This system has earned TradesOwnStrategy (TOS) Certification.
This means that the manager of this system trades his own strategy
in a reallife, funded brokerage account.
TradesOwnStrategy (TOS) Certification Details
Certification process started
10/29/2020
Most recent certification approved
10/29/20 9:31 ET
Trades at broker
Interactive Brokers (Stocks, Options, Futures)
Scaling percentage used
100%
# trading signals issued by system since certification
193
# trading signals executed in manager's Interactive Brokers (Stocks, Options, Futures) account
193
Percent signals followed since 10/29/2020
100%
This information was last updated
9/20/21 23:10 ET
Warning: System trading results are still hypothetical.
Even though the system developer is currently trading his own system in a reallife 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 10/29/2020,
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
underor overcompensated 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 Collective2 calculates the hypothetical results you see on this web site.
NASDAQ Momentum
(126548162)
This system has earned TradesOwnStrategy (TOS) Certification. This means that the manager of this system trades his own strategy in a reallife, funded brokerage account.
TradesOwnStrategy (TOS) Certification Details  

Certification process started  10/29/2020 
Most recent certification approved  10/29/20 9:31 ET 
Trades at broker  Interactive Brokers (Stocks, Options, Futures) 
Scaling percentage used  100% 
# trading signals issued by system since certification  193 
# trading signals executed in manager's Interactive Brokers (Stocks, Options, Futures) account  193 
Percent signals followed since 10/29/2020  100% 
This information was last updated  9/20/21 23:10 ET 
Warning: System trading results are still hypothetical.
Even though the system developer is currently trading his own system in a reallife 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 10/29/2020, 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 underor overcompensated 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 Collective2 calculates the hypothetical results you see on this web site.
Subscription terms. Subscriptions to this system cost $39.00 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.
Nonhedged Equity
Predominantly long equities, although some hedging with short sales of stocks and/or stock index options. Commonly known as "stockpickers."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 shortsells a security that has been in a downward trend. While similar to Trendfollowing, tends to be more forwardlooking (predicting oncoming trend), while Momentum is more backwardlooking (observing alreadyestablished price direction).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 markedtomarket equity calculations.
All results are hypothetical.
Jan  Feb  Mar  Apr  May  Jun  Jul  Aug  Sep  Oct  Nov  Dec  YTD  

2019  +8.4%  +8.4%  
2020  (0.4%)  +10.8%  +2.4%  +5.1%  +0.6%  +1.8%  +4.1%  +2.0%  (6.1%)  (0.9%)  +3.7%  +1.6%  +26.5% 
2021  (0.7%)  +0.9%  (0.2%)  +0.1%  +0.3%  (0.9%)  (0.2%)  +0.7%  (0.1%)  (0.3%) 
Model Account Details
A trading strategy on Collective2. Follow it in your broker account, or use a free simulated trading account.
Advanced users may want to use this information to adjust their AutoTrade scaling, or merely to understand the magnitudes of the nearby chart.
Started  $50,000  
Buy Power  $67,927  
Cash  $1  
Equity  $1  
Cumulative $  $20,453  
Includes dividends and cashsettled expirations:  $141  Itemized 
Total System Equity  $70,453  
Margined  $1  
Open P/L  $2  
Data has been delayed by 96 hours for nonsubscribers 
System developer has asked us to delay this information by 96 hours.
Trading Record
Statistics

Strategy began12/9/2019

Suggested Minimum Cap$15,000

Strategy Age (days)651.27

Age22 months ago

What it tradesStocks

# Trades209

# Profitable141

% Profitable67.50%

Avg trade duration14.3 days

Max peaktovalley drawdown9.76%

drawdown periodSept 02, 2020  Sept 23, 2020

Annual Return (Compounded)19.4%

Avg win$266.65

Avg loss$254.19
 Model Account Values (Raw)

Cash$68,134

Margin Used$0

Buying Power$67,927
 Ratios

W:L ratio2.19:1

Sharpe Ratio1.5

Sortino Ratio2.37

Calmar Ratio2.563
 CORRELATION STATISTICS

Return of Strat Pcnt  Return of SP500 Pcnt (cumu)1.56%

Correlation to SP5000.21530

Return Percent SP500 (cumu) during strategy life38.96%
 Return Statistics

Ann Return (w trading costs)19.4%
 Slump

Current Slump as Pcnt Equity3.50%
 Instruments

Percent Trades Futuresn/a
 Slump

Current Slump, time of slump as pcnt of strategy life0.59%
 Instruments

Short Options  Percent Covered100.00%
 Return Statistics

Return Pcnt (Compound or Annual, agebased, NFA compliant)0.194%
 Instruments

Percent Trades Optionsn/a

Percent Trades Stocks1.00%

Percent Trades Forexn/a
 Return Statistics

Ann Return (Compnd, No Fees)21.2%
 Risk of Ruin (MonteCarlo)

Chance of 10% account loss1.00%

Chance of 20% account lossn/a

Chance of 30% account lossn/a

Chance of 40% account lossn/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 Automatedn/a
 Risk of Ruin (MonteCarlo)

Chance of 50% account lossn/a
 Popularity

Popularity (Today)765

Popularity (Last 6 weeks)920
 Trading Style

Any stock shorts? 0/10
 Popularity

C2 Score939

Popularity (7 days, Percentile 1000 scale)831
 Management

No Subs Allowed Flag (1: no subs)0

Strat abandoned?0
 TradesOwnSystem Certification

Trades Own System?Yes

TOS percent100%
 Win / Loss

Avg Loss$254

Avg Win$267

Sum Trade PL (losers)$17,285.000
 AUM

AUM (AutoTrader num accounts)3
 Age

Num Months filled monthly returns table22
 Win / Loss

Sum Trade PL (winners)$37,597.000

# Winners141

Num Months Winners14
 Dividends

Dividends Received in Model Acct141
 AUM

AUM (AutoTrader live capital)154617
 Win / Loss

# Losers68

% Winners67.5%
 Frequency

Avg Position Time (mins)20536.70

Avg Position Time (hrs)342.28

Avg Trade Length14.3 days

Last Trade Ago6
 Leverage

Daily leverage (average)0.35

Daily leverage (max)0.99
 Regression

Alpha0.04

Beta0.07

Treynor Index0.61
 Maximum Adverse Excursion (MAE)

MAE:Equity, average, all trades0.00

MAE:PL  worst single value for strategy

MAE:PL (avg, winning trades)

MAE:PL (avg, losing trades)

MAE:PL (avg, all trades)0.21

MAE:Equity, average, winning trades0.00

MAE:Equity, average, losing trades0.00

Avg(MAE) / Avg(PL)  All trades1.946

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 strat0.00

Avg(MAE) / Avg(PL)  Winning trades0.433

Avg(MAE) / Avg(PL)  Losing trades1.134

HoldandHope Ratio0.512
 Analysis based on MONTHLY values, full history
 RATIO STATISTICS
 Ratio statistics of excess return rates
 Statistics related to Sharpe ratio

Mean0.17691

SD0.10870

Sharpe ratio (Glass type estimate)1.62749

Sharpe ratio (Hedges UMVUE)1.56556

df20.00000

t2.15297

p0.28312

Lowerbound of 95% confidence interval for Sharpe Ratio0.04530

Upperbound of 95% confidence interval for Sharpe Ratio3.17339

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.00655

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation3.12456
 Statistics related to Sortino ratio

Sortino ratio4.39648

Upside Potential Ratio5.84947

Upside part of mean0.23538

Downside part of mean0.05847

Upside SD0.11064

Downside SD0.04024

N nonnegative terms13.00000

N negative terms8.00000
 Statistics related to linear regression on benchmark

N of observations21.00000

Mean of predictor0.21051

Mean of criterion0.17691

SD of predictor0.24458

SD of criterion0.10870

Covariance0.00186

r0.07000

b (slope, estimate of beta)0.03111

a (intercept, estimate of alpha)0.18346

Mean Square Error0.01238

DF error19.00000

t(b)0.30588

p(b)0.54453

t(a)2.11405

p(a)0.23128

Lowerbound of 95% confidence interval for beta0.24400

Upperbound of 95% confidence interval for beta0.18177

Lowerbound of 95% confidence interval for alpha0.00182

Upperbound of 95% confidence interval for alpha0.36509

Treynor index (mean / b)5.68636

Jensen alpha (a)0.18346
 Ratio statistics of excess log return rates
 Statistics related to Sharpe ratio

Mean0.16985

SD0.10572

Sharpe ratio (Glass type estimate)1.60662

Sharpe ratio (Hedges UMVUE)1.54548

df20.00000

t2.12536

p0.28538

Lowerbound of 95% confidence interval for Sharpe Ratio0.02666

Upperbound of 95% confidence interval for Sharpe Ratio3.15065

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.01160

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation3.10256
 Statistics related to Sortino ratio

Sortino ratio4.15930

Upside Potential Ratio5.60786

Upside part of mean0.22901

Downside part of mean0.05915

Upside SD0.10668

Downside SD0.04084

N nonnegative terms13.00000

N negative terms8.00000
 Statistics related to linear regression on benchmark

N of observations21.00000

Mean of predictor0.17600

Mean of criterion0.16985

SD of predictor0.27110

SD of criterion0.10572

Covariance0.00267

r0.09300

b (slope, estimate of beta)0.03627

a (intercept, estimate of alpha)0.17624

Mean Square Error0.01166

DF error19.00000

t(b)0.40713

p(b)0.55912

t(a)2.12001

p(a)0.23071

Lowerbound of 95% confidence interval for beta0.22271

Upperbound of 95% confidence interval for beta0.15018

Lowerbound of 95% confidence interval for alpha0.00224

Upperbound of 95% confidence interval for alpha0.35023

Treynor index (mean / b)4.68354

Jensen alpha (a)0.17624
 Risk estimates for a oneperiod unit investment (parametric)
 assuming log normal returns and losses (using central moments from Sharpe statistics)

VaR(95%)0.03540

Expected Shortfall on VaR0.04757
 assuming Pareto losses only (using partial moments from Sortino statistics)

VaR(95%)0.00919

Expected Shortfall on VaR0.02002
 ORDER STATISTICS
 Quartiles of return rates

Number of observations21.00000

Minimum0.96099

Quartile 10.99922

Median1.01205

Quartile 31.03168

Maximum1.10472

Mean of quarter 10.98559

Mean of quarter 21.00627

Mean of quarter 31.02412

Mean of quarter 41.05860

Inter Quartile Range0.03245

Number outliers low0.00000

Percentage of outliers low0.00000

Mean of outliers low0.00000

Number of outliers high1.00000

Percentage of outliers high0.04762

Mean of outliers high1.10472
 Risk estimates for a oneperiod unit investment (based on Ex

Extreme Value Index (moments method)4.13820

VaR(95%) (moments method)0.00391

Expected Shortfall (moments method)0.00392

Extreme Value Index (regression method)0.31015

VaR(95%) (regression method)0.02703

Expected Shortfall (regression method)0.03738
 DRAW DOWN STATISTICS
 Quartiles of draw downs

Number of observations2.00000

Minimum0.02282

Quartile 10.02687

Median0.03092

Quartile 30.03496

Maximum0.03901

Mean of quarter 10.02282

Mean of quarter 20.00000

Mean of quarter 30.00000

Mean of quarter 40.03901

Inter Quartile Range0.00810

Number outliers low0.00000

Percentage of outliers low0.00000

Mean of outliers low0.00000

Number of outliers high0.00000

Percentage of outliers high0.00000

Mean of outliers high0.00000
 Risk estimates based on draw downs (based on Extreme Value T

Extreme Value Index (moments method)0.00000

VaR(95%) (moments method)0.00000

Expected Shortfall (moments method)0.00000

Extreme Value Index (regression method)0.00000

VaR(95%) (regression method)0.00000

Expected Shortfall (regression method)0.00000
 COMBINED STATISTICS

Annualized return (arithmetic extrapolation)0.23630

Compounded annual return (geometric extrapolation)0.21867

Calmar ratio (compounded annual return / max draw down)5.60518

Compounded annual return / average of 25% largest draw downs5.60518

Compounded annual return / Expected Shortfall lognormal4.59729

0.00000

0.00000
 Analysis based on DAILY values, full history
 RATIO STATISTICS
 Ratio statistics of excess return rates
 Statistics related to Sharpe ratio

Mean0.17179

SD0.09062

Sharpe ratio (Glass type estimate)1.89559

Sharpe ratio (Hedges UMVUE)1.89250

df460.00000

t2.51445

p0.00613

Lowerbound of 95% confidence interval for Sharpe Ratio0.41198

Upperbound of 95% confidence interval for Sharpe Ratio3.37723

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.40987

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation3.37512
 Statistics related to Sortino ratio

Sortino ratio2.95652

Upside Potential Ratio8.87862

Upside part of mean0.51589

Downside part of mean0.34410

Upside SD0.07022

Downside SD0.05810

N nonnegative terms253.00000

N negative terms208.00000
 Statistics related to linear regression on benchmark

N of observations461.00000

Mean of predictor0.19646

Mean of criterion0.17179

SD of predictor0.27228

SD of criterion0.09062

Covariance0.00519

r0.21030

b (slope, estimate of beta)0.07000

a (intercept, estimate of alpha)0.15800

Mean Square Error0.00787

DF error459.00000

t(b)4.60858

p(b)0.00000

t(a)2.36116

p(a)0.00932

Lowerbound of 95% confidence interval for beta0.04015

Upperbound of 95% confidence interval for beta0.09984

Lowerbound of 95% confidence interval for alpha0.02651

Upperbound of 95% confidence interval for alpha0.28957

Treynor index (mean / b)2.45425

Jensen alpha (a)0.15804
 Ratio statistics of excess log return rates
 Statistics related to Sharpe ratio

Mean0.16762

SD0.09053

Sharpe ratio (Glass type estimate)1.85168

Sharpe ratio (Hedges UMVUE)1.84865

df460.00000

t2.45621

p0.00720

Lowerbound of 95% confidence interval for Sharpe Ratio0.36830

Upperbound of 95% confidence interval for Sharpe Ratio3.33312

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.36626

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation3.33105
 Statistics related to Sortino ratio

Sortino ratio2.86044

Upside Potential Ratio8.76091

Upside part of mean0.51340

Downside part of mean0.34577

Upside SD0.06964

Downside SD0.05860

N nonnegative terms253.00000

N negative terms208.00000
 Statistics related to linear regression on benchmark

N of observations461.00000

Mean of predictor0.15908

Mean of criterion0.16762

SD of predictor0.27415

SD of criterion0.09053

Covariance0.00521

r0.20974

b (slope, estimate of beta)0.06926

a (intercept, estimate of alpha)0.15661

Mean Square Error0.00785

DF error459.00000

t(b)4.59567

p(b)0.00000

t(a)2.34290

p(a)0.00978

Lowerbound of 95% confidence interval for beta0.03964

Upperbound of 95% confidence interval for beta0.09887

Lowerbound of 95% confidence interval for alpha0.02525

Upperbound of 95% confidence interval for alpha0.28796

Treynor index (mean / b)2.42032

Jensen alpha (a)0.15661
 Risk estimates for a oneperiod unit investment (parametric)
 assuming log normal returns and losses (using central moments from Sharpe statistics)

VaR(95%)0.00852

Expected Shortfall on VaR0.01083
 assuming Pareto losses only (using partial moments from Sortino statistics)

VaR(95%)0.00275

Expected Shortfall on VaR0.00608
 ORDER STATISTICS
 Quartiles of return rates

Number of observations461.00000

Minimum0.97294

Quartile 10.99894

Median1.00030

Quartile 31.00253

Maximum1.03217

Mean of quarter 10.99521

Mean of quarter 20.99980

Mean of quarter 31.00121

Mean of quarter 41.00688

Inter Quartile Range0.00359

Number outliers low23.00000

Percentage of outliers low0.04989

Mean of outliers low0.98671

Number of outliers high31.00000

Percentage of outliers high0.06725

Mean of outliers high1.01342
 Risk estimates for a oneperiod unit investment (based on Ex

Extreme Value Index (moments method)0.61717

VaR(95%) (moments method)0.00438

Expected Shortfall (moments method)0.01291

Extreme Value Index (regression method)0.30437

VaR(95%) (regression method)0.00441

Expected Shortfall (regression method)0.00819
 DRAW DOWN STATISTICS
 Quartiles of draw downs

Number of observations27.00000

Minimum0.00005

Quartile 10.00193

Median0.00523

Quartile 30.01333

Maximum0.08425

Mean of quarter 10.00094

Mean of quarter 20.00419

Mean of quarter 30.00859

Mean of quarter 40.03298

Inter Quartile Range0.01141

Number outliers low0.00000

Percentage of outliers low0.00000

Mean of outliers low0.00000

Number of outliers high2.00000

Percentage of outliers high0.07407

Mean of outliers high0.06386
 Risk estimates based on draw downs (based on Extreme Value T

Extreme Value Index (moments method)0.38398

VaR(95%) (moments method)0.03636

Expected Shortfall (moments method)0.06683

Extreme Value Index (regression method)1.69944

VaR(95%) (regression method)0.03119

Expected Shortfall (regression method)0.00000
 COMBINED STATISTICS

Annualized return (arithmetic extrapolation)0.23338

Compounded annual return (geometric extrapolation)0.21596

Calmar ratio (compounded annual return / max draw down)2.56336

Compounded annual return / average of 25% largest draw downs6.54856

Compounded annual return / Expected Shortfall lognormal19.93130

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

Mean0.01351

SD0.02424

Sharpe ratio (Glass type estimate)0.55718

Sharpe ratio (Hedges UMVUE)0.55396

df130.00000

t0.39398

p0.51727

Lowerbound of 95% confidence interval for Sharpe Ratio3.32885

Upperbound of 95% confidence interval for Sharpe Ratio2.21642

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation3.32658

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation2.21867
 Statistics related to Sortino ratio

Sortino ratio0.75509

Upside Potential Ratio7.37528

Upside part of mean0.13192

Downside part of mean0.14543

Upside SD0.01624

Downside SD0.01789

N nonnegative terms65.00000

N negative terms66.00000
 Statistics related to linear regression on benchmark

N of observations131.00000

Mean of predictor0.19327

Mean of criterion0.01351

SD of predictor0.10856

SD of criterion0.02424

Covariance0.00123

r0.46924

b (slope, estimate of beta)0.10478

a (intercept, estimate of alpha)0.03376

Mean Square Error0.00046

DF error129.00000

t(b)6.03531

p(b)0.21263

t(a)1.10411

p(a)0.56150

Lowerbound of 95% confidence interval for beta0.07043

Upperbound of 95% confidence interval for beta0.13913

Lowerbound of 95% confidence interval for alpha0.09425

Upperbound of 95% confidence interval for alpha0.02673

Treynor index (mean / b)0.12890

Jensen alpha (a)0.03376
 Ratio statistics of excess log return rates
 Statistics related to Sharpe ratio

Mean0.01380

SD0.02424

Sharpe ratio (Glass type estimate)0.56909

Sharpe ratio (Hedges UMVUE)0.56580

df130.00000

t0.40241

p0.51764

Lowerbound of 95% confidence interval for Sharpe Ratio3.34067

Upperbound of 95% confidence interval for Sharpe Ratio2.20467

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation3.33846

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation2.20686
 Statistics related to Sortino ratio

Sortino ratio0.77023

Upside Potential Ratio7.35654

Upside part of mean0.13177

Downside part of mean0.14557

Upside SD0.01622

Downside SD0.01791

N nonnegative terms65.00000

N negative terms66.00000
 Statistics related to linear regression on benchmark

N of observations131.00000

Mean of predictor0.18734

Mean of criterion0.01380

SD of predictor0.10856

SD of criterion0.02424

Covariance0.00123

r0.46910

b (slope, estimate of beta)0.10476

a (intercept, estimate of alpha)0.03342

Mean Square Error0.00046

DF error129.00000

t(b)6.03288

p(b)0.21271

t(a)1.09331

p(a)0.56091

VAR (95 Confidence Intrvl)0.00900

Lowerbound of 95% confidence interval for beta0.07040

Upperbound of 95% confidence interval for beta0.13912

Lowerbound of 95% confidence interval for alpha0.09391

Upperbound of 95% confidence interval for alpha0.02706

Treynor index (mean / b)0.13170

Jensen alpha (a)0.03342
 Risk estimates for a oneperiod unit investment (parametric)
 assuming log normal returns and losses (using central moments from Sharpe statistics)

VaR(95%)0.00251

Expected Shortfall on VaR0.00314
 assuming Pareto losses only (using partial moments from Sortino statistics)

VaR(95%)0.00129

Expected Shortfall on VaR0.00248
 ORDER STATISTICS
 Quartiles of return rates

Number of observations131.00000

Minimum0.99519

Quartile 10.99930

Median1.00010

Quartile 31.00076

Maximum1.00449

Mean of quarter 10.99821

Mean of quarter 20.99980

Mean of quarter 31.00037

Mean of quarter 41.00185

Inter Quartile Range0.00146

Number outliers low4.00000

Percentage of outliers low0.03053

Mean of outliers low0.99578

Number of outliers high5.00000

Percentage of outliers high0.03817

Mean of outliers high1.00347
 Risk estimates for a oneperiod unit investment (based on Ex

Extreme Value Index (moments method)0.01892

VaR(95%) (moments method)0.00186

Expected Shortfall (moments method)0.00249

Extreme Value Index (regression method)0.05065

VaR(95%) (regression method)0.00179

Expected Shortfall (regression method)0.00233
 DRAW DOWN STATISTICS
 Quartiles of draw downs

Number of observations5.00000

Minimum0.00116

Quartile 10.00325

Median0.00494

Quartile 30.00672

Maximum0.01573

Mean of quarter 10.00221

Mean of quarter 20.00494

Mean of quarter 30.00672

Mean of quarter 40.01573

Inter Quartile Range0.00347

Number outliers low0.00000

Percentage of outliers low0.00000

Mean of outliers low0.00000

Number of outliers high1.00000

Percentage of outliers high0.20000

Mean of outliers high0.01573
 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 Negative0.75%

Expected Shortfall (regression method)0.00000

Strat Max DD how much worse than SP500 max DD during strat life?312106000

Max Equity Drawdown (num days)21
 COMBINED STATISTICS

Annualized return (arithmetic extrapolation)0.01416

Compounded annual return (geometric extrapolation)0.01421

Calmar ratio (compounded annual return / max draw down)0.90338

Compounded annual return / average of 25% largest draw downs0.90338

Compounded annual return / Expected Shortfall lognormal4.52986
Strategy Description
Of course, maybe this is obvious, but this is a strategy that trades stocks and ETFs so you want to have your commissions as low as possible. Sometimes the strategy is trading big stocks like AMZN, TSLA, etc. and we are only buying maybe 310 shares to keep the allocation percentages balanced correctly so low commissions are very helpful!
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 underor overcompensated 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 rescaled downward to make current goforward 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 pertrade 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.
Not available
This feature isn't available under your current Trade Leader Plan.
Strategy is now visible
This strategy is now visible to the public. New subscribers will be able to follow it.
If you designate your strategy as Private, it will no longer be visible to the public.
No subscribers and simulations will be allowed. If you have subscribers, the strategy will still be visible to them.
If you have simulations, they will be stopped.
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This strategy is no longer visible to anyone except current subscribers.
(Current subscribers will remain subscribed. You can see who is subscribed, and control their subscriptions, on your Subscriber Management screen.)
Finally, please note that you can restore public visibility at any time.
This strategy is no longer visible to the public. No subscribers will be allowed.
You can restore public visibility at any time.
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.