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
08/26/2022
Most recent certification approved
8/26/22 10:50 ET
Trades at broker
Israel Interactive Trading (Server2)
Scaling percentage used
100%
# trading signals issued by system since certification
497
# trading signals executed in manager's Israel Interactive Trading (Server2) account
495
Percent signals followed since 08/26/2022
99.6%
This information was last updated
11/13/24 7:26 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 08/26/2022,
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.
Tedeschi shomer shabbat
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  08/26/2022 
Most recent certification approved  8/26/22 10:50 ET 
Trades at broker  Israel Interactive Trading (Server2) 
Scaling percentage used  100% 
# trading signals issued by system since certification  497 
# trading signals executed in manager's Israel Interactive Trading (Server2) account  495 
Percent signals followed since 08/26/2022  99.6% 
This information was last updated  11/13/24 7:26 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 08/26/2022, 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 $32.00 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 Annualized (Compounded) Rate of Return is calculated
= ((Ending_equity / Starting_equity) ^ (1 / age_in_years))  1
Remember that, following NFA requirements, strategy subscription costs and estimated commissions are included in markedtomarket equity calculations.
All results are hypothetical.
Jan  Feb  Mar  Apr  May  Jun  Jul  Aug  Sep  Oct  Nov  Dec  YTD  

2022  (1.8%)  (11.1%)  +7.9%  +0.5%  (10%)  (14.8%)  
2023  +7.2%  (5.6%)  (3%)  +1.1%  (4.2%)  +1.7%  +6.7%  +0.8%  (1.5%)  +0.5%  +9.0%  +6.3%  +19.4% 
2024  +1.1%  +5.8%  (2%)  (9.4%)  +3.6%  +1.1%  (2.6%)  (0.2%)  +7.3%  +5.0%  +16.7%  +27.1% 
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  $17,602  
Cash  $10,707  
Equity  $6,895  
Cumulative $  $7,528  
Includes dividends and cashsettled expirations:  $252  Itemized 
Total System Equity  $27,528  
Margined  $0  
Open P/L  $6,895 
Trading Record
Statistics

Strategy began8/17/2022

Suggested Minimum Cap$20,000

Strategy Age (days)819.03

Age27 months ago

What it tradesStocks

# Trades226

# Profitable110

% Profitable48.70%

Avg trade duration41.1 days

Max peaktovalley drawdown20.66%

drawdown periodAug 17, 2022  April 09, 2023

Annual Return (Compounded)11.2%

Avg win$178.93

Avg loss$106.91
 Model Account Values (Raw)

Cash$10,707

Margin Used$0

Buying Power$17,602
 Ratios

W:L ratio1.61:1

Sharpe Ratio0.5

Sortino Ratio0.72

Calmar Ratio2.095
 CORRELATION STATISTICS

Return of Strat Pcnt  Return of SP500 Pcnt (cumu)12.96%

Correlation to SP5000.59850

Return Percent SP500 (cumu) during strategy life40.01%
 Return Statistics

Ann Return (w trading costs)11.2%
 Slump

Current Slump as Pcnt Equity0.60%
 Instruments

Percent Trades Futuresn/a
 Slump

Current Slump, time of slump as pcnt of strategy life0.00%
 Instruments

Short Options  Percent Covered100.00%
 Return Statistics

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)15.3%
 Automation

Percentage Signals Automatedn/a
 Popularity

Popularity (Today)420

Popularity (Last 6 weeks)727
 Trading Style

Any stock shorts? 0/11
 Popularity

Performanceweighted percentile361

Popularity (7 days, Percentile 1000 scale)354
 TradesOwnSystem Certification

Trades Own System?Yes

TOS percent100%
 Win / Loss

Avg Loss$107

Avg Win$179

Sum Trade PL (losers)$12,401.000
 Age

Num Months filled monthly returns table28
 Win / Loss

Sum Trade PL (winners)$19,682.000

# Winners110

Num Months Winners17
 Dividends

Dividends Received in Model Acct252
 AUM

AUM (AutoTrader live capital)27239
 Win / Loss

# Losers116

% Winners48.7%
 Frequency

Avg Position Time (mins)59223.50

Avg Position Time (hrs)987.06

Avg Trade Length41.1 days

Last Trade Ago1
 Leverage

Daily leverage (average)0.85

Daily leverage (max)3.47
 Regression

Alpha0.00

Beta0.75

Treynor Index0.04
 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)0.59

MAE:Equity, average, winning trades0.00

MAE:Equity, average, losing trades0.01

Avg(MAE) / Avg(PL)  All trades3.561

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 trades0.313

Avg(MAE) / Avg(PL)  Losing trades1.191

HoldandHope Ratio0.036
 Analysis based on MONTHLY values, full history
 RATIO STATISTICS
 Ratio statistics of excess return rates
 Statistics related to Sharpe ratio

Mean0.30427

SD0.30960

Sharpe ratio (Glass type estimate)0.98279

Sharpe ratio (Hedges UMVUE)0.91983

df12.00000

t1.02292

p0.35840

Lowerbound of 95% confidence interval for Sharpe Ratio0.95944

Upperbound of 95% confidence interval for Sharpe Ratio2.88620

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.99886

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation2.83852
 Statistics related to Sortino ratio

Sortino ratio1.90501

Upside Potential Ratio3.72502

Upside part of mean0.59496

Downside part of mean0.29069

Upside SD0.26586

Downside SD0.15972

N nonnegative terms9.00000

N negative terms4.00000
 Statistics related to linear regression on benchmark

N of observations13.00000

Mean of predictor0.30785

Mean of criterion0.30427

SD of predictor0.20719

SD of criterion0.30960

Covariance0.03748

r0.58425

b (slope, estimate of beta)0.87301

a (intercept, estimate of alpha)0.03552

Mean Square Error0.06887

DF error11.00000

t(b)2.38761

p(b)0.01801

t(a)0.12862

p(a)0.44999

Lowerbound of 95% confidence interval for beta0.06824

Upperbound of 95% confidence interval for beta1.67779

Lowerbound of 95% confidence interval for alpha0.57223

Upperbound of 95% confidence interval for alpha0.64326

Treynor index (mean / b)0.34853

Jensen alpha (a)0.03552
 Ratio statistics of excess log return rates
 Statistics related to Sharpe ratio

Mean0.25782

SD0.30179

Sharpe ratio (Glass type estimate)0.85428

Sharpe ratio (Hedges UMVUE)0.79956

df12.00000

t0.88916

p0.37569

Lowerbound of 95% confidence interval for Sharpe Ratio1.07589

Upperbound of 95% confidence interval for Sharpe Ratio2.75046

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation1.11049

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation2.70960
 Statistics related to Sortino ratio

Sortino ratio1.54021

Upside Potential Ratio3.35379

Upside part of mean0.56139

Downside part of mean0.30358

Upside SD0.24818

Downside SD0.16739

N nonnegative terms9.00000

N negative terms4.00000
 Statistics related to linear regression on benchmark

N of observations13.00000

Mean of predictor0.28451

Mean of criterion0.25782

SD of predictor0.20171

SD of criterion0.30179

Covariance0.03816

r0.62689

b (slope, estimate of beta)0.93793

a (intercept, estimate of alpha)0.00904

Mean Square Error0.06031

DF error11.00000

t(b)2.66862

p(b)0.01092

t(a)0.03527

p(a)0.51375

Lowerbound of 95% confidence interval for beta0.16436

Upperbound of 95% confidence interval for beta1.71151

Lowerbound of 95% confidence interval for alpha0.57308

Upperbound of 95% confidence interval for alpha0.55500

Treynor index (mean / b)0.27488

Jensen alpha (a)0.00904
 Risk estimates for a oneperiod unit investment (parametric)
 assuming log normal returns and losses (using central moments from Sharpe statistics)

VaR(95%)0.11469

Expected Shortfall on VaR0.14590
 assuming Pareto losses only (using partial moments from Sortino statistics)

VaR(95%)0.04080

Expected Shortfall on VaR0.08330
 ORDER STATISTICS
 Quartiles of return rates

Number of observations13.00000

Minimum0.89025

Quartile 10.96187

Median1.02773

Quartile 31.06758

Maximum1.16646

Mean of quarter 10.92360

Mean of quarter 21.02129

Mean of quarter 31.04715

Mean of quarter 41.15339

Inter Quartile Range0.10571

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)7.35829

VaR(95%) (moments method)0.07408

Expected Shortfall (moments method)0.07408

Extreme Value Index (regression method)1.35209

VaR(95%) (regression method)0.12133

Expected Shortfall (regression method)0.12633
 DRAW DOWN STATISTICS
 Quartiles of draw downs

Number of observations2.00000

Minimum0.10975

Quartile 10.11646

Median0.12316

Quartile 30.12986

Maximum0.13657

Mean of quarter 10.10975

Mean of quarter 20.00000

Mean of quarter 30.00000

Mean of quarter 40.13657

Inter Quartile Range0.01341

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)0.33488

Compounded annual return (geometric extrapolation)0.33072

Calmar ratio (compounded annual return / max draw down)2.42167

Compounded annual return / average of 25% largest draw downs2.42167

Compounded annual return / Expected Shortfall lognormal2.26683

0.00000

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

Mean0.29136

SD0.23492

Sharpe ratio (Glass type estimate)1.24025

Sharpe ratio (Hedges UMVUE)1.23700

df286.00000

t1.29808

p0.09765

Lowerbound of 95% confidence interval for Sharpe Ratio0.63621

Upperbound of 95% confidence interval for Sharpe Ratio3.11462

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.63840

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation3.11239
 Statistics related to Sortino ratio

Sortino ratio1.91463

Upside Potential Ratio8.60411

Upside part of mean1.30936

Downside part of mean1.01799

Upside SD0.17934

Downside SD0.15218

N nonnegative terms156.00000

N negative terms131.00000
 Statistics related to linear regression on benchmark

N of observations287.00000

Mean of predictor0.30144

Mean of criterion0.29136

SD of predictor0.20981

SD of criterion0.23492

Covariance0.02967

r0.60184

b (slope, estimate of beta)0.67387

a (intercept, estimate of alpha)0.08800

Mean Square Error0.03532

DF error285.00000

t(b)12.72240

p(b)0.00000

t(a)0.48943

p(a)0.31246

Lowerbound of 95% confidence interval for beta0.56961

Upperbound of 95% confidence interval for beta0.77813

Lowerbound of 95% confidence interval for alpha0.26661

Upperbound of 95% confidence interval for alpha0.44308

Treynor index (mean / b)0.43238

Jensen alpha (a)0.08823
 Ratio statistics of excess log return rates
 Statistics related to Sharpe ratio

Mean0.26377

SD0.23449

Sharpe ratio (Glass type estimate)1.12487

Sharpe ratio (Hedges UMVUE)1.12192

df286.00000

t1.17731

p0.12002

Lowerbound of 95% confidence interval for Sharpe Ratio0.75099

Upperbound of 95% confidence interval for Sharpe Ratio2.99885

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.75299

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation2.99683
 Statistics related to Sortino ratio

Sortino ratio1.69758

Upside Potential Ratio8.32512

Upside part of mean1.29356

Downside part of mean1.02979

Upside SD0.17583

Downside SD0.15538

N nonnegative terms156.00000

N negative terms131.00000
 Statistics related to linear regression on benchmark

N of observations287.00000

Mean of predictor0.27931

Mean of criterion0.26377

SD of predictor0.20992

SD of criterion0.23449

Covariance0.02990

r0.60748

b (slope, estimate of beta)0.67859

a (intercept, estimate of alpha)0.07424

Mean Square Error0.03482

DF error285.00000

t(b)12.91070

p(b)0.00000

t(a)0.41500

p(a)0.33923

Lowerbound of 95% confidence interval for beta0.57513

Upperbound of 95% confidence interval for beta0.78204

Lowerbound of 95% confidence interval for alpha0.27786

Upperbound of 95% confidence interval for alpha0.42633

Treynor index (mean / b)0.38870

Jensen alpha (a)0.07424
 Risk estimates for a oneperiod unit investment (parametric)
 assuming log normal returns and losses (using central moments from Sharpe statistics)

VaR(95%)0.02256

Expected Shortfall on VaR0.02845
 assuming Pareto losses only (using partial moments from Sortino statistics)

VaR(95%)0.00830

Expected Shortfall on VaR0.01765
 ORDER STATISTICS
 Quartiles of return rates

Number of observations287.00000

Minimum0.92422

Quartile 10.99535

Median1.00091

Quartile 31.00551

Maximum1.07020

Mean of quarter 10.98599

Mean of quarter 20.99882

Mean of quarter 31.00314

Mean of quarter 41.01696

Inter Quartile Range0.01017

Number outliers low11.00000

Percentage of outliers low0.03833

Mean of outliers low0.96277

Number of outliers high18.00000

Percentage of outliers high0.06272

Mean of outliers high1.03743
 Risk estimates for a oneperiod unit investment (based on Ex

Extreme Value Index (moments method)0.40901

VaR(95%) (moments method)0.01404

Expected Shortfall (moments method)0.02735

Extreme Value Index (regression method)0.48747

VaR(95%) (regression method)0.01312

Expected Shortfall (regression method)0.02764
 DRAW DOWN STATISTICS
 Quartiles of draw downs

Number of observations12.00000

Minimum0.00175

Quartile 10.01000

Median0.01595

Quartile 30.02354

Maximum0.16165

Mean of quarter 10.00355

Mean of quarter 20.01228

Mean of quarter 30.02035

Mean of quarter 40.11524

Inter Quartile Range0.01353

Number outliers low0.00000

Percentage of outliers low0.00000

Mean of outliers low0.00000

Number of outliers high2.00000

Percentage of outliers high0.16667

Mean of outliers high0.15901
 Risk estimates based on draw downs (based on Extreme Value T

Extreme Value Index (moments method)5521.95000

VaR(95%) (moments method)0.07610

Expected Shortfall (moments method)0.00000

Extreme Value Index (regression method)5.60510

VaR(95%) (regression method)0.47320

Expected Shortfall (regression method)0.47327
 COMBINED STATISTICS

Annualized return (arithmetic extrapolation)0.34366

Compounded annual return (geometric extrapolation)0.33867

Calmar ratio (compounded annual return / max draw down)2.09508

Compounded annual return / average of 25% largest draw downs2.93893

Compounded annual return / Expected Shortfall lognormal11.90470

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

Mean0.56881

SD0.16221

Sharpe ratio (Glass type estimate)3.50665

Sharpe ratio (Hedges UMVUE)3.48638

df130.00000

t2.47958

p0.39375

Lowerbound of 95% confidence interval for Sharpe Ratio0.69579

Upperbound of 95% confidence interval for Sharpe Ratio6.30445

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.68237

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation6.29039
 Statistics related to Sortino ratio

Sortino ratio6.63054

Upside Potential Ratio13.96540

Upside part of mean1.19804

Downside part of mean0.62923

Upside SD0.14137

Downside SD0.08579

N nonnegative terms84.00000

N negative terms47.00000
 Statistics related to linear regression on benchmark

N of observations131.00000

Mean of predictor0.24421

Mean of criterion0.56881

SD of predictor0.13456

SD of criterion0.16221

Covariance0.01320

r0.60460

b (slope, estimate of beta)0.72884

a (intercept, estimate of alpha)0.39082

Mean Square Error0.01682

DF error129.00000

t(b)8.62099

p(b)0.14004

t(a)2.11726

p(a)0.38399

Lowerbound of 95% confidence interval for beta0.56157

Upperbound of 95% confidence interval for beta0.89611

Lowerbound of 95% confidence interval for alpha0.02561

Upperbound of 95% confidence interval for alpha0.75603

Treynor index (mean / b)0.78043

Jensen alpha (a)0.39082
 Ratio statistics of excess log return rates
 Statistics related to Sharpe ratio

Mean0.55525

SD0.16083

Sharpe ratio (Glass type estimate)3.45241

Sharpe ratio (Hedges UMVUE)3.43245

df130.00000

t2.44122

p0.39532

Lowerbound of 95% confidence interval for Sharpe Ratio0.64267

Upperbound of 95% confidence interval for Sharpe Ratio6.24933

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.62942

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation6.23548
 Statistics related to Sortino ratio

Sortino ratio6.42402

Upside Potential Ratio13.74630

Upside part of mean1.18813

Downside part of mean0.63288

Upside SD0.13919

Downside SD0.08643

N nonnegative terms84.00000

N negative terms47.00000
 Statistics related to linear regression on benchmark

N of observations131.00000

Mean of predictor0.23508

Mean of criterion0.55525

SD of predictor0.13472

SD of criterion0.16083

Covariance0.01318

r0.60831

b (slope, estimate of beta)0.72621

a (intercept, estimate of alpha)0.38453

Mean Square Error0.01642

DF error129.00000

t(b)8.70482

p(b)0.13817

t(a)2.10955

p(a)0.38439

VAR (95 Confidence Intrvl)0.02300

Lowerbound of 95% confidence interval for beta0.56115

Upperbound of 95% confidence interval for beta0.89127

Lowerbound of 95% confidence interval for alpha0.02388

Upperbound of 95% confidence interval for alpha0.74518

Treynor index (mean / b)0.76458

Jensen alpha (a)0.38453
 Risk estimates for a oneperiod unit investment (parametric)
 assuming log normal returns and losses (using central moments from Sharpe statistics)

VaR(95%)0.01412

Expected Shortfall on VaR0.01820
 assuming Pareto losses only (using partial moments from Sortino statistics)

VaR(95%)0.00439

Expected Shortfall on VaR0.00937
 ORDER STATISTICS
 Quartiles of return rates

Number of observations131.00000

Minimum0.97563

Quartile 10.99806

Median1.00227

Quartile 31.00594

Maximum1.05444

Mean of quarter 10.99118

Mean of quarter 21.00021

Mean of quarter 31.00438

Mean of quarter 41.01341

Inter Quartile Range0.00787

Number outliers low7.00000

Percentage of outliers low0.05344

Mean of outliers low0.98255

Number of outliers high4.00000

Percentage of outliers high0.03053

Mean of outliers high1.03829
 Risk estimates for a oneperiod unit investment (based on Ex

Extreme Value Index (moments method)0.23251

VaR(95%) (moments method)0.00623

Expected Shortfall (moments method)0.00803

Extreme Value Index (regression method)0.08862

VaR(95%) (regression method)0.00805

Expected Shortfall (regression method)0.01129
 DRAW DOWN STATISTICS
 Quartiles of draw downs

Number of observations8.00000

Minimum0.00298

Quartile 10.00785

Median0.01543

Quartile 30.02124

Maximum0.10593

Mean of quarter 10.00445

Mean of quarter 20.00929

Mean of quarter 30.02087

Mean of quarter 40.06404

Inter Quartile Range0.01339

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 high0.10593
 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?366357000

Max Equity Drawdown (num days)235
 COMBINED STATISTICS

Annualized return (arithmetic extrapolation)0.67707

Compounded annual return (geometric extrapolation)0.79168

Calmar ratio (compounded annual return / max draw down)7.47346

Compounded annual return / average of 25% largest draw downs12.36190

Compounded annual return / Expected Shortfall lognormal43.49540
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.
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.
The risk profile is set by the investment/trading style, types of assets and level of leverage. These factors place strategies into five risk levels: Low, Moderate, Medium, High, and Extreme.