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
11/19/2020
Most recent certification approved
11/19/20 12:01 ET
Trades at broker
Israel Interactive Trading
Scaling percentage used
100%
# trading signals issued by system since certification
413
# trading signals executed in manager's Israel Interactive Trading account
413
Percent signals followed since 11/19/2020
100%
This information was last updated
9/20/21 22:12 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 11/19/2020,
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.
Momentum Rider
(132267942)
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  11/19/2020 
Most recent certification approved  11/19/20 12:01 ET 
Trades at broker  Israel Interactive Trading 
Scaling percentage used  100% 
# trading signals issued by system since certification  413 
# trading signals executed in manager's Israel Interactive Trading account  413 
Percent signals followed since 11/19/2020  100% 
This information was last updated  9/20/21 22:12 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 11/19/2020, 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 $30.00 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.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 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  +2.1%  +3.5%  +5.7%  
2021  (3.9%)  +4.7%  +3.3%  (0.1%)  (2.3%)  +15.3%  (2%)  +1.5%  (3.9%)  +11.9% 
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  $15,000  
Buy Power  $15,963  
Cash  $17,137  
Equity  ($1,174)  
Cumulative $  $4,056  
Includes dividends and cashsettled expirations:  $5  Itemized 
Total System Equity  $19,056  
Margined  $0  
Open P/L  ($1,174) 
Trading Record
Statistics

Strategy began11/16/2020

Suggested Minimum Cap$35,000

Strategy Age (days)303.07

Age10 months ago

What it tradesStocks

# Trades176

# Profitable98

% Profitable55.70%

Avg trade duration13.5 days

Max peaktovalley drawdown15.79%

drawdown periodFeb 12, 2021  March 05, 2021

Cumul. Return21.2%

Avg win$131.19

Avg loss$111.53
 Model Account Values (Raw)

Cash$17,137

Margin Used$0

Buying Power$15,963
 Ratios

W:L ratio1.48:1

Sharpe Ratio1.18

Sortino Ratio2.08

Calmar Ratio3.273
 CORRELATION STATISTICS

Return of Strat Pcnt  Return of SP500 Pcnt (cumu)1.33%

Correlation to SP5000.36880

Return Percent SP500 (cumu) during strategy life20.15%
 Return Statistics

Ann Return (w trading costs)25.7%
 Slump

Current Slump as Pcnt Equity2.80%
 Instruments

Percent Trades Futuresn/a
 Slump

Current Slump, time of slump as pcnt of strategy life0.25%
 Instruments

Short Options  Percent Covered100.00%
 Return Statistics

Return Pcnt (Compound or Annual, agebased, NFA compliant)0.212%
 Instruments

Percent Trades Optionsn/a

Percent Trades Stocks1.00%

Percent Trades Forexn/a
 Return Statistics

Ann Return (Compnd, No Fees)32.6%
 Automation

Percentage Signals Automatedn/a
 Popularity

Popularity (Today)463

Popularity (Last 6 weeks)680
 Trading Style

Any stock shorts? 0/11
 Popularity

C2 Score731

Popularity (7 days, Percentile 1000 scale)307
 Management

No Subs Allowed Flag (1: no subs)0

Strat abandoned?0
 TradesOwnSystem Certification

Trades Own System?Yes

TOS percent100%
 Win / Loss

Avg Loss$113

Avg Win$131

Sum Trade PL (losers)$8,806.000
 AUM

AUM (AutoTrader num accounts)1
 Age

Num Months filled monthly returns table11
 Win / Loss

Sum Trade PL (winners)$12,857.000

# Winners98

Num Months Winners7
 Dividends

Dividends Received in Model Acct6
 AUM

AUM (AutoTrader live capital)18131
 Win / Loss

# Losers78

% Winners55.7%
 Frequency

Avg Position Time (mins)19390.60

Avg Position Time (hrs)323.18

Avg Trade Length13.5 days

Last Trade Ago2
 Leverage

Daily leverage (average)0.78

Daily leverage (max)2.40
 Regression

Alpha0.03

Beta0.61

Treynor Index0.12
 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)0.10

MAE:Equity, average, winning trades0.00

MAE:Equity, average, losing trades0.01

Avg(MAE) / Avg(PL)  All trades6.450

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 trades0.533

Avg(MAE) / Avg(PL)  Losing trades1.374

HoldandHope Ratio0.258
 Analysis based on MONTHLY values, full history
 RATIO STATISTICS
 Ratio statistics of excess return rates
 Statistics related to Sharpe ratio

Mean0.37009

SD0.27088

Sharpe ratio (Glass type estimate)1.36628

Sharpe ratio (Hedges UMVUE)1.21353

df7.00000

t1.11556

p0.15072

Lowerbound of 95% confidence interval for Sharpe Ratio1.17853

Upperbound of 95% confidence interval for Sharpe Ratio3.82338

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation1.26967

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation3.69673
 Statistics related to Sortino ratio

Sortino ratio5.00620

Upside Potential Ratio6.72198

Upside part of mean0.49694

Downside part of mean0.12684

Upside SD0.26486

Downside SD0.07393

N nonnegative terms6.00000

N negative terms2.00000
 Statistics related to linear regression on benchmark

N of observations8.00000

Mean of predictor0.28829

Mean of criterion0.37009

SD of predictor0.06402

SD of criterion0.27088

Covariance0.00136

r0.07846

b (slope, estimate of beta)0.33194

a (intercept, estimate of alpha)0.27440

Mean Square Error0.08508

DF error6.00000

t(b)0.19277

p(b)0.42675

t(a)0.44866

p(a)0.33471

Lowerbound of 95% confidence interval for beta3.88157

Upperbound of 95% confidence interval for beta4.54545

Lowerbound of 95% confidence interval for alpha1.22213

Upperbound of 95% confidence interval for alpha1.77093

Treynor index (mean / b)1.11494

Jensen alpha (a)0.27440
 Ratio statistics of excess log return rates
 Statistics related to Sharpe ratio

Mean0.33533

SD0.25079

Sharpe ratio (Glass type estimate)1.33714

Sharpe ratio (Hedges UMVUE)1.18765

df7.00000

t1.09177

p0.15554

Lowerbound of 95% confidence interval for Sharpe Ratio1.20273

Upperbound of 95% confidence interval for Sharpe Ratio3.79089

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation1.29211

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation3.66741
 Statistics related to Sortino ratio

Sortino ratio4.44630

Upside Potential Ratio6.16139

Upside part of mean0.46469

Downside part of mean0.12935

Upside SD0.24231

Downside SD0.07542

N nonnegative terms6.00000

N negative terms2.00000
 Statistics related to linear regression on benchmark

N of observations8.00000

Mean of predictor0.28252

Mean of criterion0.33533

SD of predictor0.06235

SD of criterion0.25079

Covariance0.00131

r0.08393

b (slope, estimate of beta)0.33759

a (intercept, estimate of alpha)0.23996

Mean Square Error0.07286

DF error6.00000

t(b)0.20633

p(b)0.42168

t(a)0.42223

p(a)0.34378

Lowerbound of 95% confidence interval for beta3.66608

Upperbound of 95% confidence interval for beta4.34125

Lowerbound of 95% confidence interval for alpha1.15066

Upperbound of 95% confidence interval for alpha1.63058

Treynor index (mean / b)0.99333

Jensen alpha (a)0.23996
 Risk estimates for a oneperiod unit investment (parametric)
 assuming log normal returns and losses (using central moments from Sharpe statistics)

VaR(95%)0.08711

Expected Shortfall on VaR0.11399
 assuming Pareto losses only (using partial moments from Sortino statistics)

VaR(95%)0.01497

Expected Shortfall on VaR0.03317
 ORDER STATISTICS
 Quartiles of return rates

Number of observations8.00000

Minimum0.95421

Quartile 10.99361

Median1.02373

Quartile 31.04099

Maximum1.20763

Mean of quarter 10.96005

Mean of quarter 21.00794

Mean of quarter 31.03638

Mean of quarter 41.12831

Inter Quartile Range0.04739

Number outliers low0.00000

Percentage of outliers low0.00000

Mean of outliers low0.00000

Number of outliers high1.00000

Percentage of outliers high0.12500

Mean of outliers high1.20763
 Risk estimates for a oneperiod unit investment (based on Ex

Extreme Value Index (moments method)0.00000

VaR(95%) (moments method)0.00000

Expected Shortfall (moments method)0.00000

Extreme Value Index (regression method)0.00000

VaR(95%) (regression method)0.00000

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

Number of observations2.00000

Minimum0.03412

Quartile 10.03703

Median0.03995

Quartile 30.04287

Maximum0.04579

Mean of quarter 10.03412

Mean of quarter 20.00000

Mean of quarter 30.00000

Mean of quarter 40.04579

Inter Quartile Range0.00584

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)0.41100

Compounded annual return (geometric extrapolation)0.43798

Calmar ratio (compounded annual return / max draw down)9.56536

Compounded annual return / average of 25% largest draw downs9.56536

Compounded annual return / Expected Shortfall lognormal3.84222

0.00000

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

Mean0.33221

SD0.20411

Sharpe ratio (Glass type estimate)1.62760

Sharpe ratio (Hedges UMVUE)1.62096

df184.00000

t1.36767

p0.44984

Lowerbound of 95% confidence interval for Sharpe Ratio0.71291

Upperbound of 95% confidence interval for Sharpe Ratio3.96383

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.71737

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation3.95928
 Statistics related to Sortino ratio

Sortino ratio2.87097

Upside Potential Ratio10.85620

Upside part of mean1.25623

Downside part of mean0.92402

Upside SD0.16873

Downside SD0.11571

N nonnegative terms101.00000

N negative terms84.00000
 Statistics related to linear regression on benchmark

N of observations185.00000

Mean of predictor0.29019

Mean of criterion0.33221

SD of predictor0.12699

SD of criterion0.20411

Covariance0.00916

r0.35331

b (slope, estimate of beta)0.56787

a (intercept, estimate of alpha)0.16700

Mean Square Error0.03666

DF error183.00000

t(b)5.10897

p(b)0.27985

t(a)0.72751

p(a)0.46583

Lowerbound of 95% confidence interval for beta0.34857

Upperbound of 95% confidence interval for beta0.78718

Lowerbound of 95% confidence interval for alpha0.28663

Upperbound of 95% confidence interval for alpha0.62147

Treynor index (mean / b)0.58502

Jensen alpha (a)0.16742
 Ratio statistics of excess log return rates
 Statistics related to Sharpe ratio

Mean0.31156

SD0.20199

Sharpe ratio (Glass type estimate)1.54246

Sharpe ratio (Hedges UMVUE)1.53616

df184.00000

t1.29613

p0.45244

Lowerbound of 95% confidence interval for Sharpe Ratio0.79737

Upperbound of 95% confidence interval for Sharpe Ratio3.87818

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.80156

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation3.87389
 Statistics related to Sortino ratio

Sortino ratio2.66512

Upside Potential Ratio10.62650

Upside part of mean1.24226

Downside part of mean0.93070

Upside SD0.16518

Downside SD0.11690

N nonnegative terms101.00000

N negative terms84.00000
 Statistics related to linear regression on benchmark

N of observations185.00000

Mean of predictor0.28199

Mean of criterion0.31156

SD of predictor0.12702

SD of criterion0.20199

Covariance0.00913

r0.35581

b (slope, estimate of beta)0.56581

a (intercept, estimate of alpha)0.15201

Mean Square Error0.03583

DF error183.00000

t(b)5.15042

p(b)0.27836

t(a)0.66853

p(a)0.46859

Lowerbound of 95% confidence interval for beta0.34906

Upperbound of 95% confidence interval for beta0.78256

Lowerbound of 95% confidence interval for alpha0.29661

Upperbound of 95% confidence interval for alpha0.60063

Treynor index (mean / b)0.55064

Jensen alpha (a)0.15201
 Risk estimates for a oneperiod unit investment (parametric)
 assuming log normal returns and losses (using central moments from Sharpe statistics)

VaR(95%)0.01915

Expected Shortfall on VaR0.02424
 assuming Pareto losses only (using partial moments from Sortino statistics)

VaR(95%)0.00765

Expected Shortfall on VaR0.01510
 ORDER STATISTICS
 Quartiles of return rates

Number of observations185.00000

Minimum0.96149

Quartile 10.99478

Median1.00069

Quartile 31.00702

Maximum1.08014

Mean of quarter 10.98799

Mean of quarter 20.99839

Mean of quarter 31.00328

Mean of quarter 41.01613

Inter Quartile Range0.01224

Number outliers low3.00000

Percentage of outliers low0.01622

Mean of outliers low0.97013

Number of outliers high7.00000

Percentage of outliers high0.03784

Mean of outliers high1.03971
 Risk estimates for a oneperiod unit investment (based on Ex

Extreme Value Index (moments method)0.18394

VaR(95%) (moments method)0.01216

Expected Shortfall (moments method)0.01828

Extreme Value Index (regression method)0.04138

VaR(95%) (regression method)0.01126

Expected Shortfall (regression method)0.01528
 DRAW DOWN STATISTICS
 Quartiles of draw downs

Number of observations12.00000

Minimum0.00098

Quartile 10.00852

Median0.01176

Quartile 30.05679

Maximum0.12349

Mean of quarter 10.00450

Mean of quarter 20.00911

Mean of quarter 30.02793

Mean of quarter 40.09016

Inter Quartile Range0.04827

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)0.89836

VaR(95%) (moments method)0.10413

Expected Shortfall (moments method)0.11328

Extreme Value Index (regression method)0.60832

VaR(95%) (regression method)0.12202

Expected Shortfall (regression method)0.26454
 COMBINED STATISTICS

Annualized return (arithmetic extrapolation)0.38361

Compounded annual return (geometric extrapolation)0.40420

Calmar ratio (compounded annual return / max draw down)3.27314

Compounded annual return / average of 25% largest draw downs4.48326

Compounded annual return / Expected Shortfall lognormal16.67360

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

Mean0.33968

SD0.22949

Sharpe ratio (Glass type estimate)1.48012

Sharpe ratio (Hedges UMVUE)1.47156

df130.00000

t1.04660

p0.45430

Lowerbound of 95% confidence interval for Sharpe Ratio1.30030

Upperbound of 95% confidence interval for Sharpe Ratio4.25498

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation1.30601

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation4.24914
 Statistics related to Sortino ratio

Sortino ratio2.67187

Upside Potential Ratio10.96990

Upside part of mean1.39462

Downside part of mean1.05494

Upside SD0.19116

Downside SD0.12713

N nonnegative terms71.00000

N negative terms60.00000
 Statistics related to linear regression on benchmark

N of observations131.00000

Mean of predictor0.31053

Mean of criterion0.33968

SD of predictor0.12403

SD of criterion0.22949

Covariance0.01098

r0.38583

b (slope, estimate of beta)0.71392

a (intercept, estimate of alpha)0.11799

Mean Square Error0.04517

DF error129.00000

t(b)4.74994

p(b)0.26061

t(a)0.38788

p(a)0.47828

Lowerbound of 95% confidence interval for beta0.41655

Upperbound of 95% confidence interval for beta1.01130

Lowerbound of 95% confidence interval for alpha0.48385

Upperbound of 95% confidence interval for alpha0.71982

Treynor index (mean / b)0.47579

Jensen alpha (a)0.11799
 Ratio statistics of excess log return rates
 Statistics related to Sharpe ratio

Mean0.31372

SD0.22681

Sharpe ratio (Glass type estimate)1.38321

Sharpe ratio (Hedges UMVUE)1.37521

df130.00000

t0.97808

p0.45727

Lowerbound of 95% confidence interval for Sharpe Ratio1.39623

Upperbound of 95% confidence interval for Sharpe Ratio4.15745

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation1.40163

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation4.15205
 Statistics related to Sortino ratio

Sortino ratio2.44140

Upside Potential Ratio10.71390

Upside part of mean1.37675

Downside part of mean1.06303

Upside SD0.18685

Downside SD0.12850

N nonnegative terms71.00000

N negative terms60.00000
 Statistics related to linear regression on benchmark

N of observations131.00000

Mean of predictor0.30269

Mean of criterion0.31372

SD of predictor0.12398

SD of criterion0.22681

Covariance0.01094

r0.38888

b (slope, estimate of beta)0.71140

a (intercept, estimate of alpha)0.09839

Mean Square Error0.04400

DF error129.00000

t(b)4.79419

p(b)0.25882

t(a)0.32794

p(a)0.48163

VAR (95 Confidence Intrvl)0.01900

Lowerbound of 95% confidence interval for beta0.41781

Upperbound of 95% confidence interval for beta1.00499

Lowerbound of 95% confidence interval for alpha0.49523

Upperbound of 95% confidence interval for alpha0.69202

Treynor index (mean / b)0.44100

Jensen alpha (a)0.09839
 Risk estimates for a oneperiod unit investment (parametric)
 assuming log normal returns and losses (using central moments from Sharpe statistics)

VaR(95%)0.02161

Expected Shortfall on VaR0.02731
 assuming Pareto losses only (using partial moments from Sortino statistics)

VaR(95%)0.00882

Expected Shortfall on VaR0.01703
 ORDER STATISTICS
 Quartiles of return rates

Number of observations131.00000

Minimum0.96149

Quartile 10.99411

Median1.00064

Quartile 31.00716

Maximum1.08014

Mean of quarter 10.98667

Mean of quarter 20.99764

Mean of quarter 31.00319

Mean of quarter 41.01818

Inter Quartile Range0.01306

Number outliers low2.00000

Percentage of outliers low0.01527

Mean of outliers low0.96713

Number of outliers high5.00000

Percentage of outliers high0.03817

Mean of outliers high1.04532
 Risk estimates for a oneperiod unit investment (based on Ex

Extreme Value Index (moments method)0.18594

VaR(95%) (moments method)0.01368

Expected Shortfall (moments method)0.02050

Extreme Value Index (regression method)0.12510

VaR(95%) (regression method)0.01212

Expected Shortfall (regression method)0.01687
 DRAW DOWN STATISTICS
 Quartiles of draw downs

Number of observations6.00000

Minimum0.00023

Quartile 10.00737

Median0.03479

Quartile 30.07379

Maximum0.12349

Mean of quarter 10.00236

Mean of quarter 20.01602

Mean of quarter 30.05357

Mean of quarter 40.10201

Inter Quartile Range0.06643

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 Negative0.50%

Expected Shortfall (regression method)0.00000

Strat Max DD how much worse than SP500 max DD during strat life?314368000

Max Equity Drawdown (num days)21
 COMBINED STATISTICS

Annualized return (arithmetic extrapolation)0.37255

Compounded annual return (geometric extrapolation)0.40724

Calmar ratio (compounded annual return / max draw down)3.29780

Compounded annual return / average of 25% largest draw downs3.99210

Compounded annual return / Expected Shortfall lognormal14.91040
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.
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.
Continue to designate your strategy as Private?
Strategy is no longer visible
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.