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FlashTrades
(132622706)

Created by: FlashBolt FlashBolt
Started: 12/2020
Stocks
Last trade: Yesterday
Trading style: Equity Sector Rotation Short-term Reversal

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 $199.00 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
Sector Rotation
Category: Equity

Sector Rotation

Uses the proceeds from the sale of securities related to a particular investment sector for the purchase of securities in another sector. This strategy is used as a method for capturing returns from market cycles and diversifying holdings over a specified holding period.
Short-term Reversal
Category: Equity

Short-term Reversal

Exploits the tendency of stocks with strong gains and stocks with strong losses to reverse in a short-term time frame (up to one month).
142.9%
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.

(14.3%)
Max Drawdown
106
Num Trades
76.4%
Win Trades
3.6 : 1
Profit Factor
71.4%
Win Months
Hypothetical Monthly Returns (includes system fee and Interactive Brokers commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2020                                                                             +0.1%+0.1%
2021+101.1%+11.4%(1.7%)+9.0%+2.1%(1%)                                    +142.6%

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.

Trading Record

This strategy has placed 76 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
5/10/21 9:31 FSLY FASTLY INC LONG 1,250 41.69 5/11 11:23 45.00 1.5%
Trade id #135533902
Max drawdown($1,850)
Time5/10/21 10:04
Quant open1,250
Worst price40.21
Drawdown as % of equity-1.50%
$4,126
Includes Typical Broker Commissions trade costs of $12.50
5/4/21 10:37 MAXR MAXAR TECHNOLOGIES INC LONG 1,700 30.30 5/6 15:27 30.44 3.87%
Trade id #135441503
Max drawdown($4,739)
Time5/5/21 0:00
Quant open1,700
Worst price27.51
Drawdown as % of equity-3.87%
$224
Includes Typical Broker Commissions trade costs of $17.00
5/4/21 10:01 AMAT APPLIED MATERIALS LONG 400 126.00 5/4 10:36 126.52 0.2%
Trade id #135440123
Max drawdown($248)
Time5/4/21 10:16
Quant open400
Worst price125.38
Drawdown as % of equity-0.20%
$204
Includes Typical Broker Commissions trade costs of $4.00
4/29/21 9:49 EBAY EBAY LONG 930 55.40 4/29 10:06 55.75 0.33%
Trade id #135372110
Max drawdown($418)
Time4/29/21 9:57
Quant open930
Worst price54.95
Drawdown as % of equity-0.33%
$317
Includes Typical Broker Commissions trade costs of $9.30
4/9/21 15:46 FGEN FIBROGEN INC COMMON STOCK LONG 2,900 18.62 4/29 9:31 21.95 0.53%
Trade id #135086328
Max drawdown($609)
Time4/12/21 0:00
Quant open2,900
Worst price18.41
Drawdown as % of equity-0.53%
$9,617
Includes Typical Broker Commissions trade costs of $29.00
4/20/21 9:36 COIN COINBASE GLOBAL INC. CLASS A COMMON STOCK LONG 31 327.79 4/20 9:42 323.60 0.17%
Trade id #135228440
Max drawdown($193)
Time4/20/21 9:40
Quant open31
Worst price321.56
Drawdown as % of equity-0.17%
($132)
Includes Typical Broker Commissions trade costs of $2.00
4/9/21 9:33 FGEN FIBROGEN INC COMMON STOCK LONG 3,000 18.50 4/9 9:45 18.25 0.98%
Trade id #135077771
Max drawdown($1,140)
Time4/9/21 9:45
Quant open3,000
Worst price18.12
Drawdown as % of equity-0.98%
($769)
Includes Typical Broker Commissions trade costs of $30.00
4/8/21 9:30 COPHF CRESO PHARMA LTD LONG 65,000 0.15 4/8 12:41 0.17 n/a $650
Includes Typical Broker Commissions trade costs of $650.00
4/6/21 15:52 COPHF CRESO PHARMA LTD LONG 62,000 0.16 4/7 10:49 0.18 0.27%
Trade id #135031916
Max drawdown($310)
Time4/7/21 0:00
Quant open62,000
Worst price0.15
Drawdown as % of equity-0.27%
$930
Includes Typical Broker Commissions trade costs of $620.00
4/6/21 10:44 COPHF CRESO PHARMA LTD LONG 60,000 0.16 4/6 12:32 0.18 n/a $600
Includes Typical Broker Commissions trade costs of $600.00
3/31/21 13:45 COPHF CRESO PHARMA LTD LONG 50,000 0.16 4/1 9:31 0.18 0.45%
Trade id #134953117
Max drawdown($500)
Time4/1/21 0:00
Quant open50,000
Worst price0.15
Drawdown as % of equity-0.45%
$665
Includes Typical Broker Commissions trade costs of $500.00
2/3/21 12:38 SNDL SUNDIAL GROWERS INC. COMMON SHARES LONG 900 1.21 3/31 9:45 1.18 0.23%
Trade id #133825813
Max drawdown($256)
Time3/5/21 0:00
Quant open900
Worst price0.93
Drawdown as % of equity-0.23%
($36)
Includes Typical Broker Commissions trade costs of $9.00
2/18/21 10:38 WMT WALMART INC LONG 50 138.91 3/31 9:44 135.77 0.57%
Trade id #134134597
Max drawdown($631)
Time3/4/21 0:00
Quant open50
Worst price126.28
Drawdown as % of equity-0.57%
($159)
Includes Typical Broker Commissions trade costs of $2.00
3/30/21 14:09 COPHF CRESO PHARMA LTD LONG 50,000 0.15 3/31 9:42 0.18 0.17%
Trade id #134934261
Max drawdown($190)
Time3/30/21 14:58
Quant open50,000
Worst price0.15
Drawdown as % of equity-0.17%
$980
Includes Typical Broker Commissions trade costs of $500.00
2/16/21 9:54 HYLN HYLIION LONG 50 20.18 3/30 13:48 10.39 0.46%
Trade id #134082854
Max drawdown($505)
Time3/30/21 9:47
Quant open50
Worst price10.08
Drawdown as % of equity-0.46%
($491)
Includes Typical Broker Commissions trade costs of $2.00
2/17/21 11:13 GSAT GLOBALSTAR INC. LONG 450 2.46 3/30 13:04 1.26 0.55%
Trade id #134110990
Max drawdown($596)
Time3/5/21 0:00
Quant open450
Worst price1.14
Drawdown as % of equity-0.55%
($545)
Includes Typical Broker Commissions trade costs of $4.50
2/2/21 9:30 PFE PFIZER LONG 300 35.38 3/30 13:03 36.12 0.53%
Trade id #133790951
Max drawdown($605)
Time2/26/21 0:00
Quant open300
Worst price33.36
Drawdown as % of equity-0.53%
$221
Includes Typical Broker Commissions trade costs of $3.50
2/16/21 11:57 PLTR PALANTIR TECHNOLOGIES INC LONG 180 28.79 3/30 12:52 21.70 1.42%
Trade id #134088818
Max drawdown($1,549)
Time3/5/21 0:00
Quant open180
Worst price20.18
Drawdown as % of equity-1.42%
($1,278)
Includes Typical Broker Commissions trade costs of $2.00
3/30/21 11:02 COPHF CRESO PHARMA LTD LONG 30,000 0.15 3/30 12:43 0.18 n/a $750
Includes Typical Broker Commissions trade costs of $300.00
3/24/21 9:51 VIAC VIACOMCBS INC CLASS B LONG 2,350 80.15 3/24 11:21 74.75 11.76%
Trade id #134832520
Max drawdown($13,613)
Time3/24/21 11:16
Quant open2,350
Worst price74.36
Drawdown as % of equity-11.76%
($12,720)
Includes Typical Broker Commissions trade costs of $24.51
3/22/21 12:06 RLX RLX TECHNOLOGY INC LONG 5,000 10.77 3/22 12:58 10.95 0.59%
Trade id #134768581
Max drawdown($720)
Time3/22/21 12:14
Quant open5,000
Worst price10.63
Drawdown as % of equity-0.59%
$829
Includes Typical Broker Commissions trade costs of $50.00
3/22/21 11:10 RLX RLX TECHNOLOGY INC LONG 11,000 10.72 3/22 11:50 10.93 1.98%
Trade id #134766090
Max drawdown($2,400)
Time3/22/21 11:25
Quant open11,000
Worst price10.50
Drawdown as % of equity-1.98%
$2,260
Includes Typical Broker Commissions trade costs of $110.00
3/18/21 11:08 JPM JPMORGAN CHASE SHORT 200 161.17 3/18 14:09 159.90 0.09%
Trade id #134700438
Max drawdown($104)
Time3/18/21 11:58
Quant open200
Worst price161.69
Drawdown as % of equity-0.09%
$252
Includes Typical Broker Commissions trade costs of $2.00
3/18/21 10:27 JPM JPMORGAN CHASE SHORT 270 160.85 3/18 10:57 160.40 0.08%
Trade id #134699068
Max drawdown($95)
Time3/18/21 10:37
Quant open270
Worst price161.21
Drawdown as % of equity-0.08%
$120
Includes Typical Broker Commissions trade costs of $3.35
2/26/21 9:56 GLD SPDR GOLD SHARES LONG 743 162.69 3/17 14:58 163.90 3.77%
Trade id #134306430
Max drawdown($4,134)
Time3/8/21 0:00
Quant open743
Worst price157.13
Drawdown as % of equity-3.77%
$886
Includes Typical Broker Commissions trade costs of $8.71
3/12/21 10:12 VIAC VIACOMCBS INC CLASS B SHORT 550 94.07 3/17 10:40 89.18 3.46%
Trade id #134586444
Max drawdown($4,030)
Time3/15/21 0:00
Quant open450
Worst price101.97
Drawdown as % of equity-3.46%
$2,679
Includes Typical Broker Commissions trade costs of $10.76
1/29/21 10:05 EHTH EHEALTH LONG 430 53.53 3/12 11:37 61.57 2.42%
Trade id #133701861
Max drawdown($2,460)
Time1/29/21 16:00
Quant open430
Worst price47.81
Drawdown as % of equity-2.42%
$3,450
Includes Typical Broker Commissions trade costs of $5.37
2/16/21 11:09 CVS CVS HEALTH CORP LONG 70 71.00 3/9 9:51 72.88 0.18%
Trade id #134086722
Max drawdown($208)
Time2/26/21 0:00
Quant open70
Worst price68.02
Drawdown as % of equity-0.18%
$130
Includes Typical Broker Commissions trade costs of $2.00
3/4/21 10:20 TDOC TELADOC HEALTH INC LONG 150 190.00 3/4 10:33 194.51 n/a $675
Includes Typical Broker Commissions trade costs of $2.00
2/26/21 10:01 TDOC TELADOC HEALTH INC LONG 270 213.34 2/26 10:21 215.54 0.44%
Trade id #134306717
Max drawdown($497)
Time2/26/21 10:10
Quant open200
Worst price211.35
Drawdown as % of equity-0.44%
$589
Includes Typical Broker Commissions trade costs of $6.00

Statistics

  • Strategy began
    12/3/2020
  • Suggested Minimum Cap
    $35,000
  • Strategy Age (days)
    190.8
  • Age
    6 months ago
  • What it trades
    Stocks
  • # Trades
    106
  • # Profitable
    81
  • % Profitable
    76.40%
  • Avg trade duration
    9.8 days
  • Max peak-to-valley drawdown
    14.32%
  • drawdown period
    Jan 05, 2021 - Jan 26, 2021
  • Cumul. Return
    150.0%
  • Avg win
    $1,311
  • Avg loss
    $1,165
  • Model Account Values (Raw)
  • Cash
    $83,099
  • Margin Used
    $0
  • Buying Power
    $76,048
  • Ratios
  • W:L ratio
    3.65:1
  • Sharpe Ratio
    1.54
  • Sortino Ratio
    13.08
  • Calmar Ratio
    45.552
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    134.18%
  • Correlation to SP500
    -0.25690
  • Return Percent SP500 (cumu) during strategy life
    15.84%
  • Verified
  • C2Star
    0
  • Return Statistics
  • Ann Return (w trading costs)
    462.4%
  • Slump
  • Current Slump as Pcnt Equity
    3.30%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.13%
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    1.500%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    490.5%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    23.00%
  • Chance of 20% account loss
    1.00%
  • 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)
    878
  • Popularity (Last 6 weeks)
    995
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Popularity
  • C2 Score
    982
  • Popularity (7 days, Percentile 1000 scale)
    986
  • 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
    $1,165
  • Avg Win
    $1,311
  • Sum Trade PL (losers)
    $29,126.000
  • AUM
  • AUM (AutoTrader num accounts)
    13
  • Age
  • Num Months filled monthly returns table
    7
  • Win / Loss
  • Sum Trade PL (winners)
    $106,222.000
  • # Winners
    81
  • Num Months Winners
    5
  • Dividends
  • Dividends Received in Model Acct
    32
  • AUM
  • AUM (AutoTrader live capital)
    1389250
  • Win / Loss
  • # Losers
    25
  • % Winners
    76.4%
  • Frequency
  • Avg Position Time (mins)
    14096.90
  • Avg Position Time (hrs)
    234.95
  • Avg Trade Length
    9.8 days
  • Last Trade Ago
    1
  • Leverage
  • Daily leverage (average)
    0.66
  • Daily leverage (max)
    2.06
  • Regression
  • Alpha
    0.78
  • Beta
    -2.30
  • Treynor Index
    -0.26
  • 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)
    0.78
  • MAE:Equity, average, winning trades
    0.01
  • MAE:Equity, average, losing trades
    0.01
  • Avg(MAE) / Avg(PL) - All trades
    1.347
  • 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
    0.04
  • Avg(MAE) / Avg(PL) - Winning trades
    0.608
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.168
  • Hold-and-Hope Ratio
    0.746
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    2.58555
  • SD
    1.58912
  • Sharpe ratio (Glass type estimate)
    1.62703
  • Sharpe ratio (Hedges UMVUE)
    1.36792
  • df
    5.00000
  • t
    1.15049
  • p
    0.15099
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.38267
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.49783
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.53065
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.26650
  • Statistics related to Sortino ratio
  • Sortino ratio
    376.95300
  • Upside Potential Ratio
    378.36700
  • Upside part of mean
    2.59525
  • Downside part of mean
    -0.00970
  • Upside SD
    1.63140
  • Downside SD
    0.00686
  • N nonnegative terms
    5.00000
  • N negative terms
    1.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    6.00000
  • Mean of predictor
    0.26246
  • Mean of criterion
    2.58555
  • SD of predictor
    0.07813
  • SD of criterion
    1.58912
  • Covariance
    0.03966
  • r
    0.31948
  • b (slope, estimate of beta)
    6.49850
  • a (intercept, estimate of alpha)
    0.87994
  • Mean Square Error
    2.83443
  • DF error
    4.00000
  • t(b)
    0.67431
  • p(b)
    0.26854
  • t(a)
    0.25331
  • p(a)
    0.40626
  • Lowerbound of 95% confidence interval for beta
    -20.26420
  • Upperbound of 95% confidence interval for beta
    33.26120
  • Lowerbound of 95% confidence interval for alpha
    -8.76661
  • Upperbound of 95% confidence interval for alpha
    10.52650
  • Treynor index (mean / b)
    0.39787
  • Jensen alpha (a)
    0.87994
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    1.80523
  • SD
    1.04641
  • Sharpe ratio (Glass type estimate)
    1.72517
  • Sharpe ratio (Hedges UMVUE)
    1.45043
  • df
    5.00000
  • t
    1.21988
  • p
    0.13845
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.30782
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.61312
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.46351
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.36437
  • Statistics related to Sortino ratio
  • Sortino ratio
    263.16400
  • Upside Potential Ratio
    264.57800
  • Upside part of mean
    1.81494
  • Downside part of mean
    -0.00970
  • Upside SD
    1.08812
  • Downside SD
    0.00686
  • N nonnegative terms
    5.00000
  • N negative terms
    1.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    6.00000
  • Mean of predictor
    0.25661
  • Mean of criterion
    1.80523
  • SD of predictor
    0.07643
  • SD of criterion
    1.04641
  • Covariance
    0.02727
  • r
    0.34101
  • b (slope, estimate of beta)
    4.66911
  • a (intercept, estimate of alpha)
    0.60711
  • Mean Square Error
    1.20956
  • DF error
    4.00000
  • t(b)
    0.72551
  • p(b)
    0.25416
  • t(a)
    0.26762
  • p(a)
    0.40111
  • Lowerbound of 95% confidence interval for beta
    -13.20250
  • Upperbound of 95% confidence interval for beta
    22.54070
  • Lowerbound of 95% confidence interval for alpha
    -5.69260
  • Upperbound of 95% confidence interval for alpha
    6.90682
  • Treynor index (mean / b)
    0.38663
  • Jensen alpha (a)
    0.60711
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.29279
  • Expected Shortfall on VaR
    0.37292
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00075
  • Expected Shortfall on VaR
    0.00206
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    6.00000
  • Minimum
    0.99748
  • Quartile 1
    1.01471
  • Median
    1.03011
  • Quartile 3
    1.07306
  • Maximum
    2.15209
  • Mean of quarter 1
    1.00371
  • Mean of quarter 2
    1.02904
  • Mean of quarter 3
    1.03117
  • Mean of quarter 4
    1.61956
  • Inter Quartile Range
    0.05835
  • 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
    0.16667
  • Mean of outliers high
    2.15209
  • 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
    1.00000
  • Minimum
    0.00252
  • Quartile 1
    0.00252
  • Median
    0.00252
  • Quartile 3
    0.00252
  • Maximum
    0.00252
  • 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)
    3.00140
  • Compounded annual return (geometric extrapolation)
    5.25350
  • Calmar ratio (compounded annual return / max draw down)
    2083.23000
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    14.08740
  • 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
    2.25034
  • SD
    1.18984
  • Sharpe ratio (Glass type estimate)
    1.89130
  • Sharpe ratio (Hedges UMVUE)
    1.88061
  • df
    133.00000
  • t
    1.35258
  • p
    0.42601
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.86215
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.63788
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.86929
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.63052
  • Statistics related to Sortino ratio
  • Sortino ratio
    16.73650
  • Upside Potential Ratio
    22.26540
  • Upside part of mean
    2.99374
  • Downside part of mean
    -0.74340
  • Upside SD
    1.18592
  • Downside SD
    0.13446
  • N nonnegative terms
    80.00000
  • N negative terms
    54.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    134.00000
  • Mean of predictor
    0.26862
  • Mean of criterion
    2.25034
  • SD of predictor
    0.13394
  • SD of criterion
    1.18984
  • Covariance
    -0.04023
  • r
    -0.25247
  • b (slope, estimate of beta)
    -2.24279
  • a (intercept, estimate of alpha)
    2.85300
  • Mean Square Error
    1.33552
  • DF error
    132.00000
  • t(b)
    -2.99774
  • p(b)
    0.62623
  • t(a)
    1.75192
  • p(a)
    0.42463
  • Lowerbound of 95% confidence interval for beta
    -3.72272
  • Upperbound of 95% confidence interval for beta
    -0.76285
  • Lowerbound of 95% confidence interval for alpha
    -0.36831
  • Upperbound of 95% confidence interval for alpha
    6.07389
  • Treynor index (mean / b)
    -1.00337
  • Jensen alpha (a)
    2.85279
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    1.77706
  • SD
    0.87567
  • Sharpe ratio (Glass type estimate)
    2.02936
  • Sharpe ratio (Hedges UMVUE)
    2.01789
  • df
    133.00000
  • t
    1.45131
  • p
    0.42072
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.72575
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.77700
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.73342
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.76920
  • Statistics related to Sortino ratio
  • Sortino ratio
    12.87950
  • Upside Potential Ratio
    18.33470
  • Upside part of mean
    2.52973
  • Downside part of mean
    -0.75267
  • Upside SD
    0.86839
  • Downside SD
    0.13797
  • N nonnegative terms
    80.00000
  • N negative terms
    54.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    134.00000
  • Mean of predictor
    0.25955
  • Mean of criterion
    1.77706
  • SD of predictor
    0.13401
  • SD of criterion
    0.87567
  • Covariance
    -0.02849
  • r
    -0.24281
  • b (slope, estimate of beta)
    -1.58665
  • a (intercept, estimate of alpha)
    2.18887
  • Mean Square Error
    0.72706
  • DF error
    132.00000
  • t(b)
    -2.87572
  • p(b)
    0.62140
  • t(a)
    1.82274
  • p(a)
    0.42166
  • Lowerbound of 95% confidence interval for beta
    -2.67805
  • Upperbound of 95% confidence interval for beta
    -0.49526
  • Lowerbound of 95% confidence interval for alpha
    -0.18657
  • Upperbound of 95% confidence interval for alpha
    4.56430
  • Treynor index (mean / b)
    -1.12000
  • Jensen alpha (a)
    2.18887
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.07891
  • Expected Shortfall on VaR
    0.09932
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00545
  • Expected Shortfall on VaR
    0.01247
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    134.00000
  • Minimum
    0.92945
  • Quartile 1
    0.99740
  • Median
    1.00069
  • Quartile 3
    1.00831
  • Maximum
    1.83929
  • Mean of quarter 1
    0.98963
  • Mean of quarter 2
    0.99951
  • Mean of quarter 3
    1.00384
  • Mean of quarter 4
    1.04139
  • Inter Quartile Range
    0.01091
  • Number outliers low
    2.00000
  • Percentage of outliers low
    0.01493
  • Mean of outliers low
    0.94269
  • Number of outliers high
    4.00000
  • Percentage of outliers high
    0.02985
  • Mean of outliers high
    1.24337
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.35777
  • VaR(95%) (moments method)
    0.00870
  • Expected Shortfall (moments method)
    0.01648
  • Extreme Value Index (regression method)
    0.08393
  • VaR(95%) (regression method)
    0.00973
  • Expected Shortfall (regression method)
    0.01485
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    12.00000
  • Minimum
    0.00017
  • Quartile 1
    0.00206
  • Median
    0.01560
  • Quartile 3
    0.03362
  • Maximum
    0.11151
  • Mean of quarter 1
    0.00047
  • Mean of quarter 2
    0.00872
  • Mean of quarter 3
    0.02426
  • Mean of quarter 4
    0.06839
  • Inter Quartile Range
    0.03156
  • 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
    0.08333
  • Mean of outliers high
    0.11151
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.22844
  • VaR(95%) (moments method)
    0.07592
  • Expected Shortfall (moments method)
    0.11470
  • Extreme Value Index (regression method)
    2.69435
  • VaR(95%) (regression method)
    0.11701
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    2.96647
  • Compounded annual return (geometric extrapolation)
    5.07975
  • Calmar ratio (compounded annual return / max draw down)
    45.55250
  • Compounded annual return / average of 25% largest draw downs
    74.27670
  • Compounded annual return / Expected Shortfall lognormal
    51.14370
  • 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
    2.31729
  • SD
    1.20316
  • Sharpe ratio (Glass type estimate)
    1.92600
  • Sharpe ratio (Hedges UMVUE)
    1.91487
  • df
    130.00000
  • t
    1.36189
  • p
    0.44070
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.85931
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.70404
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.86670
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.69643
  • Statistics related to Sortino ratio
  • Sortino ratio
    17.06710
  • Upside Potential Ratio
    22.55420
  • Upside part of mean
    3.06230
  • Downside part of mean
    -0.74501
  • Upside SD
    1.19942
  • Downside SD
    0.13578
  • N nonnegative terms
    80.00000
  • N negative terms
    51.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.25603
  • Mean of criterion
    2.31729
  • SD of predictor
    0.13494
  • SD of criterion
    1.20316
  • Covariance
    -0.04103
  • r
    -0.25274
  • b (slope, estimate of beta)
    -2.25350
  • a (intercept, estimate of alpha)
    2.89425
  • Mean Square Error
    1.36564
  • DF error
    129.00000
  • t(b)
    -2.96689
  • p(b)
    0.65917
  • t(a)
    1.73927
  • p(a)
    0.40400
  • Lowerbound of 95% confidence interval for beta
    -3.75628
  • Upperbound of 95% confidence interval for beta
    -0.75071
  • Lowerbound of 95% confidence interval for alpha
    -0.39813
  • Upperbound of 95% confidence interval for alpha
    6.18663
  • Treynor index (mean / b)
    -1.02831
  • Jensen alpha (a)
    2.89425
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    1.83319
  • SD
    0.88540
  • Sharpe ratio (Glass type estimate)
    2.07046
  • Sharpe ratio (Hedges UMVUE)
    2.05849
  • df
    130.00000
  • t
    1.46403
  • p
    0.43632
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.71663
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.84979
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.72459
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.84157
  • Statistics related to Sortino ratio
  • Sortino ratio
    13.15640
  • Upside Potential Ratio
    18.57110
  • Upside part of mean
    2.58766
  • Downside part of mean
    -0.75447
  • Upside SD
    0.87828
  • Downside SD
    0.13934
  • N nonnegative terms
    80.00000
  • N negative terms
    51.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.24684
  • Mean of criterion
    1.83319
  • SD of predictor
    0.13501
  • SD of criterion
    0.88540
  • Covariance
    -0.02904
  • r
    -0.24296
  • b (slope, estimate of beta)
    -1.59334
  • a (intercept, estimate of alpha)
    2.22650
  • Mean Square Error
    0.74338
  • DF error
    129.00000
  • t(b)
    -2.84472
  • p(b)
    0.65314
  • t(a)
    1.81437
  • p(a)
    0.39999
  • VAR (95 Confidence Intrvl)
    0.07900
  • Lowerbound of 95% confidence interval for beta
    -2.70152
  • Upperbound of 95% confidence interval for beta
    -0.48516
  • Lowerbound of 95% confidence interval for alpha
    -0.20144
  • Upperbound of 95% confidence interval for alpha
    4.65443
  • Treynor index (mean / b)
    -1.15053
  • Jensen alpha (a)
    2.22650
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.07963
  • Expected Shortfall on VaR
    0.10024
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00533
  • Expected Shortfall on VaR
    0.01227
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.92945
  • Quartile 1
    0.99750
  • Median
    1.00091
  • Quartile 3
    1.00844
  • Maximum
    1.83929
  • Mean of quarter 1
    0.98945
  • Mean of quarter 2
    0.99964
  • Mean of quarter 3
    1.00417
  • Mean of quarter 4
    1.04239
  • Inter Quartile Range
    0.01094
  • Number outliers low
    2.00000
  • Percentage of outliers low
    0.01527
  • Mean of outliers low
    0.94269
  • Number of outliers high
    4.00000
  • Percentage of outliers high
    0.03053
  • Mean of outliers high
    1.24337
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.30965
  • VaR(95%) (moments method)
    0.00838
  • Expected Shortfall (moments method)
    0.01514
  • Extreme Value Index (regression method)
    0.06956
  • VaR(95%) (regression method)
    0.00977
  • Expected Shortfall (regression method)
    0.01487
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    13.00000
  • Minimum
    0.00017
  • Quartile 1
    0.00085
  • Median
    0.00927
  • Quartile 3
    0.03002
  • Maximum
    0.11151
  • Mean of quarter 1
    0.00041
  • Mean of quarter 2
    0.00687
  • Mean of quarter 3
    0.02426
  • Mean of quarter 4
    0.06839
  • Inter Quartile Range
    0.02917
  • 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
    0.07692
  • Mean of outliers high
    0.11151
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -0.35084
  • VaR(95%) (moments method)
    0.06520
  • Expected Shortfall (moments method)
    0.07807
  • Extreme Value Index (regression method)
    0.58726
  • VaR(95%) (regression method)
    0.08654
  • Last 4 Months - Pcnt Negative
    0.50%
  • Expected Shortfall (regression method)
    0.21204
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -311544000
  • Max Equity Drawdown (num days)
    21
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    3.07180
  • Compounded annual return (geometric extrapolation)
    5.43080
  • Calmar ratio (compounded annual return / max draw down)
    48.70050
  • Compounded annual return / average of 25% largest draw downs
    79.40980
  • Compounded annual return / Expected Shortfall lognormal
    54.17660

Strategy Description

Welcome to the FLASH Team ⚡️⚡️⚡️
Where we take profits in a FLASH

Summary Statistics

Strategy began
2020-12-03
Suggested Minimum Capital
$35,000
# Trades
106
# Profitable
81
% Profitable
76.4%
Net Dividends
Correlation S&P500
-0.257
Sharpe Ratio
1.54
Sortino Ratio
13.08
Beta
-2.30
Alpha
0.78
Leverage
0.66 Average
2.06 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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