. The stop loss varies according to volatility.
Many features and performance reports will be available on this site: http://www.steelportfolio.com

Summary Statistics

Strategy began
2018-09-23
Suggested Minimum Capital
$25,000
# Trades
64
# Profitable
56
% Profitable
87.5%
Correlation S&P500
-0.030
Sharpe Ratio
5.934

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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