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

Trades-Own-Strategy Certification

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

Trades-Own-Strategy (TOS) Certification Details
Certification process started 04/02/2019
Most recent certification approved 4/2/19 11:57 ET
Trades at broker Interactive Brokers (server 2 / Stocks, Option, Futures)
Scaling percentage used 100%
# trading signals issued by system since certification 417
# trading signals executed in manager's Interactive Brokers (server 2 / Stocks, Option, Futures) account 417
Percent signals followed since 04/02/2019 100%
This information was last updated 2/24/20 2:32 ET

Warning: System trading results are still hypothetical.

Even though the system developer is currently trading his own system in a real-life brokerage account, the trading results presented on this Web site must still be regarded as purely hypothetical results. This is because (among other reasons) the system developer may not have traded all signals, particularly those that occurred before 04/02/2019, and the system developer's results may not match the system results presented here. In addition, not all subscribers have received the same trades or prices as the system manager has. For these reasons, and others, it is extremely important you remember the following:

About the results you see on this Web site

Past results are not necessarily indicative of future results.

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

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

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

Swing Diversified Trader
(123020258)

Created by: QuantAutoTrader QuantAutoTrader
Started: 04/2019
Stocks, Options
Last trade: 3 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 $99.00 per month.

C2Star

C2Star is a certification program for trading strategies. In order to become "C2Star Certified," a strategy must apply tight risk controls, and must exhibit excellent performance characteristics, including low drawdowns.

You can read more about C2Star certification requirements here.

Note that: all trading strategies are risky, and C2Star Certification does not imply that a strategy is low risk.

7.1%
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.

(3.2%)
Max Drawdown
185
Num Trades
37.3%
Win Trades
1.9 : 1
Profit Factor
63.6%
Win Months
Hypothetical Monthly Returns (includes system fee and Interactive Brokers commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2019                     +0.1%+1.7%+2.6%(0.6%)+1.5%(1.6%)+0.1%  -  +0.8%+4.8%
2020  -  +2.2%                                                            +2.2%

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 417 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
2/13/20 9:30 FXF CURRENCYSHARES SWISS FRANC TRU LONG 112 94.09 2/14 10:08 93.81 0.04%
Trade id #127493354
Max drawdown($40)
Time2/14/20 0:00
Quant open112
Worst price93.73
Drawdown as % of equity-0.04%
($33)
Includes Typical Broker Commissions trade costs of $2.00
2/11/20 15:09 QQQ2020C232 QQQ Mar20'20 232 call LONG 2 5.25 2/12 9:30 6.15 0.02%
Trade id #127463544
Max drawdown($20)
Time2/11/20 15:16
Quant open2
Worst price5.15
Drawdown as % of equity-0.02%
$177
Includes Typical Broker Commissions trade costs of $2.80
1/29/20 9:30 FXF CURRENCYSHARES SWISS FRANC TRU LONG 114 94.35 2/7 11:13 94.24 0.01%
Trade id #127265715
Max drawdown($12)
Time2/7/20 11:13
Quant open114
Worst price94.24
Drawdown as % of equity-0.01%
($15)
Includes Typical Broker Commissions trade costs of $2.00
1/27/20 9:31 IWM2020C163 IWM Mar20'20 163 call LONG 2 4.44 2/5 9:30 6.03 0.27%
Trade id #127231151
Max drawdown($288)
Time1/31/20 0:00
Quant open2
Worst price3.00
Drawdown as % of equity-0.27%
$315
Includes Typical Broker Commissions trade costs of $2.80
1/29/20 9:56 SPY2020C327 SPY Mar20'20 327 call LONG 1 7.63 2/5 9:30 10.03 0.27%
Trade id #127266541
Max drawdown($288)
Time1/31/20 0:00
Quant open1
Worst price4.75
Drawdown as % of equity-0.27%
$238
Includes Typical Broker Commissions trade costs of $2.00
1/31/20 9:32 QQQ2020C223 QQQ Mar20'20 223 call LONG 2 5.91 2/5 9:30 7.50 0.34%
Trade id #127308125
Max drawdown($356)
Time1/31/20 15:40
Quant open2
Worst price4.13
Drawdown as % of equity-0.34%
$313
Includes Typical Broker Commissions trade costs of $4.00
1/31/20 9:52 SPY2020C325 SPY Mar20'20 325 call LONG 1 8.00 2/5 9:30 11.55 0.21%
Trade id #127309089
Max drawdown($220)
Time1/31/20 15:44
Quant open1
Worst price5.80
Drawdown as % of equity-0.21%
$353
Includes Typical Broker Commissions trade costs of $2.00
1/31/20 9:36 QQQ2020C222 QQQ Mar20'20 222 call LONG 1 6.43 2/4 9:30 7.81 0.17%
Trade id #127308313
Max drawdown($177)
Time1/31/20 15:39
Quant open1
Worst price4.66
Drawdown as % of equity-0.17%
$136
Includes Typical Broker Commissions trade costs of $2.00
1/27/20 9:30 FXF CURRENCYSHARES SWISS FRANC TRU LONG 113 95.14 1/28 9:30 94.66 0.06%
Trade id #127231036
Max drawdown($62)
Time1/28/20 0:00
Quant open113
Worst price94.59
Drawdown as % of equity-0.06%
($56)
Includes Typical Broker Commissions trade costs of $2.00
1/3/20 9:31 GLD SPDR GOLD SHARES LONG 147 145.58 1/24 9:30 146.82 0.07%
Trade id #126850827
Max drawdown($72)
Time1/14/20 0:00
Quant open147
Worst price145.08
Drawdown as % of equity-0.07%
$179
Includes Typical Broker Commissions trade costs of $4.00
1/21/20 9:31 FXE CURRENCYSHARES EURO TRUST LONG 202 105.28 1/21 10:41 105.09 0.03%
Trade id #127113829
Max drawdown($27)
Time1/21/20 10:26
Quant open202
Worst price105.14
Drawdown as % of equity-0.03%
($41)
Includes Typical Broker Commissions trade costs of $4.00
1/21/20 9:31 FXA CURRENCYSHARES AUSTRALIAN DOLL LONG 156 68.70 1/21 10:27 68.58 0.02%
Trade id #127113827
Max drawdown($17)
Time1/21/20 10:20
Quant open156
Worst price68.59
Drawdown as % of equity-0.02%
($20)
Includes Typical Broker Commissions trade costs of $2.00
1/16/20 9:30 FXA CURRENCYSHARES AUSTRALIAN DOLL LONG 154 69.25 1/16 10:32 68.96 0.04%
Trade id #127035260
Max drawdown($43)
Time1/16/20 10:32
Quant open154
Worst price68.97
Drawdown as % of equity-0.04%
($47)
Includes Typical Broker Commissions trade costs of $2.00
1/15/20 9:30 FXE CURRENCYSHARES EURO TRUST LONG 101 105.75 1/15 10:14 105.58 0.01%
Trade id #127007847
Max drawdown($14)
Time1/15/20 10:12
Quant open101
Worst price105.61
Drawdown as % of equity-0.01%
($19)
Includes Typical Broker Commissions trade costs of $2.00
1/9/20 9:30 FXY CURRENCYSHARES JAPANESE YEN TR LONG 124 86.76 1/13 9:30 86.48 0.01%
Trade id #126928864
Max drawdown($14)
Time1/10/20 0:00
Quant open124
Worst price86.64
Drawdown as % of equity-0.01%
($37)
Includes Typical Broker Commissions trade costs of $2.00
1/9/20 12:33 QQQ2021B218 QQQ Feb21'20 218 call LONG 2 4.83 1/10 9:30 5.54 0.04%
Trade id #126932893
Max drawdown($46)
Time1/9/20 12:41
Quant open2
Worst price4.60
Drawdown as % of equity-0.04%
$139
Includes Typical Broker Commissions trade costs of $2.80
1/8/20 9:30 FXE CURRENCYSHARES EURO TRUST LONG 102 105.44 1/8 11:11 105.29 0.01%
Trade id #126911628
Max drawdown($10)
Time1/8/20 10:35
Quant open102
Worst price105.34
Drawdown as % of equity-0.01%
($17)
Includes Typical Broker Commissions trade costs of $2.00
1/6/20 9:32 FXE CURRENCYSHARES EURO TRUST LONG 204 106.10 1/7 9:31 105.73 0.11%
Trade id #126880292
Max drawdown($118)
Time1/7/20 0:00
Quant open204
Worst price105.52
Drawdown as % of equity-0.11%
($78)
Includes Typical Broker Commissions trade costs of $4.00
1/6/20 9:32 SPY2021B320 SPY Feb21'20 320 call LONG 1 7.17 1/7 9:31 8.01 0%
Trade id #126880288
Max drawdown($3)
Time1/6/20 9:39
Quant open1
Worst price7.14
Drawdown as % of equity-0.00%
$82
Includes Typical Broker Commissions trade costs of $2.00
1/3/20 9:31 SPY2021N322 SPY Feb21'20 322 put LONG 1 5.71 1/6 9:32 6.00 0.1%
Trade id #126850973
Max drawdown($100)
Time1/3/20 12:07
Quant open1
Worst price4.71
Drawdown as % of equity-0.10%
$27
Includes Typical Broker Commissions trade costs of $2.00
12/26/19 9:30 QQQ2021N212 QQQ Feb21'20 212 put LONG 2 4.44 1/6/20 9:32 4.44 0.25%
Trade id #126754684
Max drawdown($264)
Time1/2/20 0:00
Quant open2
Worst price3.12
Drawdown as % of equity-0.25%
($3)
Includes Typical Broker Commissions trade costs of $2.80
12/17/19 9:30 FXA CURRENCYSHARES AUSTRALIAN DOLL LONG 156 68.45 1/3/20 9:31 69.48 0%
Trade id #126652464
Max drawdown($4)
Time12/17/19 9:34
Quant open156
Worst price68.42
Drawdown as % of equity-0.00%
$159
Includes Typical Broker Commissions trade costs of $2.00
12/30/19 9:34 QQQ2021B213 QQQ Feb21'20 213 call LONG 2 5.43 12/31 9:30 4.60 0.13%
Trade id #126788344
Max drawdown($132)
Time12/30/19 9:50
Quant open2
Worst price4.77
Drawdown as % of equity-0.13%
($169)
Includes Typical Broker Commissions trade costs of $2.80
12/4/19 10:06 GLD SPDR GOLD SHARES LONG 230 138.33 12/31 9:30 140.70 0.12%
Trade id #126479108
Max drawdown($126)
Time12/9/19 0:00
Quant open153
Worst price137.45
Drawdown as % of equity-0.12%
$540
Includes Typical Broker Commissions trade costs of $6.00
12/10/19 9:30 FXE CURRENCYSHARES EURO TRUST LONG 202 105.25 12/20 13:32 105.11 0.03%
Trade id #126557738
Max drawdown($31)
Time12/20/19 13:01
Quant open101
Worst price104.94
Drawdown as % of equity-0.03%
($32)
Includes Typical Broker Commissions trade costs of $4.00
12/13/19 10:02 SPY2017M318 SPY Jan17'20 318 put LONG 2 4.68 12/16 9:30 3.47 0.08%
Trade id #126613808
Max drawdown($88)
Time12/13/19 10:08
Quant open2
Worst price4.24
Drawdown as % of equity-0.08%
($245)
Includes Typical Broker Commissions trade costs of $2.80
12/13/19 9:30 FXY CURRENCYSHARES JAPANESE YEN TR LONG 122 86.96 12/13 10:01 86.76 0.01%
Trade id #126612550
Max drawdown($6)
Time12/13/19 9:41
Quant open122
Worst price86.91
Drawdown as % of equity-0.01%
($26)
Includes Typical Broker Commissions trade costs of $2.00
12/5/19 9:43 FXF CURRENCYSHARES SWISS FRANC TRU LONG 114 93.30 12/13 9:31 93.79 0.03%
Trade id #126496689
Max drawdown($27)
Time12/6/19 0:00
Quant open114
Worst price93.06
Drawdown as % of equity-0.03%
$54
Includes Typical Broker Commissions trade costs of $2.00
12/6/19 9:30 QQQ2017M204 QQQ Jan17'20 204 put LONG 2 4.23 12/13 9:31 2.97 0.3%
Trade id #126513499
Max drawdown($314)
Time12/12/19 0:00
Quant open2
Worst price2.66
Drawdown as % of equity-0.30%
($255)
Includes Typical Broker Commissions trade costs of $2.80
12/9/19 16:02 QQQ2017A204 QQQ Jan17'20 204 call LONG 2 4.12 12/10 9:30 4.16 0.02%
Trade id #126549643
Max drawdown($23)
Time12/10/19 0:00
Quant open2
Worst price4.00
Drawdown as % of equity-0.02%
$6
Includes Typical Broker Commissions trade costs of $2.80

Statistics

  • Strategy began
    4/2/2019
  • Suggested Minimum Cap
    $100,000
  • Strategy Age (days)
    327.64
  • Age
    11 months ago
  • What it trades
    Stocks, Options
  • # Trades
    185
  • # Profitable
    69
  • % Profitable
    37.30%
  • Avg trade duration
    14.1 days
  • Max peak-to-valley drawdown
    3.25%
  • drawdown period
    Aug 30, 2019 - Oct 02, 2019
  • Cumul. Return
    7.6%
  • Avg win
    $276.22
  • Avg loss
    $92.97
  • Model Account Values (Raw)
  • Cash
    $83,467
  • Margin Used
    $0
  • Buying Power
    $87,555
  • Ratios
  • W:L ratio
    1.93:1
  • Sharpe Ratio
    1.22
  • Sortino Ratio
    2.12
  • Calmar Ratio
    3.68
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -8.81%
  • Correlation to SP500
    0.36220
  • Return Percent SP500 (cumu) during strategy life
    16.41%
  • Return Statistics
  • Ann Return (w trading costs)
    8.4%
  • Slump
  • Current Slump as Pcnt Equity
    0.01%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.01%
  • Instruments
  • Short Options - Percent Covered
    n/a
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.076%
  • Instruments
  • Percent Trades Options
    0.41%
  • Percent Trades Stocks
    0.59%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    10.2%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    n/a
  • Chance of 20% account loss
    n/a
  • Chance of 30% account loss
    n/a
  • Chance of 40% account loss
    n/a
  • Chance of 70% account loss (Monte Carlo)
    n/a
  • Chance of 80% account loss (Monte Carlo)
    n/a
  • Chance of 60% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 90% account loss (Monte Carlo)
    n/a
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    824
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • C2 Score
    895
  • Popularity (7 days, Percentile 1000 scale)
    656
  • Management
  • No Subs Allowed Flag (1: no subs)
    0
  • Strat abandoned?
    0
  • Trades-Own-System Certification
  • Trades Own System?
    Yes
  • TOS percent
    100%
  • Win / Loss
  • Avg Loss
    $93
  • Avg Win
    $276
  • Sum Trade PL (losers)
    $10,784.000
  • Age
  • Num Months filled monthly returns table
    11
  • Win / Loss
  • Sum Trade PL (winners)
    $19,059.000
  • # Winners
    69
  • Num Months Winners
    9
  • Dividends
  • Dividends Received in Model Acct
    891
  • Win / Loss
  • # Losers
    116
  • % Winners
    37.3%
  • Frequency
  • Avg Position Time (mins)
    20327.70
  • Avg Position Time (hrs)
    338.80
  • Avg Trade Length
    14.1 days
  • Last Trade Ago
    3
  • Leverage
  • Daily leverage (average)
    0.85
  • Daily leverage (max)
    1.44
  • Regression
  • Alpha
    0.01
  • Beta
    0.14
  • Treynor Index
    0.14
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.00
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    68.67
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    11.34
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -0.34
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.00
  • Avg(MAE) / Avg(PL) - All trades
    3.373
  • MAE:Equity, losing trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, win trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, 95th Percentile Value for this strat
    0.00
  • Avg(MAE) / Avg(PL) - Winning trades
    0.325
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.337
  • Hold-and-Hope Ratio
    0.300
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.08320
  • SD
    0.05024
  • Sharpe ratio (Glass type estimate)
    1.65603
  • Sharpe ratio (Hedges UMVUE)
    1.51340
  • df
    9.00000
  • t
    1.51174
  • p
    0.08244
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.65968
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.89138
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.74460
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.77140
  • Statistics related to Sortino ratio
  • Sortino ratio
    4.41392
  • Upside Potential Ratio
    6.03360
  • Upside part of mean
    0.11373
  • Downside part of mean
    -0.03053
  • Upside SD
    0.04993
  • Downside SD
    0.01885
  • N nonnegative terms
    6.00000
  • N negative terms
    4.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    10.00000
  • Mean of predictor
    0.16654
  • Mean of criterion
    0.08320
  • SD of predictor
    0.11138
  • SD of criterion
    0.05024
  • Covariance
    0.00151
  • r
    0.26905
  • b (slope, estimate of beta)
    0.12136
  • a (intercept, estimate of alpha)
    0.06299
  • Mean Square Error
    0.00263
  • DF error
    8.00000
  • t(b)
    0.79012
  • p(b)
    0.22612
  • t(a)
    1.01975
  • p(a)
    0.16885
  • Lowerbound of 95% confidence interval for beta
    -0.23283
  • Upperbound of 95% confidence interval for beta
    0.47555
  • Lowerbound of 95% confidence interval for alpha
    -0.07945
  • Upperbound of 95% confidence interval for alpha
    0.20542
  • Treynor index (mean / b)
    0.68554
  • Jensen alpha (a)
    0.06299
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.08161
  • SD
    0.04967
  • Sharpe ratio (Glass type estimate)
    1.64279
  • Sharpe ratio (Hedges UMVUE)
    1.50130
  • df
    9.00000
  • t
    1.49966
  • p
    0.08397
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.67066
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.87641
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.75497
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.75758
  • Statistics related to Sortino ratio
  • Sortino ratio
    4.31082
  • Upside Potential Ratio
    5.92917
  • Upside part of mean
    0.11224
  • Downside part of mean
    -0.03064
  • Upside SD
    0.04917
  • Downside SD
    0.01893
  • N nonnegative terms
    6.00000
  • N negative terms
    4.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    10.00000
  • Mean of predictor
    0.15957
  • Mean of criterion
    0.08161
  • SD of predictor
    0.11013
  • SD of criterion
    0.04967
  • Covariance
    0.00154
  • r
    0.28085
  • b (slope, estimate of beta)
    0.12668
  • a (intercept, estimate of alpha)
    0.06139
  • Mean Square Error
    0.00256
  • DF error
    8.00000
  • t(b)
    0.82768
  • p(b)
    0.21593
  • t(a)
    1.01406
  • p(a)
    0.17012
  • Lowerbound of 95% confidence interval for beta
    -0.22627
  • Upperbound of 95% confidence interval for beta
    0.47963
  • Lowerbound of 95% confidence interval for alpha
    -0.07821
  • Upperbound of 95% confidence interval for alpha
    0.20100
  • Treynor index (mean / b)
    0.64418
  • Jensen alpha (a)
    0.06139
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01665
  • Expected Shortfall on VaR
    0.02251
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00504
  • Expected Shortfall on VaR
    0.01042
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    10.00000
  • Minimum
    0.98734
  • Quartile 1
    1.00073
  • Median
    1.00868
  • Quartile 3
    1.01893
  • Maximum
    1.03656
  • Mean of quarter 1
    0.99391
  • Mean of quarter 2
    1.00405
  • Mean of quarter 3
    1.01203
  • Mean of quarter 4
    1.02624
  • Inter Quartile Range
    0.01820
  • 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)
    -0.85276
  • VaR(95%) (regression method)
    0.01527
  • Expected Shortfall (regression method)
    0.01747
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    2.00000
  • Minimum
    0.00587
  • Quartile 1
    0.00757
  • Median
    0.00926
  • Quartile 3
    0.01096
  • Maximum
    0.01266
  • Mean of quarter 1
    0.00587
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.01266
  • Inter Quartile Range
    0.00339
  • 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)
    0.11467
  • Compounded annual return (geometric extrapolation)
    0.11573
  • Calmar ratio (compounded annual return / max draw down)
    9.14340
  • Compounded annual return / average of 25% largest draw downs
    9.14340
  • Compounded annual return / Expected Shortfall lognormal
    5.14205
  • 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
    0.07714
  • SD
    0.04693
  • Sharpe ratio (Glass type estimate)
    1.64365
  • Sharpe ratio (Hedges UMVUE)
    1.63819
  • df
    226.00000
  • t
    1.52993
  • p
    0.06372
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.46919
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.75292
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.47287
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.74924
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.90711
  • Upside Potential Ratio
    9.66001
  • Upside part of mean
    0.25632
  • Downside part of mean
    -0.17918
  • Upside SD
    0.03888
  • Downside SD
    0.02653
  • N nonnegative terms
    128.00000
  • N negative terms
    99.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    227.00000
  • Mean of predictor
    0.15511
  • Mean of criterion
    0.07714
  • SD of predictor
    0.12315
  • SD of criterion
    0.04693
  • Covariance
    0.00205
  • r
    0.35425
  • b (slope, estimate of beta)
    0.13500
  • a (intercept, estimate of alpha)
    0.05600
  • Mean Square Error
    0.00193
  • DF error
    225.00000
  • t(b)
    5.68227
  • p(b)
    0.00000
  • t(a)
    1.18566
  • p(a)
    0.11850
  • Lowerbound of 95% confidence interval for beta
    0.08818
  • Upperbound of 95% confidence interval for beta
    0.18182
  • Lowerbound of 95% confidence interval for alpha
    -0.03720
  • Upperbound of 95% confidence interval for alpha
    0.14960
  • Treynor index (mean / b)
    0.57138
  • Jensen alpha (a)
    0.05620
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.07603
  • SD
    0.04676
  • Sharpe ratio (Glass type estimate)
    1.62578
  • Sharpe ratio (Hedges UMVUE)
    1.62037
  • df
    226.00000
  • t
    1.51329
  • p
    0.06580
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.48695
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.73501
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.49056
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.73131
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.85440
  • Upside Potential Ratio
    9.59425
  • Upside part of mean
    0.25555
  • Downside part of mean
    -0.17952
  • Upside SD
    0.03860
  • Downside SD
    0.02664
  • N nonnegative terms
    128.00000
  • N negative terms
    99.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    227.00000
  • Mean of predictor
    0.14747
  • Mean of criterion
    0.07603
  • SD of predictor
    0.12356
  • SD of criterion
    0.04676
  • Covariance
    0.00205
  • r
    0.35548
  • b (slope, estimate of beta)
    0.13453
  • a (intercept, estimate of alpha)
    0.05619
  • Mean Square Error
    0.00192
  • DF error
    225.00000
  • t(b)
    5.70477
  • p(b)
    0.00000
  • t(a)
    1.19065
  • p(a)
    0.11752
  • Lowerbound of 95% confidence interval for beta
    0.08806
  • Upperbound of 95% confidence interval for beta
    0.18101
  • Lowerbound of 95% confidence interval for alpha
    -0.03680
  • Upperbound of 95% confidence interval for alpha
    0.14918
  • Treynor index (mean / b)
    0.56511
  • Jensen alpha (a)
    0.05619
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00445
  • Expected Shortfall on VaR
    0.00565
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00142
  • Expected Shortfall on VaR
    0.00302
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    227.00000
  • Minimum
    0.98533
  • Quartile 1
    0.99932
  • Median
    1.00030
  • Quartile 3
    1.00124
  • Maximum
    1.02455
  • Mean of quarter 1
    0.99766
  • Mean of quarter 2
    0.99986
  • Mean of quarter 3
    1.00073
  • Mean of quarter 4
    1.00336
  • Inter Quartile Range
    0.00192
  • Number outliers low
    11.00000
  • Percentage of outliers low
    0.04846
  • Mean of outliers low
    0.99445
  • Number of outliers high
    9.00000
  • Percentage of outliers high
    0.03965
  • Mean of outliers high
    1.00906
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.35540
  • VaR(95%) (moments method)
    0.00238
  • Expected Shortfall (moments method)
    0.00438
  • Extreme Value Index (regression method)
    0.39689
  • VaR(95%) (regression method)
    0.00193
  • Expected Shortfall (regression method)
    0.00343
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    18.00000
  • Minimum
    0.00004
  • Quartile 1
    0.00067
  • Median
    0.00115
  • Quartile 3
    0.00668
  • Maximum
    0.02976
  • Mean of quarter 1
    0.00047
  • Mean of quarter 2
    0.00088
  • Mean of quarter 3
    0.00294
  • Mean of quarter 4
    0.01350
  • Inter Quartile Range
    0.00601
  • 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
    0.05556
  • Mean of outliers high
    0.02976
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.20905
  • VaR(95%) (moments method)
    0.01475
  • Expected Shortfall (moments method)
    0.02268
  • Extreme Value Index (regression method)
    1.52567
  • VaR(95%) (regression method)
    0.01529
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.10876
  • Compounded annual return (geometric extrapolation)
    0.10953
  • Calmar ratio (compounded annual return / max draw down)
    3.68015
  • Compounded annual return / average of 25% largest draw downs
    8.11379
  • Compounded annual return / Expected Shortfall lognormal
    19.37670
  • 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
    0.06047
  • SD
    0.04244
  • Sharpe ratio (Glass type estimate)
    1.42473
  • Sharpe ratio (Hedges UMVUE)
    1.41649
  • df
    130.00000
  • t
    1.00743
  • p
    0.45599
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.35515
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.19928
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.36066
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.19364
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.07656
  • Upside Potential Ratio
    8.11116
  • Upside part of mean
    0.23620
  • Downside part of mean
    -0.17573
  • Upside SD
    0.03088
  • Downside SD
    0.02912
  • N nonnegative terms
    75.00000
  • N negative terms
    56.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.25875
  • Mean of criterion
    0.06047
  • SD of predictor
    0.10687
  • SD of criterion
    0.04244
  • Covariance
    0.00171
  • r
    0.37654
  • b (slope, estimate of beta)
    0.14954
  • a (intercept, estimate of alpha)
    0.02178
  • Mean Square Error
    0.00156
  • DF error
    129.00000
  • t(b)
    4.61637
  • p(b)
    0.26608
  • t(a)
    0.38581
  • p(a)
    0.47839
  • Lowerbound of 95% confidence interval for beta
    0.08545
  • Upperbound of 95% confidence interval for beta
    0.21363
  • Lowerbound of 95% confidence interval for alpha
    -0.08991
  • Upperbound of 95% confidence interval for alpha
    0.13346
  • Treynor index (mean / b)
    0.40438
  • Jensen alpha (a)
    0.02178
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.05956
  • SD
    0.04246
  • Sharpe ratio (Glass type estimate)
    1.40266
  • Sharpe ratio (Hedges UMVUE)
    1.39455
  • df
    130.00000
  • t
    0.99183
  • p
    0.45667
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.37705
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.17704
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.38243
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.17153
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.03587
  • Upside Potential Ratio
    8.05633
  • Upside part of mean
    0.23570
  • Downside part of mean
    -0.17614
  • Upside SD
    0.03077
  • Downside SD
    0.02926
  • N nonnegative terms
    75.00000
  • N negative terms
    56.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.25291
  • Mean of criterion
    0.05956
  • SD of predictor
    0.10708
  • SD of criterion
    0.04246
  • Covariance
    0.00171
  • r
    0.37550
  • b (slope, estimate of beta)
    0.14891
  • a (intercept, estimate of alpha)
    0.02190
  • Mean Square Error
    0.00156
  • DF error
    129.00000
  • t(b)
    4.60161
  • p(b)
    0.26669
  • t(a)
    0.38782
  • p(a)
    0.47828
  • VAR (95 Confidence Intrvl)
    0.00400
  • Lowerbound of 95% confidence interval for beta
    0.08489
  • Upperbound of 95% confidence interval for beta
    0.21294
  • Lowerbound of 95% confidence interval for alpha
    -0.08983
  • Upperbound of 95% confidence interval for alpha
    0.13363
  • Treynor index (mean / b)
    0.39998
  • Jensen alpha (a)
    0.02190
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00408
  • Expected Shortfall on VaR
    0.00517
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00136
  • Expected Shortfall on VaR
    0.00300
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.98533
  • Quartile 1
    0.99955
  • Median
    1.00045
  • Quartile 3
    1.00116
  • Maximum
    1.01094
  • Mean of quarter 1
    0.99764
  • Mean of quarter 2
    0.99995
  • Mean of quarter 3
    1.00071
  • Mean of quarter 4
    1.00306
  • Inter Quartile Range
    0.00162
  • Number outliers low
    9.00000
  • Percentage of outliers low
    0.06870
  • Mean of outliers low
    0.99473
  • Number of outliers high
    8.00000
  • Percentage of outliers high
    0.06107
  • Mean of outliers high
    1.00638
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.32261
  • VaR(95%) (moments method)
    0.00230
  • Expected Shortfall (moments method)
    0.00428
  • Extreme Value Index (regression method)
    0.12196
  • VaR(95%) (regression method)
    0.00256
  • Expected Shortfall (regression method)
    0.00413
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    8.00000
  • Minimum
    0.00004
  • Quartile 1
    0.00078
  • Median
    0.00115
  • Quartile 3
    0.00718
  • Maximum
    0.02976
  • Mean of quarter 1
    0.00033
  • Mean of quarter 2
    0.00094
  • Mean of quarter 3
    0.00391
  • Mean of quarter 4
    0.01938
  • Inter Quartile Range
    0.00641
  • 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
    0.12500
  • Mean of outliers high
    0.02976
  • 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
  • Last 4 Months - Pcnt Negative
    n/a
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -276560000
  • Max Equity Drawdown (num days)
    33
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.08941
  • Compounded annual return (geometric extrapolation)
    0.09141
  • Calmar ratio (compounded annual return / max draw down)
    3.07139
  • Compounded annual return / average of 25% largest draw downs
    4.71567
  • Compounded annual return / Expected Shortfall lognormal
    17.68000

Strategy Description

Swing trades a diverse portfolio of stocks and options on major indexes, commodities and currencies utilizing a variety of ETFs. Trades are automated and executed via a portfolio of trading strategies. The strategies utilize a variety of individual signal combinations that were down selected by a proprietary optimizer from a pool of potential signals to produce a robust mix.

The portfolio is being live traded and trades are communicated to Collective2 via Broker Transmit.

Individual trade sizes are tuned to risk approximately 2% of the account or a minimum of one option to any individual trade.

To ensure full capital utilization, base account funds are invested in an asset allocation that includes a conservative mix of Bond, Utilities and General market ETFs.

The portfolio will at times utlize up to 2x1 margin.

Summary Statistics

Strategy began
2019-04-02
Suggested Minimum Capital
$100,000
# Trades
185
# Profitable
69
% Profitable
37.3%
Net Dividends
Correlation S&P500
0.362
Sharpe Ratio
1.22
Sortino Ratio
2.12
Beta
0.14
Alpha
0.01
Leverage
0.85 Average
1.44 Maximum
Summary
Higher leverage = greater risk.

More information about leverage

AGM - Access to Global Markets calculates the maximum leverage used by a strategy in each day. We then display the average of these measurements (i.e. the average daily maximum leverage) and the greatest of these measurements (maximum daily leverage).

Leverage is the ratio of total notional value controlled by a strategy divided by its Model Account equity. Generally higher leverage implies greater risk.

Example of calculation:
The Strategy buys 100 shares of stock at $12 per share.
The Model Account equity during that day is $5,000.
The leverage is: $1200 / $5,000 = 0.24

This is a useful measurement, but it should be considered in context. This measurement doesn't take into account important factors, such as when multiple positions are held that are inversely correlated. Nor does the measurement take into account the volatility of the instruments being held.

In addition, certain asset classes are inherently more leveraged than others. For example, futures contracts are highly leveraged. Forex positions are often even more leveraged than futures.

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.

0