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
09/05/2023
Most recent certification approved
9/5/23 9:39 ET
Trades at broker
Interactive Brokers (Server 4)
Scaling percentage used
100%
# trading signals issued by system since certification
30
# trading signals executed in manager's Interactive Brokers (Server 4) account
30
Percent signals followed since 09/05/2023
100%
This information was last updated
4/12/24 16:13 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 09/05/2023,
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.
Hypothetical performance results have many inherent limitations, some of which are described below. No representation is being made that any account will or is likely to achieve profits or losses similar to those shown. In fact, there are frequently sharp differences between hypothetical performance results and the actual results subsequently achieved by any particular trading program.
One of the limitations of hypothetical performance results is that they are generally prepared with the benefit of hindsight. 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.
TOP Stocks AI
(145539960)
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  09/05/2023 
Most recent certification approved  9/5/23 9:39 ET 
Trades at broker  Interactive Brokers (Server 4) 
Scaling percentage used  100% 
# trading signals issued by system since certification  30 
# trading signals executed in manager's Interactive Brokers (Server 4) account  30 
Percent signals followed since 09/05/2023  100% 
This information was last updated  4/12/24 16:13 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 09/05/2023, 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. Hypothetical performance results have many inherent limitations, some of which are described below. No representation is being made that any account will or is likely to achieve profits or losses similar to those shown. In fact, there are frequently sharp differences between hypothetical performance results and the actual results subsequently achieved by any particular trading program.
One of the limitations of hypothetical performance results is that they are generally prepared with the benefit of hindsight. 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 $20.00 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  

2023  (0.2%)  (5.6%)  (0.6%)  +4.9%  +1.7%  (0.2%)  
2024  +4.5%  +8.9%  (4.4%)  (2.8%)  +5.7% 
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  $10,000  
Buy Power  $6,034  
Cash  $6,084  
Equity  ($50)  
Cumulative $  $768  
Includes dividends and cashsettled expirations:  $7  Itemized 
Total System Equity  $10,768  
Margined  $0  
Open P/L  ($52) 
Trading Record
Statistics

Strategy began8/16/2023

Suggested Minimum Cap$15,000

Strategy Age (days)240.4

Age8 months ago

What it tradesStocks

# Trades20

# Profitable8

% Profitable40.00%

Avg trade duration142.9 days

Max peaktovalley drawdown9.39%

drawdown periodFeb 12, 2024  March 10, 2024

Cumul. Return3.4%

Avg win$228.00

Avg loss$88.58
 Model Account Values (Raw)

Cash$6,084

Margin Used$0

Buying Power$6,034
 Ratios

W:L ratio1.72:1

Sharpe Ratio0.41

Sortino Ratio0.62

Calmar Ratio2.931
 CORRELATION STATISTICS

Return of Strat Pcnt  Return of SP500 Pcnt (cumu)12.87%

Correlation to SP5000.50120

Return Percent SP500 (cumu) during strategy life16.35%
 Return Statistics

Ann Return (w trading costs)5.2%
 Slump

Current Slump as Pcnt Equity9.70%
 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)0.034%
 Instruments

Percent Trades Optionsn/a

Percent Trades Stocks1.00%

Percent Trades Forexn/a
 Return Statistics

Ann Return (Compnd, No Fees)11.8%
 Risk of Ruin (MonteCarlo)

Chance of 10% account lossn/a

Chance of 20% account lossn/a

Chance of 30% account lossn/a

Chance of 40% account lossn/a

Chance of 60% account loss (Monte Carlo)n/a

Chance of 70% account loss (Monte Carlo)n/a

Chance of 80% account loss (Monte Carlo)n/a

Chance of 90% account loss (Monte Carlo)n/a
 Automation

Percentage Signals Automatedn/a
 Risk of Ruin (MonteCarlo)

Chance of 50% account lossn/a
 Popularity

Popularity (Today)0

Popularity (Last 6 weeks)710
 Trading Style

Any stock shorts? 0/10
 Popularity

Performanceweighted percentile937

Popularity (7 days, Percentile 1000 scale)345
 TradesOwnSystem Certification

Trades Own System?Yes

TOS percent100%
 Win / Loss

Avg Loss$89

Avg Win$228

Sum Trade PL (losers)$1,063.000
 Age

Num Months filled monthly returns table9
 Win / Loss

Sum Trade PL (winners)$1,824.000

# Winners8

Num Months Winners4
 Dividends

Dividends Received in Model Acct7
 AUM

AUM (AutoTrader live capital)10759
 Win / Loss

# Losers12

% Winners40.0%
 Frequency

Avg Position Time (mins)205711.00

Avg Position Time (hrs)3428.51

Avg Trade Length142.9 days

Last Trade Ago23
 Leverage

Daily leverage (average)0.63

Daily leverage (max)0.92
 Regression

Alpha0.02

Beta0.57

Treynor Index0.03
 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)2.16

MAE:Equity, average, winning trades0.01

MAE:Equity, average, losing trades0.01

Avg(MAE) / Avg(PL)  All trades2.351

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 trades0.256

Avg(MAE) / Avg(PL)  Losing trades1.284

HoldandHope Ratio2.221
 Analysis based on MONTHLY values, full history
 RATIO STATISTICS
 Ratio statistics of excess return rates
 Statistics related to Sharpe ratio

Mean0.25334

SD0.29240

Sharpe ratio (Glass type estimate)0.86640

Sharpe ratio (Hedges UMVUE)0.69129

df4.00000

t0.55926

p0.30291

Lowerbound of 95% confidence interval for Sharpe Ratio2.27470

Upperbound of 95% confidence interval for Sharpe Ratio3.90758

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation2.38263

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation3.76520
 Statistics related to Sortino ratio

Sortino ratio2.33919

Upside Potential Ratio4.57094

Upside part of mean0.49504

Downside part of mean0.24170

Upside SD0.24903

Downside SD0.10830

N nonnegative terms2.00000

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

N of observations5.00000

Mean of predictor0.35803

Mean of criterion0.25334

SD of predictor0.10579

SD of criterion0.29240

Covariance0.02355

r0.76129

b (slope, estimate of beta)2.10413

a (intercept, estimate of alpha)0.50000

Mean Square Error0.04793

DF error3.00000

t(b)2.03359

p(b)0.06744

t(a)0.99551

p(a)0.80357

Lowerbound of 95% confidence interval for beta1.18871

Upperbound of 95% confidence interval for beta5.39697

Lowerbound of 95% confidence interval for alpha2.09841

Upperbound of 95% confidence interval for alpha1.09840

Treynor index (mean / b)0.12040

Jensen alpha (a)0.50000
 Ratio statistics of excess log return rates
 Statistics related to Sharpe ratio

Mean0.21840

SD0.27960

Sharpe ratio (Glass type estimate)0.78113

Sharpe ratio (Hedges UMVUE)0.62325

df4.00000

t0.50422

p0.32031

Lowerbound of 95% confidence interval for Sharpe Ratio2.34519

Upperbound of 95% confidence interval for Sharpe Ratio3.81674

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation2.44367

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation3.69018
 Statistics related to Sortino ratio

Sortino ratio1.96392

Upside Potential Ratio4.18684

Upside part of mean0.46561

Downside part of mean0.24720

Upside SD0.23270

Downside SD0.11121

N nonnegative terms2.00000

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

N of observations5.00000

Mean of predictor0.34770

Mean of criterion0.21840

SD of predictor0.10404

SD of criterion0.27960

Covariance0.02244

r0.77152

b (slope, estimate of beta)2.07333

a (intercept, estimate of alpha)0.50249

Mean Square Error0.04219

DF error3.00000

t(b)2.10042

p(b)0.06326

t(a)1.07364

p(a)0.81917

Lowerbound of 95% confidence interval for beta1.06807

Upperbound of 95% confidence interval for beta5.21474

Lowerbound of 95% confidence interval for alpha1.99196

Upperbound of 95% confidence interval for alpha0.98698

Treynor index (mean / b)0.10534

Jensen alpha (a)0.50249
 Risk estimates for a oneperiod unit investment (parametric)
 assuming log normal returns and losses (using central moments from Sharpe statistics)

VaR(95%)0.10824

Expected Shortfall on VaR0.13743
 assuming Pareto losses only (using partial moments from Sortino statistics)

VaR(95%)0.05152

Expected Shortfall on VaR0.08041
 ORDER STATISTICS
 Quartiles of return rates

Number of observations5.00000

Minimum0.93942

Quartile 10.97304

Median0.99381

Quartile 31.05767

Maximum1.15325

Mean of quarter 10.95623

Mean of quarter 20.99381

Mean of quarter 31.05767

Mean of quarter 41.15325

Inter Quartile Range0.08463

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 observations2.00000

Minimum0.02696

Quartile 10.03536

Median0.04377

Quartile 30.05217

Maximum0.06057

Mean of quarter 10.02696

Mean of quarter 20.00000

Mean of quarter 30.00000

Mean of quarter 40.06057

Inter Quartile Range0.01681

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)0.25939

Compounded annual return (geometric extrapolation)0.27930

Calmar ratio (compounded annual return / max draw down)4.61073

Compounded annual return / average of 25% largest draw downs4.61073

Compounded annual return / Expected Shortfall lognormal2.03221

0.00000

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

Mean0.16501

SD0.16215

Sharpe ratio (Glass type estimate)1.01764

Sharpe ratio (Hedges UMVUE)1.01171

df129.00000

t0.71683

p0.45993

Lowerbound of 95% confidence interval for Sharpe Ratio1.76952

Upperbound of 95% confidence interval for Sharpe Ratio3.80091

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation1.77347

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation3.79690
 Statistics related to Sortino ratio

Sortino ratio1.72141

Upside Potential Ratio10.20670

Upside part of mean0.97838

Downside part of mean0.81337

Upside SD0.13040

Downside SD0.09586

N nonnegative terms61.00000

N negative terms69.00000
 Statistics related to linear regression on benchmark

N of observations130.00000

Mean of predictor0.28793

Mean of criterion0.16501

SD of predictor0.15266

SD of criterion0.16215

Covariance0.01468

r0.59309

b (slope, estimate of beta)0.62993

a (intercept, estimate of alpha)0.01600

Mean Square Error0.01718

DF error128.00000

t(b)8.33396

p(b)0.20346

t(a)0.08738

p(a)0.50386

Lowerbound of 95% confidence interval for beta0.48037

Upperbound of 95% confidence interval for beta0.77949

Lowerbound of 95% confidence interval for alpha0.38703

Upperbound of 95% confidence interval for alpha0.35429

Treynor index (mean / b)0.26195

Jensen alpha (a)0.01637
 Ratio statistics of excess log return rates
 Statistics related to Sharpe ratio

Mean0.15202

SD0.16099

Sharpe ratio (Glass type estimate)0.94432

Sharpe ratio (Hedges UMVUE)0.93882

df129.00000

t0.66518

p0.46280

Lowerbound of 95% confidence interval for Sharpe Ratio1.84222

Upperbound of 95% confidence interval for Sharpe Ratio3.72733

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation1.84599

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation3.72362
 Statistics related to Sortino ratio

Sortino ratio1.57419

Upside Potential Ratio10.04360

Upside part of mean0.96995

Downside part of mean0.81792

Upside SD0.12837

Downside SD0.09657

N nonnegative terms61.00000

N negative terms69.00000
 Statistics related to linear regression on benchmark

N of observations130.00000

Mean of predictor0.27631

Mean of criterion0.15202

SD of predictor0.15151

SD of criterion0.16099

Covariance0.01440

r0.59054

b (slope, estimate of beta)0.62748

a (intercept, estimate of alpha)0.02135

Mean Square Error0.01701

DF error128.00000

t(b)8.27888

p(b)0.20473

t(a)0.11458

p(a)0.50506

Lowerbound of 95% confidence interval for beta0.47751

Upperbound of 95% confidence interval for beta0.77744

Lowerbound of 95% confidence interval for alpha0.39005

Upperbound of 95% confidence interval for alpha0.34735

Treynor index (mean / b)0.24228

Jensen alpha (a)0.02135
 Risk estimates for a oneperiod unit investment (parametric)
 assuming log normal returns and losses (using central moments from Sharpe statistics)

VaR(95%)0.01566

Expected Shortfall on VaR0.01973
 assuming Pareto losses only (using partial moments from Sortino statistics)

VaR(95%)0.00746

Expected Shortfall on VaR0.01393
 ORDER STATISTICS
 Quartiles of return rates

Number of observations130.00000

Minimum0.97293

Quartile 10.99501

Median1.00000

Quartile 31.00581

Maximum1.05467

Mean of quarter 10.98974

Mean of quarter 20.99819

Mean of quarter 31.00223

Mean of quarter 41.01275

Inter Quartile Range0.01080

Number outliers low1.00000

Percentage of outliers low0.00769

Mean of outliers low0.97293

Number of outliers high2.00000

Percentage of outliers high0.01538

Mean of outliers high1.04684
 Risk estimates for a oneperiod unit investment (based on Ex

Extreme Value Index (moments method)0.09698

VaR(95%) (moments method)0.01049

Expected Shortfall (moments method)0.01457

Extreme Value Index (regression method)0.03105

VaR(95%) (regression method)0.01060

Expected Shortfall (regression method)0.01424
 DRAW DOWN STATISTICS
 Quartiles of draw downs

Number of observations5.00000

Minimum0.00345

Quartile 10.01488

Median0.03611

Quartile 30.06392

Maximum0.06725

Mean of quarter 10.00916

Mean of quarter 20.03611

Mean of quarter 30.06392

Mean of quarter 40.06725

Inter Quartile Range0.04904

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)0.18821

Compounded annual return (geometric extrapolation)0.19714

Calmar ratio (compounded annual return / max draw down)2.93149

Compounded annual return / average of 25% largest draw downs2.93149

Compounded annual return / Expected Shortfall lognormal9.99103

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

Mean0.16501

SD0.16215

Sharpe ratio (Glass type estimate)1.01764

Sharpe ratio (Hedges UMVUE)1.01171

df129.00000

t0.71683

p0.45993

Lowerbound of 95% confidence interval for Sharpe Ratio1.76952

Upperbound of 95% confidence interval for Sharpe Ratio3.80091

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation1.77347

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation3.79690
 Statistics related to Sortino ratio

Sortino ratio1.72141

Upside Potential Ratio10.20670

Upside part of mean0.97838

Downside part of mean0.81337

Upside SD0.13040

Downside SD0.09586

N nonnegative terms61.00000

N negative terms69.00000
 Statistics related to linear regression on benchmark

N of observations130.00000

Mean of predictor0.28793

Mean of criterion0.16501

SD of predictor0.15266

SD of criterion0.16215

Covariance0.01468

r0.59309

b (slope, estimate of beta)0.62993

a (intercept, estimate of alpha)0.01637

Mean Square Error0.01718

DF error128.00000

t(b)8.33396

p(b)0.20346

t(a)0.08738

p(a)0.50386

Lowerbound of 95% confidence interval for beta0.48037

Upperbound of 95% confidence interval for beta0.77949

Lowerbound of 95% confidence interval for alpha0.38703

Upperbound of 95% confidence interval for alpha0.35429

Treynor index (mean / b)0.26195

Jensen alpha (a)0.01637
 Ratio statistics of excess log return rates
 Statistics related to Sharpe ratio

Mean0.15202

SD0.16099

Sharpe ratio (Glass type estimate)0.94432

Sharpe ratio (Hedges UMVUE)0.93882

df129.00000

t0.66518

p0.46280

Lowerbound of 95% confidence interval for Sharpe Ratio1.84222

Upperbound of 95% confidence interval for Sharpe Ratio3.72733

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation1.84599

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation3.72362
 Statistics related to Sortino ratio

Sortino ratio1.57419

Upside Potential Ratio10.04360

Upside part of mean0.96995

Downside part of mean0.81792

Upside SD0.12837

Downside SD0.09657

N nonnegative terms61.00000

N negative terms69.00000
 Statistics related to linear regression on benchmark

N of observations130.00000

Mean of predictor0.27631

Mean of criterion0.15202

SD of predictor0.15151

SD of criterion0.16099

Covariance0.01440

r0.59054

b (slope, estimate of beta)0.62748

a (intercept, estimate of alpha)0.02135

Mean Square Error0.01701

DF error128.00000

t(b)8.27888

p(b)0.20473

t(a)0.11458

p(a)0.50506

VAR (95 Confidence Intrvl)0.01600

Lowerbound of 95% confidence interval for beta0.47751

Upperbound of 95% confidence interval for beta0.77744

Lowerbound of 95% confidence interval for alpha0.39005

Upperbound of 95% confidence interval for alpha0.34735

Treynor index (mean / b)0.24228

Jensen alpha (a)0.02135
 Risk estimates for a oneperiod unit investment (parametric)
 assuming log normal returns and losses (using central moments from Sharpe statistics)

VaR(95%)0.01566

Expected Shortfall on VaR0.01973
 assuming Pareto losses only (using partial moments from Sortino statistics)

VaR(95%)0.00746

Expected Shortfall on VaR0.01393
 ORDER STATISTICS
 Quartiles of return rates

Number of observations130.00000

Minimum0.97293

Quartile 10.99501

Median1.00000

Quartile 31.00581

Maximum1.05467

Mean of quarter 10.98974

Mean of quarter 20.99819

Mean of quarter 31.00223

Mean of quarter 41.01275

Inter Quartile Range0.01080

Number outliers low1.00000

Percentage of outliers low0.00769

Mean of outliers low0.97293

Number of outliers high2.00000

Percentage of outliers high0.01538

Mean of outliers high1.04684
 Risk estimates for a oneperiod unit investment (based on Ex

Extreme Value Index (moments method)0.09698

VaR(95%) (moments method)0.01049

Expected Shortfall (moments method)0.01457

Extreme Value Index (regression method)0.03105

VaR(95%) (regression method)0.01060

Expected Shortfall (regression method)0.01424
 DRAW DOWN STATISTICS
 Quartiles of draw downs

Number of observations5.00000

Minimum0.00345

Quartile 10.01488

Median0.03611

Quartile 30.06392

Maximum0.06725

Mean of quarter 10.00916

Mean of quarter 20.03611

Mean of quarter 30.06392

Mean of quarter 40.06725

Inter Quartile Range0.04904

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?333471000

Max Equity Drawdown (num days)27
 COMBINED STATISTICS

Annualized return (arithmetic extrapolation)0.18821

Compounded annual return (geometric extrapolation)0.19714

Calmar ratio (compounded annual return / max draw down)2.93149

Compounded annual return / average of 25% largest draw downs2.93149

Compounded annual return / Expected Shortfall lognormal9.99103
Strategy Description
Latest Activity
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.