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
02/24/2021
Most recent certification approved
3/3/21 10:45 ET
Trades at broker
Israel Interactive Trading (server 3)
Scaling percentage used
100%
# trading signals issued by system since certification
27
# trading signals executed in manager's Israel Interactive Trading (server 3) account
27
Percent signals followed since 02/24/2021
100%
This information was last updated
4/21/21 13:10 ET
Warning: System trading results are still hypothetical.
Even though the system developer is currently trading his own system in a reallife brokerage account,
the trading results presented on this Web site must still be regarded as purely hypothetical results.
This is because (among other reasons) the system developer may not have traded all signals,
particularly those that occurred before 02/24/2021,
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.
3 Robots
(134002746)
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  02/24/2021 
Most recent certification approved  3/3/21 10:45 ET 
Trades at broker  Israel Interactive Trading (server 3) 
Scaling percentage used  100% 
# trading signals issued by system since certification  27 
# trading signals executed in manager's Israel Interactive Trading (server 3) account  27 
Percent signals followed since 02/24/2021  100% 
This information was last updated  4/21/21 13:10 ET 
Warning: System trading results are still hypothetical.
Even though the system developer is currently trading his own system in a reallife brokerage account, the trading results presented on this Web site must still be regarded as purely hypothetical results. This is because (among other reasons) the system developer may not have traded all signals, particularly those that occurred before 02/24/2021, 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  

2021  (0.9%)  (10%)  +2.8%    +17.8%  +4.2%  +10.7%  (10.5%)  +11.5% 
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  $15,300  
Buy Power  $5,992  
Cash  $3,282  
Equity  $2,709  
Cumulative $  $1,871  
Includes dividends and cashsettled expirations:  $4  Itemized 
Total System Equity  $17,171  
Margined  $0  
Open P/L  $2,709 
Trading Record
Statistics

Strategy began2/11/2021

Suggested Minimum Cap$15,000

Strategy Age (days)221.43

Age7 months ago

What it tradesStocks

# Trades13

# Profitable6

% Profitable46.20%

Avg trade duration48.9 days

Max peaktovalley drawdown29.21%

drawdown periodMarch 01, 2021  May 12, 2021

Cumul. Return11.2%

Avg win$581.17

Avg loss$231.43
 Model Account Values (Raw)

Cash$3,282

Margin Used$0

Buying Power$5,992
 Ratios

W:L ratio2.16:1

Sharpe Ratio0.73

Sortino Ratio1.09

Calmar Ratio1.113
 CORRELATION STATISTICS

Return of Strat Pcnt  Return of SP500 Pcnt (cumu)0.07%

Correlation to SP5000.48340

Return Percent SP500 (cumu) during strategy life11.27%
 Return Statistics

Ann Return (w trading costs)18.8%
 Slump

Current Slump as Pcnt Equity4.40%
 Instruments

Percent Trades Futuresn/a
 Slump

Current Slump, time of slump as pcnt of strategy life0.01%
 Return Statistics

Return Pcnt Since TOS Status12.220%

Return Pcnt (Compound or Annual, agebased, NFA compliant)0.112%
 Instruments

Percent Trades Optionsn/a

Percent Trades Stocks1.00%

Percent Trades Forexn/a
 Return Statistics

Ann Return (Compnd, No Fees)20.8%
 Automation

Percentage Signals Automatedn/a
 Popularity

Popularity (Today)806

Popularity (Last 6 weeks)876
 Trading Style

Any stock shorts? 0/10
 Popularity

Popularity (7 days, Percentile 1000 scale)726
 Management

No Subs Allowed Flag (1: no subs)0

Strat abandoned?0
 TradesOwnSystem Certification

Trades Own System?Yes

TOS percent100%
 Win / Loss

Avg Loss$231

Avg Win$581

Sum Trade PL (losers)$1,620.000
 AUM

AUM (AutoTrader num accounts)1
 Age

Num Months filled monthly returns table8
 Win / Loss

Sum Trade PL (winners)$3,487.000

# Winners6

Num Months Winners4
 Dividends

Dividends Received in Model Acct4
 AUM

AUM (AutoTrader live capital)17158
 Win / Loss

# Losers7

% Winners46.1%
 Frequency

Avg Position Time (mins)70400.20

Avg Position Time (hrs)1173.34

Avg Trade Length48.9 days

Last Trade Ago131
 Leverage

Daily leverage (average)1.83

Daily leverage (max)3.62
 Regression

Alpha0.01

Beta1.68

Treynor Index0.06
 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)1.36

MAE:Equity, average, winning trades0.06

MAE:Equity, average, losing trades0.02

Avg(MAE) / Avg(PL)  All trades4.415

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 strat0.04

Avg(MAE) / Avg(PL)  Winning trades1.210

Avg(MAE) / Avg(PL)  Losing trades1.428

HoldandHope Ratio0.558
 Analysis based on MONTHLY values, full history
 RATIO STATISTICS
 Ratio statistics of excess return rates
 Statistics related to Sharpe ratio

Mean0.41107

SD0.46421

Sharpe ratio (Glass type estimate)0.88553

Sharpe ratio (Hedges UMVUE)0.76920

df6.00000

t0.67634

p0.26201

Lowerbound of 95% confidence interval for Sharpe Ratio1.76161

Upperbound of 95% confidence interval for Sharpe Ratio3.46344

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation1.83364

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation3.37203
 Statistics related to Sortino ratio

Sortino ratio1.64476

Upside Potential Ratio3.18505

Upside part of mean0.79604

Downside part of mean0.38496

Upside SD0.36922

Downside SD0.24993

N nonnegative terms4.00000

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

N of observations7.00000

Mean of predictor0.18745

Mean of criterion0.41107

SD of predictor0.05080

SD of criterion0.46421

Covariance0.00114

r0.04854

b (slope, estimate of beta)0.44355

a (intercept, estimate of alpha)0.32793

Mean Square Error0.25798

DF error5.00000

t(b)0.10866

p(b)0.45885

t(a)0.32347

p(a)0.37972

Lowerbound of 95% confidence interval for beta10.05020

Upperbound of 95% confidence interval for beta10.93730

Lowerbound of 95% confidence interval for alpha2.27822

Upperbound of 95% confidence interval for alpha2.93408

Treynor index (mean / b)0.92679

Jensen alpha (a)0.32793
 Ratio statistics of excess log return rates
 Statistics related to Sharpe ratio

Mean0.31469

SD0.45871

Sharpe ratio (Glass type estimate)0.68605

Sharpe ratio (Hedges UMVUE)0.59592

df6.00000

t0.52398

p0.30954

Lowerbound of 95% confidence interval for Sharpe Ratio1.93525

Upperbound of 95% confidence interval for Sharpe Ratio3.25296

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation1.99233

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation3.18417
 Statistics related to Sortino ratio

Sortino ratio1.14044

Upside Potential Ratio2.66125

Upside part of mean0.73435

Downside part of mean0.41965

Upside SD0.33535

Downside SD0.27594

N nonnegative terms4.00000

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

N of observations7.00000

Mean of predictor0.18450

Mean of criterion0.31469

SD of predictor0.05004

SD of criterion0.45871

Covariance0.00127

r0.05554

b (slope, estimate of beta)0.50910

a (intercept, estimate of alpha)0.22076

Mean Square Error0.25172

DF error5.00000

t(b)0.12438

p(b)0.45293

t(a)0.22056

p(a)0.41708

Lowerbound of 95% confidence interval for beta10.01330

Upperbound of 95% confidence interval for beta11.03150

Lowerbound of 95% confidence interval for alpha2.35233

Upperbound of 95% confidence interval for alpha2.79385

Treynor index (mean / b)0.61814

Jensen alpha (a)0.22076
 Risk estimates for a oneperiod unit investment (parametric)
 assuming log normal returns and losses (using central moments from Sharpe statistics)

VaR(95%)0.17435

Expected Shortfall on VaR0.21787
 assuming Pareto losses only (using partial moments from Sortino statistics)

VaR(95%)0.06616

Expected Shortfall on VaR0.13823
 ORDER STATISTICS
 Quartiles of return rates

Number of observations7.00000

Minimum0.81308

Quartile 10.98467

Median1.02967

Quartile 31.09946

Maximum1.24507

Mean of quarter 10.89883

Mean of quarter 21.00722

Mean of quarter 31.07734

Mean of quarter 41.18333

Inter Quartile Range0.11479

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)0.00000

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 observations1.00000

Minimum0.21166

Quartile 10.21166

Median0.21166

Quartile 30.21166

Maximum0.21166

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

Expected Shortfall (regression method)0.00000
 COMBINED STATISTICS

Annualized return (arithmetic extrapolation)0.37923

Compounded annual return (geometric extrapolation)0.40861

Calmar ratio (compounded annual return / max draw down)1.93052

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

Compounded annual return / Expected Shortfall lognormal1.87547

0.00000

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

Mean0.28479

SD0.35348

Sharpe ratio (Glass type estimate)0.80565

Sharpe ratio (Hedges UMVUE)0.80170

df153.00000

t0.61767

p0.46826

Lowerbound of 95% confidence interval for Sharpe Ratio1.75363

Upperbound of 95% confidence interval for Sharpe Ratio3.36247

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation1.75633

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation3.35973
 Statistics related to Sortino ratio

Sortino ratio1.13123

Upside Potential Ratio8.82422

Upside part of mean2.22149

Downside part of mean1.93671

Upside SD0.24713

Downside SD0.25175

N nonnegative terms82.00000

N negative terms72.00000
 Statistics related to linear regression on benchmark

N of observations154.00000

Mean of predictor0.16125

Mean of criterion0.28479

SD of predictor0.12224

SD of criterion0.35348

Covariance0.02594

r0.60041

b (slope, estimate of beta)1.73629

a (intercept, estimate of alpha)0.00500

Mean Square Error0.08043

DF error152.00000

t(b)9.25660

p(b)0.19979

t(a)0.01296

p(a)0.49947

Lowerbound of 95% confidence interval for beta1.36570

Upperbound of 95% confidence interval for beta2.10687

Lowerbound of 95% confidence interval for alpha0.72847

Upperbound of 95% confidence interval for alpha0.73809

Treynor index (mean / b)0.16402

Jensen alpha (a)0.00481
 Ratio statistics of excess log return rates
 Statistics related to Sharpe ratio

Mean0.22232

SD0.35462

Sharpe ratio (Glass type estimate)0.62692

Sharpe ratio (Hedges UMVUE)0.62384

df153.00000

t0.48064

p0.47529

Lowerbound of 95% confidence interval for Sharpe Ratio1.93142

Upperbound of 95% confidence interval for Sharpe Ratio3.18332

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation1.93357

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation3.18125
 Statistics related to Sortino ratio

Sortino ratio0.86374

Upside Potential Ratio8.51399

Upside part of mean2.19146

Downside part of mean1.96914

Upside SD0.24265

Downside SD0.25739

N nonnegative terms82.00000

N negative terms72.00000
 Statistics related to linear regression on benchmark

N of observations154.00000

Mean of predictor0.15376

Mean of criterion0.22232

SD of predictor0.12223

SD of criterion0.35462

Covariance0.02611

r0.60235

b (slope, estimate of beta)1.74761

a (intercept, estimate of alpha)0.04640

Mean Square Error0.08066

DF error152.00000

t(b)9.30345

p(b)0.19882

t(a)0.12487

p(a)0.50506

Lowerbound of 95% confidence interval for beta1.37648

Upperbound of 95% confidence interval for beta2.11873

Lowerbound of 95% confidence interval for alpha0.78048

Upperbound of 95% confidence interval for alpha0.68769

Treynor index (mean / b)0.12721

Jensen alpha (a)0.04640
 Risk estimates for a oneperiod unit investment (parametric)
 assuming log normal returns and losses (using central moments from Sharpe statistics)

VaR(95%)0.03458

Expected Shortfall on VaR0.04334
 assuming Pareto losses only (using partial moments from Sortino statistics)

VaR(95%)0.01627

Expected Shortfall on VaR0.03259
 ORDER STATISTICS
 Quartiles of return rates

Number of observations154.00000

Minimum0.93424

Quartile 10.99241

Median1.00192

Quartile 31.01316

Maximum1.06766

Mean of quarter 10.97389

Mean of quarter 20.99715

Mean of quarter 31.00687

Mean of quarter 41.02690

Inter Quartile Range0.02075

Number outliers low7.00000

Percentage of outliers low0.04545

Mean of outliers low0.94585

Number of outliers high4.00000

Percentage of outliers high0.02597

Mean of outliers high1.05448
 Risk estimates for a oneperiod unit investment (based on Ex

Extreme Value Index (moments method)0.04592

VaR(95%) (moments method)0.02110

Expected Shortfall (moments method)0.03030

Extreme Value Index (regression method)0.15839

VaR(95%) (regression method)0.02105

Expected Shortfall (regression method)0.02736
 DRAW DOWN STATISTICS
 Quartiles of draw downs

Number of observations8.00000

Minimum0.00872

Quartile 10.03052

Median0.05638

Quartile 30.10621

Maximum0.25554

Mean of quarter 10.01071

Mean of quarter 20.03666

Mean of quarter 30.09029

Mean of quarter 40.18315

Inter Quartile Range0.07569

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 high0.25554
 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)0.26957

Compounded annual return (geometric extrapolation)0.28432

Calmar ratio (compounded annual return / max draw down)1.11263

Compounded annual return / average of 25% largest draw downs1.55237

Compounded annual return / Expected Shortfall lognormal6.55981

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

Mean0.35014

SD0.38083

Sharpe ratio (Glass type estimate)0.91941

Sharpe ratio (Hedges UMVUE)0.91410

df130.00000

t0.65012

p0.47154

Lowerbound of 95% confidence interval for Sharpe Ratio1.85634

Upperbound of 95% confidence interval for Sharpe Ratio3.69178

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation1.85993

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation3.68813
 Statistics related to Sortino ratio

Sortino ratio1.29234

Upside Potential Ratio9.30098

Upside part of mean2.51993

Downside part of mean2.16979

Upside SD0.26643

Downside SD0.27093

N nonnegative terms74.00000

N negative terms57.00000
 Statistics related to linear regression on benchmark

N of observations131.00000

Mean of predictor0.16830

Mean of criterion0.35014

SD of predictor0.11082

SD of criterion0.38083

Covariance0.02861

r0.67796

b (slope, estimate of beta)2.32980

a (intercept, estimate of alpha)0.04198

Mean Square Error0.07898

DF error129.00000

t(b)10.47490

p(b)0.10423

t(a)0.10516

p(a)0.50589

Lowerbound of 95% confidence interval for beta1.88975

Upperbound of 95% confidence interval for beta2.76986

Lowerbound of 95% confidence interval for alpha0.83179

Upperbound of 95% confidence interval for alpha0.74783

Treynor index (mean / b)0.15029

Jensen alpha (a)0.04198
 Ratio statistics of excess log return rates
 Statistics related to Sharpe ratio

Mean0.27766

SD0.38210

Sharpe ratio (Glass type estimate)0.72666

Sharpe ratio (Hedges UMVUE)0.72246

df130.00000

t0.51382

p0.47749

Lowerbound of 95% confidence interval for Sharpe Ratio2.04788

Upperbound of 95% confidence interval for Sharpe Ratio3.49855

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation2.05074

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation3.49566
 Statistics related to Sortino ratio

Sortino ratio1.00212

Upside Potential Ratio8.96893

Upside part of mean2.48503

Downside part of mean2.20737

Upside SD0.26156

Downside SD0.27707

N nonnegative terms74.00000

N negative terms57.00000
 Statistics related to linear regression on benchmark

N of observations131.00000

Mean of predictor0.16214

Mean of criterion0.27766

SD of predictor0.11084

SD of criterion0.38210

Covariance0.02881

r0.68017

b (slope, estimate of beta)2.34473

a (intercept, estimate of alpha)0.10251

Mean Square Error0.07907

DF error129.00000

t(b)10.53840

p(b)0.10320

t(a)0.25674

p(a)0.51439

VAR (95 Confidence Intrvl)0.03500

Lowerbound of 95% confidence interval for beta1.90452

Upperbound of 95% confidence interval for beta2.78495

Lowerbound of 95% confidence interval for alpha0.89252

Upperbound of 95% confidence interval for alpha0.68750

Treynor index (mean / b)0.11842

Jensen alpha (a)0.10251
 Risk estimates for a oneperiod unit investment (parametric)
 assuming log normal returns and losses (using central moments from Sharpe statistics)

VaR(95%)0.03707

Expected Shortfall on VaR0.04648
 assuming Pareto losses only (using partial moments from Sortino statistics)

VaR(95%)0.01748

Expected Shortfall on VaR0.03469
 ORDER STATISTICS
 Quartiles of return rates

Number of observations131.00000

Minimum0.93424

Quartile 10.99175

Median1.00393

Quartile 31.01418

Maximum1.06766

Mean of quarter 10.97095

Mean of quarter 20.99704

Mean of quarter 31.00869

Mean of quarter 41.02931

Inter Quartile Range0.02243

Number outliers low6.00000

Percentage of outliers low0.04580

Mean of outliers low0.94347

Number of outliers high3.00000

Percentage of outliers high0.02290

Mean of outliers high1.05775
 Risk estimates for a oneperiod unit investment (based on Ex

Extreme Value Index (moments method)0.73247

VaR(95%) (moments method)0.02369

Expected Shortfall (moments method)0.02665

Extreme Value Index (regression method)0.23450

VaR(95%) (regression method)0.02206

Expected Shortfall (regression method)0.02776
 DRAW DOWN STATISTICS
 Quartiles of draw downs

Number of observations8.00000

Minimum0.01271

Quartile 10.03676

Median0.09029

Quartile 30.11093

Maximum0.24708

Mean of quarter 10.02458

Mean of quarter 20.05638

Mean of quarter 30.10773

Mean of quarter 40.17926

Inter Quartile Range0.07417

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 high0.24708
 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?317235000

Max Equity Drawdown (num days)72
 COMBINED STATISTICS

Annualized return (arithmetic extrapolation)0.33015

Compounded annual return (geometric extrapolation)0.35739

Calmar ratio (compounded annual return / max draw down)1.44649

Compounded annual return / average of 25% largest draw downs1.99374

Compounded annual return / Expected Shortfall lognormal7.68913
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.