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Featured Strategy Trade ideas Algo V21/11 Trades-Own-Strategy Certified Trades-Own-Strategy Certification Hypothetical

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This strategy is no longer supported by its creator.
These are hypothetical performance results that have certain inherent limitations. Learn more
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Tortoise and Hare
(87356507)

Created by: TuyenNguyen TuyenNguyen
Started: 05/2014
Stocks
Last trade: 3,503 days ago

Subscriptions not available

No subscriptions are currently available for this strategy because the strategy manager has capped the maximum number of subscribers.

Subscription terms. Subscriptions to this system cost $39.00 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.

9.8%
Annual Return (Compounded)

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 marked-to-market equity calculations.

All results are hypothetical.

-
Max Drawdown
127
Num Trades
59.8%
Win Trades
1.6 : 1
Profit Factor
6.3%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2014                            +2.1%+6.3%+0.4%+3.4%(0.5%)+2.2%+0.2%(2.7%)+11.7%
2015+2.7%+4.1%(5.2%)(0.9%)  -    -    -    -    -  (0.2%)  -    -  +0.2%
2016  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2017  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2018  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2019  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2020  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2021  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2022  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2023  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2024  -    -    -    -    -    -    -    -    -    -    -        0.0

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.

Trading Record

This strategy has placed 3 trades in real-life brokerage accounts. The most recent trade in a real-money brokerage account occurred more than 3661 days ago.

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Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQuantAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
3/26/15 9:30 DPLO DIPLOMAT PHARMACY INC LONG 68 30.09 4/22 9:30 34.25 n/a $282
Includes Typical Broker Commissions trade costs of $1.36
3/17/15 15:47 ADBE ADOBE INC LONG 178 79.61 4/22 9:30 74.68 4.59%
Trade id #93287221
Max drawdown($1,333)
Time3/26/15 10:17
Quant open178
Worst price72.12
Drawdown as % of equity-4.59%
 ($882)
Includes Typical Broker Commissions trade costs of $3.56
4/1/15 9:31 OLN OLIN LONG 101 32.20 4/22 9:30 31.21 0.45%
Trade id #93619135
Max drawdown($131)
Time4/21/15 13:32
Quant open101
Worst price30.90
Drawdown as % of equity-0.45%
 ($102)
Includes Typical Broker Commissions trade costs of $2.02
4/7/15 9:30 AHT ASHFORD HOSPITALITY TRUST LONG 582 9.98 4/22 9:30 9.60 1.13%
Trade id #93712570
Max drawdown($328)
Time4/17/15 15:23
Quant open582
Worst price9.41
Drawdown as % of equity-1.13%
 ($226)
Includes Typical Broker Commissions trade costs of $5.00
4/8/15 15:46 RECN RESOURCES CONNECTION LONG 93 17.51 4/9 9:30 17.30 0.08%
Trade id #93748113
Max drawdown($22)
Time4/9/15 9:30
Quant open93
Worst price17.27
Drawdown as % of equity-0.08%
 ($22)
Includes Typical Broker Commissions trade costs of $1.86
3/20/15 9:30 KMX CARMAX LONG 130 66.14 3/26 9:31 65.31 0.37%
Trade id #93375617
Max drawdown($108)
Time3/26/15 9:31
Quant open0
Worst price65.31
Drawdown as % of equity-0.37%
 ($111)
Includes Typical Broker Commissions trade costs of $2.60
3/19/15 9:30 SHO SUNSTONE HOTEL INVESTORS LONG 421 16.96 3/25 9:36 16.93 0.11%
Trade id #93342072
Max drawdown($33)
Time3/19/15 12:54
Quant open421
Worst price16.88
Drawdown as % of equity-0.11%
 ($21)
Includes Typical Broker Commissions trade costs of $8.42
3/20/15 9:31 VEEV VEEVA SYSTEMS INC LONG 107 27.80 3/23 12:16 26.39 0.5%
Trade id #93375698
Max drawdown($151)
Time3/23/15 12:16
Quant open0
Worst price26.39
Drawdown as % of equity-0.50%
 ($153)
Includes Typical Broker Commissions trade costs of $2.14
3/11/15 9:31 SDS PROSHARES ULTRASHORT S&P500 LONG 670 21.86 3/12 9:41 21.69 0.37%
Trade id #93145630
Max drawdown($114)
Time3/12/15 9:41
Quant open0
Worst price21.69
Drawdown as % of equity-0.37%
 ($119)
Includes Typical Broker Commissions trade costs of $5.00
2/20/15 9:30 CHRW CH ROBINSON WORLDWIDE LONG 117 71.61 3/9 9:31 73.52 0.21%
Trade id #92652827
Max drawdown($65)
Time2/20/15 9:59
Quant open117
Worst price71.05
Drawdown as % of equity-0.21%
 $221
Includes Typical Broker Commissions trade costs of $2.34
3/4/15 9:30 SAN SANTANDER FINANCE SA UNIPERSON LONG 1,419 7.19 3/6 9:30 7.05 0.73%
Trade id #92917131
Max drawdown($227)
Time3/6/15 9:26
Quant open1,419
Worst price7.03
Drawdown as % of equity-0.73%
 ($204)
Includes Typical Broker Commissions trade costs of $5.00
2/27/15 9:30 GD GENERAL DYNAMICS LONG 95 139.06 3/3 9:50 137.85 0.37%
Trade id #92811235
Max drawdown($115)
Time3/3/15 9:50
Quant open0
Worst price137.84
Drawdown as % of equity-0.37%
 ($117)
Includes Typical Broker Commissions trade costs of $1.90
2/20/15 9:37 SNCR SYNCHRONOSS LONG 92 45.06 2/27 9:53 45.56 0.6%
Trade id #92653154
Max drawdown($184)
Time2/23/15 10:27
Quant open92
Worst price43.06
Drawdown as % of equity-0.60%
 $44
Includes Typical Broker Commissions trade costs of $1.84
2/17/15 11:44 ARC ARC DOCUMENT SOLUTIONS LONG 491 9.17 2/24 11:04 9.58 0.14%
Trade id #92570745
Max drawdown($44)
Time2/18/15 13:30
Quant open491
Worst price9.08
Drawdown as % of equity-0.14%
 $191
Includes Typical Broker Commissions trade costs of $9.82
2/3/15 9:30 NWBI NORTHWEST BANCSHARES LONG 697 11.85 2/19 15:41 11.70 0.34%
Trade id #92261792
Max drawdown($105)
Time2/19/15 15:41
Quant open0
Worst price11.70
Drawdown as % of equity-0.34%
 ($110)
Includes Typical Broker Commissions trade costs of $5.00
2/12/15 9:35 AMBA AMBARELLA INC LONG 66 54.84 2/13 10:38 51.79 0.65%
Trade id #92483096
Max drawdown($201)
Time2/13/15 10:38
Quant open0
Worst price51.79
Drawdown as % of equity-0.65%
 ($202)
Includes Typical Broker Commissions trade costs of $1.32
2/9/15 10:48 GD GENERAL DYNAMICS LONG 75 137.96 2/11 13:20 136.61 0.33%
Trade id #92390822
Max drawdown($101)
Time2/11/15 13:20
Quant open0
Worst price136.61
Drawdown as % of equity-0.33%
 ($103)
Includes Typical Broker Commissions trade costs of $1.50
2/9/15 9:33 MPWR MONOLITHIC POWER SYSTEMS LONG 120 47.38 2/11 11:47 49.87 0.18%
Trade id #92387197
Max drawdown($55)
Time2/9/15 14:20
Quant open120
Worst price46.92
Drawdown as % of equity-0.18%
 $297
Includes Typical Broker Commissions trade costs of $2.40
2/6/15 15:28 MU MICRON TECHNOLOGY LONG 185 28.95 2/9 9:44 28.41 0.33%
Trade id #92367222
Max drawdown($100)
Time2/9/15 9:44
Quant open0
Worst price28.41
Drawdown as % of equity-0.33%
 ($104)
Includes Typical Broker Commissions trade costs of $3.70
2/3/15 9:46 AKRX AKORN LONG 120 42.20 2/4 14:27 44.70 0.04%
Trade id #92263123
Max drawdown($12)
Time2/3/15 9:51
Quant open120
Worst price42.10
Drawdown as % of equity-0.04%
 $298
Includes Typical Broker Commissions trade costs of $2.40
1/28/15 15:50 CRUS CIRRUS LOGIC LONG 235 27.70 2/4 14:24 28.40 1.72%
Trade id #92158138
Max drawdown($509)
Time1/29/15 13:42
Quant open235
Worst price25.53
Drawdown as % of equity-1.72%
 $160
Includes Typical Broker Commissions trade costs of $4.70
1/30/15 15:48 CI THE CIGNA GROUP LONG 83 106.99 2/4 9:50 109.28 0.49%
Trade id #92216530
Max drawdown($146)
Time2/2/15 10:12
Quant open83
Worst price105.23
Drawdown as % of equity-0.49%
 $188
Includes Typical Broker Commissions trade costs of $1.66
1/22/15 15:50 RMD RESMED LONG 211 61.88 1/23 9:30 63.99 0.11%
Trade id #92041731
Max drawdown($31)
Time1/22/15 16:00
Quant open211
Worst price61.73
Drawdown as % of equity-0.11%
 $441
Includes Typical Broker Commissions trade costs of $4.22
1/20/15 9:31 RNR RENAISSANCERE HOLDINGS SHORT 29 96.60 1/22 9:33 96.37 0.02%
Trade id #91972480
Max drawdown($5)
Time1/20/15 9:37
Quant open-29
Worst price96.80
Drawdown as % of equity-0.02%
 $6
Includes Typical Broker Commissions trade costs of $0.58
1/20/15 9:30 NEE NEXTERA ENERGY SHORT 27 108.61 1/22 9:30 110.28 0.15%
Trade id #91972186
Max drawdown($45)
Time1/22/15 9:30
Quant open0
Worst price110.28
Drawdown as % of equity-0.15%
 ($46)
Includes Typical Broker Commissions trade costs of $0.54
1/20/15 9:30 FCX FREEPORT-MCMORAN INC SHORT 52 19.24 1/22 9:30 20.48 0.23%
Trade id #91972148
Max drawdown($69)
Time1/22/15 9:30
Quant open-52
Worst price20.57
Drawdown as % of equity-0.23%
 ($65)
Includes Typical Broker Commissions trade costs of $1.04
1/20/15 9:30 EPD ENTERPRISE PRODUCTS SHORT 39 34.38 1/22 9:30 35.94 0.21%
Trade id #91972179
Max drawdown($63)
Time1/22/15 8:42
Quant open-39
Worst price36.00
Drawdown as % of equity-0.21%
 ($62)
Includes Typical Broker Commissions trade costs of $0.78
1/20/15 9:30 ELX EMULEX SHORT 207 6.96 1/22 9:30 6.72 0.03%
Trade id #91972128
Max drawdown($8)
Time1/20/15 10:08
Quant open-207
Worst price7.00
Drawdown as % of equity-0.03%
 $46
Includes Typical Broker Commissions trade costs of $4.14
1/20/15 9:30 MDU MDU RESOURCES GROUP SHORT 81 23.71 1/22 9:30 24.00 0.08%
Trade id #91972166
Max drawdown($23)
Time1/22/15 9:30
Quant open0
Worst price24.00
Drawdown as % of equity-0.08%
 ($25)
Includes Typical Broker Commissions trade costs of $1.62
1/20/15 9:30 MAT MATTEL SHORT 68 27.82 1/22 9:30 28.13 0.07%
Trade id #91972140
Max drawdown($21)
Time1/21/15 15:49
Quant open-68
Worst price28.13
Drawdown as % of equity-0.07%
 ($22)
Includes Typical Broker Commissions trade costs of $1.36
Next

Statistics

  • Strategy began
    5/2/2014
  • Suggested Minimum Cap
    $25,000
  • Strategy Age (days)
    3855.01
  • Age
    129 months ago
  • What it trades
    Stocks
  • # Trades
    127
  • # Profitable
    76
  • % Profitable
    59.80%
  • Avg trade duration
    4.5 days
  • Max peak-to-valley drawdown
    %
  • drawdown period
    Dec , - Dec ,
  • Annual Return (Compounded)
    9.8%
  • Avg win
    $153.26
  • Avg loss
    $145.96
  • Model Account Values (Raw)
  • Cash
    $29,317
  • Margin Used
    $0
  • Buying Power
    $29,317
  • Ratios
  • W:L ratio
    1.58:1
  • Sharpe Ratio
    -0.22
  • Sortino Ratio
    -0.35
  • Calmar Ratio
    1.008
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    1.74%
  • Correlation to SP500
    -0.03300
  • Return Percent SP500 (cumu) during strategy life
    217.33%
  • Return Statistics
  • Ann Return (w trading costs)
    9.8%
  • Slump
  • Current Slump as Pcnt Equity
    7.30%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.94%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.098%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    1.5%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    n/a
  • Chance of 20% account loss
    n/a
  • Chance of 30% account loss
    n/a
  • Chance of 40% account loss
    n/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 Automated
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    277
  • Popularity (Last 6 weeks)
    383
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Popularity
  • Popularity (7 days, Percentile 1000 scale)
    0
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $146
  • Avg Win
    $153
  • Sum Trade PL (losers)
    $7,444.000
  • Age
  • Num Months filled monthly returns table
    127
  • Win / Loss
  • Sum Trade PL (winners)
    $11,648.000
  • # Winners
    76
  • Num Months Winners
    10
  • Dividends
  • Dividends Received in Model Acct
    112
  • Win / Loss
  • # Losers
    51
  • % Winners
    59.8%
  • Frequency
  • Avg Position Time (mins)
    6411.65
  • Avg Position Time (hrs)
    106.86
  • Avg Trade Length
    4.5 days
  • Last Trade Ago
    3500
  • Regression
  • Alpha
    -0.00
  • Beta
    -0.01
  • Treynor Index
    0.37
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.00
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    22.92
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    19.95
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -0.03
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.01
  • Avg(MAE) / Avg(PL) - All trades
    4.316
  • 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 strat
    0.00
  • Avg(MAE) / Avg(PL) - Winning trades
    0.462
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.233
  • Hold-and-Hope Ratio
    0.232
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.13248
  • SD
    0.08962
  • Sharpe ratio (Glass type estimate)
    1.47829
  • Sharpe ratio (Hedges UMVUE)
    1.39105
  • df
    13.00000
  • t
    1.59674
  • p
    0.24945
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.44710
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.35241
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.50067
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.28276
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.40871
  • Upside Potential Ratio
    4.99203
  • Upside part of mean
    0.19402
  • Downside part of mean
    -0.06154
  • Upside SD
    0.08608
  • Downside SD
    0.03887
  • N nonnegative terms
    10.00000
  • N negative terms
    4.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    14.00000
  • Mean of predictor
    0.09841
  • Mean of criterion
    0.13248
  • SD of predictor
    0.06844
  • SD of criterion
    0.08962
  • Covariance
    0.00093
  • r
    0.15141
  • b (slope, estimate of beta)
    0.19827
  • a (intercept, estimate of alpha)
    0.11297
  • Mean Square Error
    0.00850
  • DF error
    12.00000
  • t(b)
    0.53061
  • p(b)
    0.42430
  • t(a)
    1.21543
  • p(a)
    0.33446
  • Lowerbound of 95% confidence interval for beta
    -0.61587
  • Upperbound of 95% confidence interval for beta
    1.01242
  • Lowerbound of 95% confidence interval for alpha
    -0.08954
  • Upperbound of 95% confidence interval for alpha
    0.31548
  • Treynor index (mean / b)
    0.66817
  • Jensen alpha (a)
    0.11297
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.12802
  • SD
    0.08833
  • Sharpe ratio (Glass type estimate)
    1.44933
  • Sharpe ratio (Hedges UMVUE)
    1.36379
  • df
    13.00000
  • t
    1.56545
  • p
    0.25333
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.47241
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.32064
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.52499
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.25257
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.25370
  • Upside Potential Ratio
    4.83590
  • Upside part of mean
    0.19027
  • Downside part of mean
    -0.06225
  • Upside SD
    0.08404
  • Downside SD
    0.03935
  • N nonnegative terms
    10.00000
  • N negative terms
    4.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    14.00000
  • Mean of predictor
    0.09580
  • Mean of criterion
    0.12802
  • SD of predictor
    0.06757
  • SD of criterion
    0.08833
  • Covariance
    0.00092
  • r
    0.15495
  • b (slope, estimate of beta)
    0.20256
  • a (intercept, estimate of alpha)
    0.10861
  • Mean Square Error
    0.00825
  • DF error
    12.00000
  • t(b)
    0.54332
  • p(b)
    0.42253
  • t(a)
    1.18885
  • p(a)
    0.33770
  • Lowerbound of 95% confidence interval for beta
    -0.60973
  • Upperbound of 95% confidence interval for beta
    1.01484
  • Lowerbound of 95% confidence interval for alpha
    -0.09044
  • Upperbound of 95% confidence interval for alpha
    0.30766
  • Treynor index (mean / b)
    0.63201
  • Jensen alpha (a)
    0.10861
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.03079
  • Expected Shortfall on VaR
    0.04102
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00792
  • Expected Shortfall on VaR
    0.01766
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    14.00000
  • Minimum
    0.97043
  • Quartile 1
    1.00025
  • Median
    1.00864
  • Quartile 3
    1.02478
  • Maximum
    1.06467
  • Mean of quarter 1
    0.98288
  • Mean of quarter 2
    1.00491
  • Mean of quarter 3
    1.01672
  • Mean of quarter 4
    1.04244
  • Inter Quartile Range
    0.02453
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.07143
  • Mean of outliers high
    1.06467
  • Risk estimates for a one-period 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)
    -1.61678
  • VaR(95%) (regression method)
    0.03292
  • Expected Shortfall (regression method)
    0.03438
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    2.00000
  • Minimum
    0.02218
  • Quartile 1
    0.02808
  • Median
    0.03399
  • Quartile 3
    0.03989
  • Maximum
    0.04580
  • Mean of quarter 1
    0.02218
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.04580
  • Inter Quartile Range
    0.01181
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • 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)
    0.14969
  • Compounded annual return (geometric extrapolation)
    0.14794
  • Calmar ratio (compounded annual return / max draw down)
    3.23010
  • Compounded annual return / average of 25% largest draw downs
    3.23010
  • Compounded annual return / Expected Shortfall lognormal
    3.60667
  • 0.00000
  • 0.00000
  • Analysis based on DAILY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.12825
  • SD
    0.08724
  • Sharpe ratio (Glass type estimate)
    1.47020
  • Sharpe ratio (Hedges UMVUE)
    1.46751
  • df
    411.00000
  • t
    1.60896
  • p
    0.05420
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.32443
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.26307
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.32622
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.26125
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.34904
  • Upside Potential Ratio
    7.99409
  • Upside part of mean
    0.43646
  • Downside part of mean
    -0.30821
  • Upside SD
    0.06825
  • Downside SD
    0.05460
  • N nonnegative terms
    150.00000
  • N negative terms
    262.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    412.00000
  • Mean of predictor
    0.08558
  • Mean of criterion
    0.12825
  • SD of predictor
    0.11629
  • SD of criterion
    0.08724
  • Covariance
    -0.00143
  • r
    -0.14062
  • b (slope, estimate of beta)
    -0.10548
  • a (intercept, estimate of alpha)
    0.03800
  • Mean Square Error
    0.00748
  • DF error
    410.00000
  • t(b)
    -2.87586
  • p(b)
    0.99788
  • t(a)
    1.73600
  • p(a)
    0.04166
  • Lowerbound of 95% confidence interval for beta
    -0.17758
  • Upperbound of 95% confidence interval for beta
    -0.03338
  • Lowerbound of 95% confidence interval for alpha
    -0.01817
  • Upperbound of 95% confidence interval for alpha
    0.29273
  • Treynor index (mean / b)
    -1.21590
  • Jensen alpha (a)
    0.13728
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.12445
  • SD
    0.08700
  • Sharpe ratio (Glass type estimate)
    1.43040
  • Sharpe ratio (Hedges UMVUE)
    1.42779
  • df
    411.00000
  • t
    1.56541
  • p
    0.05913
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.36403
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.22316
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.36580
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.22138
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.25665
  • Upside Potential Ratio
    7.87284
  • Upside part of mean
    0.43416
  • Downside part of mean
    -0.30971
  • Upside SD
    0.06749
  • Downside SD
    0.05515
  • N nonnegative terms
    150.00000
  • N negative terms
    262.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    412.00000
  • Mean of predictor
    0.07882
  • Mean of criterion
    0.12445
  • SD of predictor
    0.11630
  • SD of criterion
    0.08700
  • Covariance
    -0.00142
  • r
    -0.14080
  • b (slope, estimate of beta)
    -0.10533
  • a (intercept, estimate of alpha)
    0.13275
  • Mean Square Error
    0.00744
  • DF error
    410.00000
  • t(b)
    -2.87970
  • p(b)
    0.99791
  • t(a)
    1.68346
  • p(a)
    0.04652
  • Lowerbound of 95% confidence interval for beta
    -0.17724
  • Upperbound of 95% confidence interval for beta
    -0.03343
  • Lowerbound of 95% confidence interval for alpha
    -0.02226
  • Upperbound of 95% confidence interval for alpha
    0.28775
  • Treynor index (mean / b)
    -1.18145
  • Jensen alpha (a)
    0.13275
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00733
  • Expected Shortfall on VaR
    0.00927
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00234
  • Expected Shortfall on VaR
    0.00515
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    412.00000
  • Minimum
    0.96402
  • Quartile 1
    0.99996
  • Median
    1.00000
  • Quartile 3
    1.00099
  • Maximum
    1.04355
  • Mean of quarter 1
    0.99649
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00021
  • Mean of quarter 4
    1.00490
  • Inter Quartile Range
    0.00103
  • Number outliers low
    60.00000
  • Percentage of outliers low
    0.14563
  • Mean of outliers low
    0.99443
  • Number of outliers high
    61.00000
  • Percentage of outliers high
    0.14806
  • Mean of outliers high
    1.00713
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.04566
  • VaR(95%) (moments method)
    0.00263
  • Expected Shortfall (moments method)
    0.00408
  • Extreme Value Index (regression method)
    0.07014
  • VaR(95%) (regression method)
    0.00342
  • Expected Shortfall (regression method)
    0.00564
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    16.00000
  • Minimum
    0.00025
  • Quartile 1
    0.00078
  • Median
    0.00649
  • Quartile 3
    0.01420
  • Maximum
    0.06506
  • Mean of quarter 1
    0.00046
  • Mean of quarter 2
    0.00319
  • Mean of quarter 3
    0.01061
  • Mean of quarter 4
    0.04395
  • Inter Quartile Range
    0.01342
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    3.00000
  • Percentage of outliers high
    0.18750
  • Mean of outliers high
    0.05317
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -22.95470
  • VaR(95%) (moments method)
    0.03613
  • Expected Shortfall (moments method)
    0.03613
  • Extreme Value Index (regression method)
    -1.44885
  • VaR(95%) (regression method)
    0.06662
  • Expected Shortfall (regression method)
    0.07016
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.14582
  • Compounded annual return (geometric extrapolation)
    0.14385
  • Calmar ratio (compounded annual return / max draw down)
    2.21105
  • Compounded annual return / average of 25% largest draw downs
    3.27325
  • Compounded annual return / Expected Shortfall lognormal
    15.51870
  • 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
  • Mean
    0.00910
  • SD
    0.07177
  • Sharpe ratio (Glass type estimate)
    0.12672
  • Sharpe ratio (Hedges UMVUE)
    0.12616
  • df
    171.00000
  • t
    0.08960
  • p
    0.49564
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.64523
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.89846
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.64567
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.89800
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.17583
  • Upside Potential Ratio
    6.49893
  • Upside part of mean
    0.33617
  • Downside part of mean
    -0.32707
  • Upside SD
    0.04946
  • Downside SD
    0.05173
  • N nonnegative terms
    45.00000
  • N negative terms
    127.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    172.00000
  • Mean of predictor
    0.03089
  • Mean of criterion
    0.00910
  • SD of predictor
    0.12741
  • SD of criterion
    0.07177
  • Covariance
    0.00025
  • r
    0.02732
  • b (slope, estimate of beta)
    0.01539
  • a (intercept, estimate of alpha)
    0.00862
  • Mean Square Error
    0.00518
  • DF error
    170.00000
  • t(b)
    0.35637
  • p(b)
    0.48634
  • t(a)
    0.08470
  • p(a)
    0.49675
  • Lowerbound of 95% confidence interval for beta
    -0.06986
  • Upperbound of 95% confidence interval for beta
    0.10064
  • Lowerbound of 95% confidence interval for alpha
    -0.19228
  • Upperbound of 95% confidence interval for alpha
    0.20952
  • Treynor index (mean / b)
    0.59093
  • Jensen alpha (a)
    0.00862
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.00653
  • SD
    0.07184
  • Sharpe ratio (Glass type estimate)
    0.09091
  • Sharpe ratio (Hedges UMVUE)
    0.09051
  • df
    171.00000
  • t
    0.06428
  • p
    0.49687
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.68102
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.86263
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.68131
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.86233
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.12550
  • Upside Potential Ratio
    6.43630
  • Upside part of mean
    0.33494
  • Downside part of mean
    -0.32841
  • Upside SD
    0.04922
  • Downside SD
    0.05204
  • N nonnegative terms
    45.00000
  • N negative terms
    127.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    172.00000
  • Mean of predictor
    0.02282
  • Mean of criterion
    0.00653
  • SD of predictor
    0.12740
  • SD of criterion
    0.07184
  • Covariance
    0.00026
  • r
    0.02796
  • b (slope, estimate of beta)
    0.01576
  • a (intercept, estimate of alpha)
    0.00617
  • Mean Square Error
    0.00519
  • DF error
    170.00000
  • t(b)
    0.36466
  • p(b)
    0.48602
  • t(a)
    0.06059
  • p(a)
    0.49768
  • VAR (95 Confidence Intrvl)
    0.00600
  • Lowerbound of 95% confidence interval for beta
    -0.06957
  • Upperbound of 95% confidence interval for beta
    0.10110
  • Lowerbound of 95% confidence interval for alpha
    -0.19490
  • Upperbound of 95% confidence interval for alpha
    0.20724
  • Treynor index (mean / b)
    0.41428
  • Jensen alpha (a)
    0.00617
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00633
  • Expected Shortfall on VaR
    0.00794
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00275
  • Expected Shortfall on VaR
    0.00581
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    172.00000
  • Minimum
    0.98377
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00014
  • Maximum
    1.01489
  • Mean of quarter 1
    0.99628
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.00393
  • Inter Quartile Range
    0.00014
  • Number outliers low
    36.00000
  • Percentage of outliers low
    0.20930
  • Mean of outliers low
    0.99558
  • Number of outliers high
    39.00000
  • Percentage of outliers high
    0.22674
  • Mean of outliers high
    1.00431
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -1.15287
  • VaR(95%) (moments method)
    0.00257
  • Expected Shortfall (moments method)
    0.00289
  • Extreme Value Index (regression method)
    -0.54722
  • VaR(95%) (regression method)
    0.00361
  • Expected Shortfall (regression method)
    0.00464
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    6.00000
  • Minimum
    0.00058
  • Quartile 1
    0.00380
  • Median
    0.00649
  • Quartile 3
    0.01469
  • Maximum
    0.06506
  • Mean of quarter 1
    0.00206
  • Mean of quarter 2
    0.00459
  • Mean of quarter 3
    0.00839
  • Mean of quarter 4
    0.04092
  • Inter Quartile Range
    0.01089
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.16667
  • Mean of outliers high
    0.06506
  • 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 Negative
    n/a
  • Expected Shortfall (regression method)
    0.00000
  • Max Equity Drawdown (num days)
    46
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.01655
  • Compounded annual return (geometric extrapolation)
    0.01662
  • Calmar ratio (compounded annual return / max draw down)
    0.25543
  • Compounded annual return / average of 25% largest draw downs
    0.40609
  • Compounded annual return / Expected Shortfall lognormal
    2.09349

Strategy Description

Trade this strategy at Interactive Brokers

Summary Statistics

Strategy began
2014-05-02
Suggested Minimum Capital
$25,000
# Trades
127
# Profitable
76
% Profitable
59.8%
Net Dividends
$111
Correlation S&P500
-0.033
Sharpe Ratio
-0.22
Sortino Ratio
-0.35
Beta
-0.01
Alpha
-0.00

Latest Activity

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subscribed on started simulation #SUBSCRIBEDDATE#

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 under-or over-compensated 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 re-scaled downward to make current go-forward 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 per-trade 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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