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JARBA-1
(121627733)

Created by: DataMaster3 DataMaster3
Started: 01/2018
Stocks
Last trade: 4 days ago

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 $100.00 per month.

59.9%
Annual Return (Compounded)

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 Annualized (Compounded) Rate of Return is calculated

= ((Ending_equity / Starting_equity) ^ (1 / age_in_years)) - 1

Remember that, following NFA requirements, strategy subscription costs and estimated commissions are included in marked-to-market equity calculations.

All results are hypothetical.

(10.9%)
Max Drawdown
98
Num Trades
58.2%
Win Trades
2.2 : 1
Profit Factor
76.9%
Win Months
Hypothetical Monthly Returns (includes system fee and Interactive Brokers commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2018+4.7%+10.5%+13.2%+7.3%+3.0%(1.7%)(1.3%)(1.8%)+1.2%+6.6%+7.3%+3.8%+65.8%
2019+0.4%                                                                  +0.4%

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 2 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
1/17/19 9:30 SPXL DIREXION DAILY S&P500 BULL 3X LONG 2,173 36.64 1/18 9:30 38.78 0.01%
Trade id #122028340
Max drawdown($21)
Time1/17/19 9:32
Quant open2,173
Worst price36.63
Drawdown as % of equity-0.01%
$4,628
Includes Typical Broker Commissions trade costs of $21.74
1/11/19 9:30 SPXS DIREXION DAILY S&P500 BEAR 3X LONG 2,934 27.95 1/14 9:30 28.23 0.75%
Trade id #121917201
Max drawdown($1,202)
Time1/11/19 15:51
Quant open2,934
Worst price27.54
Drawdown as % of equity-0.75%
$793
Includes Typical Broker Commissions trade costs of $29.34
1/10/19 9:30 SPXL DIREXION DAILY S&P500 BULL 3X LONG 2,199 35.15 1/11 9:42 35.61 0.44%
Trade id #121893764
Max drawdown($714)
Time1/10/19 9:56
Quant open2,199
Worst price34.83
Drawdown as % of equity-0.44%
$990
Includes Typical Broker Commissions trade costs of $22.00
1/8/19 9:30 SPXS DIREXION DAILY S&P500 BEAR 3X LONG 2,729 28.21 1/10 9:30 28.40 1.16%
Trade id #121840188
Max drawdown($1,855)
Time1/9/19 14:10
Quant open2,729
Worst price27.53
Drawdown as % of equity-1.16%
$492
Includes Typical Broker Commissions trade costs of $27.28
1/3/19 9:30 SPXS DIREXION DAILY S&P500 BEAR 3X LONG 2,677 31.55 1/7 10:43 29.18 3.92%
Trade id #121762062
Max drawdown($6,344)
Time1/7/19 10:43
Quant open0
Worst price29.18
Drawdown as % of equity-3.92%
($6,371)
Includes Typical Broker Commissions trade costs of $26.76
12/24/18 9:30 SPXS DIREXION DAILY S&P500 BEAR 3X LONG 2,426 36.19 12/26 15:42 33.48 3.85%
Trade id #121641513
Max drawdown($6,581)
Time12/26/18 15:42
Quant open0
Worst price33.48
Drawdown as % of equity-3.85%
($6,605)
Includes Typical Broker Commissions trade costs of $24.26
12/18/18 9:30 SPXL DIREXION DAILY S&P500 BULL 3X LONG 1,500 35.98 12/19 15:04 33.28 2.34%
Trade id #121627827
Max drawdown($4,050)
Time12/19/18 15:04
Quant open0
Worst price33.28
Drawdown as % of equity-2.34%
($4,065)
Includes Typical Broker Commissions trade costs of $15.00
12/17/18 9:30 SPXS DIREXION DAILY S&P500 BEAR 3X LONG 1,800 28.94 12/18 9:30 29.60 0.42%
Trade id #121627826
Max drawdown($746)
Time12/17/18 11:11
Quant open1,800
Worst price28.53
Drawdown as % of equity-0.42%
$1,170
Includes Typical Broker Commissions trade costs of $18.00
12/14/18 9:30 SPXL DIREXION DAILY S&P500 BULL 3X LONG 1,300 38.51 12/17 9:30 36.94 1.2%
Trade id #121627825
Max drawdown($2,145)
Time12/17/18 9:07
Quant open1,300
Worst price36.86
Drawdown as % of equity-1.20%
($2,054)
Includes Typical Broker Commissions trade costs of $13.00
12/11/18 9:30 SPXS DIREXION DAILY S&P500 BEAR 3X LONG 1,900 26.33 12/14 9:30 27.83 0.44%
Trade id #121627824
Max drawdown($779)
Time12/12/18 13:13
Quant open1,900
Worst price25.92
Drawdown as % of equity-0.44%
$2,831
Includes Typical Broker Commissions trade costs of $19.00
12/10/18 9:30 SPXL DIREXION DAILY S&P500 BULL 3X LONG 1,500 38.79 12/11 9:30 40.66 1.84%
Trade id #121627823
Max drawdown($3,180)
Time12/10/18 11:04
Quant open1,500
Worst price36.67
Drawdown as % of equity-1.84%
$2,794
Includes Typical Broker Commissions trade costs of $15.00
12/3/18 9:30 SPXS DIREXION DAILY S&P500 BEAR 3X LONG 2,100 23.09 12/10 9:30 27.66 0%
Trade id #121627822
Max drawdown$0
Time12/3/18 9:32
Quant open2,100
Worst price23.09
Drawdown as % of equity0.00%
$9,576
Includes Typical Broker Commissions trade costs of $21.00
11/29/18 9:30 SPXL DIREXION DAILY S&P500 BULL 3X LONG 1,100 43.87 12/3 9:30 47.05 0.42%
Trade id #121627821
Max drawdown($671)
Time11/29/18 10:54
Quant open1,100
Worst price43.26
Drawdown as % of equity-0.42%
$3,487
Includes Typical Broker Commissions trade costs of $11.00
11/21/18 9:30 SPXL DIREXION DAILY S&P500 BULL 3X LONG 1,300 40.38 11/28 9:30 41.98 1.23%
Trade id #121627820
Max drawdown($1,911)
Time11/23/18 15:53
Quant open1,300
Worst price38.91
Drawdown as % of equity-1.23%
$2,067
Includes Typical Broker Commissions trade costs of $13.00
11/20/18 9:30 SPXS DIREXION DAILY S&P500 BEAR 3X LONG 1,900 27.35 11/21 9:30 27.18 0.58%
Trade id #121627819
Max drawdown($912)
Time11/20/18 12:05
Quant open1,900
Worst price26.87
Drawdown as % of equity-0.58%
($342)
Includes Typical Broker Commissions trade costs of $19.00
11/15/18 9:30 SPXL DIREXION DAILY S&P500 BULL 3X LONG 1,200 41.86 11/19 9:30 43.83 0.64%
Trade id #121627818
Max drawdown($1,008)
Time11/15/18 10:38
Quant open1,200
Worst price41.02
Drawdown as % of equity-0.64%
$2,352
Includes Typical Broker Commissions trade costs of $12.00
11/14/18 9:30 SPXS DIREXION DAILY S&P500 BEAR 3X LONG 2,000 24.83 11/15 9:30 26.39 0.13%
Trade id #121627817
Max drawdown($200)
Time11/14/18 9:46
Quant open2,000
Worst price24.73
Drawdown as % of equity-0.13%
$3,100
Includes Typical Broker Commissions trade costs of $20.00
11/13/18 9:30 SPXL DIREXION DAILY S&P500 BULL 3X LONG 1,200 43.90 11/14 9:30 44.43 0.82%
Trade id #121627816
Max drawdown($1,262)
Time11/14/18 4:01
Quant open1,200
Worst price42.85
Drawdown as % of equity-0.82%
$621
Includes Typical Broker Commissions trade costs of $12.00
11/9/18 9:30 SPXS DIREXION DAILY S&P500 BEAR 3X LONG 2,100 23.63 11/13 9:30 25.14 0.08%
Trade id #121627815
Max drawdown($126)
Time11/9/18 9:34
Quant open2,100
Worst price23.57
Drawdown as % of equity-0.08%
$3,150
Includes Typical Broker Commissions trade costs of $21.00
11/8/18 9:30 SPXL DIREXION DAILY S&P500 BULL 3X LONG 1,000 47.54 11/9 9:30 46.95 0.47%
Trade id #121627814
Max drawdown($700)
Time11/9/18 6:48
Quant open1,000
Worst price46.84
Drawdown as % of equity-0.47%
($600)
Includes Typical Broker Commissions trade costs of $10.00
11/7/18 9:30 SPXS DIREXION DAILY S&P500 BEAR 3X LONG 2,000 24.06 11/8 9:30 23.34 1.36%
Trade id #121627813
Max drawdown($2,020)
Time11/7/18 16:15
Quant open2,000
Worst price23.05
Drawdown as % of equity-1.36%
($1,460)
Includes Typical Broker Commissions trade costs of $20.00
11/2/18 9:30 SPXS DIREXION DAILY S&P500 BEAR 3X LONG 1,900 24.77 11/6 9:30 25.20 0.11%
Trade id #121627812
Max drawdown($171)
Time11/2/18 9:45
Quant open1,900
Worst price24.68
Drawdown as % of equity-0.11%
$798
Includes Typical Broker Commissions trade costs of $19.00
10/29/18 9:30 SPXL DIREXION DAILY S&P500 BULL 3X LONG 1,200 42.16 10/29 15:32 39.00 2.54%
Trade id #121627811
Max drawdown($3,792)
Time10/29/18 15:32
Quant open0
Worst price39.00
Drawdown as % of equity-2.54%
($3,804)
Includes Typical Broker Commissions trade costs of $12.00
10/25/18 9:30 SPXL DIREXION DAILY S&P500 BULL 3X LONG 1,300 41.60 10/26 9:30 40.87 1.27%
Trade id #121627810
Max drawdown($1,950)
Time10/26/18 5:33
Quant open1,300
Worst price40.10
Drawdown as % of equity-1.27%
($962)
Includes Typical Broker Commissions trade costs of $13.00
10/17/18 9:30 SPXS DIREXION DAILY S&P500 BEAR 3X LONG 2,200 23.55 10/25 9:30 27.06 0.26%
Trade id #121627809
Max drawdown($374)
Time10/17/18 13:07
Quant open2,200
Worst price23.38
Drawdown as % of equity-0.26%
$7,700
Includes Typical Broker Commissions trade costs of $22.00
10/12/18 9:30 SPXL DIREXION DAILY S&P500 BULL 3X LONG 1,200 46.61 10/17 9:30 48.32 1.87%
Trade id #121627808
Max drawdown($2,688)
Time10/12/18 12:51
Quant open1,200
Worst price44.37
Drawdown as % of equity-1.87%
$2,040
Includes Typical Broker Commissions trade costs of $12.00
10/9/18 9:30 SPXS DIREXION DAILY S&P500 BEAR 3X LONG 2,200 22.15 10/12 9:30 24.55 0.54%
Trade id #121627807
Max drawdown($748)
Time10/9/18 10:46
Quant open2,200
Worst price21.81
Drawdown as % of equity-0.54%
$5,258
Includes Typical Broker Commissions trade costs of $22.00
10/5/18 9:30 SPXL DIREXION DAILY S&P500 BULL 3X LONG 900 53.73 10/9 9:30 52.45 1.5%
Trade id #121627806
Max drawdown($2,097)
Time10/8/18 11:47
Quant open900
Worst price51.40
Drawdown as % of equity-1.50%
($1,161)
Includes Typical Broker Commissions trade costs of $9.00
9/28/18 9:30 SPXL DIREXION DAILY S&P500 BULL 3X LONG 900 53.96 10/4 9:30 54.58 0.02%
Trade id #121627805
Max drawdown($27)
Time9/28/18 9:49
Quant open900
Worst price53.93
Drawdown as % of equity-0.02%
$549
Includes Typical Broker Commissions trade costs of $9.00
9/26/18 9:30 SPXS DIREXION DAILY S&P500 BEAR 3X LONG 2,300 21.32 9/28 9:30 21.52 0.49%
Trade id #121627804
Max drawdown($690)
Time9/26/18 14:18
Quant open2,300
Worst price21.02
Drawdown as % of equity-0.49%
$437
Includes Typical Broker Commissions trade costs of $23.00

Statistics

  • Strategy began
    1/2/2018
  • Suggested Minimum Cap
    $15,000
  • Strategy Age (days)
    385.31
  • Age
    13 months ago
  • What it trades
    Stocks
  • # Trades
    98
  • # Profitable
    57
  • % Profitable
    58.20%
  • Avg trade duration
    3.1 days
  • Max peak-to-valley drawdown
    10.92%
  • drawdown period
    Dec 24, 2018 - Jan 10, 2019
  • Annual Return (Compounded)
    60.6%
  • Avg win
    $2,205
  • Avg loss
    $1,422
  • Model Account Values (Raw)
  • Cash
    $167,353
  • Margin Used
    $0
  • Buying Power
    $167,353
  • Ratios
  • W:L ratio
    2.15:1
  • Sharpe Ratio
    2.476
  • Sortino Ratio
    4.51
  • Calmar Ratio
    6.296
  • CORRELATION STATISTICS
  • Correlation to SP500
    -0.10400
  • Return Statistics
  • Ann Return (w trading costs)
    60.6%
  • Ann Return (Compnd, No Fees)
    62.7%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    1.50%
  • 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)
    967
  • Popularity (Last 6 weeks)
    991
  • C2 Score
    99.5
  • 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
    $1,423
  • Avg Win
    $2,205
  • # Winners
    57
  • # Losers
    41
  • % Winners
    58.2%
  • Frequency
  • Avg Position Time (mins)
    4510.75
  • Avg Position Time (hrs)
    75.18
  • Avg Trade Length
    3.1 days
  • Last Trade Ago
    1
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.48624
  • SD
    0.20605
  • Sharpe ratio (Glass type estimate)
    2.35978
  • Sharpe ratio (Hedges UMVUE)
    2.19450
  • df
    11.00000
  • t
    2.35978
  • p
    0.01891
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.12866
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.50616
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.03062
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.35837
  • Statistics related to Sortino ratio
  • Sortino ratio
    9.10520
  • Upside Potential Ratio
    10.87740
  • Upside part of mean
    0.58088
  • Downside part of mean
    -0.09464
  • Upside SD
    0.23616
  • Downside SD
    0.05340
  • N nonnegative terms
    8.00000
  • N negative terms
    4.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    12.00000
  • Mean of predictor
    -0.07586
  • Mean of criterion
    0.48624
  • SD of predictor
    0.09788
  • SD of criterion
    0.20605
  • Covariance
    -0.00432
  • r
    -0.21395
  • b (slope, estimate of beta)
    -0.45040
  • a (intercept, estimate of alpha)
    0.45207
  • Mean Square Error
    0.04457
  • DF error
    10.00000
  • t(b)
    -0.69261
  • p(b)
    0.74784
  • t(a)
    2.08527
  • p(a)
    0.03182
  • Lowerbound of 95% confidence interval for beta
    -1.89934
  • Upperbound of 95% confidence interval for beta
    0.99855
  • Lowerbound of 95% confidence interval for alpha
    -0.03097
  • Upperbound of 95% confidence interval for alpha
    0.93511
  • Treynor index (mean / b)
    -1.07957
  • Jensen alpha (a)
    0.45207
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.45768
  • SD
    0.19746
  • Sharpe ratio (Glass type estimate)
    2.31781
  • Sharpe ratio (Hedges UMVUE)
    2.15547
  • df
    11.00000
  • t
    2.31781
  • p
    0.02037
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.09481
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.45693
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.00154
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.31249
  • Statistics related to Sortino ratio
  • Sortino ratio
    8.43348
  • Upside Potential Ratio
    10.20010
  • Upside part of mean
    0.55356
  • Downside part of mean
    -0.09588
  • Upside SD
    0.22417
  • Downside SD
    0.05427
  • N nonnegative terms
    8.00000
  • N negative terms
    4.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    12.00000
  • Mean of predictor
    -0.08036
  • Mean of criterion
    0.45768
  • SD of predictor
    0.09852
  • SD of criterion
    0.19746
  • Covariance
    -0.00390
  • r
    -0.20066
  • b (slope, estimate of beta)
    -0.40216
  • a (intercept, estimate of alpha)
    0.42536
  • Mean Square Error
    0.04116
  • DF error
    10.00000
  • t(b)
    -0.64771
  • p(b)
    0.73412
  • t(a)
    2.03587
  • p(a)
    0.03456
  • Lowerbound of 95% confidence interval for beta
    -1.78560
  • Upperbound of 95% confidence interval for beta
    0.98127
  • Lowerbound of 95% confidence interval for alpha
    -0.04017
  • Upperbound of 95% confidence interval for alpha
    0.89089
  • Treynor index (mean / b)
    -1.13805
  • Jensen alpha (a)
    0.42536
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.05410
  • Expected Shortfall on VaR
    0.07616
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01398
  • Expected Shortfall on VaR
    0.02853
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    12.00000
  • Minimum
    0.95806
  • Quartile 1
    0.98845
  • Median
    1.03920
  • Quartile 3
    1.09016
  • Maximum
    1.12837
  • Mean of quarter 1
    0.97536
  • Mean of quarter 2
    1.00637
  • Mean of quarter 3
    1.07194
  • Mean of quarter 4
    1.11772
  • Inter Quartile Range
    0.10171
  • 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)
    -1.47049
  • VaR(95%) (moments method)
    0.02672
  • Expected Shortfall (moments method)
    0.02852
  • Extreme Value Index (regression method)
    0.44693
  • VaR(95%) (regression method)
    0.04142
  • Expected Shortfall (regression method)
    0.08948
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    2.00000
  • Minimum
    0.04194
  • Quartile 1
    0.04215
  • Median
    0.04236
  • Quartile 3
    0.04258
  • Maximum
    0.04279
  • Mean of quarter 1
    0.04194
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.04279
  • Inter Quartile Range
    0.00042
  • 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)
    0.62513
  • Compounded annual return (geometric extrapolation)
    0.62513
  • Calmar ratio (compounded annual return / max draw down)
    14.60980
  • Compounded annual return / average of 25% largest draw downs
    14.60980
  • Compounded annual return / Expected Shortfall lognormal
    8.20798
  • 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
    0.49700
  • SD
    0.20015
  • Sharpe ratio (Glass type estimate)
    2.48316
  • Sharpe ratio (Hedges UMVUE)
    2.47628
  • df
    271.00000
  • t
    2.53010
  • p
    0.00598
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.54601
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.41586
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.54142
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.41114
  • Statistics related to Sortino ratio
  • Sortino ratio
    4.51029
  • Upside Potential Ratio
    11.06020
  • Upside part of mean
    1.21874
  • Downside part of mean
    -0.72174
  • Upside SD
    0.16945
  • Downside SD
    0.11019
  • N nonnegative terms
    138.00000
  • N negative terms
    134.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    272.00000
  • Mean of predictor
    -0.02804
  • Mean of criterion
    0.49700
  • SD of predictor
    0.17339
  • SD of criterion
    0.20015
  • Covariance
    -0.00369
  • r
    -0.10632
  • b (slope, estimate of beta)
    -0.12273
  • a (intercept, estimate of alpha)
    0.49400
  • Mean Square Error
    0.03975
  • DF error
    270.00000
  • t(b)
    -1.75704
  • p(b)
    0.95998
  • t(a)
    2.52211
  • p(a)
    0.00612
  • Lowerbound of 95% confidence interval for beta
    -0.26026
  • Upperbound of 95% confidence interval for beta
    0.01479
  • Lowerbound of 95% confidence interval for alpha
    0.10828
  • Upperbound of 95% confidence interval for alpha
    0.87883
  • Treynor index (mean / b)
    -4.04941
  • Jensen alpha (a)
    0.49356
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.47679
  • SD
    0.19830
  • Sharpe ratio (Glass type estimate)
    2.40438
  • Sharpe ratio (Hedges UMVUE)
    2.39772
  • df
    271.00000
  • t
    2.44984
  • p
    0.00746
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.46800
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.33644
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.46356
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.33188
  • Statistics related to Sortino ratio
  • Sortino ratio
    4.26324
  • Upside Potential Ratio
    10.77140
  • Upside part of mean
    1.20465
  • Downside part of mean
    -0.72786
  • Upside SD
    0.16595
  • Downside SD
    0.11184
  • N nonnegative terms
    138.00000
  • N negative terms
    134.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    272.00000
  • Mean of predictor
    -0.04306
  • Mean of criterion
    0.47679
  • SD of predictor
    0.17377
  • SD of criterion
    0.19830
  • Covariance
    -0.00362
  • r
    -0.10512
  • b (slope, estimate of beta)
    -0.11996
  • a (intercept, estimate of alpha)
    0.47163
  • Mean Square Error
    0.03903
  • DF error
    270.00000
  • t(b)
    -1.73698
  • p(b)
    0.95823
  • t(a)
    2.43201
  • p(a)
    0.00783
  • Lowerbound of 95% confidence interval for beta
    -0.25594
  • Upperbound of 95% confidence interval for beta
    0.01601
  • Lowerbound of 95% confidence interval for alpha
    0.08983
  • Upperbound of 95% confidence interval for alpha
    0.85343
  • Treynor index (mean / b)
    -3.97448
  • Jensen alpha (a)
    0.47163
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01816
  • Expected Shortfall on VaR
    0.02317
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00618
  • Expected Shortfall on VaR
    0.01309
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    272.00000
  • Minimum
    0.94390
  • Quartile 1
    0.99720
  • Median
    1.00065
  • Quartile 3
    1.00503
  • Maximum
    1.08290
  • Mean of quarter 1
    0.98993
  • Mean of quarter 2
    0.99928
  • Mean of quarter 3
    1.00264
  • Mean of quarter 4
    1.01617
  • Inter Quartile Range
    0.00783
  • Number outliers low
    13.00000
  • Percentage of outliers low
    0.04779
  • Mean of outliers low
    0.97480
  • Number of outliers high
    24.00000
  • Percentage of outliers high
    0.08824
  • Mean of outliers high
    1.02871
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.31000
  • VaR(95%) (moments method)
    0.00884
  • Expected Shortfall (moments method)
    0.01576
  • 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
    26.00000
  • Minimum
    0.00096
  • Quartile 1
    0.00351
  • Median
    0.01009
  • Quartile 3
    0.02719
  • Maximum
    0.10428
  • Mean of quarter 1
    0.00230
  • Mean of quarter 2
    0.00580
  • Mean of quarter 3
    0.01522
  • Mean of quarter 4
    0.05621
  • Inter Quartile Range
    0.02368
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.07692
  • Mean of outliers high
    0.09968
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.29163
  • VaR(95%) (moments method)
    0.06392
  • Expected Shortfall (moments method)
    0.10366
  • Extreme Value Index (regression method)
    0.67972
  • VaR(95%) (regression method)
    0.05330
  • Expected Shortfall (regression method)
    0.12928
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.66339
  • Compounded annual return (geometric extrapolation)
    0.65649
  • Calmar ratio (compounded annual return / max draw down)
    6.29572
  • Compounded annual return / average of 25% largest draw downs
    11.67850
  • Compounded annual return / Expected Shortfall lognormal
    28.33630
  • 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
    0.28870
  • SD
    0.17118
  • Sharpe ratio (Glass type estimate)
    1.68659
  • Sharpe ratio (Hedges UMVUE)
    1.67684
  • df
    130.00000
  • t
    1.19260
  • p
    0.44799
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.09593
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.46283
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.10245
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.45613
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.75197
  • Upside Potential Ratio
    10.03660
  • Upside part of mean
    1.05292
  • Downside part of mean
    -0.76422
  • Upside SD
    0.13561
  • Downside SD
    0.10491
  • N nonnegative terms
    63.00000
  • N negative terms
    68.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.10818
  • Mean of criterion
    0.28870
  • SD of predictor
    0.18763
  • SD of criterion
    0.17118
  • Covariance
    -0.01232
  • r
    -0.38375
  • b (slope, estimate of beta)
    -0.35011
  • a (intercept, estimate of alpha)
    0.25083
  • Mean Square Error
    0.02518
  • DF error
    129.00000
  • t(b)
    -4.71998
  • p(b)
    0.73817
  • t(a)
    1.11701
  • p(a)
    0.43779
  • Lowerbound of 95% confidence interval for beta
    -0.49687
  • Upperbound of 95% confidence interval for beta
    -0.20335
  • Lowerbound of 95% confidence interval for alpha
    -0.19345
  • Upperbound of 95% confidence interval for alpha
    0.69511
  • Treynor index (mean / b)
    -0.82461
  • Jensen alpha (a)
    0.25083
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.27404
  • SD
    0.17070
  • Sharpe ratio (Glass type estimate)
    1.60542
  • Sharpe ratio (Hedges UMVUE)
    1.59614
  • df
    130.00000
  • t
    1.13521
  • p
    0.45046
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.17627
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.38107
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.18244
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.37473
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.58544
  • Upside Potential Ratio
    9.84730
  • Upside part of mean
    1.04376
  • Downside part of mean
    -0.76972
  • Upside SD
    0.13404
  • Downside SD
    0.10599
  • N nonnegative terms
    63.00000
  • N negative terms
    68.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.12566
  • Mean of criterion
    0.27404
  • SD of predictor
    0.18762
  • SD of criterion
    0.17070
  • Covariance
    -0.01233
  • r
    -0.38489
  • b (slope, estimate of beta)
    -0.35018
  • a (intercept, estimate of alpha)
    0.23004
  • Mean Square Error
    0.02501
  • DF error
    129.00000
  • t(b)
    -4.73645
  • p(b)
    0.73884
  • t(a)
    1.02759
  • p(a)
    0.44271
  • Lowerbound of 95% confidence interval for beta
    -0.49646
  • Upperbound of 95% confidence interval for beta
    -0.20390
  • Lowerbound of 95% confidence interval for alpha
    -0.21288
  • Upperbound of 95% confidence interval for alpha
    0.67295
  • Treynor index (mean / b)
    -0.78257
  • Jensen alpha (a)
    0.23004
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01617
  • Expected Shortfall on VaR
    0.02049
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00683
  • Expected Shortfall on VaR
    0.01382
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.96760
  • Quartile 1
    0.99714
  • Median
    1.00000
  • Quartile 3
    1.00433
  • Maximum
    1.03448
  • Mean of quarter 1
    0.98960
  • Mean of quarter 2
    0.99904
  • Mean of quarter 3
    1.00207
  • Mean of quarter 4
    1.01415
  • Inter Quartile Range
    0.00719
  • Number outliers low
    8.00000
  • Percentage of outliers low
    0.06107
  • Mean of outliers low
    0.97811
  • Number of outliers high
    12.00000
  • Percentage of outliers high
    0.09160
  • Mean of outliers high
    1.02431
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.12585
  • VaR(95%) (moments method)
    0.00804
  • Expected Shortfall (moments method)
    0.01067
  • Extreme Value Index (regression method)
    0.41661
  • VaR(95%) (regression method)
    0.00831
  • Expected Shortfall (regression method)
    0.01627
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    7.00000
  • Minimum
    0.00253
  • Quartile 1
    0.00984
  • Median
    0.02919
  • Quartile 3
    0.04591
  • Maximum
    0.10428
  • Mean of quarter 1
    0.00352
  • Mean of quarter 2
    0.02218
  • Mean of quarter 3
    0.04375
  • Mean of quarter 4
    0.07618
  • Inter Quartile Range
    0.03607
  • 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
    0.14286
  • Mean of outliers high
    0.10428
  • 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)
    0.32593
  • Compounded annual return (geometric extrapolation)
    0.35249
  • Calmar ratio (compounded annual return / max draw down)
    3.38040
  • Compounded annual return / average of 25% largest draw downs
    4.62734
  • Compounded annual return / Expected Shortfall lognormal
    17.20610

Strategy Description

Completely automated. Goal is to try to be "right" about 53% of the time, with wins larger than losses. Even though it bets whether the market will go up or down, it only uses long positions in triple-levered ETFs. (In other words, it never shorts anything. It only "buys" - even when it bets the market will decline.) This makes it a good choice for C2Broker (commission-free trading) or for broker accounts where you cannot short.

Uses a proprietary market sentiment score, and does rolling backtest and rolling out-of-sample tests (re-building parameters each morning before trading begins) to determine statistical validity of parameters.

Keep in mind that when your best-case scenario is to be right 53% of the time, probability theory tells us there will definitely be occasional long periods of being mostly wrong. You can see in the track record long periods of flat or negative performance. (Three months in a row of 1% declines!) So please expect something similar in the future. This is not magic, and there are no guarantees.

But if you can stand being bored for a few months at a time, it seems like a decent strategy for a small portion of your risk capital.

Summary Statistics

Strategy began
2018-01-02
Suggested Minimum Capital
$15,000
# Trades
98
# Profitable
57
% Profitable
58.2%
Correlation S&P500
-0.104
Sharpe Ratio
2.476

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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