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
03/10/2020
Most recent certification approved
3/10/20 9:45 ET
Trades at broker
Interactive Brokers (Stocks, Options, Futures)
Scaling percentage used
100%
# trading signals issued by system since certification
423
# trading signals executed in manager's Interactive Brokers (Stocks, Options, Futures) account
423
Percent signals followed since 03/10/2020
100%
This information was last updated
9/20/21 22:16 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 03/10/2020,
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.
AI SOXL SOXS swing
(127841340)
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  03/10/2020 
Most recent certification approved  3/10/20 9:45 ET 
Trades at broker  Interactive Brokers (Stocks, Options, Futures) 
Scaling percentage used  100% 
# trading signals issued by system since certification  423 
# trading signals executed in manager's Interactive Brokers (Stocks, Options, Futures) account  423 
Percent signals followed since 03/10/2020  100% 
This information was last updated  9/20/21 22:16 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 03/10/2020, 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 $140.00 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.
Trendfollowing
Tries to take advantage of long, medium or shortterm moves that seem to play out in various markets. Typically, trendfollowing analysis is backward looking; that is, it attempts to recognize and profit from alreadyestablished trends.Sector: Technology
Focuses primarily on stocks of technology companies.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  

2020  +18.9%  (15.8%)  +32.1%  +24.9%  +11.7%  +3.8%  (17.2%)  +3.0%  +34.2%  +11.1%  +143.8%  
2021  +1.5%  +19.5%  (25%)  +3.8%  (7.1%)  +7.7%  (14.7%)  +12.1%  +7.9%  (2.5%) 
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  $25,000  
Buy Power  $25,315  
Cash  $1  
Equity  $1  
Cumulative $  $45,361  
Includes dividends and cashsettled expirations:  $72  Itemized 
Total System Equity  $70,361  
Margined  $1  
Open P/L  $10  
Data has been delayed by 36 hours for nonsubscribers 
System developer has asked us to delay this information by 36 hours.
Trading Record
Statistics

Strategy began3/4/2020

Suggested Minimum Cap$35,000

Strategy Age (days)565.73

Age19 months ago

What it tradesStocks

# Trades206

# Profitable92

% Profitable44.70%

Avg trade duration3.0 days

Max peaktovalley drawdown43.43%

drawdown periodJan 21, 2021  July 19, 2021

Annual Return (Compounded)86.7%

Avg win$2,732

Avg loss$1,807
 Model Account Values (Raw)

Cash$25,396

Margin Used$0

Buying Power$25,315
 Ratios

W:L ratio1.22:1

Sharpe Ratio1.03

Sortino Ratio1.56

Calmar Ratio2.51
 CORRELATION STATISTICS

Return of Strat Pcnt  Return of SP500 Pcnt (cumu)125.34%

Correlation to SP5000.33840

Return Percent SP500 (cumu) during strategy life39.22%
 Return Statistics

Ann Return (w trading costs)86.7%
 Slump

Current Slump as Pcnt Equity28.50%
 Instruments

Percent Trades Futuresn/a
 Slump

Current Slump, time of slump as pcnt of strategy life0.43%
 Instruments

Short Options  Percent Covered100.00%
 Return Statistics

Return Pcnt (Compound or Annual, agebased, NFA compliant)0.867%
 Instruments

Percent Trades Optionsn/a

Percent Trades Stocks1.00%

Percent Trades Forexn/a
 Return Statistics

Ann Return (Compnd, No Fees)94.7%
 Risk of Ruin (MonteCarlo)

Chance of 10% account loss67.00%

Chance of 20% account loss43.00%

Chance of 30% account loss30.50%

Chance of 40% account loss15.00%

Chance of 60% account loss (Monte Carlo)0.50%

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 loss5.50%
 Popularity

Popularity (Today)910

Popularity (Last 6 weeks)960
 Trading Style

Any stock shorts? 0/10
 Popularity

C2 Score920

Popularity (7 days, Percentile 1000 scale)927
 Management

No Subs Allowed Flag (1: no subs)0

Strat abandoned?0
 TradesOwnSystem Certification

Trades Own System?Yes

TOS percent100%
 Win / Loss

Avg Loss$1,808

Avg Win$2,733

Sum Trade PL (losers)$206,103.000
 AUM

AUM (AutoTrader num accounts)2
 Age

Num Months filled monthly returns table19
 Win / Loss

Sum Trade PL (winners)$251,392.000

# Winners92

Num Months Winners14
 Dividends

Dividends Received in Model Acct72
 AUM

AUM (AutoTrader live capital)586652
 Win / Loss

# Losers114

% Winners44.7%
 Frequency

Avg Position Time (mins)4314.38

Avg Position Time (hrs)71.91

Avg Trade Length3.0 days

Last Trade Ago0
 Leverage

Daily leverage (average)2.54

Daily leverage (max)4.08
 Regression

Alpha0.17

Beta0.81

Treynor Index0.28
 Maximum Adverse Excursion (MAE)

MAE:Equity, average, all trades0.04

MAE:PL  worst single value for strategy

MAE:PL (avg, winning trades)

MAE:PL (avg, losing trades)

MAE:PL (avg, all trades)0.20

MAE:Equity, average, winning trades0.02

MAE:Equity, average, losing trades0.05

Avg(MAE) / Avg(PL)  All trades10.781

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 strat0.01

Avg(MAE) / Avg(PL)  Winning trades0.375

Avg(MAE) / Avg(PL)  Losing trades1.255

HoldandHope Ratio0.093
 Analysis based on MONTHLY values, full history
 RATIO STATISTICS
 Ratio statistics of excess return rates
 Statistics related to Sharpe ratio

Mean0.71454

SD0.41509

Sharpe ratio (Glass type estimate)1.72139

Sharpe ratio (Hedges UMVUE)1.64412

df17.00000

t2.10827

p0.22052

Lowerbound of 95% confidence interval for Sharpe Ratio0.00108

Upperbound of 95% confidence interval for Sharpe Ratio3.39931

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.04892

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation3.33716
 Statistics related to Sortino ratio

Sortino ratio4.71682

Upside Potential Ratio6.25701

Upside part of mean0.94786

Downside part of mean0.23332

Upside SD0.42700

Downside SD0.15149

N nonnegative terms13.00000

N negative terms5.00000
 Statistics related to linear regression on benchmark

N of observations18.00000

Mean of predictor0.24754

Mean of criterion0.71454

SD of predictor0.23915

SD of criterion0.41509

Covariance0.04948

r0.49848

b (slope, estimate of beta)0.86521

a (intercept, estimate of alpha)0.50037

Mean Square Error0.13758

DF error16.00000

t(b)2.30002

p(b)0.25076

t(a)1.57921

p(a)0.31639

Lowerbound of 95% confidence interval for beta0.06776

Upperbound of 95% confidence interval for beta1.66267

Lowerbound of 95% confidence interval for alpha0.17132

Upperbound of 95% confidence interval for alpha1.17206

Treynor index (mean / b)0.82586

Jensen alpha (a)0.50037
 Ratio statistics of excess log return rates
 Statistics related to Sharpe ratio

Mean0.62113

SD0.38797

Sharpe ratio (Glass type estimate)1.60098

Sharpe ratio (Hedges UMVUE)1.52911

df17.00000

t1.96079

p0.23525

Lowerbound of 95% confidence interval for Sharpe Ratio0.10711

Upperbound of 95% confidence interval for Sharpe Ratio3.26698

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.15171

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation3.20993
 Statistics related to Sortino ratio

Sortino ratio3.87733

Upside Potential Ratio5.40747

Upside part of mean0.86625

Downside part of mean0.24512

Upside SD0.38555

Downside SD0.16020

N nonnegative terms13.00000

N negative terms5.00000
 Statistics related to linear regression on benchmark

N of observations18.00000

Mean of predictor0.21618

Mean of criterion0.62113

SD of predictor0.25072

SD of criterion0.38797

Covariance0.04443

r0.45682

b (slope, estimate of beta)0.70689

a (intercept, estimate of alpha)0.46831

Mean Square Error0.12655

DF error16.00000

t(b)2.05412

p(b)0.27159

t(a)1.56188

p(a)0.31814

Lowerbound of 95% confidence interval for beta0.02264

Upperbound of 95% confidence interval for beta1.43642

Lowerbound of 95% confidence interval for alpha0.16732

Upperbound of 95% confidence interval for alpha1.10394

Treynor index (mean / b)0.87867

Jensen alpha (a)0.46831
 Risk estimates for a oneperiod unit investment (parametric)
 assuming log normal returns and losses (using central moments from Sharpe statistics)

VaR(95%)0.12406

Expected Shortfall on VaR0.16340
 assuming Pareto losses only (using partial moments from Sortino statistics)

VaR(95%)0.02920

Expected Shortfall on VaR0.06631
 ORDER STATISTICS
 Quartiles of return rates

Number of observations18.00000

Minimum0.87068

Quartile 10.99836

Median1.02607

Quartile 31.14503

Maximum1.28547

Mean of quarter 10.93233

Mean of quarter 21.00784

Mean of quarter 31.08300

Mean of quarter 41.21774

Inter Quartile Range0.14666

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 for a oneperiod unit investment (based on Ex

Extreme Value Index (moments method)22.25020

VaR(95%) (moments method)0.01429

Expected Shortfall (moments method)0.01429

Extreme Value Index (regression method)1.02810

VaR(95%) (regression method)0.11874

Expected Shortfall (regression method)0.13170
 DRAW DOWN STATISTICS
 Quartiles of draw downs

Number of observations4.00000

Minimum0.00335

Quartile 10.04398

Median0.09342

Quartile 30.13288

Maximum0.14357

Mean of quarter 10.00335

Mean of quarter 20.05752

Mean of quarter 30.12932

Mean of quarter 40.14357

Inter Quartile Range0.08890

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)1.09822

Compounded annual return (geometric extrapolation)0.91369

Calmar ratio (compounded annual return / max draw down)6.36412

Compounded annual return / average of 25% largest draw downs6.36412

Compounded annual return / Expected Shortfall lognormal5.59180

0.00000

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

Mean0.83411

SD0.62974

Sharpe ratio (Glass type estimate)1.32454

Sharpe ratio (Hedges UMVUE)1.32205

df400.00000

t1.63865

p0.05104

Lowerbound of 95% confidence interval for Sharpe Ratio0.26317

Upperbound of 95% confidence interval for Sharpe Ratio2.91067

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.26485

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation2.90896
 Statistics related to Sortino ratio

Sortino ratio2.03013

Upside Potential Ratio9.98675

Upside part of mean4.10322

Downside part of mean3.26911

Upside SD0.47898

Downside SD0.41087

N nonnegative terms225.00000

N negative terms176.00000
 Statistics related to linear regression on benchmark

N of observations401.00000

Mean of predictor0.22771

Mean of criterion0.83411

SD of predictor0.27952

SD of criterion0.62974

Covariance0.06761

r0.38409

b (slope, estimate of beta)0.86533

a (intercept, estimate of alpha)0.63700

Mean Square Error0.33891

DF error399.00000

t(b)8.30960

p(b)0.00000

t(a)1.35211

p(a)0.08855

Lowerbound of 95% confidence interval for beta0.66061

Upperbound of 95% confidence interval for beta1.07006

Lowerbound of 95% confidence interval for alpha0.28921

Upperbound of 95% confidence interval for alpha1.56334

Treynor index (mean / b)0.96392

Jensen alpha (a)0.63707
 Ratio statistics of excess log return rates
 Statistics related to Sharpe ratio

Mean0.63739

SD0.62519

Sharpe ratio (Glass type estimate)1.01951

Sharpe ratio (Hedges UMVUE)1.01760

df400.00000

t1.26128

p0.10397

Lowerbound of 95% confidence interval for Sharpe Ratio0.56696

Upperbound of 95% confidence interval for Sharpe Ratio2.60471

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.56823

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation2.60342
 Statistics related to Sortino ratio

Sortino ratio1.49573

Upside Potential Ratio9.37428

Upside part of mean3.99475

Downside part of mean3.35736

Upside SD0.45809

Downside SD0.42614

N nonnegative terms225.00000

N negative terms176.00000
 Statistics related to linear regression on benchmark

N of observations401.00000

Mean of predictor0.18828

Mean of criterion0.63739

SD of predictor0.28160

SD of criterion0.62519

Covariance0.06597

r0.37470

b (slope, estimate of beta)0.83190

a (intercept, estimate of alpha)0.48076

Mean Square Error0.33683

DF error399.00000

t(b)8.07281

p(b)0.00000

t(a)1.02394

p(a)0.15324

Lowerbound of 95% confidence interval for beta0.62931

Upperbound of 95% confidence interval for beta1.03449

Lowerbound of 95% confidence interval for alpha0.44228

Upperbound of 95% confidence interval for alpha1.40381

Treynor index (mean / b)0.76618

Jensen alpha (a)0.48076
 Risk estimates for a oneperiod unit investment (parametric)
 assuming log normal returns and losses (using central moments from Sharpe statistics)

VaR(95%)0.05927

Expected Shortfall on VaR0.07424
 assuming Pareto losses only (using partial moments from Sortino statistics)

VaR(95%)0.02647

Expected Shortfall on VaR0.05262
 ORDER STATISTICS
 Quartiles of return rates

Number of observations401.00000

Minimum0.88524

Quartile 10.98303

Median1.00280

Quartile 31.02413

Maximum1.24077

Mean of quarter 10.95646

Mean of quarter 20.99450

Mean of quarter 31.01337

Mean of quarter 41.04930

Inter Quartile Range0.04109

Number outliers low12.00000

Percentage of outliers low0.02993

Mean of outliers low0.90272

Number of outliers high7.00000

Percentage of outliers high0.01746

Mean of outliers high1.12632
 Risk estimates for a oneperiod unit investment (based on Ex

Extreme Value Index (moments method)0.00683

VaR(95%) (moments method)0.03933

Expected Shortfall (moments method)0.05342

Extreme Value Index (regression method)0.18437

VaR(95%) (regression method)0.03998

Expected Shortfall (regression method)0.05032
 DRAW DOWN STATISTICS
 Quartiles of draw downs

Number of observations19.00000

Minimum0.00347

Quartile 10.03518

Median0.06874

Quartile 30.10220

Maximum0.37657

Mean of quarter 10.00778

Mean of quarter 20.06517

Mean of quarter 30.08091

Mean of quarter 40.24710

Inter Quartile Range0.06702

Number outliers low0.00000

Percentage of outliers low0.00000

Mean of outliers low0.00000

Number of outliers high3.00000

Percentage of outliers high0.15790

Mean of outliers high0.31852
 Risk estimates based on draw downs (based on Extreme Value T

Extreme Value Index (moments method)4.73953

VaR(95%) (moments method)0.22460

Expected Shortfall (moments method)0.22471

Extreme Value Index (regression method)1.18219

VaR(95%) (regression method)0.36985

Expected Shortfall (regression method)0.39519
 COMBINED STATISTICS

Annualized return (arithmetic extrapolation)1.15540

Compounded annual return (geometric extrapolation)0.94507

Calmar ratio (compounded annual return / max draw down)2.50970

Compounded annual return / average of 25% largest draw downs3.82466

Compounded annual return / Expected Shortfall lognormal12.73050

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

Mean0.01883

SD0.48088

Sharpe ratio (Glass type estimate)0.03916

Sharpe ratio (Hedges UMVUE)0.03893

df130.00000

t0.02769

p0.50121

Lowerbound of 95% confidence interval for Sharpe Ratio2.81097

Upperbound of 95% confidence interval for Sharpe Ratio2.73265

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation2.81074

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation2.73288
 Statistics related to Sortino ratio

Sortino ratio0.05751

Upside Potential Ratio8.98832

Upside part of mean2.94314

Downside part of mean2.96197

Upside SD0.34966

Downside SD0.32744

N nonnegative terms63.00000

N negative terms68.00000
 Statistics related to linear regression on benchmark

N of observations131.00000

Mean of predictor0.19327

Mean of criterion0.01883

SD of predictor0.10856

SD of criterion0.48088

Covariance0.01793

r0.34356

b (slope, estimate of beta)1.52188

a (intercept, estimate of alpha)0.31297

Mean Square Error0.20553

DF error129.00000

t(b)4.15503

p(b)0.28566

t(a)0.48519

p(a)0.52716

Lowerbound of 95% confidence interval for beta0.79720

Upperbound of 95% confidence interval for beta2.24657

Lowerbound of 95% confidence interval for alpha1.58918

Upperbound of 95% confidence interval for alpha0.96325

Treynor index (mean / b)0.01237

Jensen alpha (a)0.31297
 Ratio statistics of excess log return rates
 Statistics related to Sharpe ratio

Mean0.13326

SD0.47999

Sharpe ratio (Glass type estimate)0.27763

Sharpe ratio (Hedges UMVUE)0.27603

df130.00000

t0.19632

p0.50861

Lowerbound of 95% confidence interval for Sharpe Ratio3.04916

Upperbound of 95% confidence interval for Sharpe Ratio2.49486

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation3.04804

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation2.49598
 Statistics related to Sortino ratio

Sortino ratio0.39703

Upside Potential Ratio8.59179

Upside part of mean2.88379

Downside part of mean3.01705

Upside SD0.34065

Downside SD0.33565

N nonnegative terms63.00000

N negative terms68.00000
 Statistics related to linear regression on benchmark

N of observations131.00000

Mean of predictor0.18734

Mean of criterion0.13326

SD of predictor0.10856

SD of criterion0.47999

Covariance0.01774

r0.34042

b (slope, estimate of beta)1.50520

a (intercept, estimate of alpha)0.41524

Mean Square Error0.20527

DF error129.00000

t(b)4.11199

p(b)0.28754

t(a)0.64438

p(a)0.53604

VAR (95 Confidence Intrvl)0.05900

Lowerbound of 95% confidence interval for beta0.78096

Upperbound of 95% confidence interval for beta2.22944

Lowerbound of 95% confidence interval for alpha1.69019

Upperbound of 95% confidence interval for alpha0.85972

Treynor index (mean / b)0.08853

Jensen alpha (a)0.41524
 Risk estimates for a oneperiod unit investment (parametric)
 assuming log normal returns and losses (using central moments from Sharpe statistics)

VaR(95%)0.04809

Expected Shortfall on VaR0.05976
 assuming Pareto losses only (using partial moments from Sortino statistics)

VaR(95%)0.02692

Expected Shortfall on VaR0.04833
 ORDER STATISTICS
 Quartiles of return rates

Number of observations131.00000

Minimum0.91550

Quartile 10.98109

Median0.99830

Quartile 31.01636

Maximum1.07845

Mean of quarter 10.96448

Mean of quarter 20.99094

Mean of quarter 31.00667

Mean of quarter 41.03826

Inter Quartile Range0.03527

Number outliers low1.00000

Percentage of outliers low0.00763

Mean of outliers low0.91550

Number of outliers high3.00000

Percentage of outliers high0.02290

Mean of outliers high1.07601
 Risk estimates for a oneperiod unit investment (based on Ex

Extreme Value Index (moments method)0.07355

VaR(95%) (moments method)0.03710

Expected Shortfall (moments method)0.04963

Extreme Value Index (regression method)0.31431

VaR(95%) (regression method)0.03254

Expected Shortfall (regression method)0.04733
 DRAW DOWN STATISTICS
 Quartiles of draw downs

Number of observations1.00000

Minimum0.30055

Quartile 10.30055

Median0.30055

Quartile 30.30055

Maximum0.30055

Mean of quarter 10.00000

Mean of quarter 20.00000

Mean of quarter 30.00000

Mean of quarter 40.00000

Inter Quartile Range0.00000

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

Last 4 Months  Pcnt Negative0.25%

Expected Shortfall (regression method)0.00000

Strat Max DD how much worse than SP500 max DD during strat life?308489000

Max Equity Drawdown (num days)179
 COMBINED STATISTICS

Annualized return (arithmetic extrapolation)0.10263

Compounded annual return (geometric extrapolation)0.09999

Calmar ratio (compounded annual return / max draw down)0.33271

Compounded annual return / average of 25% largest draw downs0.00000

Compounded annual return / Expected Shortfall lognormal1.67338
Strategy Description
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.
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This strategy is now visible to the public. New subscribers will be able to follow it.
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This strategy is no longer visible to the public. No subscribers will be allowed.
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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.