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XBot
(125842398)

Created by: imphasing imphasing
Started: 10/2019
Options
Last trade: 4 days ago
Trading style: Options Directional Bets

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 $200.00 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: Options
Directional Bets
Category: Equity

Directional Bets

Uses primarily options to make bets about the direction or magnitude of price movements in assets.
72.9%
Cumul. Return

Rate of Return Calculations

Overview

To comply with NFA regulations, we display Cumulative Rate of Return for strategies with a track record of less than one year. For strategies with longer track records, we display Annualized (Compounded) Rate of Return.

How Cumulative Rate of Return is calculated

= (Ending_equity - Starting_equity) / Starting_equity

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

All results are hypothetical.

(15.5%)
Max Drawdown
28
Num Trades
64.3%
Win Trades
6.7 : 1
Profit Factor
80.0%
Win Months
Hypothetical Monthly Returns (includes system fee and Interactive Brokers commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2019                                                               +6.8%(1%)+17.1%+23.8%
2020+11.2%+24.4%                                                            +38.3%

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 7 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
1/10/20 11:46 NVDA2019F250 NVDA Jun19'20 250 call LONG 1 22.10 2/20 10:02 70.00 0.92%
Trade id #126947569
Max drawdown($688)
Time1/27/20 0:00
Quant open1
Worst price15.22
Drawdown as % of equity-0.92%
$4,788
Includes Typical Broker Commissions trade costs of $2.00
12/3/19 12:49 SPLK2015E145 SPLK May15'20 145 call LONG 2 16.20 2/12/20 13:31 24.20 0.92%
Trade id #126463819
Max drawdown($540)
Time12/12/19 0:00
Quant open2
Worst price13.50
Drawdown as % of equity-0.92%
$1,597
Includes Typical Broker Commissions trade costs of $3.40
1/30/20 12:20 LRCX2020C310 LRCX Mar20'20 310 call LONG 1 14.00 2/12 13:29 29.68 0.69%
Trade id #127292106
Max drawdown($503)
Time1/31/20 0:00
Quant open1
Worst price8.97
Drawdown as % of equity-0.69%
$1,566
Includes Typical Broker Commissions trade costs of $2.00
1/10/20 14:11 SHOP2017G440 SHOP Jul17'20 440 call LONG 1 55.40 2/12 11:53 137.60 n/a $8,218
Includes Typical Broker Commissions trade costs of $2.00
1/7/20 11:07 BDX2019F270 BDX Jun19'20 270 call LONG 1 16.50 2/7 9:33 5.00 1.62%
Trade id #126899368
Max drawdown($1,238)
Time2/6/20 0:00
Quant open1
Worst price4.12
Drawdown as % of equity-1.62%
($1,152)
Includes Typical Broker Commissions trade costs of $2.00
11/20/19 10:52 URI2019F145 URI Jun19'20 145 call LONG 2 20.20 1/30/20 14:55 17.55 1.33%
Trade id #126285507
Max drawdown($960)
Time1/30/20 14:34
Quant open1
Worst price10.60
Drawdown as % of equity-1.33%
($533)
Includes Typical Broker Commissions trade costs of $3.40
10/30/19 13:51 LRCX2020C275 LRCX Mar20'20 275 call LONG 1 23.60 1/30/20 12:20 37.70 2.29%
Trade id #126008890
Max drawdown($1,220)
Time12/3/19 0:00
Quant open1
Worst price11.40
Drawdown as % of equity-2.29%
$1,408
Includes Typical Broker Commissions trade costs of $2.00
12/23/19 11:27 ILMN2115A330 ILMN Jan15'21 330 call LONG 1 51.30 1/13/20 13:47 43.30 0.83%
Trade id #126725370
Max drawdown($600)
Time1/13/20 12:24
Quant open1
Worst price45.30
Drawdown as % of equity-0.83%
($802)
Includes Typical Broker Commissions trade costs of $2.00
11/18/19 11:08 GOOG2019F1320 GOOG Jun19'20 1320 call LONG 1 102.50 1/10/20 11:49 157.60 5%
Trade id #126254325
Max drawdown($2,660)
Time12/3/19 0:00
Quant open1
Worst price75.90
Drawdown as % of equity-5.00%
$5,508
Includes Typical Broker Commissions trade costs of $2.00
11/13/19 9:36 CI2019F185 CI Jun19'20 185 call LONG 1 20.10 1/10/20 11:47 32.80 0.03%
Trade id #126187602
Max drawdown($18)
Time12/10/19 0:00
Quant open1
Worst price19.92
Drawdown as % of equity-0.03%
$1,268
Includes Typical Broker Commissions trade costs of $2.00
10/29/19 9:59 NVDA2019F200 NVDA Jun19'20 200 call LONG 1 28.10 1/10/20 11:45 53.55 0.69%
Trade id #125986366
Max drawdown($365)
Time10/31/19 0:00
Quant open1
Worst price24.45
Drawdown as % of equity-0.69%
$2,543
Includes Typical Broker Commissions trade costs of $2.00
10/31/19 10:00 RH2015E175 RH May15'20 175 call LONG 1 28.90 12/12 13:05 54.00 1.01%
Trade id #126019952
Max drawdown($540)
Time11/4/19 0:00
Quant open1
Worst price23.50
Drawdown as % of equity-1.01%
$2,508
Includes Typical Broker Commissions trade costs of $2.00
11/30/19 9:35 SPLK SPLUNK INC LONG 200 147.00 12/3 12:47 146.62 1.69%
Trade id #126426836
Max drawdown($900)
Time12/3/19 9:31
Quant open200
Worst price142.50
Drawdown as % of equity-1.69%
($78)
Includes Typical Broker Commissions trade costs of $2.00
11/26/19 9:42 SPLK1929K147 SPLK Nov29'19 147 call LONG 2 2.25 11/30 9:35 0.00 0.35%
Trade id #126368404
Max drawdown($200)
Time11/27/19 0:00
Quant open2
Worst price1.25
Drawdown as % of equity-0.35%
($451)
Includes Typical Broker Commissions trade costs of $1.40
10/17/19 15:07 AAPL2017D225 AAPL Apr17'20 225 call LONG 1 22.25 11/7 11:47 40.20 0.05%
Trade id #125842792
Max drawdown($25)
Time10/18/19 0:00
Quant open1
Worst price22.00
Drawdown as % of equity-0.05%
$1,793
Includes Typical Broker Commissions trade costs of $2.00
10/17/19 15:06 LRCX2020C230 LRCX Mar20'20 230 call LONG 2 22.85 10/30 13:50 37.42 0.26%
Trade id #125842677
Max drawdown($129)
Time10/23/19 0:00
Quant open1
Worst price21.56
Drawdown as % of equity-0.26%
$2,911
Includes Typical Broker Commissions trade costs of $4.00

Statistics

  • Strategy began
    10/17/2019
  • Suggested Minimum Cap
    $90,000
  • Strategy Age (days)
    129.52
  • Age
    130 days ago
  • What it trades
    Options
  • # Trades
    28
  • # Profitable
    18
  • % Profitable
    64.30%
  • Avg trade duration
    44.4 days
  • Max peak-to-valley drawdown
    15.54%
  • drawdown period
    Jan 22, 2020 - Jan 27, 2020
  • Cumul. Return
    73.4%
  • Avg win
    $2,407
  • Avg loss
    $642.60
  • Model Account Values (Raw)
  • Cash
    $44,416
  • Margin Used
    $0
  • Buying Power
    $53,796
  • Ratios
  • W:L ratio
    6.74:1
  • Sharpe Ratio
    2.72
  • Sortino Ratio
    4.8
  • Calmar Ratio
    33.213
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    62.03%
  • Correlation to SP500
    0.58530
  • Return Percent SP500 (cumu) during strategy life
    11.33%
  • Return Statistics
  • Ann Return (w trading costs)
    354.5%
  • Slump
  • Current Slump as Pcnt Equity
    0.11%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.02%
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.734%
  • Instruments
  • Percent Trades Options
    0.96%
  • Percent Trades Stocks
    0.04%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    381.9%
  • 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)
    923
  • Popularity (Last 6 weeks)
    975
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • C2 Score
    964
  • Popularity (7 days, Percentile 1000 scale)
    970
  • 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
    $643
  • Avg Win
    $2,453
  • Sum Trade PL (losers)
    $6,426.000
  • AUM
  • AUM (AutoTrader num accounts)
    4
  • Age
  • Num Months filled monthly returns table
    5
  • Win / Loss
  • Sum Trade PL (winners)
    $44,162.000
  • # Winners
    18
  • Num Months Winners
    4
  • Dividends
  • Dividends Received in Model Acct
    0
  • AUM
  • AUM (AutoTrader live capital)
    273573
  • Win / Loss
  • # Losers
    10
  • % Winners
    64.3%
  • Frequency
  • Avg Position Time (mins)
    63916.40
  • Avg Position Time (hrs)
    1065.27
  • Avg Trade Length
    44.4 days
  • Last Trade Ago
    4
  • Leverage
  • Daily leverage (average)
    2.18
  • Daily leverage (max)
    3.23
  • Regression
  • Alpha
    0.19
  • Beta
    3.55
  • Treynor Index
    0.14
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.01
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -0.63
  • MAE:Equity, average, winning trades
    0.01
  • MAE:Equity, average, losing trades
    0.01
  • Avg(MAE) / Avg(PL) - All trades
    0.664
  • 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
    0.307
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.234
  • Hold-and-Hope Ratio
    1.563
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    1.98916
  • SD
    0.20097
  • Sharpe ratio (Glass type estimate)
    9.89761
  • Sharpe ratio (Hedges UMVUE)
    5.58413
  • df
    2.00000
  • t
    4.94880
  • p
    0.01924
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.34484
  • Upperbound of 95% confidence interval for Sharpe Ratio
    19.66560
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.14732
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    12.31560
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.00000
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    1.98916
  • Downside part of mean
    0.00000
  • Upside SD
    0.59721
  • Downside SD
    0.00000
  • N nonnegative terms
    3.00000
  • N negative terms
    0.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    3.00000
  • Mean of predictor
    0.39422
  • Mean of criterion
    1.98916
  • SD of predictor
    0.01677
  • SD of criterion
    0.20097
  • Covariance
    -0.00312
  • r
    -0.92607
  • b (slope, estimate of beta)
    -11.09520
  • a (intercept, estimate of alpha)
    6.36308
  • Mean Square Error
    0.01150
  • DF error
    1.00000
  • t(b)
    -2.45411
  • p(b)
    0.87683
  • t(a)
    3.54460
  • p(a)
    0.08753
  • Lowerbound of 95% confidence interval for beta
    -68.54080
  • Upperbound of 95% confidence interval for beta
    46.35040
  • Lowerbound of 95% confidence interval for alpha
    -16.44640
  • Upperbound of 95% confidence interval for alpha
    29.17260
  • Treynor index (mean / b)
    -0.17928
  • Jensen alpha (a)
    6.36308
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    1.82659
  • SD
    0.17320
  • Sharpe ratio (Glass type estimate)
    10.54640
  • Sharpe ratio (Hedges UMVUE)
    5.95014
  • df
    2.00000
  • t
    5.27318
  • p
    0.01707
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.50945
  • Upperbound of 95% confidence interval for Sharpe Ratio
    20.87260
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.07600
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    12.97630
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.00000
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    1.82659
  • Downside part of mean
    0.00000
  • Upside SD
    0.54592
  • Downside SD
    0.00000
  • N nonnegative terms
    3.00000
  • N negative terms
    0.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    3.00000
  • Mean of predictor
    0.38691
  • Mean of criterion
    1.82659
  • SD of predictor
    0.01618
  • SD of criterion
    0.17320
  • Covariance
    -0.00261
  • r
    -0.93092
  • b (slope, estimate of beta)
    -9.96335
  • a (intercept, estimate of alpha)
    5.68148
  • Mean Square Error
    0.00800
  • DF error
    1.00000
  • t(b)
    -2.54897
  • p(b)
    0.88100
  • t(a)
    3.73076
  • p(a)
    0.08336
  • Lowerbound of 95% confidence interval for beta
    -59.62900
  • Upperbound of 95% confidence interval for beta
    39.70230
  • Lowerbound of 95% confidence interval for alpha
    -13.66850
  • Upperbound of 95% confidence interval for alpha
    25.03140
  • Treynor index (mean / b)
    -0.18333
  • Jensen alpha (a)
    5.68148
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    -0.07248
  • Expected Shortfall on VaR
    -0.05049
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00000
  • Expected Shortfall on VaR
    0.00000
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    3.00000
  • Minimum
    1.10605
  • Quartile 1
    1.14164
  • Median
    1.17724
  • Quartile 3
    1.19911
  • Maximum
    1.22099
  • Mean of quarter 1
    1.10605
  • Mean of quarter 2
    1.17724
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    1.22099
  • Inter Quartile Range
    0.05747
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    0.00000
  • Minimum
    0.00000
  • Quartile 1
    0.00000
  • Median
    0.00000
  • Quartile 3
    0.00000
  • Maximum
    0.00000
  • Mean of quarter 1
    0.00000
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.00000
  • Inter Quartile Range
    0.00000
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    2.35930
  • Compounded annual return (geometric extrapolation)
    5.38849
  • Calmar ratio (compounded annual return / max draw down)
    0.00000
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    0.00000
  • 0.00000
  • 0.00000
  • Analysis based on DAILY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    1.84706
  • SD
    0.55206
  • Sharpe ratio (Glass type estimate)
    3.34576
  • Sharpe ratio (Hedges UMVUE)
    3.31650
  • df
    86.00000
  • t
    1.92799
  • p
    0.02858
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.10142
  • Upperbound of 95% confidence interval for Sharpe Ratio
    6.77402
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.12068
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    6.75367
  • Statistics related to Sortino ratio
  • Sortino ratio
    5.60768
  • Upside Potential Ratio
    12.40470
  • Upside part of mean
    4.08587
  • Downside part of mean
    -2.23881
  • Upside SD
    0.45365
  • Downside SD
    0.32938
  • N nonnegative terms
    49.00000
  • N negative terms
    38.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    87.00000
  • Mean of predictor
    0.29965
  • Mean of criterion
    1.84706
  • SD of predictor
    0.09011
  • SD of criterion
    0.55206
  • Covariance
    0.03048
  • r
    0.61261
  • b (slope, estimate of beta)
    3.75300
  • a (intercept, estimate of alpha)
    0.72200
  • Mean Square Error
    0.19263
  • DF error
    85.00000
  • t(b)
    7.14582
  • p(b)
    0.00000
  • t(a)
    0.92895
  • p(a)
    0.17777
  • Lowerbound of 95% confidence interval for beta
    2.70876
  • Upperbound of 95% confidence interval for beta
    4.79725
  • Lowerbound of 95% confidence interval for alpha
    -0.82388
  • Upperbound of 95% confidence interval for alpha
    2.26885
  • Treynor index (mean / b)
    0.49216
  • Jensen alpha (a)
    0.72249
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    1.69165
  • SD
    0.54902
  • Sharpe ratio (Glass type estimate)
    3.08122
  • Sharpe ratio (Hedges UMVUE)
    3.05428
  • df
    86.00000
  • t
    1.77555
  • p
    0.03967
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.35968
  • Upperbound of 95% confidence interval for Sharpe Ratio
    6.50471
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.37747
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    6.48602
  • Statistics related to Sortino ratio
  • Sortino ratio
    4.94212
  • Upside Potential Ratio
    11.64880
  • Upside part of mean
    3.98731
  • Downside part of mean
    -2.29566
  • Upside SD
    0.43785
  • Downside SD
    0.34229
  • N nonnegative terms
    49.00000
  • N negative terms
    38.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    87.00000
  • Mean of predictor
    0.29543
  • Mean of criterion
    1.69165
  • SD of predictor
    0.09015
  • SD of criterion
    0.54902
  • Covariance
    0.03064
  • r
    0.61901
  • b (slope, estimate of beta)
    3.76977
  • a (intercept, estimate of alpha)
    0.57794
  • Mean Square Error
    0.18811
  • DF error
    85.00000
  • t(b)
    7.26654
  • p(b)
    0.00000
  • t(a)
    0.75243
  • p(a)
    0.22694
  • Lowerbound of 95% confidence interval for beta
    2.73829
  • Upperbound of 95% confidence interval for beta
    4.80125
  • Lowerbound of 95% confidence interval for alpha
    -0.94926
  • Upperbound of 95% confidence interval for alpha
    2.10515
  • Treynor index (mean / b)
    0.44874
  • Jensen alpha (a)
    0.57794
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.04814
  • Expected Shortfall on VaR
    0.06146
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01774
  • Expected Shortfall on VaR
    0.03776
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    87.00000
  • Minimum
    0.88626
  • Quartile 1
    0.99337
  • Median
    1.00563
  • Quartile 3
    1.02350
  • Maximum
    1.13159
  • Mean of quarter 1
    0.96827
  • Mean of quarter 2
    0.99897
  • Mean of quarter 3
    1.01400
  • Mean of quarter 4
    1.04770
  • Inter Quartile Range
    0.03013
  • Number outliers low
    2.00000
  • Percentage of outliers low
    0.02299
  • Mean of outliers low
    0.90122
  • Number of outliers high
    4.00000
  • Percentage of outliers high
    0.04598
  • Mean of outliers high
    1.09311
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.37682
  • VaR(95%) (moments method)
    0.02198
  • Expected Shortfall (moments method)
    0.02709
  • Extreme Value Index (regression method)
    0.01588
  • VaR(95%) (regression method)
    0.03675
  • Expected Shortfall (regression method)
    0.05588
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    17.00000
  • Minimum
    0.00087
  • Quartile 1
    0.00181
  • Median
    0.01337
  • Quartile 3
    0.05883
  • Maximum
    0.13796
  • Mean of quarter 1
    0.00135
  • Mean of quarter 2
    0.00861
  • Mean of quarter 3
    0.03752
  • Mean of quarter 4
    0.10343
  • Inter Quartile Range
    0.05701
  • 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)
    -2.25855
  • VaR(95%) (moments method)
    0.10340
  • Expected Shortfall (moments method)
    0.10436
  • Extreme Value Index (regression method)
    0.02069
  • VaR(95%) (regression method)
    0.10292
  • Expected Shortfall (regression method)
    0.12965
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    2.31895
  • Compounded annual return (geometric extrapolation)
    4.58207
  • Calmar ratio (compounded annual return / max draw down)
    33.21250
  • Compounded annual return / average of 25% largest draw downs
    44.30240
  • Compounded annual return / Expected Shortfall lognormal
    74.55510
  • Analysis based on DAILY values, last 6 months only
  • RATIO STATISTICS
  • Ratio statistics of excess log return rates
  • Statistics related to linear regression on benchmark
  • VAR (95 Confidence Intrvl)
    0.04800
  • DRAW DOWN STATISTICS
  • Risk estimates based on draw downs (based on Extreme Value T
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • Last 4 Months - Pcnt Negative
    0.25%
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -258657000
  • Max Equity Drawdown (num days)
    5

Strategy Description

XBot is a fully automated price inefficiency capturing quantitative strategy operating on a basket of large market cap American equities. High volume and high volatility equities are selected for the basket, resulting in approximately 50 symbols in the basket. The strategy trades all signals on all symbols simultaneously resulting in frequent overlapping of previous trades.

XBot takes advantage of a long term pricing inefficiency, testing has been done back to the 1950s to determine the persistence of the inefficiency being captured. XBot watches all the symbols in the basket continually and enters infrequently, resulting in low transaction costs. This is not a typical quantitative strategy operating at high frequency. The pricing inefficiency XBot takes advantage of is relatively rare but highly effective.

XBot uses stops based on the underlying price, risk is never unbounded and there is no averaging down done.

Summary Statistics

Strategy began
2019-10-17
Suggested Minimum Capital
$90,000
# Trades
28
# Profitable
18
% Profitable
64.3%
Correlation S&P500
0.585
Sharpe Ratio
2.72
Sortino Ratio
4.80
Beta
3.55
Alpha
0.19
Leverage
2.18 Average
3.23 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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