Collective2 Collective2
Featured Strategy S2Prox0 +61.0% Annual Return (Compounded) since Dec 23, 2022 Hypothetical

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These are hypothetical performance results that have certain inherent limitations. Learn more
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Captura DTS System
(26720715)

Created by: ThomasSickenberg ThomasSickenberg
Started: 06/2007
Stocks
Last trade: 4,513 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.

3.2%
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.

(14.9%)
Max Drawdown
1306
Num Trades
78.9%
Win Trades
1.5 : 1
Profit Factor
18.2%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2007                                   (0.9%)(0.5%)+6.1%+1.0%+2.0%(2%)+0.8%+6.4%
2008(2.7%)+2.0%+0.6%+5.0%(1.1%)+2.2%+2.0%+2.5%+6.5%(1.9%)+0.1%+2.6%+18.9%
2009+5.6%+4.1%+0.1%+2.0%+2.8%(0.1%)+0.7%+2.9%+2.8%+1.6%+1.3%+4.5%+32.1%
2010(3.5%)+1.6%+0.9%+2.4%(1%)(2.9%)+1.0%(3.5%)+1.4%+2.5%(0.6%)+6.6%+4.7%
2011(0.1%)+0.7%+1.5%+1.3%+2.4%(0.8%)(1.3%)(4.6%)(4.3%)+2.9%+1.2%(1.5%)(3.1%)
2012  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2013  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2014  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2015  -    -    -    -    -    -    -    -    -    -    -    -  0.0
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.

System developer has asked us to delay this information by 168 hours.

Trading Record

This strategy has placed 489 trades in real-life brokerage accounts. The most recent trade in a real-money brokerage account occurred more than 4933 days ago.

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Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
12/14/11 9:53 PCLN THE PRICELINE GROUP INC. COMMO LONG 43 452.01 12/16 15:51 457.00 0.3%
Trade id #68955095
Max drawdown($569)
Time12/15/11 11:21
Quant open43
Worst price438.76
Drawdown as % of equity-0.30%
 $214
Includes Typical Broker Commissions trade costs of $0.86
12/13/11 11:19 RIMM LONG 1,234 15.65 12/16 15:49 13.48 1.62%
Trade id #68922809
Max drawdown($3,122)
Time12/16/11 9:31
Quant open1,234
Worst price13.12
Drawdown as % of equity-1.62%
 ($2,683)
Includes Typical Broker Commissions trade costs of $5.00
12/13/11 14:55 SHLD GLOBAL X DEFENSE TECH ETF LONG 359 53.81 12/16 15:49 45.88 1.54%
Trade id #68930521
Max drawdown($2,976)
Time12/16/11 15:40
Quant open359
Worst price45.52
Drawdown as % of equity-1.54%
 ($2,854)
Includes Typical Broker Commissions trade costs of $7.18
12/13/11 15:11 WYNN WYNN RESORTS LONG 183 105.28 12/16 9:44 107.07 0.41%
Trade id #68931087
Max drawdown($779)
Time12/15/11 10:13
Quant open183
Worst price101.02
Drawdown as % of equity-0.41%
 $324
Includes Typical Broker Commissions trade costs of $3.66
12/15/11 10:12 FSLR FIRST SOLAR INC LONG 619 31.19 12/16 9:30 31.80 0.37%
Trade id #69002370
Max drawdown($711)
Time12/15/11 10:48
Quant open619
Worst price30.04
Drawdown as % of equity-0.37%
 $373
Includes Typical Broker Commissions trade costs of $5.00
12/14/11 11:11 WCRX WARNER CHILCOTT LONG 1,380 14.00 12/15 9:30 14.27 0.03%
Trade id #68959691
Max drawdown($55)
Time12/14/11 11:14
Quant open1,380
Worst price13.96
Drawdown as % of equity-0.03%
 $368
Includes Typical Broker Commissions trade costs of $5.00
12/14/11 10:10 AMZN AMAZON.COM LONG 110 176.38 12/15 9:30 182.10 0.35%
Trade id #68955939
Max drawdown($674)
Time12/14/11 11:30
Quant open110
Worst price170.25
Drawdown as % of equity-0.35%
 $627
Includes Typical Broker Commissions trade costs of $2.20
12/13/11 14:23 ILMN ILLUMINA LONG 736 26.24 12/14 11:00 26.68 0.23%
Trade id #68928953
Max drawdown($434)
Time12/14/11 9:31
Quant open736
Worst price25.65
Drawdown as % of equity-0.23%
 $319
Includes Typical Broker Commissions trade costs of $5.00
12/13/11 13:37 BRCM BROADCOM CORP LONG 673 28.69 12/14 9:30 29.85 0.22%
Trade id #68926936
Max drawdown($430)
Time12/13/11 15:36
Quant open673
Worst price28.05
Drawdown as % of equity-0.22%
 $776
Includes Typical Broker Commissions trade costs of $5.00
11/23/11 10:28 AMAT APPLIED MATERIALS LONG 1,914 10.30 11/28 9:30 10.48 0.15%
Trade id #68236373
Max drawdown($287)
Time11/25/11 13:01
Quant open1,914
Worst price10.15
Drawdown as % of equity-0.15%
 $340
Includes Typical Broker Commissions trade costs of $5.00
11/18/11 10:42 CERN CERNER LONG 668 29.53 11/28 9:30 29.17 0.42%
Trade id #68114307
Max drawdown($821)
Time11/23/11 9:31
Quant open334
Worst price56.59
Drawdown as % of equity-0.42%
 ($242)
Includes Typical Broker Commissions trade costs of $5.00
11/16/11 15:59 WCRX WARNER CHILCOTT LONG 1,241 15.89 11/25 9:30 14.60 0.88%
Trade id #68045882
Max drawdown($1,712)
Time11/23/11 11:08
Quant open1,241
Worst price14.51
Drawdown as % of equity-0.88%
 ($1,606)
Includes Typical Broker Commissions trade costs of $5.00
11/17/11 9:30 SHLD GLOBAL X DEFENSE TECH ETF LONG 297 64.90 11/25 9:30 59.02 0.91%
Trade id #68066122
Max drawdown($1,746)
Time11/25/11 9:30
Quant open0
Worst price59.02
Drawdown as % of equity-0.91%
 ($1,752)
Includes Typical Broker Commissions trade costs of $5.94
11/17/11 12:34 INFY INFOSYS LONG 1,468 13.44 11/25 9:30 12.31 0.86%
Trade id #68077955
Max drawdown($1,653)
Time11/25/11 9:30
Quant open0
Worst price49.25
Drawdown as % of equity-0.86%
 ($1,658)
Includes Typical Broker Commissions trade costs of $5.00
11/17/11 12:30 HSIC HENRY SCHEIN LONG 318 62.08 11/25 9:30 59.96 0.35%
Trade id #68077358
Max drawdown($674)
Time11/25/11 9:30
Quant open0
Worst price59.96
Drawdown as % of equity-0.35%
 ($680)
Includes Typical Broker Commissions trade costs of $6.36
11/21/11 9:30 VRTX VERTEX LONG 711 27.74 11/23 9:30 27.74 0.15%
Trade id #68150899
Max drawdown($284)
Time11/22/11 9:35
Quant open711
Worst price27.34
Drawdown as % of equity-0.15%
 ($5)
Includes Typical Broker Commissions trade costs of $5.00
11/15/11 9:30 ATVI ACTIVISION BLIZZARD LONG 1,575 12.19 11/23 9:30 11.83 0.48%
Trade id #67994990
Max drawdown($929)
Time11/22/11 10:40
Quant open1,575
Worst price11.60
Drawdown as % of equity-0.48%
 ($572)
Includes Typical Broker Commissions trade costs of $5.00
11/17/11 14:17 NFLX NETFLIX LONG 1,821 10.81 11/18 10:57 11.00 0.18%
Trade id #68082379
Max drawdown($359)
Time11/17/11 15:46
Quant open255
Worst price75.79
Drawdown as % of equity-0.18%
 $341
Includes Typical Broker Commissions trade costs of $5.00
11/17/11 13:52 CMCSA COMCAST LONG 933 21.13 11/18 10:00 21.49 0%
Trade id #68081389
Max drawdown$0
Time11/17/11 15:44
Quant open933
Worst price21.13
Drawdown as % of equity0.00%
 $331
Includes Typical Broker Commissions trade costs of $5.00
11/15/11 11:19 PCAR PACCAR LONG 490 40.26 11/18 9:30 40.92 0.04%
Trade id #68001103
Max drawdown($73)
Time11/15/11 11:26
Quant open490
Worst price40.11
Drawdown as % of equity-0.04%
 $311
Includes Typical Broker Commissions trade costs of $9.80
11/17/11 11:06 DLTR DOLLAR TREE STORES LONG 522 37.74 11/18 9:30 38.39 0.09%
Trade id #68073041
Max drawdown($172)
Time11/17/11 12:42
Quant open261
Worst price74.81
Drawdown as % of equity-0.09%
 $337
Includes Typical Broker Commissions trade costs of $5.00
11/16/11 12:15 CTRP CTRIP.COM INTERNATIONAL LONG 745 26.45 11/17 9:30 26.91 0.08%
Trade id #68037414
Max drawdown($156)
Time11/16/11 12:29
Quant open745
Worst price26.24
Drawdown as % of equity-0.08%
 $338
Includes Typical Broker Commissions trade costs of $5.00
11/15/11 9:36 SHLD GLOBAL X DEFENSE TECH ETF LONG 284 69.47 11/16 9:32 70.73 0.25%
Trade id #67997359
Max drawdown($491)
Time11/15/11 11:00
Quant open284
Worst price67.74
Drawdown as % of equity-0.25%
 $352
Includes Typical Broker Commissions trade costs of $5.68
11/10/11 9:55 RIMM LONG 1,115 17.55 11/11 9:32 17.84 0.22%
Trade id #67821744
Max drawdown($423)
Time11/10/11 10:57
Quant open1,115
Worst price17.17
Drawdown as % of equity-0.22%
 $318
Includes Typical Broker Commissions trade costs of $5.00
11/10/11 10:50 ALXN ALEXION PHARMACEUTICALS LONG 312 62.81 11/11 9:30 63.88 0.01%
Trade id #67826955
Max drawdown($12)
Time11/11/11 0:20
Quant open312
Worst price0.00
Drawdown as % of equity-0.01%
 $328
Includes Typical Broker Commissions trade costs of $6.24
11/10/11 9:30 CMCSA COMCAST LONG 892 21.61 11/11 9:30 22.34 n/a $646
Includes Typical Broker Commissions trade costs of $5.00
11/3/11 10:04 VRTX VERTEX LONG 533 35.65 11/9 9:30 36.18 0.06%
Trade id #67574782
Max drawdown($106)
Time11/3/11 10:09
Quant open533
Worst price35.45
Drawdown as % of equity-0.06%
 $280
Includes Typical Broker Commissions trade costs of $5.09
11/1/11 9:30 RIMM LONG 962 19.51 11/9 9:30 18.39 0.69%
Trade id #67470370
Max drawdown($1,327)
Time11/3/11 10:04
Quant open962
Worst price18.13
Drawdown as % of equity-0.69%
 ($1,082)
Includes Typical Broker Commissions trade costs of $5.00
11/7/11 12:22 CMCSA COMCAST LONG 880 22.26 11/8 9:30 22.80 n/a $470
Includes Typical Broker Commissions trade costs of $5.00
10/28/11 9:53 NIHD NII HOLDINGS INC. COMMON STOCK LONG 780 24.36 11/7 9:30 23.83 0.7%
Trade id #67332663
Max drawdown($1,318)
Time11/1/11 9:32
Quant open780
Worst price22.67
Drawdown as % of equity-0.70%
 ($418)
Includes Typical Broker Commissions trade costs of $5.00
Next

Statistics

  • Strategy began
    6/12/2007
  • Suggested Minimum Cap
    $100,000
  • Strategy Age (days)
    6157.59
  • Age
    205 months ago
  • What it trades
    Stocks
  • # Trades
    1306
  • # Profitable
    1031
  • % Profitable
    78.90%
  • Avg trade duration
    4.2 days
  • Max peak-to-valley drawdown
    14.87%
  • drawdown period
    Oct 01, 2008 - Oct 10, 2008
  • Annual Return (Compounded)
    3.2%
  • Avg win
    $257.66
  • Avg loss
    $661.70
  • Model Account Values (Raw)
  • Cash
    $190,662
  • Margin Used
    $0
  • Buying Power
    $190,662
  • Ratios
  • W:L ratio
    1.50:1
  • Sharpe Ratio
    0.19
  • Sortino Ratio
    0.29
  • Calmar Ratio
    0.023
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -163.20%
  • Correlation to SP500
    0.27520
  • Return Percent SP500 (cumu) during strategy life
    239.69%
  • Return Statistics
  • Ann Return (w trading costs)
    3.2%
  • Slump
  • Current Slump as Pcnt Equity
    9.30%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.77%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.032%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    3.9%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    13.00%
  • Chance of 20% account loss
    0.50%
  • 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)
    333
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • Popularity (7 days, Percentile 1000 scale)
    0
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $662
  • Avg Win
    $258
  • Sum Trade PL (losers)
    $181,967.000
  • Age
  • Num Months filled monthly returns table
    203
  • Win / Loss
  • Sum Trade PL (winners)
    $265,648.000
  • # Winners
    1031
  • Num Months Winners
    41
  • Dividends
  • Dividends Received in Model Acct
    7013
  • Win / Loss
  • # Losers
    275
  • % Winners
    78.9%
  • Frequency
  • Avg Position Time (mins)
    6064.52
  • Avg Position Time (hrs)
    101.08
  • Avg Trade Length
    4.2 days
  • Last Trade Ago
    4509
  • Regression
  • Alpha
    0.00
  • Beta
    0.08
  • Treynor Index
    0.05
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.00
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    38.95
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    40.64
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    1.11
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.01
  • Avg(MAE) / Avg(PL) - All trades
    8.796
  • 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
    0.02
  • Avg(MAE) / Avg(PL) - Winning trades
    0.960
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.628
  • Hold-and-Hope Ratio
    0.114
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.03408
  • SD
    0.18953
  • Sharpe ratio (Glass type estimate)
    0.17979
  • Sharpe ratio (Hedges UMVUE)
    0.17810
  • df
    80.00000
  • t
    0.46710
  • p
    0.32085
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.57566
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.93415
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.57680
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.93299
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.19853
  • Upside Potential Ratio
    0.84911
  • Upside part of mean
    0.14574
  • Downside part of mean
    -0.11167
  • Upside SD
    0.07821
  • Downside SD
    0.17164
  • N nonnegative terms
    64.00000
  • N negative terms
    17.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    81.00000
  • Mean of predictor
    0.22057
  • Mean of criterion
    0.03408
  • SD of predictor
    0.27709
  • SD of criterion
    0.18953
  • Covariance
    -0.02227
  • r
    -0.42398
  • b (slope, estimate of beta)
    -0.29000
  • a (intercept, estimate of alpha)
    0.09804
  • Mean Square Error
    0.02984
  • DF error
    79.00000
  • t(b)
    -4.16088
  • p(b)
    0.99996
  • t(a)
    1.43669
  • p(a)
    0.07738
  • Lowerbound of 95% confidence interval for beta
    -0.42873
  • Upperbound of 95% confidence interval for beta
    -0.15127
  • Lowerbound of 95% confidence interval for alpha
    -0.03779
  • Upperbound of 95% confidence interval for alpha
    0.23387
  • Treynor index (mean / b)
    -0.11750
  • Jensen alpha (a)
    0.09804
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.01037
  • SD
    0.23631
  • Sharpe ratio (Glass type estimate)
    0.04390
  • Sharpe ratio (Hedges UMVUE)
    0.04349
  • df
    80.00000
  • t
    0.11406
  • p
    0.45474
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.71065
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.79820
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.71093
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.79791
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.04669
  • Upside Potential Ratio
    0.64268
  • Upside part of mean
    0.14279
  • Downside part of mean
    -0.13242
  • Upside SD
    0.07613
  • Downside SD
    0.22218
  • N nonnegative terms
    64.00000
  • N negative terms
    17.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    81.00000
  • Mean of predictor
    0.18175
  • Mean of criterion
    0.01037
  • SD of predictor
    0.27449
  • SD of criterion
    0.23631
  • Covariance
    -0.02514
  • r
    -0.38754
  • b (slope, estimate of beta)
    -0.33363
  • a (intercept, estimate of alpha)
    0.07101
  • Mean Square Error
    0.04805
  • DF error
    79.00000
  • t(b)
    -3.73652
  • p(b)
    0.99982
  • t(a)
    0.82646
  • p(a)
    0.20552
  • Lowerbound of 95% confidence interval for beta
    -0.51135
  • Upperbound of 95% confidence interval for beta
    -0.15590
  • Lowerbound of 95% confidence interval for alpha
    -0.10001
  • Upperbound of 95% confidence interval for alpha
    0.24203
  • Treynor index (mean / b)
    -0.03109
  • Jensen alpha (a)
    0.07101
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.10537
  • Expected Shortfall on VaR
    0.13023
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00997
  • Expected Shortfall on VaR
    0.02854
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    81.00000
  • Minimum
    0.56761
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.01768
  • Maximum
    1.09070
  • Mean of quarter 1
    0.96411
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00911
  • Mean of quarter 4
    1.04008
  • Inter Quartile Range
    0.01768
  • Number outliers low
    5.00000
  • Percentage of outliers low
    0.06173
  • Mean of outliers low
    0.87523
  • Number of outliers high
    6.00000
  • Percentage of outliers high
    0.07407
  • Mean of outliers high
    1.06528
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -2.28947
  • VaR(95%) (moments method)
    0.00102
  • Expected Shortfall (moments method)
    0.00105
  • Extreme Value Index (regression method)
    0.61743
  • VaR(95%) (regression method)
    0.03519
  • Expected Shortfall (regression method)
    0.13470
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    5.00000
  • Minimum
    0.00013
  • Quartile 1
    0.02025
  • Median
    0.04216
  • Quartile 3
    0.06768
  • Maximum
    0.43239
  • Mean of quarter 1
    0.01019
  • Mean of quarter 2
    0.04216
  • Mean of quarter 3
    0.06768
  • Mean of quarter 4
    0.43239
  • Inter Quartile Range
    0.04743
  • 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
    0.43239
  • 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)
    0.01075
  • Compounded annual return (geometric extrapolation)
    0.01043
  • Calmar ratio (compounded annual return / max draw down)
    0.02412
  • Compounded annual return / average of 25% largest draw downs
    0.02412
  • Compounded annual return / Expected Shortfall lognormal
    0.08007
  • 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
    0.05558
  • SD
    0.28063
  • Sharpe ratio (Glass type estimate)
    0.19806
  • Sharpe ratio (Hedges UMVUE)
    0.19798
  • df
    1779.00000
  • t
    0.51625
  • p
    0.49221
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.55392
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.95004
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.55400
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.94996
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.24986
  • Upside Potential Ratio
    3.33702
  • Upside part of mean
    0.74235
  • Downside part of mean
    -0.68676
  • Upside SD
    0.17098
  • Downside SD
    0.22246
  • N nonnegative terms
    1325.00000
  • N negative terms
    455.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1780.00000
  • Mean of predictor
    0.34745
  • Mean of criterion
    0.05558
  • SD of predictor
    0.53619
  • SD of criterion
    0.28063
  • Covariance
    -0.04610
  • r
    -0.30634
  • b (slope, estimate of beta)
    -0.16033
  • a (intercept, estimate of alpha)
    0.11100
  • Mean Square Error
    0.07140
  • DF error
    1778.00000
  • t(b)
    -13.56970
  • p(b)
    0.65317
  • t(a)
    1.08469
  • p(a)
    0.48714
  • Lowerbound of 95% confidence interval for beta
    -0.18351
  • Upperbound of 95% confidence interval for beta
    -0.13716
  • Lowerbound of 95% confidence interval for alpha
    -0.08994
  • Upperbound of 95% confidence interval for alpha
    0.31252
  • Treynor index (mean / b)
    -0.34667
  • Jensen alpha (a)
    0.11129
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.01031
  • SD
    0.31384
  • Sharpe ratio (Glass type estimate)
    0.03284
  • Sharpe ratio (Hedges UMVUE)
    0.03283
  • df
    1779.00000
  • t
    0.08560
  • p
    0.49871
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.71911
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.78479
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.71912
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.78478
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.03860
  • Upside Potential Ratio
    2.72817
  • Upside part of mean
    0.72844
  • Downside part of mean
    -0.71813
  • Upside SD
    0.16478
  • Downside SD
    0.26700
  • N nonnegative terms
    1325.00000
  • N negative terms
    455.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1780.00000
  • Mean of predictor
    0.20432
  • Mean of criterion
    0.01031
  • SD of predictor
    0.53563
  • SD of criterion
    0.31384
  • Covariance
    -0.04912
  • r
    -0.29219
  • b (slope, estimate of beta)
    -0.17120
  • a (intercept, estimate of alpha)
    0.04529
  • Mean Square Error
    0.09014
  • DF error
    1778.00000
  • t(b)
    -12.88280
  • p(b)
    0.64610
  • t(a)
    0.39305
  • p(a)
    0.49534
  • Lowerbound of 95% confidence interval for beta
    -0.19727
  • Upperbound of 95% confidence interval for beta
    -0.14514
  • Lowerbound of 95% confidence interval for alpha
    -0.18069
  • Upperbound of 95% confidence interval for alpha
    0.27126
  • Treynor index (mean / b)
    -0.06020
  • Jensen alpha (a)
    0.04529
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.03135
  • Expected Shortfall on VaR
    0.03914
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00337
  • Expected Shortfall on VaR
    0.00912
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    1780.00000
  • Minimum
    0.56300
  • Quartile 1
    0.99998
  • Median
    1.00000
  • Quartile 3
    1.00098
  • Maximum
    1.14709
  • Mean of quarter 1
    0.98952
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00017
  • Mean of quarter 4
    1.01117
  • Inter Quartile Range
    0.00100
  • Number outliers low
    302.00000
  • Percentage of outliers low
    0.16966
  • Mean of outliers low
    0.98486
  • Number of outliers high
    323.00000
  • Percentage of outliers high
    0.18146
  • Mean of outliers high
    1.01478
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    1.00552
  • VaR(95%) (moments method)
    0.00624
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.54525
  • VaR(95%) (regression method)
    0.00744
  • Expected Shortfall (regression method)
    0.02233
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    17.00000
  • Minimum
    0.00039
  • Quartile 1
    0.00517
  • Median
    0.00955
  • Quartile 3
    0.05257
  • Maximum
    0.44653
  • Mean of quarter 1
    0.00284
  • Mean of quarter 2
    0.00804
  • Mean of quarter 3
    0.03334
  • Mean of quarter 4
    0.16627
  • Inter Quartile Range
    0.04739
  • 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
    0.05882
  • Mean of outliers high
    0.44653
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.83509
  • VaR(95%) (moments method)
    0.17867
  • Expected Shortfall (moments method)
    1.05869
  • Extreme Value Index (regression method)
    2.41976
  • VaR(95%) (regression method)
    0.21537
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.01068
  • Compounded annual return (geometric extrapolation)
    0.01036
  • Calmar ratio (compounded annual return / max draw down)
    0.02320
  • Compounded annual return / average of 25% largest draw downs
    0.06231
  • Compounded annual return / Expected Shortfall lognormal
    0.26467
  • 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
    0.00000
  • SD
    0.00000
  • Sharpe ratio (Glass type estimate)
    0.00000
  • Sharpe ratio (Hedges UMVUE)
    0.00000
  • df
    0.00000
  • t
    0.00000
  • p
    0.00000
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.00000
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.00000
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.00000
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    0.00000
  • Downside part of mean
    0.00000
  • Upside SD
    0.00000
  • Downside SD
    0.00000
  • N nonnegative terms
    131.00000
  • N negative terms
    0.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    1.26717
  • Mean of criterion
    0.00000
  • SD of predictor
    0.55705
  • SD of criterion
    0.00000
  • Covariance
    0.00000
  • r
    0.00000
  • b (slope, estimate of beta)
    0.00000
  • a (intercept, estimate of alpha)
    0.00000
  • Mean Square Error
    0.00000
  • DF error
    0.00000
  • t(b)
    0.00000
  • p(b)
    0.00000
  • t(a)
    0.00000
  • p(a)
    0.00000
  • Lowerbound of 95% confidence interval for beta
    0.00000
  • Upperbound of 95% confidence interval for beta
    0.00000
  • Lowerbound of 95% confidence interval for alpha
    0.00000
  • Upperbound of 95% confidence interval for alpha
    0.00000
  • Treynor index (mean / b)
    0.00000
  • Jensen alpha (a)
    0.00000
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.00000
  • SD
    0.00000
  • Sharpe ratio (Glass type estimate)
    0.00000
  • Sharpe ratio (Hedges UMVUE)
    0.00000
  • df
    0.00000
  • t
    0.00000
  • p
    0.00000
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.00000
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.00000
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.00000
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    0.00000
  • Downside part of mean
    0.00000
  • Upside SD
    0.00000
  • Downside SD
    0.00000
  • N nonnegative terms
    131.00000
  • N negative terms
    0.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    1.10302
  • Mean of criterion
    0.00000
  • SD of predictor
    0.57828
  • SD of criterion
    0.00000
  • Covariance
    0.00000
  • r
    0.00000
  • b (slope, estimate of beta)
    0.00000
  • a (intercept, estimate of alpha)
    0.00000
  • Mean Square Error
    0.00000
  • DF error
    0.00000
  • t(b)
    0.00000
  • p(b)
    0.00000
  • t(a)
    0.00000
  • p(a)
    0.00000
  • VAR (95 Confidence Intrvl)
    0.03100
  • Lowerbound of 95% confidence interval for beta
    0.00000
  • Upperbound of 95% confidence interval for beta
    0.00000
  • Lowerbound of 95% confidence interval for alpha
    0.00000
  • Upperbound of 95% confidence interval for alpha
    0.00000
  • Treynor index (mean / b)
    0.00000
  • Jensen alpha (a)
    0.00000
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00000
  • Expected Shortfall on VaR
    0.00000
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00000
  • Expected Shortfall on VaR
    0.00000
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    1.00000
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.00000
  • Mean of quarter 1
    1.00000
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.00000
  • Inter Quartile Range
    0.00000
  • 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 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)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    0.00000
  • Minimum
    0.00000
  • Quartile 1
    0.00000
  • Median
    0.00000
  • Quartile 3
    0.00000
  • Maximum
    0.00000
  • Mean of quarter 1
    0.00000
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.00000
  • Inter Quartile Range
    0.00000
  • 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
  • Last 4 Months - Pcnt Negative
    n/a
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -358491000
  • Max Equity Drawdown (num days)
    9
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.00000
  • Compounded annual return (geometric extrapolation)
    0.00000
  • Calmar ratio (compounded annual return / max draw down)
    0.00000
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    0.00000

Strategy Description

Details:

All orders are entered before markets open. All positions are held at least one night. Sometimes it send intraday orders to execute all positions, but this happens rarely.

Positions are opened with limit orders and closed either by limit orders (profit target) or market orders (stop-loss, timeout).
All orders are sent some hours before markets open.

The risk is "dialed" to ~25% average drawdown in a $100.000 account for presentation on collective2. If you wish to increase or decrease income and profits, you may scale the trade's risk/reward ratio as desired by trading more or less per moneymanagement.

Stay disciplined !






Trade this strategy at Interactive Brokers

Summary Statistics

Strategy began
2007-06-12
Suggested Minimum Capital
$15,000
# Trades
1306
# Profitable
1031
% Profitable
78.9%
Net Dividends
$7,012
Correlation S&P500
0.275
Sharpe Ratio
0.19
Sortino Ratio
0.29
Beta
0.08
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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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.