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The Lab
(133502610)

Created by: Launcher Launcher
Started: 01/2021
Stocks
Last trade: Yesterday
Trading style: Equity Trend-following Momentum

Subscriptions not available

No subscriptions are currently available for this strategy because the strategy manager has capped the maximum number of subscribers.

Subscription terms. You can subscribe to this system for free.

C2Star

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

You can read more about C2Star certification requirements here.

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

Trading Category: Equity
Trend-following
Category: Equity

Trend-following

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

Momentum

Aims to capitalize on the continuance of existing trends in the market. Trader takes a long position in an asset in an upward trend, and short-sells a security that has been in a downward trend. While similar to Trend-following, tends to be more forward-looking (predicting oncoming trend), while Momentum is more backward-looking (observing already-established price direction).
175.8%
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.

(40.7%)
Max Drawdown
501
Num Trades
47.1%
Win Trades
1.3 : 1
Profit Factor
83.3%
Win Months
Hypothetical Monthly Returns (includes system fee and Interactive Brokers commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2021+62.1%+66.6%(1%)+1.3%+0.6%+1.2%                                    +175.7%

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

Download CSV
Long
Short
Both
Win
Loss
Both
Show More details Show Fewer details
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
6/11/21 15:10 MDLA MEDALLIA INC LONG 200 33.45 6/11 15:59 33.15 0.05%
Trade id #136029307
Max drawdown($80)
Time6/11/21 15:35
Quant open200
Worst price33.05
Drawdown as % of equity-0.05%
($62)
Includes Typical Broker Commissions trade costs of $2.00
6/8/21 14:31 UONE URBAN ONE INC LONG 500 17.77 6/8 14:40 18.49 n/a $355
Includes Typical Broker Commissions trade costs of $5.00
6/3/21 10:20 RCON RECON TECHNOLOGY LONG 800 12.97 6/3 15:40 13.49 0.12%
Trade id #135889838
Max drawdown($175)
Time6/3/21 14:26
Quant open800
Worst price12.75
Drawdown as % of equity-0.12%
$408
Includes Typical Broker Commissions trade costs of $8.00
6/2/21 10:09 UONE URBAN ONE INC LONG 400 10.87 6/2 10:21 11.95 n/a $428
Includes Typical Broker Commissions trade costs of $4.00
6/1/21 15:31 OEG ORBITAL ENERGY GROUP INC LONG 900 6.97 6/1 15:55 7.49 0.12%
Trade id #135863346
Max drawdown($171)
Time6/1/21 15:34
Quant open900
Worst price6.78
Drawdown as % of equity-0.12%
$459
Includes Typical Broker Commissions trade costs of $9.00
5/26/21 15:04 LIZI LIZHI INC. AMERICAN DEPOSITARY SHARES LONG 300 7.49 5/26 15:04 7.94 n/a $132
Includes Typical Broker Commissions trade costs of $3.00
5/25/21 14:53 RCON RECON TECHNOLOGY LONG 300 11.75 5/25 15:59 11.65 0.04%
Trade id #135770470
Max drawdown($57)
Time5/25/21 15:55
Quant open300
Worst price11.56
Drawdown as % of equity-0.04%
($33)
Includes Typical Broker Commissions trade costs of $3.00
5/24/21 12:15 DDD 3D SYSTEMS LONG 400 27.58 5/24 13:26 27.95 0.06%
Trade id #135750371
Max drawdown($84)
Time5/24/21 12:26
Quant open400
Worst price27.37
Drawdown as % of equity-0.06%
$144
Includes Typical Broker Commissions trade costs of $4.00
5/20/21 11:20 FLDM FLUIDIGM LONG 300 5.62 5/20 15:59 5.74 0.01%
Trade id #135702118
Max drawdown($9)
Time5/20/21 11:26
Quant open300
Worst price5.59
Drawdown as % of equity-0.01%
$33
Includes Typical Broker Commissions trade costs of $3.00
5/20/21 10:58 GLBE GLOBAL-E ONLINE LTD. LONG 100 29.40 5/20 15:59 29.42 0.03%
Trade id #135701739
Max drawdown($37)
Time5/20/21 13:37
Quant open100
Worst price29.03
Drawdown as % of equity-0.03%
$0
Includes Typical Broker Commissions trade costs of $2.00
5/20/21 11:40 BBIG VINCO VENTURES INC LONG 300 3.13 5/20 14:54 3.26 0.03%
Trade id #135702555
Max drawdown($45)
Time5/20/21 12:30
Quant open300
Worst price2.98
Drawdown as % of equity-0.03%
$36
Includes Typical Broker Commissions trade costs of $3.00
5/20/21 14:00 UONE URBAN ONE INC LONG 100 8.83 5/20 14:39 9.74 0%
Trade id #135705417
Max drawdown($6)
Time5/20/21 14:03
Quant open100
Worst price8.77
Drawdown as % of equity-0.00%
$89
Includes Typical Broker Commissions trade costs of $2.00
5/20/21 12:50 IHT INNSUITES HOSPITALITY LONG 10,000 6.26 5/20 12:52 6.40 n/a $1,300
Includes Typical Broker Commissions trade costs of $100.00
5/20/21 12:31 CLWT EURO TECH HOLDINGS CO LONG 5,000 5.07 5/20 12:45 4.88 0.81%
Trade id #135704237
Max drawdown($1,200)
Time5/20/21 12:40
Quant open3,000
Worst price4.67
Drawdown as % of equity-0.81%
($985)
Includes Typical Broker Commissions trade costs of $50.00
5/20/21 10:23 PRPO PRECIPIO INC. COMMON STOCK LONG 100 5.21 5/20 12:29 4.75 0.03%
Trade id #135701019
Max drawdown($47)
Time5/20/21 12:29
Quant open100
Worst price4.74
Drawdown as % of equity-0.03%
($48)
Includes Typical Broker Commissions trade costs of $2.00
5/20/21 10:45 AGEN AGENUS LONG 600 4.39 5/20 11:43 4.31 0.03%
Trade id #135701495
Max drawdown($48)
Time5/20/21 11:43
Quant open600
Worst price4.31
Drawdown as % of equity-0.03%
($54)
Includes Typical Broker Commissions trade costs of $6.00
5/20/21 10:20 RIOT RIOT BLOCKCHAIN INC. COMMON STOCK SHORT 100 25.09 5/20 11:36 24.51 0.04%
Trade id #135700955
Max drawdown($56)
Time5/20/21 10:26
Quant open100
Worst price25.65
Drawdown as % of equity-0.04%
$56
Includes Typical Broker Commissions trade costs of $2.00
5/20/21 10:42 MOSY MOSYS LONG 200 5.94 5/20 10:43 6.19 n/a $48
Includes Typical Broker Commissions trade costs of $2.00
5/20/21 10:06 IHT INNSUITES HOSPITALITY LONG 100 6.83 5/20 10:24 6.31 0.05%
Trade id #135700588
Max drawdown($71)
Time5/20/21 10:24
Quant open100
Worst price6.12
Drawdown as % of equity-0.05%
($54)
Includes Typical Broker Commissions trade costs of $2.00
5/20/21 10:04 MOXC MOXIAN INC. COMMON STOCK LONG 100 13.99 5/20 10:22 14.74 0.02%
Trade id #135700533
Max drawdown($34)
Time5/20/21 10:10
Quant open100
Worst price13.64
Drawdown as % of equity-0.02%
$73
Includes Typical Broker Commissions trade costs of $2.00
5/20/21 10:07 HYRE HYRECAR INC. COMMON STOCK LONG 100 17.67 5/20 10:15 16.96 0.07%
Trade id #135700634
Max drawdown($97)
Time5/20/21 10:15
Quant open100
Worst price16.69
Drawdown as % of equity-0.07%
($73)
Includes Typical Broker Commissions trade costs of $2.00
5/7/21 15:31 FNKO FUNKO INC. CLASS A COMMON STOCK LONG 100 25.22 5/7 15:59 25.43 0.01%
Trade id #135516548
Max drawdown($10)
Time5/7/21 15:35
Quant open100
Worst price25.12
Drawdown as % of equity-0.01%
$19
Includes Typical Broker Commissions trade costs of $2.00
5/7/21 13:33 BTX BROOKLYN IMMUNOTHERAPEUTICS INC LONG 25 44.40 5/7 14:05 42.10 0.04%
Trade id #135513453
Max drawdown($65)
Time5/7/21 14:05
Quant open25
Worst price41.80
Drawdown as % of equity-0.04%
($60)
Includes Typical Broker Commissions trade costs of $2.00
5/5/21 11:33 BGFV BIG 5 SPORTING GOODS LONG 100 23.89 5/5 15:05 24.37 0.02%
Trade id #135463213
Max drawdown($24)
Time5/5/21 11:49
Quant open100
Worst price23.65
Drawdown as % of equity-0.02%
$44
Includes Typical Broker Commissions trade costs of $4.00
5/5/21 12:12 RHE REGIONAL HEALTH PROPERTIES INC LONG 100 21.54 5/5 12:39 23.63 0.02%
Trade id #135464883
Max drawdown($24)
Time5/5/21 12:15
Quant open100
Worst price21.30
Drawdown as % of equity-0.02%
$203
Includes Typical Broker Commissions trade costs of $6.00
5/5/21 11:02 ISNS IMAGE SENSING SYSTEMS LONG 1,000 10.69 5/5 11:27 10.76 0.11%
Trade id #135462295
Max drawdown($167)
Time5/5/21 11:16
Quant open300
Worst price10.13
Drawdown as % of equity-0.11%
$61
Includes Typical Broker Commissions trade costs of $10.50
5/5/21 11:02 LEDS SEMILEDS LONG 1,000 5.50 5/5 11:02 5.45 0.03%
Trade id #135462276
Max drawdown($50)
Time5/5/21 11:02
Quant open1,000
Worst price5.45
Drawdown as % of equity-0.03%
($60)
Includes Typical Broker Commissions trade costs of $10.00
4/29/21 15:25 TKAT TAKUNG ART CO LTD LONG 50 36.49 4/29 15:59 39.17 0.01%
Trade id #135381554
Max drawdown($16)
Time4/29/21 15:33
Quant open20
Worst price35.38
Drawdown as % of equity-0.01%
$130
Includes Typical Broker Commissions trade costs of $4.00
4/29/21 13:04 OCGN OCUGEN INC LONG 100 11.97 4/29 15:52 11.90 0%
Trade id #135378729
Max drawdown($5)
Time4/29/21 13:08
Quant open50
Worst price11.60
Drawdown as % of equity-0.00%
($12)
Includes Typical Broker Commissions trade costs of $4.00
4/29/21 15:09 BTX BROOKLYN IMMUNOTHERAPEUTICS INC LONG 20 36.69 4/29 15:32 34.45 0.03%
Trade id #135381254
Max drawdown($51)
Time4/29/21 15:32
Quant open20
Worst price34.12
Drawdown as % of equity-0.03%
($47)
Includes Typical Broker Commissions trade costs of $2.00

Statistics

  • Strategy began
    1/21/2021
  • Suggested Minimum Cap
    $35,000
  • Strategy Age (days)
    142.15
  • Age
    142 days ago
  • What it trades
    Stocks
  • # Trades
    501
  • # Profitable
    236
  • % Profitable
    47.10%
  • Avg trade duration
    13.8 hours
  • Max peak-to-valley drawdown
    40.74%
  • drawdown period
    March 18, 2021 - March 23, 2021
  • Cumul. Return
    199.2%
  • Avg win
    $1,803
  • Avg loss
    $1,216
  • Model Account Values (Raw)
  • Cash
    $153,272
  • Margin Used
    $0
  • Buying Power
    $153,272
  • Ratios
  • W:L ratio
    1.32:1
  • Sharpe Ratio
    2.7
  • Sortino Ratio
    5.48
  • Calmar Ratio
    65.072
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    188.96%
  • Correlation to SP500
    -0.18930
  • Return Percent SP500 (cumu) during strategy life
    10.24%
  • Return Statistics
  • Ann Return (w trading costs)
    1458.4%
  • Slump
  • Current Slump as Pcnt Equity
    2.40%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.60%
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    1.992%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    1638.6%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    65.50%
  • Chance of 20% account loss
    51.00%
  • Chance of 30% account loss
    30.00%
  • Chance of 40% account loss
    14.50%
  • Chance of 60% account loss (Monte Carlo)
    2.00%
  • 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
    2.11%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    6.50%
  • Popularity
  • Popularity (Today)
    848
  • Popularity (Last 6 weeks)
    966
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Popularity
  • C2 Score
    985
  • Popularity (7 days, Percentile 1000 scale)
    968
  • 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
    $1,216
  • Avg Win
    $1,803
  • Sum Trade PL (losers)
    $322,275.000
  • Age
  • Num Months filled monthly returns table
    6
  • Win / Loss
  • Sum Trade PL (winners)
    $425,547.000
  • # Winners
    236
  • Num Months Winners
    6
  • Dividends
  • Dividends Received in Model Acct
    0
  • Win / Loss
  • # Losers
    265
  • % Winners
    47.1%
  • Frequency
  • Avg Position Time (mins)
    828.95
  • Avg Position Time (hrs)
    13.82
  • Avg Trade Length
    0.6 days
  • Last Trade Ago
    1
  • Leverage
  • Daily leverage (average)
    0.55
  • Daily leverage (max)
    2.60
  • Regression
  • Alpha
    1.00
  • Beta
    -1.41
  • Treynor Index
    -0.65
  • 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)
    -0.53
  • MAE:Equity, average, winning trades
    0.01
  • MAE:Equity, average, losing trades
    0.01
  • Avg(MAE) / Avg(PL) - All trades
    8.974
  • 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
    0.289
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.227
  • Hold-and-Hope Ratio
    0.111
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    4.95040
  • SD
    2.33975
  • Sharpe ratio (Glass type estimate)
    2.11578
  • Sharpe ratio (Hedges UMVUE)
    1.53098
  • df
    3.00000
  • t
    1.22155
  • p
    0.15456
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.77385
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.74281
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.07804
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.14000
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.00000
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    4.95040
  • Downside part of mean
    0.00000
  • Upside SD
    2.47952
  • Downside SD
    0.00000
  • N nonnegative terms
    4.00000
  • N negative terms
    0.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    4.00000
  • Mean of predictor
    0.23669
  • Mean of criterion
    4.95040
  • SD of predictor
    0.12196
  • SD of criterion
    2.33975
  • Covariance
    -0.07481
  • r
    -0.26218
  • b (slope, estimate of beta)
    -5.02994
  • a (intercept, estimate of alpha)
    6.14095
  • Mean Square Error
    7.64719
  • DF error
    2.00000
  • t(b)
    -0.38422
  • p(b)
    0.63109
  • t(a)
    1.07648
  • p(a)
    0.19716
  • Lowerbound of 95% confidence interval for beta
    -61.35750
  • Upperbound of 95% confidence interval for beta
    51.29760
  • Lowerbound of 95% confidence interval for alpha
    -18.40420
  • Upperbound of 95% confidence interval for alpha
    30.68610
  • Treynor index (mean / b)
    -0.98418
  • Jensen alpha (a)
    6.14095
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    3.29746
  • SD
    1.41434
  • Sharpe ratio (Glass type estimate)
    2.33144
  • Sharpe ratio (Hedges UMVUE)
    1.68703
  • df
    3.00000
  • t
    1.34606
  • p
    0.13548
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.63838
  • Upperbound of 95% confidence interval for Sharpe Ratio
    6.02491
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.96626
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.34033
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.00000
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    3.29746
  • Downside part of mean
    0.00000
  • Upside SD
    1.55125
  • Downside SD
    0.00000
  • N nonnegative terms
    4.00000
  • N negative terms
    0.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    4.00000
  • Mean of predictor
    0.22863
  • Mean of criterion
    3.29746
  • SD of predictor
    0.11736
  • SD of criterion
    1.41434
  • Covariance
    -0.03960
  • r
    -0.23858
  • b (slope, estimate of beta)
    -2.87525
  • a (intercept, estimate of alpha)
    3.95482
  • Mean Square Error
    2.82976
  • DF error
    2.00000
  • t(b)
    -0.34743
  • p(b)
    0.61929
  • t(a)
    1.13838
  • p(a)
    0.18648
  • Lowerbound of 95% confidence interval for beta
    -38.48280
  • Upperbound of 95% confidence interval for beta
    32.73230
  • Lowerbound of 95% confidence interval for alpha
    -10.99290
  • Upperbound of 95% confidence interval for alpha
    18.90250
  • Treynor index (mean / b)
    -1.14684
  • Jensen alpha (a)
    3.95482
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.32752
  • Expected Shortfall on VaR
    0.42689
  • 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
    4.00000
  • Minimum
    1.01369
  • Quartile 1
    1.07994
  • Median
    1.11004
  • Quartile 3
    1.44496
  • Maximum
    2.42566
  • Mean of quarter 1
    1.01369
  • Mean of quarter 2
    1.10202
  • Mean of quarter 3
    1.11807
  • Mean of quarter 4
    2.42566
  • Inter Quartile Range
    0.36502
  • 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
    0.25000
  • Mean of outliers high
    2.42566
  • 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)
    6.08901
  • Compounded annual return (geometric extrapolation)
    26.80910
  • 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
    62.80090
  • 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
    3.32742
  • SD
    0.97254
  • Sharpe ratio (Glass type estimate)
    3.42136
  • Sharpe ratio (Hedges UMVUE)
    3.39563
  • df
    100.00000
  • t
    2.12426
  • p
    0.01806
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.22098
  • Upperbound of 95% confidence interval for Sharpe Ratio
    6.60512
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.20402
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    6.58725
  • Statistics related to Sortino ratio
  • Sortino ratio
    7.88817
  • Upside Potential Ratio
    12.76070
  • Upside part of mean
    5.38276
  • Downside part of mean
    -2.05534
  • Upside SD
    0.89487
  • Downside SD
    0.42182
  • N nonnegative terms
    63.00000
  • N negative terms
    38.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    101.00000
  • Mean of predictor
    0.23500
  • Mean of criterion
    3.32742
  • SD of predictor
    0.14207
  • SD of criterion
    0.97254
  • Covariance
    -0.02790
  • r
    -0.20194
  • b (slope, estimate of beta)
    -1.38238
  • a (intercept, estimate of alpha)
    3.65200
  • Mean Square Error
    0.91644
  • DF error
    99.00000
  • t(b)
    -2.05149
  • p(b)
    0.97857
  • t(a)
    2.35638
  • p(a)
    0.01021
  • Lowerbound of 95% confidence interval for beta
    -2.71944
  • Upperbound of 95% confidence interval for beta
    -0.04533
  • Lowerbound of 95% confidence interval for alpha
    0.57683
  • Upperbound of 95% confidence interval for alpha
    6.72773
  • Treynor index (mean / b)
    -2.40702
  • Jensen alpha (a)
    3.65228
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    2.87925
  • SD
    0.91440
  • Sharpe ratio (Glass type estimate)
    3.14880
  • Sharpe ratio (Hedges UMVUE)
    3.12512
  • df
    100.00000
  • t
    1.95504
  • p
    0.02669
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.04554
  • Upperbound of 95% confidence interval for Sharpe Ratio
    6.32781
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.06118
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    6.31143
  • Statistics related to Sortino ratio
  • Sortino ratio
    6.48660
  • Upside Potential Ratio
    11.33100
  • Upside part of mean
    5.02958
  • Downside part of mean
    -2.15033
  • Upside SD
    0.81392
  • Downside SD
    0.44388
  • N nonnegative terms
    63.00000
  • N negative terms
    38.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    101.00000
  • Mean of predictor
    0.22487
  • Mean of criterion
    2.87925
  • SD of predictor
    0.14219
  • SD of criterion
    0.91440
  • Covariance
    -0.02436
  • r
    -0.18733
  • b (slope, estimate of beta)
    -1.20472
  • a (intercept, estimate of alpha)
    3.15016
  • Mean Square Error
    0.81493
  • DF error
    99.00000
  • t(b)
    -1.89752
  • p(b)
    0.96966
  • t(a)
    2.15625
  • p(a)
    0.01674
  • Lowerbound of 95% confidence interval for beta
    -2.46448
  • Upperbound of 95% confidence interval for beta
    0.05504
  • Lowerbound of 95% confidence interval for alpha
    0.25133
  • Upperbound of 95% confidence interval for alpha
    6.04899
  • Treynor index (mean / b)
    -2.38998
  • Jensen alpha (a)
    3.15016
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.07866
  • Expected Shortfall on VaR
    0.09996
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01419
  • Expected Shortfall on VaR
    0.03365
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    101.00000
  • Minimum
    0.88289
  • Quartile 1
    1.00000
  • Median
    1.00068
  • Quartile 3
    1.00739
  • Maximum
    1.31255
  • Mean of quarter 1
    0.96968
  • Mean of quarter 2
    1.00020
  • Mean of quarter 3
    1.00238
  • Mean of quarter 4
    1.08070
  • Inter Quartile Range
    0.00739
  • Number outliers low
    11.00000
  • Percentage of outliers low
    0.10891
  • Mean of outliers low
    0.92892
  • Number of outliers high
    21.00000
  • Percentage of outliers high
    0.20792
  • Mean of outliers high
    1.09370
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -7.62658
  • VaR(95%) (moments method)
    0.00290
  • Expected Shortfall (moments method)
    0.00290
  • Extreme Value Index (regression method)
    -1.43114
  • VaR(95%) (regression method)
    0.07099
  • Expected Shortfall (regression method)
    0.08574
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    5.00000
  • Minimum
    0.01854
  • Quartile 1
    0.09372
  • Median
    0.13458
  • Quartile 3
    0.15812
  • Maximum
    0.26593
  • Mean of quarter 1
    0.05613
  • Mean of quarter 2
    0.13458
  • Mean of quarter 3
    0.15812
  • Mean of quarter 4
    0.26593
  • Inter Quartile Range
    0.06440
  • 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
    0.26593
  • 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)
    5.36191
  • Compounded annual return (geometric extrapolation)
    17.30470
  • Calmar ratio (compounded annual return / max draw down)
    65.07240
  • Compounded annual return / average of 25% largest draw downs
    65.07240
  • Compounded annual return / Expected Shortfall lognormal
    173.11300
  • 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)
    0.07900
  • 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
    n/a
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -323924000
  • Max Equity Drawdown (num days)
    5

Strategy Description

Summary Statistics

Strategy began
2021-01-21
Suggested Minimum Capital
$35,000
# Trades
501
# Profitable
236
% Profitable
47.1%
Correlation S&P500
-0.189
Sharpe Ratio
2.70
Sortino Ratio
5.48
Beta
-1.41
Alpha
1.00
Leverage
0.55 Average
2.60 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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