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
10/14/2020
Most recent certification approved
10/14/20 10:49 ET
Trades at broker
Israel Interactive Trading
Scaling percentage used
100%
# trading signals issued by system since certification
54
# trading signals executed in manager's Israel Interactive Trading account
54
Percent signals followed since 10/14/2020
100%
This information was last updated
9/20/21 22:29 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 10/14/2020,
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.
Stocks AI Strategy
(131629515)
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  10/14/2020 
Most recent certification approved  10/14/20 10:49 ET 
Trades at broker  Israel Interactive Trading 
Scaling percentage used  100% 
# trading signals issued by system since certification  54 
# trading signals executed in manager's Israel Interactive Trading account  54 
Percent signals followed since 10/14/2020  100% 
This information was last updated  9/20/21 22:29 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 10/14/2020, 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 $15.00 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.
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 markedtomarket equity calculations.
All results are hypothetical.
Jan  Feb  Mar  Apr  May  Jun  Jul  Aug  Sep  Oct  Nov  Dec  YTD  

2020  (5.5%)  +3.5%  +5.2%  +2.8%  
2021  (0.4%)  +4.6%  (1.9%)  +6.0%  (1.2%)  +9.4%  +6.3%  +6.0%  (4.7%)  +25.7% 
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.
Started  $20,000  
Buy Power  $15,859  
Cash  $8,462  
Equity  $7,396  
Cumulative $  $6,163  
Includes dividends and cashsettled expirations:  $61  Itemized 
Total System Equity  $26,163  
Margined  $0  
Open P/L  $7,396 
Trading Record
Statistics

Strategy began10/11/2020

Suggested Minimum Cap$15,000

Strategy Age (days)344.48

Age12 months ago

What it tradesStocks

# Trades21

# Profitable9

% Profitable42.90%

Avg trade duration169.1 days

Max peaktovalley drawdown21.33%

drawdown periodFeb 16, 2021  March 15, 2021

Cumul. Return28.1%

Avg win$579.00

Avg loss$121.92
 Model Account Values (Raw)

Cash$8,462

Margin Used$0

Buying Power$15,859
 Ratios

W:L ratio3.65:1

Sharpe Ratio1.12

Sortino Ratio1.73

Calmar Ratio2.35
 CORRELATION STATISTICS

Return of Strat Pcnt  Return of SP500 Pcnt (cumu)2.82%

Correlation to SP5000.51500

Return Percent SP500 (cumu) during strategy life25.33%
 Return Statistics

Ann Return (w trading costs)29.7%
 Slump

Current Slump as Pcnt Equity4.10%
 Instruments

Percent Trades Futuresn/a
 Slump

Current Slump, time of slump as pcnt of strategy life0.04%
 Return Statistics

Return Pcnt (Compound or Annual, agebased, NFA compliant)0.281%
 Instruments

Percent Trades Optionsn/a

Percent Trades Stocks1.00%

Percent Trades Forexn/a
 Return Statistics

Ann Return (Compnd, No Fees)32.8%
 Automation

Percentage Signals Automatedn/a
 Popularity

Popularity (Today)718

Popularity (Last 6 weeks)885
 Trading Style

Any stock shorts? 0/10
 Popularity

Popularity (7 days, Percentile 1000 scale)810
 Management

No Subs Allowed Flag (1: no subs)0

Strat abandoned?0
 TradesOwnSystem Certification

Trades Own System?Yes

TOS percent100%
 Win / Loss

Avg Loss$122

Avg Win$841

Sum Trade PL (losers)$1,463.000
 Age

Num Months filled monthly returns table12
 Win / Loss

Sum Trade PL (winners)$7,566.000

# Winners9

Num Months Winners7
 Dividends

Dividends Received in Model Acct61
 Win / Loss

# Losers12

% Winners42.9%
 Frequency

Avg Position Time (mins)243442.00

Avg Position Time (hrs)4057.37

Avg Trade Length169.1 days

Last Trade Ago33
 Leverage

Daily leverage (average)0.95

Daily leverage (max)1.11
 Regression

Alpha0.03

Beta0.77

Treynor Index0.10
 Maximum Adverse Excursion (MAE)

MAE:Equity, average, all trades0.01

MAE:PL  worst single value for strategy

MAE:PL (avg, winning trades)

MAE:PL (avg, losing trades)

MAE:PL (avg, all trades)2.05

MAE:Equity, average, winning trades0.01

MAE:Equity, average, losing trades0.01

Avg(MAE) / Avg(PL)  All trades0.849

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 trades0.205

Avg(MAE) / Avg(PL)  Losing trades1.779

HoldandHope Ratio0.555
 Analysis based on MONTHLY values, full history
 RATIO STATISTICS
 Ratio statistics of excess return rates
 Statistics related to Sharpe ratio

Mean0.34216

SD0.26613

Sharpe ratio (Glass type estimate)1.28570

Sharpe ratio (Hedges UMVUE)1.17497

df9.00000

t1.17368

p0.13532

Lowerbound of 95% confidence interval for Sharpe Ratio0.97234

Upperbound of 95% confidence interval for Sharpe Ratio3.47845

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation1.03961

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation3.38955
 Statistics related to Sortino ratio

Sortino ratio2.24002

Upside Potential Ratio3.87397

Upside part of mean0.59175

Downside part of mean0.24959

Upside SD0.22398

Downside SD0.15275

N nonnegative terms7.00000

N negative terms3.00000
 Statistics related to linear regression on benchmark

N of observations10.00000

Mean of predictor0.24105

Mean of criterion0.34216

SD of predictor0.05927

SD of criterion0.26613

Covariance0.01020

r0.64662

b (slope, estimate of beta)2.90326

a (intercept, estimate of alpha)0.35768

Mean Square Error0.04636

DF error8.00000

t(b)2.39758

p(b)0.02167

t(a)0.95308

p(a)0.81577

Lowerbound of 95% confidence interval for beta0.11088

Upperbound of 95% confidence interval for beta5.69563

Lowerbound of 95% confidence interval for alpha1.22308

Upperbound of 95% confidence interval for alpha0.50773

Treynor index (mean / b)0.11786

Jensen alpha (a)0.35768
 Ratio statistics of excess log return rates
 Statistics related to Sharpe ratio

Mean0.30533

SD0.26646

Sharpe ratio (Glass type estimate)1.14588

Sharpe ratio (Hedges UMVUE)1.04719

df9.00000

t1.04604

p0.16141

Lowerbound of 95% confidence interval for Sharpe Ratio1.09315

Upperbound of 95% confidence interval for Sharpe Ratio3.32585

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation1.15367

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation3.24805
 Statistics related to Sortino ratio

Sortino ratio1.88770

Upside Potential Ratio3.50489

Upside part of mean0.56691

Downside part of mean0.26158

Upside SD0.21332

Downside SD0.16175

N nonnegative terms7.00000

N negative terms3.00000
 Statistics related to linear regression on benchmark

N of observations10.00000

Mean of predictor0.23661

Mean of criterion0.30533

SD of predictor0.05781

SD of criterion0.26646

Covariance0.01010

r0.65584

b (slope, estimate of beta)3.02296

a (intercept, estimate of alpha)0.40993

Mean Square Error0.04552

DF error8.00000

t(b)2.45725

p(b)0.01974

t(a)1.09812

p(a)0.84795

Lowerbound of 95% confidence interval for beta0.18606

Upperbound of 95% confidence interval for beta5.85987

Lowerbound of 95% confidence interval for alpha1.27076

Upperbound of 95% confidence interval for alpha0.45090

Treynor index (mean / b)0.10100

Jensen alpha (a)0.40993
 Risk estimates for a oneperiod unit investment (parametric)
 assuming log normal returns and losses (using central moments from Sharpe statistics)

VaR(95%)0.09614

Expected Shortfall on VaR0.12437
 assuming Pareto losses only (using partial moments from Sortino statistics)

VaR(95%)0.03356

Expected Shortfall on VaR0.07299
 ORDER STATISTICS
 Quartiles of return rates

Number of observations10.00000

Minimum0.87513

Quartile 10.98042

Median1.05102

Quartile 31.07512

Maximum1.12989

Mean of quarter 10.93300

Mean of quarter 21.04197

Mean of quarter 31.05501

Mean of quarter 41.10516

Inter Quartile Range0.09470

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)0.54687

VaR(95%) (moments method)0.08568

Expected Shortfall (moments method)0.19576

Extreme Value Index (regression method)4.62793

VaR(95%) (regression method)0.33243

Expected Shortfall (regression method)0.00000
 DRAW DOWN STATISTICS
 Quartiles of draw downs

Number of observations2.00000

Minimum0.03720

Quartile 10.05912

Median0.08103

Quartile 30.10295

Maximum0.12487

Mean of quarter 10.03720

Mean of quarter 20.00000

Mean of quarter 30.00000

Mean of quarter 40.12487

Inter Quartile Range0.04383

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)0.38410

Compounded annual return (geometric extrapolation)0.39548

Calmar ratio (compounded annual return / max draw down)3.16723

Compounded annual return / average of 25% largest draw downs3.16723

Compounded annual return / Expected Shortfall lognormal3.17973

0.00000

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

Mean0.29877

SD0.21107

Sharpe ratio (Glass type estimate)1.41549

Sharpe ratio (Hedges UMVUE)1.41098

df236.00000

t1.34626

p0.08976

Lowerbound of 95% confidence interval for Sharpe Ratio0.65068

Upperbound of 95% confidence interval for Sharpe Ratio3.47872

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.65369

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation3.47566
 Statistics related to Sortino ratio

Sortino ratio2.18218

Upside Potential Ratio9.54809

Upside part of mean1.30727

Downside part of mean1.00850

Upside SD0.16112

Downside SD0.13692

N nonnegative terms129.00000

N negative terms108.00000
 Statistics related to linear regression on benchmark

N of observations237.00000

Mean of predictor0.21433

Mean of criterion0.29877

SD of predictor0.14616

SD of criterion0.21107

Covariance0.01584

r0.51350

b (slope, estimate of beta)0.74156

a (intercept, estimate of alpha)0.14000

Mean Square Error0.03294

DF error235.00000

t(b)9.17372

p(b)0.00000

t(a)0.72972

p(a)0.23314

Lowerbound of 95% confidence interval for beta0.58231

Upperbound of 95% confidence interval for beta0.90082

Lowerbound of 95% confidence interval for alpha0.23769

Upperbound of 95% confidence interval for alpha0.51735

Treynor index (mean / b)0.40290

Jensen alpha (a)0.13983
 Ratio statistics of excess log return rates
 Statistics related to Sharpe ratio

Mean0.27658

SD0.20987

Sharpe ratio (Glass type estimate)1.31784

Sharpe ratio (Hedges UMVUE)1.31364

df236.00000

t1.25339

p0.10565

Lowerbound of 95% confidence interval for Sharpe Ratio0.74767

Upperbound of 95% confidence interval for Sharpe Ratio3.38067

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.75051

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation3.37779
 Statistics related to Sortino ratio

Sortino ratio1.98848

Upside Potential Ratio9.30719

Upside part of mean1.29455

Downside part of mean1.01797

Upside SD0.15750

Downside SD0.13909

N nonnegative terms129.00000

N negative terms108.00000
 Statistics related to linear regression on benchmark

N of observations237.00000

Mean of predictor0.20365

Mean of criterion0.27658

SD of predictor0.14562

SD of criterion0.20987

Covariance0.01543

r0.50477

b (slope, estimate of beta)0.72748

a (intercept, estimate of alpha)0.12843

Mean Square Error0.03296

DF error235.00000

t(b)8.96365

p(b)0.00000

t(a)0.67027

p(a)0.25167

Lowerbound of 95% confidence interval for beta0.56759

Upperbound of 95% confidence interval for beta0.88737

Lowerbound of 95% confidence interval for alpha0.24906

Upperbound of 95% confidence interval for alpha0.50592

Treynor index (mean / b)0.38019

Jensen alpha (a)0.12843
 Risk estimates for a oneperiod unit investment (parametric)
 assuming log normal returns and losses (using central moments from Sharpe statistics)

VaR(95%)0.02007

Expected Shortfall on VaR0.02535
 assuming Pareto losses only (using partial moments from Sortino statistics)

VaR(95%)0.00829

Expected Shortfall on VaR0.01700
 ORDER STATISTICS
 Quartiles of return rates

Number of observations237.00000

Minimum0.94213

Quartile 10.99494

Median1.00174

Quartile 31.00790

Maximum1.09466

Mean of quarter 10.98693

Mean of quarter 20.99822

Mean of quarter 31.00500

Mean of quarter 41.01508

Inter Quartile Range0.01296

Number outliers low6.00000

Percentage of outliers low0.02532

Mean of outliers low0.96096

Number of outliers high4.00000

Percentage of outliers high0.01688

Mean of outliers high1.04668
 Risk estimates for a oneperiod unit investment (based on Ex

Extreme Value Index (moments method)0.41500

VaR(95%) (moments method)0.01385

Expected Shortfall (moments method)0.02666

Extreme Value Index (regression method)0.33062

VaR(95%) (regression method)0.01201

Expected Shortfall (regression method)0.02029
 DRAW DOWN STATISTICS
 Quartiles of draw downs

Number of observations14.00000

Minimum0.00097

Quartile 10.00847

Median0.02305

Quartile 30.04806

Maximum0.15143

Mean of quarter 10.00496

Mean of quarter 20.01702

Mean of quarter 30.03144

Mean of quarter 40.08540

Inter Quartile Range0.03960

Number outliers low0.00000

Percentage of outliers low0.00000

Mean of outliers low0.00000

Number of outliers high1.00000

Percentage of outliers high0.07143

Mean of outliers high0.15143
 Risk estimates based on draw downs (based on Extreme Value T

Extreme Value Index (moments method)0.17491

VaR(95%) (moments method)0.09757

Expected Shortfall (moments method)0.14252

Extreme Value Index (regression method)1.57221

VaR(95%) (regression method)0.13123

Expected Shortfall (regression method)0.00000
 COMBINED STATISTICS

Annualized return (arithmetic extrapolation)0.35055

Compounded annual return (geometric extrapolation)0.35593

Calmar ratio (compounded annual return / max draw down)2.35038

Compounded annual return / average of 25% largest draw downs4.16764

Compounded annual return / Expected Shortfall lognormal14.03990

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

Mean0.39890

SD0.13520

Sharpe ratio (Glass type estimate)2.95038

Sharpe ratio (Hedges UMVUE)2.93332

df130.00000

t2.08623

p0.41001

Lowerbound of 95% confidence interval for Sharpe Ratio0.14999

Upperbound of 95% confidence interval for Sharpe Ratio5.73969

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.13868

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation5.72797
 Statistics related to Sortino ratio

Sortino ratio4.73468

Upside Potential Ratio13.01940

Upside part of mean1.09690

Downside part of mean0.69800

Upside SD0.10793

Downside SD0.08425

N nonnegative terms77.00000

N negative terms54.00000
 Statistics related to linear regression on benchmark

N of observations131.00000

Mean of predictor0.16830

Mean of criterion0.39890

SD of predictor0.11082

SD of criterion0.13520

Covariance0.00856

r0.57124

b (slope, estimate of beta)0.69695

a (intercept, estimate of alpha)0.28160

Mean Square Error0.01241

DF error129.00000

t(b)7.90475

p(b)0.15722

t(a)1.77955

p(a)0.40185

Lowerbound of 95% confidence interval for beta0.52250

Upperbound of 95% confidence interval for beta0.87139

Lowerbound of 95% confidence interval for alpha0.03149

Upperbound of 95% confidence interval for alpha0.59469

Treynor index (mean / b)0.57235

Jensen alpha (a)0.28160
 Ratio statistics of excess log return rates
 Statistics related to Sharpe ratio

Mean0.38951

SD0.13504

Sharpe ratio (Glass type estimate)2.88446

Sharpe ratio (Hedges UMVUE)2.86779

df130.00000

t2.03962

p0.41195

Lowerbound of 95% confidence interval for Sharpe Ratio0.08522

Upperbound of 95% confidence interval for Sharpe Ratio5.67289

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.07415

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation5.66143
 Statistics related to Sortino ratio

Sortino ratio4.59395

Upside Potential Ratio12.86760

Upside part of mean1.09101

Downside part of mean0.70150

Upside SD0.10717

Downside SD0.08479

N nonnegative terms77.00000

N negative terms54.00000
 Statistics related to linear regression on benchmark

N of observations131.00000

Mean of predictor0.16214

Mean of criterion0.38951

SD of predictor0.11084

SD of criterion0.13504

Covariance0.00856

r0.57165

b (slope, estimate of beta)0.69644

a (intercept, estimate of alpha)0.27659

Mean Square Error0.01237

DF error129.00000

t(b)7.91320

p(b)0.15700

t(a)1.75120

p(a)0.40337

VAR (95 Confidence Intrvl)0.02000

Lowerbound of 95% confidence interval for beta0.52231

Upperbound of 95% confidence interval for beta0.87057

Lowerbound of 95% confidence interval for alpha0.03590

Upperbound of 95% confidence interval for alpha0.58909

Treynor index (mean / b)0.55929

Jensen alpha (a)0.27659
 Risk estimates for a oneperiod unit investment (parametric)
 assuming log normal returns and losses (using central moments from Sharpe statistics)

VaR(95%)0.01216

Expected Shortfall on VaR0.01559
 assuming Pareto losses only (using partial moments from Sortino statistics)

VaR(95%)0.00545

Expected Shortfall on VaR0.01071
 ORDER STATISTICS
 Quartiles of return rates

Number of observations131.00000

Minimum0.98127

Quartile 10.99629

Median1.00254

Quartile 31.00788

Maximum1.02732

Mean of quarter 10.99079

Mean of quarter 20.99934

Mean of quarter 31.00491

Mean of quarter 41.01158

Inter Quartile Range0.01160

Number outliers low0.00000

Percentage of outliers low0.00000

Mean of outliers low0.00000

Number of outliers high1.00000

Percentage of outliers high0.00763

Mean of outliers high1.02732
 Risk estimates for a oneperiod unit investment (based on Ex

Extreme Value Index (moments method)0.46305

VaR(95%) (moments method)0.00900

Expected Shortfall (moments method)0.01046

Extreme Value Index (regression method)0.43319

VaR(95%) (regression method)0.00942

Expected Shortfall (regression method)0.01106
 DRAW DOWN STATISTICS
 Quartiles of draw downs

Number of observations12.00000

Minimum0.00110

Quartile 10.00669

Median0.01099

Quartile 30.03173

Maximum0.08294

Mean of quarter 10.00351

Mean of quarter 20.00843

Mean of quarter 30.01924

Mean of quarter 40.06325

Inter Quartile Range0.02504

Number outliers low0.00000

Percentage of outliers low0.00000

Mean of outliers low0.00000

Number of outliers high1.00000

Percentage of outliers high0.08333

Mean of outliers high0.08294
 Risk estimates based on draw downs (based on Extreme Value T

Extreme Value Index (moments method)0.61540

VaR(95%) (moments method)0.07181

Expected Shortfall (moments method)0.07940

Extreme Value Index (regression method)0.90095

VaR(95%) (regression method)0.08179

Last 4 Months  Pcnt Negative0.25%

Expected Shortfall (regression method)0.46942

Strat Max DD how much worse than SP500 max DD during strat life?381198000

Max Equity Drawdown (num days)27
 COMBINED STATISTICS

Annualized return (arithmetic extrapolation)0.46417

Compounded annual return (geometric extrapolation)0.51804

Calmar ratio (compounded annual return / max draw down)6.24617

Compounded annual return / average of 25% largest draw downs8.19052

Compounded annual return / Expected Shortfall lognormal33.22000
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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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.