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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 06/25/2020
Most recent certification approved 6/25/20 9:34 ET
Trades at broker Interactive Brokers (Stocks, Options, Futures)
Scaling percentage used 100%
# trading signals issued by system since certification 1,306
# trading signals executed in manager's Interactive Brokers (Stocks, Options, Futures) account 1,271
Percent signals followed since 06/25/2020 97.3%
This information was last updated 6/12/21 9:38 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 06/25/2020, 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.

Seek Alpha
(128022277)

Created by: SeekAlpha SeekAlpha
Started: 03/2020
Stocks
Last trade: 8 days ago
Trading style: Equity Hedged Equity Pairs Trading / Relative Value

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 $150.00 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
Hedged Equity
Category: Equity

Hedged Equity

Core holding of long equities hedged at all times with short sales of stocks and/or stock index options.
Pairs Trading / Relative Value
Category: Equity

Pairs Trading / Relative Value

Seeks to exploit differences in the price or rate of the same or similar securities. The relative value fund trades on gaps, rather than the price of a specific security alone
86.3%
Annual Return (Compounded)

Rate of Return Calculations

Overview

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

How Annualized (Compounded) Rate of Return is calculated

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

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

All results are hypothetical.

(33.7%)
Max Drawdown
538
Num Trades
58.4%
Win Trades
1.7 : 1
Profit Factor
68.8%
Win Months
Hypothetical Monthly Returns (includes system fee and Interactive Brokers commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2020              +19.8%+21.2%+3.0%+4.8%+13.9%(4.7%)+1.5%(8.5%)+12.0%+20.4%+113.2%
2021+4.2%(0.3%)(9.7%)+1.3%(0.3%)+8.3%                                    +2.6%

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.

System developer has asked us to delay this information by 168 hours.

Trading Record

This strategy has placed 1,406 trades in real-life brokerage accounts. To see live brokerage data, select Show AutoTrade Data, and click on a Live AutoTrade Indicator symbol.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
6/4/21 10:06 WKHS WORKHORSE GROUP INC. COMMON STOCK LONG 300 13.28 6/4 13:52 12.60 0.56%
Trade id #135911104
Max drawdown($204)
Time6/4/21 13:52
Quant open300
Worst price12.60
Drawdown as % of equity-0.56%
($208)
Includes Typical Broker Commissions trade costs of $3.00
6/4/21 9:53 WKHS WORKHORSE GROUP INC. COMMON STOCK LONG 500 13.58 6/4 10:00 13.31 0.58%
Trade id #135910551
Max drawdown($210)
Time6/4/21 10:00
Quant open500
Worst price13.16
Drawdown as % of equity-0.58%
($140)
Includes Typical Broker Commissions trade costs of $5.00
4/29/21 14:37 UBER UBER TECHNOLOGIES INC LONG 70 52.77 6/3 14:19 48.99 1.99%
Trade id #135380525
Max drawdown($671)
Time5/12/21 0:00
Quant open70
Worst price43.17
Drawdown as % of equity-1.99%
($268)
Includes Typical Broker Commissions trade costs of $3.00
5/18/21 11:46 AI C3.AI INC LONG 40 57.32 6/3 10:26 70.12 0.38%
Trade id #135667104
Max drawdown($127)
Time5/19/21 0:00
Quant open40
Worst price54.12
Drawdown as % of equity-0.38%
$508
Includes Typical Broker Commissions trade costs of $4.00
5/5/21 10:45 UPWK UPWORK INC. COMMON STOCK LONG 50 38.12 6/2 15:43 48.57 0.43%
Trade id #135461717
Max drawdown($143)
Time5/11/21 0:00
Quant open50
Worst price35.25
Drawdown as % of equity-0.43%
$521
Includes Typical Broker Commissions trade costs of $2.00
4/6/21 9:20 MUDS MUDRICK CAPITAL ACQUISITION CORPORATION II CLASS A LONG 500 11.88 6/1 10:50 13.39 0.39%
Trade id #135021918
Max drawdown($139)
Time4/9/21 0:00
Quant open300
Worst price10.52
Drawdown as % of equity-0.39%
$750
Includes Typical Broker Commissions trade costs of $6.54
4/13/21 10:16 ASTS AST SPACEMOBILE INC LONG 700 7.87 6/1 10:50 7.79 1.09%
Trade id #135123795
Max drawdown($376)
Time4/20/21 0:00
Quant open400
Worst price7.20
Drawdown as % of equity-1.09%
($61)
Includes Typical Broker Commissions trade costs of $7.33
5/28/21 9:52 FIGS FIGS INC LONG 100 30.02 5/28 15:12 32.14 0.03%
Trade id #135820006
Max drawdown($10)
Time5/28/21 9:55
Quant open100
Worst price29.92
Drawdown as % of equity-0.03%
$208
Includes Typical Broker Commissions trade costs of $4.00
3/18/21 10:52 SPNV2121E10 SPNV May21'21 10 call LONG 20 0.45 5/22 9:36 0.00 2.52%
Trade id #134700005
Max drawdown($875)
Time5/21/21 0:00
Quant open20
Worst price0.01
Drawdown as % of equity-2.52%
($909)
Includes Typical Broker Commissions trade costs of $14.00
2/4/21 11:10 GOEV2121E22.5 GOEV May21'21 22.5 call LONG 3 2.80 5/22 9:35 0.00 2.49%
Trade id #133849708
Max drawdown($837)
Time5/11/21 0:00
Quant open3
Worst price0.01
Drawdown as % of equity-2.49%
($842)
Includes Typical Broker Commissions trade costs of $2.10
5/21/21 10:36 NVDA NVIDIA LONG 30 600.54 5/21 10:38 598.28 0.2%
Trade id #135719996
Max drawdown($68)
Time5/21/21 10:38
Quant open30
Worst price598.28
Drawdown as % of equity-0.20%
($70)
Includes Typical Broker Commissions trade costs of $2.00
5/14/21 14:28 @MESM1 MICRO E-MINI S&P 500 SHORT 5 4170.85 5/21 10:17 4135.16 0.66%
Trade id #135626061
Max drawdown($216)
Time5/18/21 0:00
Quant open5
Worst price4179.50
Drawdown as % of equity-0.66%
$887
Includes Typical Broker Commissions trade costs of $4.70
5/19/21 10:18 COIN COINBASE GLOBAL INC. CLASS A COMMON STOCK LONG 30 218.12 5/20 10:08 225.90 0.18%
Trade id #135681113
Max drawdown($62)
Time5/19/21 10:39
Quant open30
Worst price216.05
Drawdown as % of equity-0.18%
$229
Includes Typical Broker Commissions trade costs of $4.00
5/7/21 15:26 UPST UPSTART HOLDINGS INC. COMMON STOCK LONG 20 95.81 5/18 13:25 115.64 0.93%
Trade id #135516303
Max drawdown($299)
Time5/13/21 0:00
Quant open20
Worst price80.85
Drawdown as % of equity-0.93%
$393
Includes Typical Broker Commissions trade costs of $3.00
5/5/21 9:58 STEM STEM INC LONG 400 20.43 5/13 13:40 16.44 5.28%
Trade id #135460031
Max drawdown($1,651)
Time5/13/21 13:40
Quant open400
Worst price16.30
Drawdown as % of equity-5.28%
($1,603)
Includes Typical Broker Commissions trade costs of $6.00
5/13/21 9:42 FUBO FUBOTV LONG 200 18.90 5/13 10:20 19.09 0.3%
Trade id #135595570
Max drawdown($99)
Time5/13/21 9:52
Quant open200
Worst price18.40
Drawdown as % of equity-0.30%
$36
Includes Typical Broker Commissions trade costs of $3.00
5/13/21 9:42 MP MP MATERIALS CORP LONG 200 25.25 5/13 10:20 25.52 0.21%
Trade id #135595588
Max drawdown($69)
Time5/13/21 9:49
Quant open200
Worst price24.90
Drawdown as % of equity-0.21%
$52
Includes Typical Broker Commissions trade costs of $4.00
5/13/21 10:05 @MYMM1 MICRO E-MINI DOW SHORT 5 33929 5/13 10:12 33923 0.11%
Trade id #135596290
Max drawdown($35)
Time5/13/21 10:12
Quant open3
Worst price33953
Drawdown as % of equity-0.11%
$10
Includes Typical Broker Commissions trade costs of $4.70
2/25/21 13:44 RSVA RODGERS SILICON VALLEY ACQUISITION CORP. COMMON ST LONG 283 14.17 5/10 15:45 13.32 0.89%
Trade id #134287323
Max drawdown($303)
Time5/10/21 15:45
Quant open200
Worst price12.65
Drawdown as % of equity-0.89%
($247)
Includes Typical Broker Commissions trade costs of $6.00
4/29/21 9:31 SIEN SIENTRA INC. COMMON STOCK LONG 500 7.01 5/7 15:28 7.15 0.57%
Trade id #135370853
Max drawdown($204)
Time5/4/21 0:00
Quant open500
Worst price6.61
Drawdown as % of equity-0.57%
$65
Includes Typical Broker Commissions trade costs of $5.00
4/30/21 9:45 @MESM1 MICRO E-MINI S&P 500 SHORT 3 4183.07 5/6 16:01 4171.67 0.79%
Trade id #135396107
Max drawdown($291)
Time5/3/21 0:00
Quant open3
Worst price4202.50
Drawdown as % of equity-0.79%
$168
Includes Typical Broker Commissions trade costs of $2.82
5/6/21 10:26 @MYMM1 MICRO E-MINI DOW SHORT 5 34141 5/6 10:36 34196 0.38%
Trade id #135484888
Max drawdown($136)
Time5/6/21 10:36
Quant open5
Worst price34196
Drawdown as % of equity-0.38%
($143)
Includes Typical Broker Commissions trade costs of $4.70
5/4/21 10:16 STEM STEM INC LONG 200 21.99 5/4 11:49 20.90 0.6%
Trade id #135440784
Max drawdown($217)
Time5/4/21 11:49
Quant open200
Worst price20.90
Drawdown as % of equity-0.60%
($219)
Includes Typical Broker Commissions trade costs of $2.00
5/4/21 9:51 MVIS MICROVISION LONG 200 12.93 5/4 10:00 13.04 0.07%
Trade id #135439708
Max drawdown($25)
Time5/4/21 9:55
Quant open200
Worst price12.80
Drawdown as % of equity-0.07%
$21
Includes Typical Broker Commissions trade costs of $2.00
5/4/21 9:48 STEM STEM INC LONG 300 22.38 5/4 10:00 21.88 0.48%
Trade id #135439551
Max drawdown($172)
Time5/4/21 10:00
Quant open300
Worst price21.81
Drawdown as % of equity-0.48%
($156)
Includes Typical Broker Commissions trade costs of $3.50
4/30/21 10:47 TWTR TWITTER INC SHORT 100 56.78 4/30 12:28 56.63 0.05%
Trade id #135398676
Max drawdown($16)
Time4/30/21 11:53
Quant open100
Worst price56.95
Drawdown as % of equity-0.05%
$12
Includes Typical Broker Commissions trade costs of $2.00
4/30/21 9:41 SPY SPDR S&P 500 SHORT 50 417.88 4/30 9:45 418.02 0.03%
Trade id #135396000
Max drawdown($9)
Time4/30/21 9:45
Quant open50
Worst price418.08
Drawdown as % of equity-0.03%
($9)
Includes Typical Broker Commissions trade costs of $2.00
4/27/21 10:01 CCIV CHURCHILL CAPITAL CORP IV LONG 100 22.94 4/27 12:37 22.90 0.03%
Trade id #135335488
Max drawdown($9)
Time4/27/21 12:37
Quant open67
Worst price22.80
Drawdown as % of equity-0.03%
($7)
Includes Typical Broker Commissions trade costs of $3.00
4/20/21 9:32 FSR FISKER INC. LONG 500 13.68 4/23 13:55 13.98 1.56%
Trade id #135228147
Max drawdown($531)
Time4/20/21 12:54
Quant open500
Worst price12.62
Drawdown as % of equity-1.56%
$141
Includes Typical Broker Commissions trade costs of $6.00
4/13/21 11:55 UPST UPSTART HOLDINGS INC. COMMON STOCK LONG 20 106.03 4/23 13:25 108.74 0.97%
Trade id #135127111
Max drawdown($334)
Time4/21/21 0:00
Quant open20
Worst price89.33
Drawdown as % of equity-0.97%
$52
Includes Typical Broker Commissions trade costs of $2.00

Statistics

  • Strategy began
    3/13/2020
  • Suggested Minimum Cap
    $40,000
  • Strategy Age (days)
    456.28
  • Age
    15 months ago
  • What it trades
    Stocks
  • # Trades
    538
  • # Profitable
    314
  • % Profitable
    58.40%
  • Avg trade duration
    17.0 days
  • Max peak-to-valley drawdown
    33.66%
  • drawdown period
    Feb 10, 2021 - May 13, 2021
  • Annual Return (Compounded)
    87.5%
  • Avg win
    $205.24
  • Avg loss
    $169.14
  • Model Account Values (Raw)
  • Cash
    $4,623
  • Margin Used
    $0
  • Buying Power
    $6,692
  • Ratios
  • W:L ratio
    1.72:1
  • Sharpe Ratio
    1.88
  • Sortino Ratio
    3.23
  • Calmar Ratio
    4.21
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    63.99%
  • Correlation to SP500
    0.33330
  • Return Percent SP500 (cumu) during strategy life
    56.67%
  • Return Statistics
  • Ann Return (w trading costs)
    87.5%
  • Slump
  • Current Slump as Pcnt Equity
    15.20%
  • Instruments
  • Percent Trades Futures
    0.17%
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.27%
  • Instruments
  • Short Options - Percent Covered
    25.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.875%
  • Instruments
  • Percent Trades Options
    0.02%
  • Percent Trades Stocks
    0.81%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    107.0%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    19.00%
  • Chance of 20% account loss
    2.50%
  • Chance of 30% account loss
    n/a
  • Chance of 40% account loss
    n/a
  • Chance of 60% account loss (Monte Carlo)
    n/a
  • Chance of 70% account loss (Monte Carlo)
    n/a
  • Chance of 80% account loss (Monte Carlo)
    n/a
  • Chance of 90% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    585
  • Popularity (Last 6 weeks)
    906
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Popularity
  • C2 Score
    920
  • Popularity (7 days, Percentile 1000 scale)
    872
  • 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
    $170
  • Avg Win
    $199
  • Sum Trade PL (losers)
    $38,151.000
  • AUM
  • AUM (AutoTrader num accounts)
    4
  • Age
  • Num Months filled monthly returns table
    16
  • Win / Loss
  • Sum Trade PL (winners)
    $62,176.000
  • # Winners
    313
  • Num Months Winners
    11
  • Dividends
  • Dividends Received in Model Acct
    397
  • AUM
  • AUM (AutoTrader live capital)
    315730
  • Win / Loss
  • # Losers
    224
  • % Winners
    58.3%
  • Frequency
  • Avg Position Time (mins)
    24564.40
  • Avg Position Time (hrs)
    409.41
  • Avg Trade Length
    17.1 days
  • Last Trade Ago
    2
  • Leverage
  • Daily leverage (average)
    1.88
  • Daily leverage (max)
    8.46
  • Regression
  • Alpha
    0.14
  • Beta
    0.37
  • Treynor Index
    0.49
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.00
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -4.17
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.01
  • Avg(MAE) / Avg(PL) - All trades
    4.175
  • 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
    0.408
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.235
  • Hold-and-Hope Ratio
    0.264
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.72789
  • SD
    0.38595
  • Sharpe ratio (Glass type estimate)
    1.88597
  • Sharpe ratio (Hedges UMVUE)
    1.77466
  • df
    13.00000
  • t
    2.03708
  • p
    0.19998
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.09642
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.80630
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.16389
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.71322
  • Statistics related to Sortino ratio
  • Sortino ratio
    5.34274
  • Upside Potential Ratio
    6.69318
  • Upside part of mean
    0.91187
  • Downside part of mean
    -0.18398
  • Upside SD
    0.40485
  • Downside SD
    0.13624
  • N nonnegative terms
    11.00000
  • N negative terms
    3.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    14.00000
  • Mean of predictor
    0.34767
  • Mean of criterion
    0.72789
  • SD of predictor
    0.08316
  • SD of criterion
    0.38595
  • Covariance
    0.01428
  • r
    0.44496
  • b (slope, estimate of beta)
    2.06500
  • a (intercept, estimate of alpha)
    0.00994
  • Mean Square Error
    0.12942
  • DF error
    12.00000
  • t(b)
    1.72115
  • p(b)
    0.27752
  • t(a)
    0.01862
  • p(a)
    0.49731
  • Lowerbound of 95% confidence interval for beta
    -0.54910
  • Upperbound of 95% confidence interval for beta
    4.67909
  • Lowerbound of 95% confidence interval for alpha
    -1.15308
  • Upperbound of 95% confidence interval for alpha
    1.17296
  • Treynor index (mean / b)
    0.35249
  • Jensen alpha (a)
    0.00994
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.64581
  • SD
    0.35493
  • Sharpe ratio (Glass type estimate)
    1.81954
  • Sharpe ratio (Hedges UMVUE)
    1.71216
  • df
    13.00000
  • t
    1.96533
  • p
    0.20738
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.15286
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.73148
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.21808
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.64239
  • Statistics related to Sortino ratio
  • Sortino ratio
    4.48408
  • Upside Potential Ratio
    5.82785
  • Upside part of mean
    0.83934
  • Downside part of mean
    -0.19353
  • Upside SD
    0.36193
  • Downside SD
    0.14402
  • N nonnegative terms
    11.00000
  • N negative terms
    3.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    14.00000
  • Mean of predictor
    0.33893
  • Mean of criterion
    0.64581
  • SD of predictor
    0.08056
  • SD of criterion
    0.35493
  • Covariance
    0.01274
  • r
    0.44570
  • b (slope, estimate of beta)
    1.96359
  • a (intercept, estimate of alpha)
    -0.01971
  • Mean Square Error
    0.10936
  • DF error
    12.00000
  • t(b)
    1.72471
  • p(b)
    0.27715
  • t(a)
    -0.04002
  • p(a)
    0.50578
  • Lowerbound of 95% confidence interval for beta
    -0.51699
  • Upperbound of 95% confidence interval for beta
    4.44416
  • Lowerbound of 95% confidence interval for alpha
    -1.09296
  • Upperbound of 95% confidence interval for alpha
    1.05354
  • Treynor index (mean / b)
    0.32889
  • Jensen alpha (a)
    -0.01971
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.10838
  • Expected Shortfall on VaR
    0.14514
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01800
  • Expected Shortfall on VaR
    0.04586
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    14.00000
  • Minimum
    0.87854
  • Quartile 1
    1.01885
  • Median
    1.05139
  • Quartile 3
    1.11338
  • Maximum
    1.33639
  • Mean of quarter 1
    0.95252
  • Mean of quarter 2
    1.02582
  • Mean of quarter 3
    1.07679
  • Mean of quarter 4
    1.19097
  • Inter Quartile Range
    0.09454
  • 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
    0.07143
  • Mean of outliers high
    1.33639
  • 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)
    -0.66153
  • VaR(95%) (regression method)
    0.11744
  • Expected Shortfall (regression method)
    0.14400
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    2.00000
  • Minimum
    0.00991
  • Quartile 1
    0.05456
  • Median
    0.09920
  • Quartile 3
    0.14384
  • Maximum
    0.18848
  • Mean of quarter 1
    0.00991
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.18848
  • Inter Quartile Range
    0.08928
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    1.02395
  • Compounded annual return (geometric extrapolation)
    0.96151
  • Calmar ratio (compounded annual return / max draw down)
    5.10134
  • Compounded annual return / average of 25% largest draw downs
    5.10134
  • Compounded annual return / Expected Shortfall lognormal
    6.62481
  • 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
    0.74893
  • SD
    0.27783
  • Sharpe ratio (Glass type estimate)
    2.69560
  • Sharpe ratio (Hedges UMVUE)
    2.68929
  • df
    321.00000
  • t
    2.98836
  • p
    0.00151
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.91336
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.47373
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.90914
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.46944
  • Statistics related to Sortino ratio
  • Sortino ratio
    4.82189
  • Upside Potential Ratio
    12.98290
  • Upside part of mean
    2.01648
  • Downside part of mean
    -1.26755
  • Upside SD
    0.23445
  • Downside SD
    0.15532
  • N nonnegative terms
    190.00000
  • N negative terms
    132.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    322.00000
  • Mean of predictor
    0.37311
  • Mean of criterion
    0.74893
  • SD of predictor
    0.26556
  • SD of criterion
    0.27783
  • Covariance
    0.02211
  • r
    0.29963
  • b (slope, estimate of beta)
    0.31348
  • a (intercept, estimate of alpha)
    0.63200
  • Mean Square Error
    0.07048
  • DF error
    320.00000
  • t(b)
    5.61808
  • p(b)
    0.00000
  • t(a)
    2.62904
  • p(a)
    0.00449
  • Lowerbound of 95% confidence interval for beta
    0.20370
  • Upperbound of 95% confidence interval for beta
    0.42326
  • Lowerbound of 95% confidence interval for alpha
    0.15904
  • Upperbound of 95% confidence interval for alpha
    1.10488
  • Treynor index (mean / b)
    2.38905
  • Jensen alpha (a)
    0.63196
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.70984
  • SD
    0.27534
  • Sharpe ratio (Glass type estimate)
    2.57805
  • Sharpe ratio (Hedges UMVUE)
    2.57202
  • df
    321.00000
  • t
    2.85804
  • p
    0.00227
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.79691
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.35524
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.79291
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.35113
  • Statistics related to Sortino ratio
  • Sortino ratio
    4.51201
  • Upside Potential Ratio
    12.64610
  • Upside part of mean
    1.98953
  • Downside part of mean
    -1.27968
  • Upside SD
    0.22967
  • Downside SD
    0.15732
  • N nonnegative terms
    190.00000
  • N negative terms
    132.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    322.00000
  • Mean of predictor
    0.33742
  • Mean of criterion
    0.70984
  • SD of predictor
    0.26720
  • SD of criterion
    0.27534
  • Covariance
    0.02175
  • r
    0.29568
  • b (slope, estimate of beta)
    0.30470
  • a (intercept, estimate of alpha)
    0.60703
  • Mean Square Error
    0.06940
  • DF error
    320.00000
  • t(b)
    5.53689
  • p(b)
    0.00000
  • t(a)
    2.54674
  • p(a)
    0.00567
  • Lowerbound of 95% confidence interval for beta
    0.19643
  • Upperbound of 95% confidence interval for beta
    0.41296
  • Lowerbound of 95% confidence interval for alpha
    0.13809
  • Upperbound of 95% confidence interval for alpha
    1.07597
  • Treynor index (mean / b)
    2.32968
  • Jensen alpha (a)
    0.60703
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02495
  • Expected Shortfall on VaR
    0.03184
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00985
  • Expected Shortfall on VaR
    0.01953
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    322.00000
  • Minimum
    0.95169
  • Quartile 1
    0.99239
  • Median
    1.00202
  • Quartile 3
    1.01061
  • Maximum
    1.08406
  • Mean of quarter 1
    0.98322
  • Mean of quarter 2
    0.99820
  • Mean of quarter 3
    1.00611
  • Mean of quarter 4
    1.02431
  • Inter Quartile Range
    0.01822
  • Number outliers low
    3.00000
  • Percentage of outliers low
    0.00932
  • Mean of outliers low
    0.95659
  • Number of outliers high
    10.00000
  • Percentage of outliers high
    0.03106
  • Mean of outliers high
    1.05531
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.09349
  • VaR(95%) (moments method)
    0.01632
  • Expected Shortfall (moments method)
    0.02087
  • Extreme Value Index (regression method)
    -0.22860
  • VaR(95%) (regression method)
    0.01721
  • Expected Shortfall (regression method)
    0.02118
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    19.00000
  • Minimum
    0.00001
  • Quartile 1
    0.01545
  • Median
    0.03760
  • Quartile 3
    0.06101
  • Maximum
    0.25920
  • Mean of quarter 1
    0.00680
  • Mean of quarter 2
    0.02492
  • Mean of quarter 3
    0.05205
  • Mean of quarter 4
    0.12430
  • Inter Quartile Range
    0.04555
  • 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
    0.05263
  • Mean of outliers high
    0.25920
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -0.07738
  • VaR(95%) (moments method)
    0.12652
  • Expected Shortfall (moments method)
    0.16561
  • Extreme Value Index (regression method)
    0.64386
  • VaR(95%) (regression method)
    0.16896
  • Expected Shortfall (regression method)
    0.46730
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    1.20108
  • Compounded annual return (geometric extrapolation)
    1.09122
  • Calmar ratio (compounded annual return / max draw down)
    4.20990
  • Compounded annual return / average of 25% largest draw downs
    8.77899
  • Compounded annual return / Expected Shortfall lognormal
    34.27120
  • 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
    0.28040
  • SD
    0.22111
  • Sharpe ratio (Glass type estimate)
    1.26813
  • Sharpe ratio (Hedges UMVUE)
    1.26080
  • df
    130.00000
  • t
    0.89670
  • p
    0.46080
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.51038
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.04180
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.51524
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.03684
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.84855
  • Upside Potential Ratio
    9.77036
  • Upside part of mean
    1.48201
  • Downside part of mean
    -1.20161
  • Upside SD
    0.16065
  • Downside SD
    0.15168
  • N nonnegative terms
    82.00000
  • N negative terms
    49.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.25603
  • Mean of criterion
    0.28040
  • SD of predictor
    0.13494
  • SD of criterion
    0.22111
  • Covariance
    0.00824
  • r
    0.27607
  • b (slope, estimate of beta)
    0.45237
  • a (intercept, estimate of alpha)
    0.16457
  • Mean Square Error
    0.04551
  • DF error
    129.00000
  • t(b)
    3.26237
  • p(b)
    0.32650
  • t(a)
    0.54174
  • p(a)
    0.46968
  • Lowerbound of 95% confidence interval for beta
    0.17802
  • Upperbound of 95% confidence interval for beta
    0.72672
  • Lowerbound of 95% confidence interval for alpha
    -0.43648
  • Upperbound of 95% confidence interval for alpha
    0.76563
  • Treynor index (mean / b)
    0.61984
  • Jensen alpha (a)
    0.16457
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.25598
  • SD
    0.22109
  • Sharpe ratio (Glass type estimate)
    1.15779
  • Sharpe ratio (Hedges UMVUE)
    1.15110
  • df
    130.00000
  • t
    0.81868
  • p
    0.46419
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.61976
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.93100
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.62423
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.92644
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.66723
  • Upside Potential Ratio
    9.56881
  • Upside part of mean
    1.46915
  • Downside part of mean
    -1.21317
  • Upside SD
    0.15870
  • Downside SD
    0.15354
  • N nonnegative terms
    82.00000
  • N negative terms
    49.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.24684
  • Mean of criterion
    0.25598
  • SD of predictor
    0.13501
  • SD of criterion
    0.22109
  • Covariance
    0.00832
  • r
    0.27876
  • b (slope, estimate of beta)
    0.45650
  • a (intercept, estimate of alpha)
    0.14330
  • Mean Square Error
    0.04543
  • DF error
    129.00000
  • t(b)
    3.29677
  • p(b)
    0.32486
  • t(a)
    0.47235
  • p(a)
    0.47356
  • VAR (95 Confidence Intrvl)
    0.02500
  • Lowerbound of 95% confidence interval for beta
    0.18254
  • Upperbound of 95% confidence interval for beta
    0.73046
  • Lowerbound of 95% confidence interval for alpha
    -0.45693
  • Upperbound of 95% confidence interval for alpha
    0.74353
  • Treynor index (mean / b)
    0.56075
  • Jensen alpha (a)
    0.14330
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02126
  • Expected Shortfall on VaR
    0.02682
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00874
  • Expected Shortfall on VaR
    0.01787
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.96501
  • Quartile 1
    0.99407
  • Median
    1.00216
  • Quartile 3
    1.00878
  • Maximum
    1.04208
  • Mean of quarter 1
    0.98347
  • Mean of quarter 2
    0.99919
  • Mean of quarter 3
    1.00498
  • Mean of quarter 4
    1.01717
  • Inter Quartile Range
    0.01471
  • Number outliers low
    6.00000
  • Percentage of outliers low
    0.04580
  • Mean of outliers low
    0.96826
  • Number of outliers high
    3.00000
  • Percentage of outliers high
    0.02290
  • Mean of outliers high
    1.03646
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.88341
  • VaR(95%) (moments method)
    0.01494
  • Expected Shortfall (moments method)
    0.01632
  • Extreme Value Index (regression method)
    -0.54301
  • VaR(95%) (regression method)
    0.01511
  • Expected Shortfall (regression method)
    0.01742
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    5.00000
  • Minimum
    0.00565
  • Quartile 1
    0.01461
  • Median
    0.01630
  • Quartile 3
    0.03760
  • Maximum
    0.25920
  • Mean of quarter 1
    0.01013
  • Mean of quarter 2
    0.01630
  • Mean of quarter 3
    0.03760
  • Mean of quarter 4
    0.25920
  • Inter Quartile Range
    0.02299
  • 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
    0.20000
  • Mean of outliers high
    0.25920
  • 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
    0.50%
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -317822000
  • Max Equity Drawdown (num days)
    92
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.30502
  • Compounded annual return (geometric extrapolation)
    0.32828
  • Calmar ratio (compounded annual return / max draw down)
    1.26650
  • Compounded annual return / average of 25% largest draw downs
    1.26650
  • Compounded annual return / Expected Shortfall lognormal
    12.24070

Strategy Description

- 10+ years trading experience
- Swing trade under/over-valued stocks both in short-term and long-term
- Risk no more than 2% for each position
- Stop loss is placed when a position is opened, subscribers should receive notification
- Min Capital: $25,000

About the subscription fee:
The subscription fee will be updated on a month basis based on last month's performance.
The formula is: next month fee = this month fee * risk-adjust return for this month.
Risk adjust return = return - SPY return.

Summary Statistics

Strategy began
2020-03-13
Suggested Minimum Capital
$40,000
# Trades
538
# Profitable
314
% Profitable
58.4%
Net Dividends
Correlation S&P500
0.333
Sharpe Ratio
1.88
Sortino Ratio
3.23
Beta
0.37
Alpha
0.14
Leverage
1.88 Average
8.46 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