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Featured Strategy Easiest Followed by live capital $481,000 Hypothetical

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LongRun Special
(40869542)

Created by: DimitriRizos DimitriRizos
Started: 06/2009
Stocks
Last trade: 4,383 days ago
Subscriptions not currently available.

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 $125.00 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.

10.0%
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.

(22.6%)
Max Drawdown
65
Num Trades
72.3%
Win Trades
4.6 : 1
Profit Factor
60.3%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2009                                   +25.2%+0.5%+15.3%+6.4%+0.1%+4.9%+19.4%+93.5%
2010(3.1%)+4.6%+4.2%(2.1%)+5.9%+0.2%+6.2%+9.1%+4.4%+0.5%(0.2%)+1.8%+35.7%
2011(3.6%)(0.9%)(0.7%)(2.3%)(1.4%)(2%)(1.2%)+1.1%(9.3%)+10.9%(6.6%)+1.0%(15.2%)
2012+4.8%+2.1%+3.5%(2.9%)(5.8%)+0.3%+1.4%+2.3%+2.5%+4.0%+1.6%+3.2%+17.8%
2013+0.7%(0.8%)(0.7%)(1%)+3.3%(1.8%)+1.9%(3.2%)+0.7%+0.7%+1.2%+2.0%+2.9%
2014(2.5%)+2.1%(0.4%)(1.3%)+3.6%+0.9%(1.1%)+0.8%+0.6%(0.6%)+0.6%(1%)+1.8%
2015(5.4%)+2.3%+0.8%(0.2%)+1.5%+2.7%(0.2%)(1.1%)+0.5%+0.9%+0.1%+0.2%+2.0%
2016(5.7%)(2.2%)+0.1%+2.1%+0.2%(3.7%)+3.3%+0.5%(0.4%)+2.4%+3.1%+2.1%+1.3%
2017(2.4%)+1.9%(1.6%)+0.8%(1.4%)+1.8%+0.3%+1.3%+0.7%(0.2%)+1.0%+2.2%+4.5%
2018+0.7%(0.7%)  -  (0.8%)+0.5%(0.7%)+1.9%+0.6%(0.3%)(4.1%)(0.4%)(6%)(9.2%)
2019+4.2%+0.5%+1.8%+2.2%+0.2%(0.5%)  -  (2.5%)+1.4%+1.3%(0.7%)+2.4%+10.6%
2020+0.9%(2.7%)(6.3%)+5.1%+2.4%+1.2%+1.2%+2.7%(2.3%)+3.1%+6.3%+8.7%+21.3%
2021(0.6%)+5.2%(1.8%)+2.6%+2.0%(1.3%)+0.5%+1.1%(1.9%)+3.6%(1%)+1.0%+9.6%
2022(5%)+3.8%+2.6%(2.9%)(1.5%)(5.5%)+3.1%(1.5%)(4%)+3.1%+1.7%(3.7%)(10%)
2023+3.6%(0.2%)(1%)+0.3%+2.4%+1.2%+8.3%(2.9%)(1.8%)(2.7%)+3.6%+2.5%+13.6%
2024  -  +0.2%+2.6%(0.7%)                                                +2.0%

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 50 trades in real-life brokerage accounts. The most recent trade in a real-money brokerage account occurred more than 4570 days ago.

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Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
2/8/11 11:38 KEM KRANESHARES DYNAMIC EMERGING MARKETS STRATEGY ETF LONG 800 15.23 4/16/12 10:43 8.99 4.16%
Trade id #57661479
Max drawdown($5,296)
Time4/10/12 15:17
Quant open800
Worst price8.61
Drawdown as % of equity-4.16%
 ($4,997)
Includes Typical Broker Commissions trade costs of $5.00
4/13/11 14:29 MBND SPDR NUVEEN MUNICIPAL BOND ETF LONG 2,000 4.15 2/10/12 15:31 3.55 1.52%
Trade id #59765082
Max drawdown($1,879)
Time1/31/12 10:09
Quant open2,000
Worst price3.21
Drawdown as % of equity-1.52%
 ($1,205)
Includes Typical Broker Commissions trade costs of $5.00
10/11/11 12:09 IBKR INTERACTIVE BROKERS GROUP LONG 800 13.67 10/31 14:01 15.53 0.09%
Trade id #66661200
Max drawdown($104)
Time10/11/11 12:49
Quant open800
Worst price13.54
Drawdown as % of equity-0.09%
 $1,483
Includes Typical Broker Commissions trade costs of $5.00
3/17/11 15:11 CSCO CISCO SYSTEMS LONG 1,000 17.01 10/24 10:52 17.53 0.18%
Trade id #58888336
Max drawdown($210)
Time10/20/11 12:22
Quant open1,000
Worst price16.80
Drawdown as % of equity-0.18%
 $515
Includes Typical Broker Commissions trade costs of $5.00
9/23/11 13:45 BK BANK OF NEW YORK MELLON LONG 600 18.77 10/21 15:55 20.70 0.22%
Trade id #66046442
Max drawdown($263)
Time10/17/11 16:00
Quant open600
Worst price18.33
Drawdown as % of equity-0.22%
 $1,154
Includes Typical Broker Commissions trade costs of $5.00
9/14/11 12:16 KKR KKR & CO INC LONG 1,000 10.92 10/12 13:58 12.29 1.8%
Trade id #65691355
Max drawdown($1,970)
Time10/4/11 9:57
Quant open1,000
Worst price8.95
Drawdown as % of equity-1.80%
 $1,365
Includes Typical Broker Commissions trade costs of $5.00
2/28/11 15:29 PLAB PHOTRONICS LONG 1,000 8.96 10/11 11:06 5.59 2.84%
Trade id #58233558
Max drawdown($3,365)
Time10/11/11 11:06
Quant open0
Worst price5.59
Drawdown as % of equity-2.84%
 ($3,370)
Includes Typical Broker Commissions trade costs of $5.00
3/4/11 13:48 IWO ISHARES RUSSELL 2000 GROWTH IN SHORT 200 92.18 8/22 14:58 73.99 0.67%
Trade id #58420033
Max drawdown($819)
Time7/25/11 12:01
Quant open200
Worst price0.00
Drawdown as % of equity-0.67%
 $3,635
Includes Typical Broker Commissions trade costs of $4.00
3/23/11 11:57 SMTX SMTC CORPORATION LONG 3,000 2.70 4/13 14:25 2.53 0.44%
Trade id #59050965
Max drawdown($569)
Time3/29/11 9:31
Quant open3,000
Worst price2.51
Drawdown as % of equity-0.44%
 ($505)
Includes Typical Broker Commissions trade costs of $5.00
3/11/11 12:46 MCZ MAD CATZ INTERACTIVE LONG 5,000 1.78 3/28 14:30 1.85 1.51%
Trade id #58636805
Max drawdown($1,914)
Time3/15/11 9:31
Quant open5,000
Worst price1.40
Drawdown as % of equity-1.51%
 $338
Includes Typical Broker Commissions trade costs of $5.00
2/15/11 10:19 EGPT VANECK EGYPT INDEX ETF SHORT 125 76.32 3/23 11:39 61.88 0.05%
Trade id #57859769
Max drawdown($70)
Time2/16/11 9:40
Quant open-500
Worst price19.22
Drawdown as % of equity-0.05%
 $1,803
Includes Typical Broker Commissions trade costs of $2.50
2/18/11 11:52 TPCG TPC Group Inc LONG 300 28.39 3/22 15:39 28.50 0.46%
Trade id #57970768
Max drawdown($573)
Time3/16/11 14:19
Quant open300
Worst price26.48
Drawdown as % of equity-0.46%
 $27
Includes Typical Broker Commissions trade costs of $6.00
2/14/11 13:21 ASYS AMTECH SYSTEMS LONG 400 24.52 3/18 13:07 21.80 1.57%
Trade id #57829387
Max drawdown($1,982)
Time3/11/11 9:31
Quant open400
Worst price19.56
Drawdown as % of equity-1.57%
 ($1,095)
Includes Typical Broker Commissions trade costs of $8.00
3/4/11 13:46 DTLK DATALINK CORPORATION LONG 1,500 6.36 3/11 12:51 6.50 0.39%
Trade id #58419986
Max drawdown($509)
Time3/8/11 9:49
Quant open1,500
Worst price6.02
Drawdown as % of equity-0.39%
 $201
Includes Typical Broker Commissions trade costs of $5.00
1/18/11 12:46 PUDA PUDA COAL NEW LONG 1,000 13.48 2/25 14:43 11.61 2.03%
Trade id #56900420
Max drawdown($2,560)
Time2/23/11 13:20
Quant open1,000
Worst price10.92
Drawdown as % of equity-2.03%
 ($1,871)
Includes Typical Broker Commissions trade costs of $5.00
2/7/11 10:23 PWER MACQUARIE ENERGY TRANSITION ETF LONG 1,000 9.21 2/24 10:29 9.09 0.5%
Trade id #57618473
Max drawdown($659)
Time2/10/11 9:34
Quant open1,000
Worst price8.55
Drawdown as % of equity-0.50%
 ($121)
Includes Typical Broker Commissions trade costs of $5.00
1/28/11 11:02 XRTX XORTX THERAPEUTICS INC. COMMON STOCK LONG 800 13.12 2/15 10:42 13.09 0.1%
Trade id #57302010
Max drawdown($132)
Time1/28/11 11:46
Quant open800
Worst price12.95
Drawdown as % of equity-0.10%
 ($28)
Includes Typical Broker Commissions trade costs of $5.00
10/6/10 12:03 DRW WISDOMTREE GLOBAL EX-US REAL E SHORT 700 29.75 2/10/11 10:17 28.39 0.83%
Trade id #53583112
Max drawdown($1,105)
Time11/4/10 15:59
Quant open-700
Worst price31.33
Drawdown as % of equity-0.83%
 $946
Includes Typical Broker Commissions trade costs of $5.00
1/19/10 15:39 RAP RMR Asia Pacific Real Estate Fu LONG 2,000 16.75 2/4/11 14:18 18.45 3.68%
Trade id #46483609
Max drawdown($3,980)
Time7/1/10 12:12
Quant open2,000
Worst price14.76
Drawdown as % of equity-3.68%
 $3,375
Includes Typical Broker Commissions trade costs of $20.00
1/20/11 9:54 DDIC DDI Corp. LONG 1,000 11.53 2/4 13:31 11.61 0.41%
Trade id #56991116
Max drawdown($530)
Time1/31/11 10:15
Quant open1,000
Worst price11.00
Drawdown as % of equity-0.41%
 $75
Includes Typical Broker Commissions trade costs of $5.00
1/13/11 12:55 RJET REPUBLIC AIRWAYS HLDGS INC LONG 1,500 6.95 1/26 15:31 6.37 1.44%
Trade id #56773956
Max drawdown($1,889)
Time1/21/11 16:01
Quant open1,500
Worst price5.69
Drawdown as % of equity-1.44%
 ($875)
Includes Typical Broker Commissions trade costs of $5.00
11/22/10 13:15 EPP ISHARES MSCI PACIFIC EX-JAPAN LONG 1,000 45.58 1/13/11 9:38 46.89 1.04%
Trade id #55071386
Max drawdown($1,379)
Time11/30/10 9:31
Quant open1,000
Worst price44.20
Drawdown as % of equity-1.04%
 $1,305
Includes Typical Broker Commissions trade costs of $5.00
10/29/10 12:13 BQR BLACKROCK ECOSOLUTIONS INVESTM SHORT 1,000 11.72 12/14 14:10 11.15 0.12%
Trade id #54327045
Max drawdown($160)
Time11/5/10 15:08
Quant open-1,000
Worst price11.88
Drawdown as % of equity-0.12%
 $565
Includes Typical Broker Commissions trade costs of $5.00
10/29/10 12:09 NFJ VIRTUS DIVIDEND INTEREST & PREMIUM STRATEGY FUND LONG 1,000 15.88 11/22 15:00 15.89 0.18%
Trade id #54326893
Max drawdown($239)
Time11/16/10 11:48
Quant open1,000
Worst price15.64
Drawdown as % of equity-0.18%
 $6
Includes Typical Broker Commissions trade costs of $5.00
11/9/09 15:56 GUT GABELLI UTILITY TRUST COMMON SHORT 5,000 8.07 10/8/10 13:02 6.04 4.31%
Trade id #44702536
Max drawdown($4,180)
Time1/7/10 15:44
Quant open-4,000
Worst price9.14
Drawdown as % of equity-4.31%
 $10,091
Includes Typical Broker Commissions trade costs of $17.50
6/17/10 11:10 AWP ABRDN GLOBAL PREMIER PROPERTIES FUND LONG 3,000 5.75 10/8 10:46 6.85 1.19%
Trade id #50356738
Max drawdown($1,290)
Time7/1/10 10:54
Quant open3,000
Worst price5.32
Drawdown as % of equity-1.19%
 $3,299
Includes Typical Broker Commissions trade costs of $5.00
4/7/10 10:13 MFD MAC/FIRST GLB INFRASTRUCTURE C LONG 1,000 12.84 9/27 11:25 13.04 2.79%
Trade id #48220591
Max drawdown($2,910)
Time5/25/10 9:37
Quant open1,000
Worst price9.93
Drawdown as % of equity-2.79%
 $197
Includes Typical Broker Commissions trade costs of $5.00
4/6/10 11:22 GCH ABERDEEN GREATER CHINA FUND LONG 1,400 12.40 9/24 11:35 12.60 3.61%
Trade id #48190370
Max drawdown($3,646)
Time5/6/10 14:48
Quant open1,400
Worst price9.80
Drawdown as % of equity-3.61%
 $268
Includes Typical Broker Commissions trade costs of $9.00
6/24/10 15:34 ETJ EV RISK-MGD DIVERS EQUITY INC SHORT 1,000 16.08 8/11 12:46 13.90 0.33%
Trade id #50554673
Max drawdown($360)
Time6/28/10 12:54
Quant open-1,000
Worst price16.44
Drawdown as % of equity-0.33%
 $2,175
Includes Typical Broker Commissions trade costs of $5.00
6/30/10 15:29 ETB EV TAX-MANAGED BUY-WRITE INC C SHORT 1,000 15.23 7/28 12:26 14.48 0.29%
Trade id #50711694
Max drawdown($310)
Time7/6/10 9:31
Quant open-1,000
Worst price15.54
Drawdown as % of equity-0.29%
 $745
Includes Typical Broker Commissions trade costs of $5.00
Next

Statistics

  • Strategy began
    6/9/2009
  • Suggested Minimum Cap
    $50,000
  • Strategy Age (days)
    5423.81
  • Age
    181 months ago
  • What it trades
    Stocks
  • # Trades
    65
  • # Profitable
    47
  • % Profitable
    72.30%
  • Avg trade duration
    764.8 days
  • Max peak-to-valley drawdown
    22.61%
  • drawdown period
    Dec 13, 2010 - Oct 04, 2011
  • Annual Return (Compounded)
    10.0%
  • Avg win
    $3,856
  • Avg loss
    $2,506
  • Model Account Values (Raw)
  • Cash
    $166,883
  • Margin Used
    $69,717
  • Buying Power
    $138,930
  • Ratios
  • W:L ratio
    4.64:1
  • Sharpe Ratio
    0.58
  • Sortino Ratio
    0.94
  • Calmar Ratio
    0.589
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -131.68%
  • Correlation to SP500
    0.43630
  • Return Percent SP500 (cumu) during strategy life
    437.10%
  • Return Statistics
  • Ann Return (w trading costs)
    10.0%
  • Slump
  • Current Slump as Pcnt Equity
    1.50%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    n/a
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.100%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    10.3%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    100.00%
  • Chance of 20% account loss
    100.00%
  • 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
  • Chance of 100% 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)
    0
  • Popularity (Last 6 weeks)
    0
  • 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
    $2,507
  • Avg Win
    $3,857
  • Sum Trade PL (losers)
    $45,120.000
  • Age
  • Num Months filled monthly returns table
    179
  • Win / Loss
  • Sum Trade PL (winners)
    $181,277.000
  • # Winners
    47
  • Num Months Winners
    109
  • Dividends
  • Dividends Received in Model Acct
    27861
  • Win / Loss
  • # Losers
    18
  • % Winners
    72.3%
  • Frequency
  • Avg Position Time (mins)
    1274890.00
  • Avg Position Time (hrs)
    21248.10
  • Avg Trade Length
    885.3 days
  • Last Trade Ago
    4382
  • Regression
  • Alpha
    0.01
  • Beta
    0.31
  • Treynor Index
    0.08
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.02
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    70.60
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    48.06
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    1.06
  • MAE:Equity, average, winning trades
    0.02
  • MAE:Equity, average, losing trades
    0.03
  • Avg(MAE) / Avg(PL) - All trades
    1.042
  • 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
    0.04
  • Avg(MAE) / Avg(PL) - Winning trades
    0.415
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.436
  • Hold-and-Hope Ratio
    1.250
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.19339
  • SD
    0.15930
  • Sharpe ratio (Glass type estimate)
    1.21400
  • Sharpe ratio (Hedges UMVUE)
    1.20313
  • df
    84.00000
  • t
    3.23101
  • p
    0.00088
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.45172
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.96950
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.44456
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.96170
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.46443
  • Upside Potential Ratio
    5.15350
  • Upside part of mean
    0.28768
  • Downside part of mean
    -0.09429
  • Upside SD
    0.15836
  • Downside SD
    0.05582
  • N nonnegative terms
    51.00000
  • N negative terms
    34.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    85.00000
  • Mean of predictor
    0.24901
  • Mean of criterion
    0.19339
  • SD of predictor
    0.17890
  • SD of criterion
    0.15930
  • Covariance
    0.01439
  • r
    0.50487
  • b (slope, estimate of beta)
    0.44957
  • a (intercept, estimate of alpha)
    0.08145
  • Mean Square Error
    0.01914
  • DF error
    83.00000
  • t(b)
    5.32863
  • p(b)
    0.00000
  • t(a)
    1.45281
  • p(a)
    0.07502
  • Lowerbound of 95% confidence interval for beta
    0.28176
  • Upperbound of 95% confidence interval for beta
    0.61737
  • Lowerbound of 95% confidence interval for alpha
    -0.03006
  • Upperbound of 95% confidence interval for alpha
    0.19295
  • Treynor index (mean / b)
    0.43017
  • Jensen alpha (a)
    0.08145
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.18020
  • SD
    0.15203
  • Sharpe ratio (Glass type estimate)
    1.18529
  • Sharpe ratio (Hedges UMVUE)
    1.17468
  • df
    84.00000
  • t
    3.15460
  • p
    0.00112
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.42411
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.93984
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.41713
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.93222
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.15874
  • Upside Potential Ratio
    4.83964
  • Upside part of mean
    0.27609
  • Downside part of mean
    -0.09589
  • Upside SD
    0.14931
  • Downside SD
    0.05705
  • N nonnegative terms
    51.00000
  • N negative terms
    34.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    85.00000
  • Mean of predictor
    0.23144
  • Mean of criterion
    0.18020
  • SD of predictor
    0.17404
  • SD of criterion
    0.15203
  • Covariance
    0.01346
  • r
    0.50855
  • b (slope, estimate of beta)
    0.44422
  • a (intercept, estimate of alpha)
    0.07739
  • Mean Square Error
    0.01734
  • DF error
    83.00000
  • t(b)
    5.38082
  • p(b)
    0.00000
  • t(a)
    1.45905
  • p(a)
    0.07416
  • Lowerbound of 95% confidence interval for beta
    0.28002
  • Upperbound of 95% confidence interval for beta
    0.60842
  • Lowerbound of 95% confidence interval for alpha
    -0.02811
  • Upperbound of 95% confidence interval for alpha
    0.18288
  • Treynor index (mean / b)
    0.40565
  • Jensen alpha (a)
    0.07739
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.05557
  • Expected Shortfall on VaR
    0.07261
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01566
  • Expected Shortfall on VaR
    0.03172
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    85.00000
  • Minimum
    0.93824
  • Quartile 1
    0.98986
  • Median
    1.00611
  • Quartile 3
    1.03071
  • Maximum
    1.19504
  • Mean of quarter 1
    0.97274
  • Mean of quarter 2
    0.99863
  • Mean of quarter 3
    1.01702
  • Mean of quarter 4
    1.07814
  • Inter Quartile Range
    0.04084
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    5.00000
  • Percentage of outliers high
    0.05882
  • Mean of outliers high
    1.14828
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.14216
  • VaR(95%) (moments method)
    0.02592
  • Expected Shortfall (moments method)
    0.03879
  • Extreme Value Index (regression method)
    0.16458
  • VaR(95%) (regression method)
    0.02436
  • Expected Shortfall (regression method)
    0.03626
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    11.00000
  • Minimum
    0.00702
  • Quartile 1
    0.02055
  • Median
    0.03058
  • Quartile 3
    0.05982
  • Maximum
    0.15203
  • Mean of quarter 1
    0.01312
  • Mean of quarter 2
    0.02701
  • Mean of quarter 3
    0.05099
  • Mean of quarter 4
    0.10054
  • Inter Quartile Range
    0.03928
  • 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
    0.09091
  • Mean of outliers high
    0.15203
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -1.48235
  • VaR(95%) (moments method)
    0.11700
  • Expected Shortfall (moments method)
    0.12270
  • Extreme Value Index (regression method)
    0.29950
  • VaR(95%) (regression method)
    0.15729
  • Expected Shortfall (regression method)
    0.26408
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.36477
  • Compounded annual return (geometric extrapolation)
    0.19746
  • Calmar ratio (compounded annual return / max draw down)
    1.29879
  • Compounded annual return / average of 25% largest draw downs
    1.96392
  • Compounded annual return / Expected Shortfall lognormal
    2.71952
  • 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
    0.22717
  • SD
    0.30892
  • Sharpe ratio (Glass type estimate)
    0.73535
  • Sharpe ratio (Hedges UMVUE)
    0.73506
  • df
    1873.00000
  • t
    1.96667
  • p
    0.47111
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.00204
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.46850
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.00183
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.46829
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.23116
  • Upside Potential Ratio
    6.12263
  • Upside part of mean
    1.12972
  • Downside part of mean
    -0.90255
  • Upside SD
    0.24806
  • Downside SD
    0.18452
  • N nonnegative terms
    1008.00000
  • N negative terms
    866.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1874.00000
  • Mean of predictor
    0.27786
  • Mean of criterion
    0.22717
  • SD of predictor
    0.26133
  • SD of criterion
    0.30892
  • Covariance
    0.02965
  • r
    0.36732
  • b (slope, estimate of beta)
    0.43422
  • a (intercept, estimate of alpha)
    0.10700
  • Mean Square Error
    0.08260
  • DF error
    1872.00000
  • t(b)
    17.08710
  • p(b)
    0.31634
  • t(a)
    0.98903
  • p(a)
    0.48857
  • Lowerbound of 95% confidence interval for beta
    0.38438
  • Upperbound of 95% confidence interval for beta
    0.48406
  • Lowerbound of 95% confidence interval for alpha
    -0.10470
  • Upperbound of 95% confidence interval for alpha
    0.31773
  • Treynor index (mean / b)
    0.52316
  • Jensen alpha (a)
    0.10651
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.18107
  • SD
    0.30156
  • Sharpe ratio (Glass type estimate)
    0.60044
  • Sharpe ratio (Hedges UMVUE)
    0.60020
  • df
    1873.00000
  • t
    1.60585
  • p
    0.47640
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.13273
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.33347
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.13290
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.33330
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.91920
  • Upside Potential Ratio
    5.59522
  • Upside part of mean
    1.10217
  • Downside part of mean
    -0.92110
  • Upside SD
    0.22850
  • Downside SD
    0.19698
  • N nonnegative terms
    1008.00000
  • N negative terms
    866.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1874.00000
  • Mean of predictor
    0.24365
  • Mean of criterion
    0.18107
  • SD of predictor
    0.26123
  • SD of criterion
    0.30156
  • Covariance
    0.02926
  • r
    0.37145
  • b (slope, estimate of beta)
    0.42879
  • a (intercept, estimate of alpha)
    0.07660
  • Mean Square Error
    0.07843
  • DF error
    1872.00000
  • t(b)
    17.31000
  • p(b)
    0.31427
  • t(a)
    0.73025
  • p(a)
    0.49156
  • Lowerbound of 95% confidence interval for beta
    0.38021
  • Upperbound of 95% confidence interval for beta
    0.47737
  • Lowerbound of 95% confidence interval for alpha
    -0.12912
  • Upperbound of 95% confidence interval for alpha
    0.28231
  • Treynor index (mean / b)
    0.42228
  • Jensen alpha (a)
    0.07660
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02951
  • Expected Shortfall on VaR
    0.03701
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00724
  • Expected Shortfall on VaR
    0.01661
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    1874.00000
  • Minimum
    0.76333
  • Quartile 1
    0.99690
  • Median
    1.00027
  • Quartile 3
    1.00401
  • Maximum
    1.31636
  • Mean of quarter 1
    0.98740
  • Mean of quarter 2
    0.99885
  • Mean of quarter 3
    1.00196
  • Mean of quarter 4
    1.01526
  • Inter Quartile Range
    0.00710
  • Number outliers low
    107.00000
  • Percentage of outliers low
    0.05710
  • Mean of outliers low
    0.96702
  • Number of outliers high
    118.00000
  • Percentage of outliers high
    0.06297
  • Mean of outliers high
    1.03716
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.65176
  • VaR(95%) (moments method)
    0.01197
  • Expected Shortfall (moments method)
    0.03752
  • Extreme Value Index (regression method)
    0.52467
  • VaR(95%) (regression method)
    0.01019
  • Expected Shortfall (regression method)
    0.02390
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    58.00000
  • Minimum
    0.00002
  • Quartile 1
    0.00514
  • Median
    0.01941
  • Quartile 3
    0.04199
  • Maximum
    0.33672
  • Mean of quarter 1
    0.00206
  • Mean of quarter 2
    0.01115
  • Mean of quarter 3
    0.03136
  • Mean of quarter 4
    0.11027
  • Inter Quartile Range
    0.03685
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    6.00000
  • Percentage of outliers high
    0.10345
  • Mean of outliers high
    0.18957
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.59238
  • VaR(95%) (moments method)
    0.12640
  • Expected Shortfall (moments method)
    0.32799
  • Extreme Value Index (regression method)
    0.87205
  • VaR(95%) (regression method)
    0.10971
  • Expected Shortfall (regression method)
    0.71627
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.37069
  • Compounded annual return (geometric extrapolation)
    0.19850
  • Calmar ratio (compounded annual return / max draw down)
    0.58949
  • Compounded annual return / average of 25% largest draw downs
    1.80016
  • Compounded annual return / Expected Shortfall lognormal
    5.36307
  • 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
    0.17983
  • SD
    0.25948
  • Sharpe ratio (Glass type estimate)
    0.69305
  • Sharpe ratio (Hedges UMVUE)
    0.68904
  • df
    130.00000
  • t
    0.49006
  • p
    0.47853
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.08125
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.46481
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.08403
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.46211
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.96767
  • Upside Potential Ratio
    8.24383
  • Upside part of mean
    1.53202
  • Downside part of mean
    -1.35219
  • Upside SD
    0.18001
  • Downside SD
    0.18584
  • N nonnegative terms
    72.00000
  • N negative terms
    59.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.44850
  • Mean of criterion
    0.17983
  • SD of predictor
    0.42055
  • SD of criterion
    0.25948
  • Covariance
    0.07750
  • r
    0.71017
  • b (slope, estimate of beta)
    0.43818
  • a (intercept, estimate of alpha)
    -0.01669
  • Mean Square Error
    0.03363
  • DF error
    129.00000
  • t(b)
    11.45690
  • p(b)
    0.08947
  • t(a)
    -0.06421
  • p(a)
    0.50360
  • Lowerbound of 95% confidence interval for beta
    0.36251
  • Upperbound of 95% confidence interval for beta
    0.51385
  • Lowerbound of 95% confidence interval for alpha
    -0.53094
  • Upperbound of 95% confidence interval for alpha
    0.49756
  • Treynor index (mean / b)
    0.41041
  • Jensen alpha (a)
    -0.01669
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.14623
  • SD
    0.26033
  • Sharpe ratio (Glass type estimate)
    0.56174
  • Sharpe ratio (Hedges UMVUE)
    0.55849
  • df
    130.00000
  • t
    0.39721
  • p
    0.48259
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.21188
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.33342
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.21415
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.33113
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.77267
  • Upside Potential Ratio
    8.01083
  • Upside part of mean
    1.51611
  • Downside part of mean
    -1.36988
  • Upside SD
    0.17752
  • Downside SD
    0.18926
  • N nonnegative terms
    72.00000
  • N negative terms
    59.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.35957
  • Mean of criterion
    0.14623
  • SD of predictor
    0.42380
  • SD of criterion
    0.26033
  • Covariance
    0.07888
  • r
    0.71496
  • b (slope, estimate of beta)
    0.43917
  • a (intercept, estimate of alpha)
    -0.01168
  • Mean Square Error
    0.03338
  • DF error
    129.00000
  • t(b)
    11.61430
  • p(b)
    0.08733
  • t(a)
    -0.04512
  • p(a)
    0.50253
  • VAR (95 Confidence Intrvl)
    0.03000
  • Lowerbound of 95% confidence interval for beta
    0.36436
  • Upperbound of 95% confidence interval for beta
    0.51398
  • Lowerbound of 95% confidence interval for alpha
    -0.52363
  • Upperbound of 95% confidence interval for alpha
    0.50028
  • Treynor index (mean / b)
    0.33298
  • Jensen alpha (a)
    -0.01168
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02556
  • Expected Shortfall on VaR
    0.03207
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01102
  • Expected Shortfall on VaR
    0.02274
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.94386
  • Quartile 1
    0.99441
  • Median
    1.00000
  • Quartile 3
    1.00937
  • Maximum
    1.04883
  • Mean of quarter 1
    0.98119
  • Mean of quarter 2
    0.99832
  • Mean of quarter 3
    1.00376
  • Mean of quarter 4
    1.01957
  • Inter Quartile Range
    0.01495
  • Number outliers low
    8.00000
  • Percentage of outliers low
    0.06107
  • Mean of outliers low
    0.96126
  • Number of outliers high
    4.00000
  • Percentage of outliers high
    0.03053
  • Mean of outliers high
    1.03979
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.15990
  • VaR(95%) (moments method)
    0.01629
  • Expected Shortfall (moments method)
    0.02522
  • Extreme Value Index (regression method)
    0.19561
  • VaR(95%) (regression method)
    0.01918
  • Expected Shortfall (regression method)
    0.03124
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    5.00000
  • Minimum
    0.00232
  • Quartile 1
    0.00304
  • Median
    0.01394
  • Quartile 3
    0.04946
  • Maximum
    0.13609
  • Mean of quarter 1
    0.00268
  • Mean of quarter 2
    0.01394
  • Mean of quarter 3
    0.04946
  • Mean of quarter 4
    0.13609
  • Inter Quartile Range
    0.04642
  • 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
    0.20000
  • Mean of outliers high
    0.13609
  • 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
    0.50%
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -334650000
  • Max Equity Drawdown (num days)
    295
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.15171
  • Compounded annual return (geometric extrapolation)
    0.15747
  • Calmar ratio (compounded annual return / max draw down)
    1.15705
  • Compounded annual return / average of 25% largest draw downs
    1.15705
  • Compounded annual return / Expected Shortfall lognormal
    4.90966

Strategy Description

Trade this strategy at Interactive Brokers

Summary Statistics

Strategy began
2009-06-09
Suggested Minimum Capital
$50,000
# Trades
65
# Profitable
47
% Profitable
72.3%
Net Dividends
$27,860
Correlation S&P500
0.436
Sharpe Ratio
0.58
Sortino Ratio
0.94
Beta
0.31
Alpha
0.01

Latest Activity

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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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