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AT Stock Trading
(123689650)

Created by: Andr3as Andr3as
Started: 05/2019
Stocks
Last trade: 4 days ago
Trading style: Equity Trend-following

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 $125.00 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.

Trading Category: Equity
Trend-following
Category: Equity

Trend-following

Tries to take advantage of long, medium or short-term moves that seem to play out in various markets. Typically, trend-following analysis is backward looking; that is, it attempts to recognize and profit from already-established trends.
25.6%
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.

(4.0%)
Max Drawdown
36
Num Trades
50.0%
Win Trades
3.1 : 1
Profit Factor
70.0%
Win Months
Hypothetical Monthly Returns (includes system fee and Interactive Brokers commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2019                            (0.6%)+3.5%+1.6%(1.2%)(0.6%)+0.3%+2.4%+6.2%+12.0%
2020+4.8%+7.1%                                                            +12.2%

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 1 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
11/26/19 9:32 DLTR DOLLAR TREE STORES LONG 63 95.25 1/27/20 9:30 86.90 0.95%
Trade id #126368008
Max drawdown($570)
Time1/27/20 9:31
Quant open63
Worst price86.19
Drawdown as % of equity-0.95%
($528)
Includes Typical Broker Commissions trade costs of $2.00
10/3/19 9:39 GS GOLDMAN SACHS GROUP LONG 50 197.00 1/14/20 11:17 237.15 0.29%
Trade id #125611112
Max drawdown($150)
Time10/3/19 10:09
Quant open50
Worst price193.99
Drawdown as % of equity-0.29%
$2,004
Includes Typical Broker Commissions trade costs of $4.00
5/29/19 11:42 HLT HILTON WORLDWIDE HOLDINGS INC LONG 87 88.10 12/19 12:40 104.98 0.03%
Trade id #123861737
Max drawdown($16)
Time6/3/19 0:00
Quant open87
Worst price87.91
Drawdown as % of equity-0.03%
$1,465
Includes Typical Broker Commissions trade costs of $3.00
6/3/19 12:34 MCO MOODY'S LONG 36 181.70 12/19 11:37 222.56 0.14%
Trade id #123916076
Max drawdown($69)
Time6/3/19 15:33
Quant open36
Worst price179.76
Drawdown as % of equity-0.14%
$1,468
Includes Typical Broker Commissions trade costs of $3.00
9/18/19 14:00 FITB FIFTH THIRD BANCORP SHORT 175 28.16 12/12 10:01 31.00 0.93%
Trade id #125404738
Max drawdown($488)
Time12/12/19 10:00
Quant open175
Worst price30.95
Drawdown as % of equity-0.93%
($499)
Includes Typical Broker Commissions trade costs of $2.00
11/15/19 9:30 CNP CENTERPOINT ENERGY LONG 333 26.00 11/20 13:15 24.50 0.95%
Trade id #126224879
Max drawdown($496)
Time11/20/19 13:15
Quant open333
Worst price24.51
Drawdown as % of equity-0.95%
($503)
Includes Typical Broker Commissions trade costs of $3.34
10/22/19 13:57 AES AES SHORT 400 16.90 11/13 10:38 18.15 0.96%
Trade id #125901488
Max drawdown($496)
Time11/12/19 0:00
Quant open400
Worst price18.14
Drawdown as % of equity-0.96%
($504)
Includes Typical Broker Commissions trade costs of $4.00
10/24/19 9:57 MCD MCDONALD'S LONG 71 198.00 11/4 9:30 190.16 1.08%
Trade id #125933645
Max drawdown($557)
Time11/4/19 9:30
Quant open71
Worst price190.15
Drawdown as % of equity-1.08%
($559)
Includes Typical Broker Commissions trade costs of $2.00
10/10/19 9:48 MO ALTRIA SHORT 167 43.00 10/22 11:19 46.00 0.95%
Trade id #125717837
Max drawdown($496)
Time10/22/19 11:19
Quant open167
Worst price45.98
Drawdown as % of equity-0.95%
($503)
Includes Typical Broker Commissions trade costs of $2.00
10/7/19 11:53 PKG PACKAGING CORP OF AMERICA SHORT 78 104.25 10/10 11:20 106.16 0.29%
Trade id #125662252
Max drawdown($148)
Time10/10/19 11:20
Quant open78
Worst price106.15
Drawdown as % of equity-0.29%
($151)
Includes Typical Broker Commissions trade costs of $2.00
9/20/19 12:18 AAP ADVANCE AUTO PARTS SHORT 50 156.00 10/1 9:31 166.05 0.97%
Trade id #125438179
Max drawdown($498)
Time9/30/19 0:00
Quant open50
Worst price165.97
Drawdown as % of equity-0.97%
($505)
Includes Typical Broker Commissions trade costs of $2.00
5/16/19 10:20 ABBV ABBVIE INC SHORT 54 80.30 9/18 9:31 70.38 0.16%
Trade id #123695043
Max drawdown($78)
Time5/22/19 0:00
Quant open54
Worst price81.75
Drawdown as % of equity-0.16%
$532
Includes Typical Broker Commissions trade costs of $4.00
7/11/19 12:51 HFC HOLLYFRONTIER SHORT 50 47.50 8/1 10:32 52.51 0.48%
Trade id #124422310
Max drawdown($251)
Time8/1/19 10:32
Quant open50
Worst price52.51
Drawdown as % of equity-0.48%
($253)
Includes Typical Broker Commissions trade costs of $2.00
5/20/19 14:54 DRE DUKE REALTY LONG 238 30.29 7/19 10:15 33.51 0.29%
Trade id #123741988
Max drawdown($145)
Time5/20/19 14:54
Quant open238
Worst price29.68
Drawdown as % of equity-0.29%
$764
Includes Typical Broker Commissions trade costs of $2.38
5/29/19 9:30 MAA MID-AMERICA LONG 115 112.10 7/19 10:15 120.88 0.03%
Trade id #123858282
Max drawdown($14)
Time5/29/19 9:30
Quant open115
Worst price111.97
Drawdown as % of equity-0.03%
$1,008
Includes Typical Broker Commissions trade costs of $2.00
5/16/19 9:32 IBM INTERNATIONAL BUSINESS MACHINE SHORT 11 135.00 7/18 9:41 146.33 0.24%
Trade id #123693291
Max drawdown($125)
Time7/18/19 9:41
Quant open11
Worst price146.33
Drawdown as % of equity-0.24%
($127)
Includes Typical Broker Commissions trade costs of $2.00
5/20/19 9:30 FAST FASTENAL LONG 84 31.65 7/11 9:36 29.67 0.32%
Trade id #123815546
Max drawdown($166)
Time7/11/19 9:36
Quant open84
Worst price29.67
Drawdown as % of equity-0.32%
($168)
Includes Typical Broker Commissions trade costs of $2.00
6/4/19 10:40 AIG AMERICAN INTERNATIONAL SHORT 118 53.60 7/10 9:32 55.70 0.47%
Trade id #123932587
Max drawdown($248)
Time7/10/19 9:32
Quant open118
Worst price55.70
Drawdown as % of equity-0.47%
($250)
Includes Typical Broker Commissions trade costs of $2.00
5/28/19 9:35 ILMN ILLUMINA SHORT 13 317.00 6/7 10:30 336.71 0.5%
Trade id #123842629
Max drawdown($256)
Time6/7/19 10:30
Quant open0
Worst price336.71
Drawdown as % of equity-0.50%
($258)
Includes Typical Broker Commissions trade costs of $2.00
5/23/19 12:16 MSFT MICROSOFT LONG 66 125.00 6/3 12:24 121.22 0.5%
Trade id #123799279
Max drawdown($249)
Time6/3/19 12:24
Quant open0
Worst price121.22
Drawdown as % of equity-0.50%
($251)
Includes Typical Broker Commissions trade costs of $2.00
5/24/19 10:57 MCD MCDONALD'S LONG 83 198.00 5/29 9:30 195.00 0.5%
Trade id #123812852
Max drawdown($249)
Time5/29/19 9:30
Quant open0
Worst price195.00
Drawdown as % of equity-0.50%
($251)
Includes Typical Broker Commissions trade costs of $2.00
5/20/19 15:13 AME AMETEK LONG 130 84.85 5/29 9:30 83.42 0.37%
Trade id #123742233
Max drawdown($186)
Time5/29/19 9:30
Quant open0
Worst price83.42
Drawdown as % of equity-0.37%
($188)
Includes Typical Broker Commissions trade costs of $2.00
5/20/19 9:30 ANSS ANSYS LONG 42 185.30 5/23 9:32 183.01 0.19%
Trade id #123736291
Max drawdown($96)
Time5/23/19 9:32
Quant open0
Worst price183.01
Drawdown as % of equity-0.19%
($98)
Includes Typical Broker Commissions trade costs of $2.00

Statistics

  • Strategy began
    5/16/2019
  • Suggested Minimum Cap
    $15,000
  • Strategy Age (days)
    284.08
  • Age
    9 months ago
  • What it trades
    Stocks
  • # Trades
    36
  • # Profitable
    18
  • % Profitable
    50.00%
  • Avg trade duration
    61.6 days
  • Max peak-to-valley drawdown
    3.95%
  • drawdown period
    Nov 28, 2019 - Dec 03, 2019
  • Cumul. Return
    26.6%
  • Avg win
    $878.72
  • Avg loss
    $314.11
  • Model Account Values (Raw)
  • Cash
    $34,966
  • Margin Used
    $20,928
  • Buying Power
    $26,672
  • Ratios
  • W:L ratio
    3.06:1
  • Sharpe Ratio
    2.93
  • Sortino Ratio
    5.22
  • Calmar Ratio
    12.522
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    10.60%
  • Correlation to SP500
    0.44890
  • Return Percent SP500 (cumu) during strategy life
    16.04%
  • Return Statistics
  • Ann Return (w trading costs)
    34.9%
  • Slump
  • Current Slump as Pcnt Equity
    0.02%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.01%
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.266%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    38.9%
  • 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)
    785
  • Popularity (Last 6 weeks)
    959
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Popularity
  • C2 Score
    995
  • Popularity (7 days, Percentile 1000 scale)
    925
  • Management
  • No Subs Allowed Flag (1: no subs)
    0
  • Strat abandoned?
    0
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $314
  • Avg Win
    $1,110
  • Sum Trade PL (losers)
    $5,654.000
  • Age
  • Num Months filled monthly returns table
    10
  • Win / Loss
  • Sum Trade PL (winners)
    $19,989.000
  • # Winners
    18
  • Num Months Winners
    7
  • Dividends
  • Dividends Received in Model Acct
    300
  • Win / Loss
  • # Losers
    18
  • % Winners
    50.0%
  • Frequency
  • Avg Position Time (mins)
    88652.50
  • Avg Position Time (hrs)
    1477.54
  • Avg Trade Length
    61.6 days
  • Last Trade Ago
    4
  • Leverage
  • Daily leverage (average)
    0.98
  • Daily leverage (max)
    1.81
  • Regression
  • Alpha
    0.07
  • Beta
    0.31
  • Treynor Index
    0.26
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.00
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    13.84
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    22.11
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -0.47
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.01
  • Avg(MAE) / Avg(PL) - All trades
    0.841
  • 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
    0.01
  • Avg(MAE) / Avg(PL) - Winning trades
    0.128
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.051
  • Hold-and-Hope Ratio
    1.801
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.33566
  • SD
    0.13891
  • Sharpe ratio (Glass type estimate)
    2.41647
  • Sharpe ratio (Hedges UMVUE)
    2.14632
  • df
    7.00000
  • t
    1.97304
  • p
    0.04455
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.35190
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.05290
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.50438
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.79702
  • Statistics related to Sortino ratio
  • Sortino ratio
    215.15200
  • Upside Potential Ratio
    216.37600
  • Upside part of mean
    0.33757
  • Downside part of mean
    -0.00191
  • Upside SD
    0.16208
  • Downside SD
    0.00156
  • N nonnegative terms
    7.00000
  • N negative terms
    1.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    8.00000
  • Mean of predictor
    0.21983
  • Mean of criterion
    0.33566
  • SD of predictor
    0.09053
  • SD of criterion
    0.13891
  • Covariance
    0.00666
  • r
    0.52927
  • b (slope, estimate of beta)
    0.81206
  • a (intercept, estimate of alpha)
    0.15715
  • Mean Square Error
    0.01620
  • DF error
    6.00000
  • t(b)
    1.52799
  • p(b)
    0.08869
  • t(a)
    0.80661
  • p(a)
    0.22534
  • Lowerbound of 95% confidence interval for beta
    -0.48838
  • Upperbound of 95% confidence interval for beta
    2.11249
  • Lowerbound of 95% confidence interval for alpha
    -0.31957
  • Upperbound of 95% confidence interval for alpha
    0.63387
  • Treynor index (mean / b)
    0.41335
  • Jensen alpha (a)
    0.15715
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.32259
  • SD
    0.13165
  • Sharpe ratio (Glass type estimate)
    2.45026
  • Sharpe ratio (Hedges UMVUE)
    2.17633
  • df
    7.00000
  • t
    2.00063
  • p
    0.04277
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.32670
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.09427
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.48108
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.83373
  • Statistics related to Sortino ratio
  • Sortino ratio
    207.12300
  • Upside Potential Ratio
    208.34800
  • Upside part of mean
    0.32450
  • Downside part of mean
    -0.00191
  • Upside SD
    0.15439
  • Downside SD
    0.00156
  • N nonnegative terms
    7.00000
  • N negative terms
    1.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    8.00000
  • Mean of predictor
    0.21390
  • Mean of criterion
    0.32259
  • SD of predictor
    0.08872
  • SD of criterion
    0.13165
  • Covariance
    0.00622
  • r
    0.53220
  • b (slope, estimate of beta)
    0.78976
  • a (intercept, estimate of alpha)
    0.15366
  • Mean Square Error
    0.01449
  • DF error
    6.00000
  • t(b)
    1.53978
  • p(b)
    0.08727
  • t(a)
    0.83609
  • p(a)
    0.21756
  • Lowerbound of 95% confidence interval for beta
    -0.46529
  • Upperbound of 95% confidence interval for beta
    2.04481
  • Lowerbound of 95% confidence interval for alpha
    -0.29605
  • Upperbound of 95% confidence interval for alpha
    0.60338
  • Treynor index (mean / b)
    0.40846
  • Jensen alpha (a)
    0.15366
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.03500
  • Expected Shortfall on VaR
    0.05011
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00010
  • Expected Shortfall on VaR
    0.00034
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    8.00000
  • Minimum
    1.00105
  • Quartile 1
    1.00469
  • Median
    1.01030
  • Quartile 3
    1.04155
  • Maximum
    1.11610
  • Mean of quarter 1
    1.00282
  • Mean of quarter 2
    1.00595
  • Mean of quarter 3
    1.02442
  • Mean of quarter 4
    1.08801
  • Inter Quartile Range
    0.03686
  • 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
    1.11610
  • 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)
    0.39483
  • Compounded annual return (geometric extrapolation)
    0.41977
  • 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
    8.37636
  • 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
    0.34320
  • SD
    0.08626
  • Sharpe ratio (Glass type estimate)
    3.97871
  • Sharpe ratio (Hedges UMVUE)
    3.96229
  • df
    182.00000
  • t
    3.32520
  • p
    0.38034
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    1.59293
  • Upperbound of 95% confidence interval for Sharpe Ratio
    6.35388
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.58207
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    6.34252
  • Statistics related to Sortino ratio
  • Sortino ratio
    7.00083
  • Upside Potential Ratio
    14.06590
  • Upside part of mean
    0.68956
  • Downside part of mean
    -0.34635
  • Upside SD
    0.07380
  • Downside SD
    0.04902
  • N nonnegative terms
    108.00000
  • N negative terms
    75.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    183.00000
  • Mean of predictor
    0.19315
  • Mean of criterion
    0.34320
  • SD of predictor
    0.12654
  • SD of criterion
    0.08626
  • Covariance
    0.00498
  • r
    0.45584
  • b (slope, estimate of beta)
    0.31073
  • a (intercept, estimate of alpha)
    0.28300
  • Mean Square Error
    0.00593
  • DF error
    181.00000
  • t(b)
    6.89015
  • p(b)
    0.22019
  • t(a)
    3.06044
  • p(a)
    0.35996
  • Lowerbound of 95% confidence interval for beta
    0.22175
  • Upperbound of 95% confidence interval for beta
    0.39972
  • Lowerbound of 95% confidence interval for alpha
    0.10061
  • Upperbound of 95% confidence interval for alpha
    0.46576
  • Treynor index (mean / b)
    1.10449
  • Jensen alpha (a)
    0.28318
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.33925
  • SD
    0.08612
  • Sharpe ratio (Glass type estimate)
    3.93912
  • Sharpe ratio (Hedges UMVUE)
    3.92287
  • df
    182.00000
  • t
    3.29211
  • p
    0.38146
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    1.55413
  • Upperbound of 95% confidence interval for Sharpe Ratio
    6.31369
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.54333
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    6.30241
  • Statistics related to Sortino ratio
  • Sortino ratio
    6.88614
  • Upside Potential Ratio
    13.94020
  • Upside part of mean
    0.68678
  • Downside part of mean
    -0.34752
  • Upside SD
    0.07341
  • Downside SD
    0.04927
  • N nonnegative terms
    108.00000
  • N negative terms
    75.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    183.00000
  • Mean of predictor
    0.18511
  • Mean of criterion
    0.33925
  • SD of predictor
    0.12651
  • SD of criterion
    0.08612
  • Covariance
    0.00498
  • r
    0.45664
  • b (slope, estimate of beta)
    0.31085
  • a (intercept, estimate of alpha)
    0.28171
  • Mean Square Error
    0.00590
  • DF error
    181.00000
  • t(b)
    6.90543
  • p(b)
    0.21974
  • t(a)
    3.05184
  • p(a)
    0.36032
  • Lowerbound of 95% confidence interval for beta
    0.22203
  • Upperbound of 95% confidence interval for beta
    0.39968
  • Lowerbound of 95% confidence interval for alpha
    0.09957
  • Upperbound of 95% confidence interval for alpha
    0.46385
  • Treynor index (mean / b)
    1.09135
  • Jensen alpha (a)
    0.28171
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00743
  • Expected Shortfall on VaR
    0.00963
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00264
  • Expected Shortfall on VaR
    0.00559
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    183.00000
  • Minimum
    0.98258
  • Quartile 1
    0.99885
  • Median
    1.00100
  • Quartile 3
    1.00424
  • Maximum
    1.01753
  • Mean of quarter 1
    0.99521
  • Mean of quarter 2
    0.99993
  • Mean of quarter 3
    1.00233
  • Mean of quarter 4
    1.00821
  • Inter Quartile Range
    0.00540
  • Number outliers low
    6.00000
  • Percentage of outliers low
    0.03279
  • Mean of outliers low
    0.98766
  • Number of outliers high
    6.00000
  • Percentage of outliers high
    0.03279
  • Mean of outliers high
    1.01503
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.00274
  • VaR(95%) (moments method)
    0.00341
  • Expected Shortfall (moments method)
    0.00482
  • Extreme Value Index (regression method)
    -0.01629
  • VaR(95%) (regression method)
    0.00475
  • Expected Shortfall (regression method)
    0.00691
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    17.00000
  • Minimum
    0.00005
  • Quartile 1
    0.00148
  • Median
    0.01002
  • Quartile 3
    0.01231
  • Maximum
    0.03543
  • Mean of quarter 1
    0.00067
  • Mean of quarter 2
    0.00630
  • Mean of quarter 3
    0.01066
  • Mean of quarter 4
    0.02135
  • Inter Quartile Range
    0.01083
  • 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
    0.05882
  • Mean of outliers high
    0.03543
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.25609
  • VaR(95%) (moments method)
    0.02331
  • Expected Shortfall (moments method)
    0.03488
  • Extreme Value Index (regression method)
    1.10752
  • VaR(95%) (regression method)
    0.02741
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.41853
  • Compounded annual return (geometric extrapolation)
    0.44363
  • Calmar ratio (compounded annual return / max draw down)
    12.52230
  • Compounded annual return / average of 25% largest draw downs
    20.77940
  • Compounded annual return / Expected Shortfall lognormal
    46.05930
  • 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
    0.38198
  • SD
    0.09413
  • Sharpe ratio (Glass type estimate)
    4.05814
  • Sharpe ratio (Hedges UMVUE)
    4.03468
  • df
    130.00000
  • t
    2.86954
  • p
    0.37797
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    1.23530
  • Upperbound of 95% confidence interval for Sharpe Ratio
    6.86589
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.21982
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    6.84954
  • Statistics related to Sortino ratio
  • Sortino ratio
    7.18428
  • Upside Potential Ratio
    14.32000
  • Upside part of mean
    0.76138
  • Downside part of mean
    -0.37940
  • Upside SD
    0.08076
  • Downside SD
    0.05317
  • N nonnegative terms
    79.00000
  • N negative terms
    52.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.22553
  • Mean of criterion
    0.38198
  • SD of predictor
    0.13281
  • SD of criterion
    0.09413
  • Covariance
    0.00621
  • r
    0.49673
  • b (slope, estimate of beta)
    0.35206
  • a (intercept, estimate of alpha)
    0.30258
  • Mean Square Error
    0.00673
  • DF error
    129.00000
  • t(b)
    6.50046
  • p(b)
    0.19731
  • t(a)
    2.59459
  • p(a)
    0.35940
  • Lowerbound of 95% confidence interval for beta
    0.24490
  • Upperbound of 95% confidence interval for beta
    0.45921
  • Lowerbound of 95% confidence interval for alpha
    0.07185
  • Upperbound of 95% confidence interval for alpha
    0.53332
  • Treynor index (mean / b)
    1.08500
  • Jensen alpha (a)
    0.30258
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.37728
  • SD
    0.09397
  • Sharpe ratio (Glass type estimate)
    4.01493
  • Sharpe ratio (Hedges UMVUE)
    3.99173
  • df
    130.00000
  • t
    2.83899
  • p
    0.37919
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    1.19314
  • Upperbound of 95% confidence interval for Sharpe Ratio
    6.82190
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.17777
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    6.80568
  • Statistics related to Sortino ratio
  • Sortino ratio
    7.05883
  • Upside Potential Ratio
    14.18320
  • Upside part of mean
    0.75806
  • Downside part of mean
    -0.38078
  • Upside SD
    0.08031
  • Downside SD
    0.05345
  • N nonnegative terms
    79.00000
  • N negative terms
    52.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.21666
  • Mean of criterion
    0.37728
  • SD of predictor
    0.13281
  • SD of criterion
    0.09397
  • Covariance
    0.00621
  • r
    0.49781
  • b (slope, estimate of beta)
    0.35222
  • a (intercept, estimate of alpha)
    0.30097
  • Mean Square Error
    0.00669
  • DF error
    129.00000
  • t(b)
    6.51919
  • p(b)
    0.19671
  • t(a)
    2.58801
  • p(a)
    0.35974
  • VAR (95 Confidence Intrvl)
    0.00700
  • Lowerbound of 95% confidence interval for beta
    0.24532
  • Upperbound of 95% confidence interval for beta
    0.45912
  • Lowerbound of 95% confidence interval for alpha
    0.07088
  • Upperbound of 95% confidence interval for alpha
    0.53105
  • Treynor index (mean / b)
    1.07114
  • Jensen alpha (a)
    0.30097
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00808
  • Expected Shortfall on VaR
    0.01048
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00283
  • Expected Shortfall on VaR
    0.00601
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.98258
  • Quartile 1
    0.99880
  • Median
    1.00109
  • Quartile 3
    1.00454
  • Maximum
    1.01753
  • Mean of quarter 1
    0.99477
  • Mean of quarter 2
    0.99991
  • Mean of quarter 3
    1.00259
  • Mean of quarter 4
    1.00902
  • Inter Quartile Range
    0.00574
  • Number outliers low
    5.00000
  • Percentage of outliers low
    0.03817
  • Mean of outliers low
    0.98717
  • Number of outliers high
    5.00000
  • Percentage of outliers high
    0.03817
  • Mean of outliers high
    1.01553
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.11300
  • VaR(95%) (moments method)
    0.00374
  • Expected Shortfall (moments method)
    0.00504
  • Extreme Value Index (regression method)
    -0.05544
  • VaR(95%) (regression method)
    0.00516
  • Expected Shortfall (regression method)
    0.00737
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    11.00000
  • Minimum
    0.00005
  • Quartile 1
    0.00279
  • Median
    0.01010
  • Quartile 3
    0.01382
  • Maximum
    0.03543
  • Mean of quarter 1
    0.00099
  • Mean of quarter 2
    0.00786
  • Mean of quarter 3
    0.01270
  • Mean of quarter 4
    0.02410
  • Inter Quartile Range
    0.01102
  • 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
    0.09091
  • Mean of outliers high
    0.03543
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -2.92863
  • VaR(95%) (moments method)
    0.02712
  • Expected Shortfall (moments method)
    0.02734
  • Extreme Value Index (regression method)
    -0.25102
  • VaR(95%) (regression method)
    0.03738
  • Last 4 Months - Pcnt Negative
    n/a
  • Expected Shortfall (regression method)
    0.04659
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -289041000
  • Max Equity Drawdown (num days)
    5
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.44915
  • Compounded annual return (geometric extrapolation)
    0.49958
  • Calmar ratio (compounded annual return / max draw down)
    14.10180
  • Compounded annual return / average of 25% largest draw downs
    20.72700
  • Compounded annual return / Expected Shortfall lognormal
    47.68220

Strategy Description

Trading the S&P500, NDX and DJI constituents based on multi time frame trend analysis.

Please beware that this is a long term trading strategy. You will receive trade signals weeks, even months ahead of time. I do not send out "At Market" trades where the strategy entered a trade and send out a signal afterwards.

That means you have plenty of time to even trade this manually.

Summary Statistics

Strategy began
2019-05-16
Suggested Minimum Capital
$15,000
# Trades
36
# Profitable
18
% Profitable
50.0%
Net Dividends
Correlation S&P500
0.449
Sharpe Ratio
2.93
Sortino Ratio
5.22
Beta
0.31
Alpha
0.07
Leverage
0.98 Average
1.81 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.

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