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Hedged Global Alloc
(101431285)

Created by: NTLLC-GDSingh NTLLC-GDSingh
Started: 03/2016
Stocks
Last trade: 11 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 $25.00 per month.

3.3%
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.

(17.7%)
Max Drawdown
355
Num Trades
58.3%
Win Trades
1.2 : 1
Profit Factor
50.0%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2016              (0.9%)+3.5%+0.2%+0.8%(0.2%)(6.9%)+2.7%(2.2%)(1.4%)+7.0%+2.1%
2017+3.2%(0.2%)+1.8%(0.2%)+0.8%+1.2%(2.5%)(2.5%)+4.7%(1.6%)(1.1%)+0.2%+3.7%
2018+1.6%(1%)(2.3%)(0.3%)+4.8%+1.1%+0.9%+4.4%(1.1%)(4.7%)            +2.9%

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

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Long
Short
Both
Win
Loss
Both
Show More details Show Fewer details
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
4/28/17 12:11 HABT HABIT RESTAURANTS INC LONG 55 15.07 10/10/18 9:36 15.96 0.54%
Trade id #111321617
Max drawdown($151)
Time9/27/17 10:55
Quant open30
Worst price12.00
Drawdown as % of equity-0.54%
$48
Includes Typical Broker Commissions trade costs of $1.10
11/15/17 12:13 CNAT CONATUS PHARMACEUTICALS INC LONG 100 4.03 10/10/18 9:36 4.99 n/a $94
Includes Typical Broker Commissions trade costs of $2.00
3/16/18 15:09 CLF CLEVELAND-CLIFFS INC LONG 40 7.50 10/10 9:36 12.24 n/a $189
Includes Typical Broker Commissions trade costs of $0.80
6/6/17 12:13 SWIR SIERRA WIRELESS LONG 27 26.84 2/7/18 15:14 19.34 0.73%
Trade id #111933938
Max drawdown($204)
Time1/11/18 9:50
Quant open27
Worst price19.25
Drawdown as % of equity-0.73%
($203)
Includes Typical Broker Commissions trade costs of $0.54
5/9/17 13:39 RDWR RADWARE LONG 25 17.20 2/7/18 15:14 20.76 n/a $89
Includes Typical Broker Commissions trade costs of $0.50
12/20/16 9:40 IRDM IRIDIUM COMMUNICATIONS LONG 50 10.65 2/6/18 12:49 11.90 n/a $62
Includes Typical Broker Commissions trade costs of $1.00
5/12/17 15:14 ACET ACETO LONG 82 12.31 2/2/18 11:00 9.50 1.02%
Trade id #111579901
Max drawdown($286)
Time2/2/18 10:54
Quant open65
Worst price7.91
Drawdown as % of equity-1.02%
($233)
Includes Typical Broker Commissions trade costs of $1.64
9/26/17 12:37 ATRA ATARA BIOTHERAPEUTICS INC LONG 18 16.40 1/22/18 9:46 31.15 0.1%
Trade id #113868881
Max drawdown($28)
Time12/28/17 9:55
Quant open18
Worst price14.80
Drawdown as % of equity-0.10%
$266
Includes Typical Broker Commissions trade costs of $0.36
5/23/17 9:33 ERJ EMBRAER LONG 25 20.05 1/3/18 15:46 26.28 0.1%
Trade id #111727409
Max drawdown($26)
Time12/4/17 15:40
Quant open25
Worst price18.99
Drawdown as % of equity-0.10%
$156
Includes Typical Broker Commissions trade costs of $0.50
5/15/17 13:42 CIBR FIRST TRUST NASDAQ CEA CYBERSECURITY ETF LONG 35 22.26 1/3/18 15:46 23.56 0.03%
Trade id #111604591
Max drawdown($7)
Time12/6/17 10:40
Quant open35
Worst price22.06
Drawdown as % of equity-0.03%
$45
Includes Typical Broker Commissions trade costs of $0.70
9/18/17 9:35 CBAY CYMABAY THERAPEUTICS INC. COMM LONG 52 7.39 1/3/18 15:45 9.34 0.05%
Trade id #113721503
Max drawdown($13)
Time9/18/17 15:24
Quant open32
Worst price6.81
Drawdown as % of equity-0.05%
$101
Includes Typical Broker Commissions trade costs of $1.04
11/9/17 10:35 IYF ISHARES DOW JONES US FINANCIAL SHORT 25 114.08 12/27 15:34 119.32 0.64%
Trade id #114769827
Max drawdown($176)
Time12/18/17 9:45
Quant open-25
Worst price121.14
Drawdown as % of equity-0.64%
($132)
Includes Typical Broker Commissions trade costs of $0.50
11/9/17 11:01 OSTK OVERSTOCK.COM LONG 3 47.90 12/15 13:35 66.30 0.07%
Trade id #114770606
Max drawdown($18)
Time12/7/17 9:45
Quant open3
Worst price41.79
Drawdown as % of equity-0.07%
$55
Includes Typical Broker Commissions trade costs of $0.06
7/10/17 9:36 CBIO CATALYST BIOSCIENCES INC. COMMON STOCK LONG 65 4.39 12/15 13:34 9.87 0.22%
Trade id #112493721
Max drawdown($59)
Time8/24/17 9:34
Quant open40
Worst price3.11
Drawdown as % of equity-0.22%
$355
Includes Typical Broker Commissions trade costs of $1.30
9/18/17 9:35 ADMS ADAMAS PHARMACEUTICALS INC. C LONG 22 21.75 12/15 13:34 33.47 n/a $258
Includes Typical Broker Commissions trade costs of $0.44
5/16/17 12:13 VRAY VIEWRAY INC. COMMON STOCK LONG 50 6.16 12/5 12:31 8.88 n/a $135
Includes Typical Broker Commissions trade costs of $1.00
6/28/17 12:02 NTNX NUTANIX INC. CLASS A COMMON STOCK LONG 40 20.07 12/5 12:31 23.90 0.07%
Trade id #112263904
Max drawdown($19)
Time6/29/17 11:44
Quant open25
Worst price19.50
Drawdown as % of equity-0.07%
$152
Includes Typical Broker Commissions trade costs of $0.80
7/10/17 9:36 CYTK CYTOKINETICS INCORPORATED COM LONG 35 13.02 12/5 12:30 8.15 0.77%
Trade id #112493688
Max drawdown($210)
Time11/21/17 9:29
Quant open35
Worst price7.00
Drawdown as % of equity-0.77%
($171)
Includes Typical Broker Commissions trade costs of $0.70
9/21/17 10:41 RCM R1 RCM INC. COMMON STOCK LONG 100 3.57 11/15 12:13 3.76 0.03%
Trade id #113787471
Max drawdown($8)
Time10/16/17 11:03
Quant open100
Worst price3.49
Drawdown as % of equity-0.03%
$17
Includes Typical Broker Commissions trade costs of $2.00
10/26/17 9:34 VXZ IPATH S&P 500 VIX MT FUTURES E LONG 20 19.70 11/13 14:14 19.89 0.06%
Trade id #114538394
Max drawdown($16)
Time11/1/17 10:45
Quant open20
Worst price18.88
Drawdown as % of equity-0.06%
$4
Includes Typical Broker Commissions trade costs of $0.40
9/19/17 12:43 OSTK OVERSTOCK.COM LONG 12 24.60 11/9 11:01 47.70 n/a $277
Includes Typical Broker Commissions trade costs of $0.24
8/4/17 9:41 SDS PROSHARES ULTRASHORT S&P500 LONG 48 47.27 11/9 10:35 44.32 0.6%
Trade id #112987320
Max drawdown($164)
Time11/8/17 19:26
Quant open48
Worst price43.85
Drawdown as % of equity-0.60%
($142)
Includes Typical Broker Commissions trade costs of $0.96
3/28/17 15:26 OPK OPKO HEALTH LONG 90 7.63 11/9 10:34 5.82 0.6%
Trade id #110492018
Max drawdown($163)
Time11/9/17 10:34
Quant open30
Worst price5.53
Drawdown as % of equity-0.60%
($165)
Includes Typical Broker Commissions trade costs of $1.80
6/16/17 9:34 GRPN GROUPON INC LONG 100 3.18 11/3 13:28 5.41 n/a $221
Includes Typical Broker Commissions trade costs of $2.00
8/31/17 15:35 AMD ADVANCED MICRO DEVICES INC. C LONG 40 13.02 11/1 10:45 10.95 0.35%
Trade id #113478062
Max drawdown($96)
Time10/31/17 4:14
Quant open40
Worst price10.60
Drawdown as % of equity-0.35%
($84)
Includes Typical Broker Commissions trade costs of $0.80
9/15/17 14:00 KE KIMBALL ELECTRONICS INC. COMM LONG 15 20.60 10/30 11:48 21.65 n/a $16
Includes Typical Broker Commissions trade costs of $0.30
7/10/17 9:36 NKTR NEKTAR THERAPEUTICS LONG 8 19.61 10/19 15:20 23.68 n/a $33
Includes Typical Broker Commissions trade costs of $0.16
11/9/16 13:28 SDOW PROSHARES ULTRAPRO SHORT DOW30 LONG 100 49.38 10/19/17 9:36 34.55 15.05%
Trade id #107046911
Max drawdown($3,761)
Time11/21/16 9:37
Quant open100
Worst price11.77
Drawdown as % of equity-15.05%
($1,485)
Includes Typical Broker Commissions trade costs of $2.00
8/30/17 14:06 TSEM TOWER SEMICONDUCTOR LONG 25 29.49 10/3 13:07 31.13 0.09%
Trade id #113452030
Max drawdown($24)
Time9/8/17 12:35
Quant open25
Worst price28.51
Drawdown as % of equity-0.09%
$41
Includes Typical Broker Commissions trade costs of $0.50
9/7/17 13:41 DPLO DIPLOMAT PHARMACY INC LONG 25 18.06 10/3 13:06 21.12 0.04%
Trade id #113585962
Max drawdown($11)
Time9/8/17 13:54
Quant open25
Worst price17.60
Drawdown as % of equity-0.04%
$77
Includes Typical Broker Commissions trade costs of $0.50

Statistics

  • Strategy began
    3/23/2016
  • Suggested Minimum Cap
    $15,000
  • Strategy Age (days)
    942.11
  • Age
    31 months ago
  • What it trades
    Stocks
  • # Trades
    355
  • # Profitable
    207
  • % Profitable
    58.30%
  • Avg trade duration
    90.3 days
  • Max peak-to-valley drawdown
    17.71%
  • drawdown period
    June 13, 2016 - Sept 12, 2016
  • Annual Return (Compounded)
    3.3%
  • Avg win
    $94.40
  • Avg loss
    $107.51
  • Model Account Values (Raw)
  • Cash
    $20,188
  • Margin Used
    $0
  • Buying Power
    $17,957
  • Ratios
  • W:L ratio
    1.24:1
  • Sharpe Ratio
    0.424
  • Sortino Ratio
    0.727
  • Calmar Ratio
    0.696
  • CORRELATION STATISTICS
  • Correlation to SP500
    0.11700
  • Return Statistics
  • Ann Return (w trading costs)
    3.3%
  • Ann Return (Compnd, No Fees)
    5.6%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    39.00%
  • Chance of 20% account loss
    4.50%
  • Chance of 30% account loss
    n/a
  • Chance of 40% account loss
    n/a
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    758
  • C2 Score
    84.2
  • Trades-Own-System Certification
  • Trades Own System?
    0
  • TOS percent
    n/a
  • Subscription Price
  • Billing Period (days)
    30
  • Trial Days
    0
  • Win / Loss
  • Avg Loss
    $108
  • Avg Win
    $94
  • # Winners
    207
  • # Losers
    148
  • % Winners
    58.3%
  • Frequency
  • Avg Position Time (mins)
    130012.00
  • Avg Position Time (hrs)
    2166.86
  • Avg Trade Length
    90.3 days
  • Last Trade Ago
    11
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.04863
  • SD
    0.08217
  • Sharpe ratio (Glass type estimate)
    0.59183
  • Sharpe ratio (Hedges UMVUE)
    0.57637
  • df
    29.00000
  • t
    0.93576
  • p
    0.17856
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.66197
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.83568
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.67207
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.82480
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.96968
  • Upside Potential Ratio
    2.72088
  • Upside part of mean
    0.13645
  • Downside part of mean
    -0.08782
  • Upside SD
    0.06487
  • Downside SD
    0.05015
  • N nonnegative terms
    18.00000
  • N negative terms
    12.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    30.00000
  • Mean of predictor
    0.12176
  • Mean of criterion
    0.04863
  • SD of predictor
    0.09428
  • SD of criterion
    0.08217
  • Covariance
    0.00335
  • r
    0.43292
  • b (slope, estimate of beta)
    0.37730
  • a (intercept, estimate of alpha)
    0.00269
  • Mean Square Error
    0.00568
  • DF error
    28.00000
  • t(b)
    2.54130
  • p(b)
    0.00843
  • t(a)
    0.05273
  • p(a)
    0.47916
  • Lowerbound of 95% confidence interval for beta
    0.07318
  • Upperbound of 95% confidence interval for beta
    0.68141
  • Lowerbound of 95% confidence interval for alpha
    -0.10175
  • Upperbound of 95% confidence interval for alpha
    0.10713
  • Treynor index (mean / b)
    0.12888
  • Jensen alpha (a)
    0.00269
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.04519
  • SD
    0.08174
  • Sharpe ratio (Glass type estimate)
    0.55286
  • Sharpe ratio (Hedges UMVUE)
    0.53842
  • df
    29.00000
  • t
    0.87415
  • p
    0.19461
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.69946
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.79588
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.70889
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.78573
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.88683
  • Upside Potential Ratio
    2.63140
  • Upside part of mean
    0.13409
  • Downside part of mean
    -0.08890
  • Upside SD
    0.06350
  • Downside SD
    0.05096
  • N nonnegative terms
    18.00000
  • N negative terms
    12.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    30.00000
  • Mean of predictor
    0.11666
  • Mean of criterion
    0.04519
  • SD of predictor
    0.09334
  • SD of criterion
    0.08174
  • Covariance
    0.00334
  • r
    0.43841
  • b (slope, estimate of beta)
    0.38394
  • a (intercept, estimate of alpha)
    0.00040
  • Mean Square Error
    0.00559
  • DF error
    28.00000
  • t(b)
    2.58115
  • p(b)
    0.00769
  • t(a)
    0.00793
  • p(a)
    0.49686
  • Lowerbound of 95% confidence interval for beta
    0.07924
  • Upperbound of 95% confidence interval for beta
    0.68863
  • Lowerbound of 95% confidence interval for alpha
    -0.10278
  • Upperbound of 95% confidence interval for alpha
    0.10358
  • Treynor index (mean / b)
    0.11770
  • Jensen alpha (a)
    0.00040
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.03444
  • Expected Shortfall on VaR
    0.04388
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01466
  • Expected Shortfall on VaR
    0.02915
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    30.00000
  • Minimum
    0.95352
  • Quartile 1
    0.99135
  • Median
    1.00829
  • Quartile 3
    1.01870
  • Maximum
    1.05630
  • Mean of quarter 1
    0.97760
  • Mean of quarter 2
    1.00107
  • Mean of quarter 3
    1.01125
  • Mean of quarter 4
    1.03555
  • Inter Quartile Range
    0.02735
  • 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)
    0.06507
  • VaR(95%) (moments method)
    0.02196
  • Expected Shortfall (moments method)
    0.03102
  • Extreme Value Index (regression method)
    0.09680
  • VaR(95%) (regression method)
    0.03208
  • Expected Shortfall (regression method)
    0.04852
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    5.00000
  • Minimum
    0.00193
  • Quartile 1
    0.01271
  • Median
    0.04751
  • Quartile 3
    0.05649
  • Maximum
    0.05703
  • Mean of quarter 1
    0.00732
  • Mean of quarter 2
    0.04751
  • Mean of quarter 3
    0.05649
  • Mean of quarter 4
    0.05703
  • Inter Quartile Range
    0.04378
  • 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)
    0.08020
  • Compounded annual return (geometric extrapolation)
    0.07584
  • Calmar ratio (compounded annual return / max draw down)
    1.32968
  • Compounded annual return / average of 25% largest draw downs
    1.32968
  • Compounded annual return / Expected Shortfall lognormal
    1.72840
  • 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
    0.03303
  • SD
    0.07789
  • Sharpe ratio (Glass type estimate)
    0.42398
  • Sharpe ratio (Hedges UMVUE)
    0.42351
  • df
    667.00000
  • t
    0.67699
  • p
    0.24932
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.80384
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.65152
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.80417
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.65118
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.72746
  • Upside Potential Ratio
    9.33423
  • Upside part of mean
    0.42377
  • Downside part of mean
    -0.39074
  • Upside SD
    0.06326
  • Downside SD
    0.04540
  • N nonnegative terms
    337.00000
  • N negative terms
    331.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    668.00000
  • Mean of predictor
    0.09846
  • Mean of criterion
    0.03303
  • SD of predictor
    0.10977
  • SD of criterion
    0.07789
  • Covariance
    0.00119
  • r
    0.13961
  • b (slope, estimate of beta)
    0.09907
  • a (intercept, estimate of alpha)
    0.02300
  • Mean Square Error
    0.00596
  • DF error
    666.00000
  • t(b)
    3.63842
  • p(b)
    0.00015
  • t(a)
    0.48067
  • p(a)
    0.31546
  • Lowerbound of 95% confidence interval for beta
    0.04560
  • Upperbound of 95% confidence interval for beta
    0.15253
  • Lowerbound of 95% confidence interval for alpha
    -0.07179
  • Upperbound of 95% confidence interval for alpha
    0.11834
  • Treynor index (mean / b)
    0.33337
  • Jensen alpha (a)
    0.02327
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.03003
  • SD
    0.07712
  • Sharpe ratio (Glass type estimate)
    0.38939
  • Sharpe ratio (Hedges UMVUE)
    0.38895
  • df
    667.00000
  • t
    0.62176
  • p
    0.26716
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.83840
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.61690
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.83869
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.61660
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.65917
  • Upside Potential Ratio
    9.25745
  • Upside part of mean
    0.42176
  • Downside part of mean
    -0.39173
  • Upside SD
    0.06219
  • Downside SD
    0.04556
  • N nonnegative terms
    337.00000
  • N negative terms
    331.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    668.00000
  • Mean of predictor
    0.09239
  • Mean of criterion
    0.03003
  • SD of predictor
    0.11015
  • SD of criterion
    0.07712
  • Covariance
    0.00120
  • r
    0.14151
  • b (slope, estimate of beta)
    0.09908
  • a (intercept, estimate of alpha)
    0.02088
  • Mean Square Error
    0.00584
  • DF error
    666.00000
  • t(b)
    3.68912
  • p(b)
    0.00012
  • t(a)
    0.43572
  • p(a)
    0.33159
  • Lowerbound of 95% confidence interval for beta
    0.04635
  • Upperbound of 95% confidence interval for beta
    0.15182
  • Lowerbound of 95% confidence interval for alpha
    -0.07321
  • Upperbound of 95% confidence interval for alpha
    0.11496
  • Treynor index (mean / b)
    0.30310
  • Jensen alpha (a)
    0.02088
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00769
  • Expected Shortfall on VaR
    0.00967
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00344
  • Expected Shortfall on VaR
    0.00643
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    668.00000
  • Minimum
    0.98575
  • Quartile 1
    0.99787
  • Median
    1.00013
  • Quartile 3
    1.00251
  • Maximum
    1.06788
  • Mean of quarter 1
    0.99519
  • Mean of quarter 2
    0.99906
  • Mean of quarter 3
    1.00122
  • Mean of quarter 4
    1.00546
  • Inter Quartile Range
    0.00464
  • Number outliers low
    11.00000
  • Percentage of outliers low
    0.01647
  • Mean of outliers low
    0.98874
  • Number of outliers high
    10.00000
  • Percentage of outliers high
    0.01497
  • Mean of outliers high
    1.01930
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.12345
  • VaR(95%) (moments method)
    0.00462
  • Expected Shortfall (moments method)
    0.00587
  • Extreme Value Index (regression method)
    -0.15186
  • VaR(95%) (regression method)
    0.00461
  • Expected Shortfall (regression method)
    0.00579
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    30.00000
  • Minimum
    0.00007
  • Quartile 1
    0.00130
  • Median
    0.00515
  • Quartile 3
    0.02761
  • Maximum
    0.08571
  • Mean of quarter 1
    0.00069
  • Mean of quarter 2
    0.00278
  • Mean of quarter 3
    0.00953
  • Mean of quarter 4
    0.05151
  • Inter Quartile Range
    0.02631
  • 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
    0.03333
  • Mean of outliers high
    0.08571
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -0.05167
  • VaR(95%) (moments method)
    0.05479
  • Expected Shortfall (moments method)
    0.06989
  • Extreme Value Index (regression method)
    0.94895
  • VaR(95%) (regression method)
    0.04308
  • Expected Shortfall (regression method)
    0.36714
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.06244
  • Compounded annual return (geometric extrapolation)
    0.05965
  • Calmar ratio (compounded annual return / max draw down)
    0.69591
  • Compounded annual return / average of 25% largest draw downs
    1.15811
  • Compounded annual return / Expected Shortfall lognormal
    6.17164
  • 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
    0.07390
  • SD
    0.06529
  • Sharpe ratio (Glass type estimate)
    1.13186
  • Sharpe ratio (Hedges UMVUE)
    1.12531
  • df
    130.00000
  • t
    0.80034
  • p
    0.46499
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.64542
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.90490
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.64987
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.90049
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.63862
  • Upside Potential Ratio
    10.05420
  • Upside part of mean
    0.45344
  • Downside part of mean
    -0.37954
  • Upside SD
    0.04709
  • Downside SD
    0.04510
  • 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
    0.03265
  • Mean of criterion
    0.07390
  • SD of predictor
    0.10857
  • SD of criterion
    0.06529
  • Covariance
    0.00223
  • r
    0.31455
  • b (slope, estimate of beta)
    0.18916
  • a (intercept, estimate of alpha)
    0.06772
  • Mean Square Error
    0.00387
  • DF error
    129.00000
  • t(b)
    3.76369
  • p(b)
    0.30310
  • t(a)
    0.76956
  • p(a)
    0.45700
  • Lowerbound of 95% confidence interval for beta
    0.08972
  • Upperbound of 95% confidence interval for beta
    0.28861
  • Lowerbound of 95% confidence interval for alpha
    -0.10639
  • Upperbound of 95% confidence interval for alpha
    0.24184
  • Treynor index (mean / b)
    0.39067
  • Jensen alpha (a)
    0.06772
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.07177
  • SD
    0.06528
  • Sharpe ratio (Glass type estimate)
    1.09942
  • Sharpe ratio (Hedges UMVUE)
    1.09306
  • df
    130.00000
  • t
    0.77741
  • p
    0.46599
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.67767
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.87239
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.68193
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.86805
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.58626
  • Upside Potential Ratio
    9.99672
  • Upside part of mean
    0.45229
  • Downside part of mean
    -0.38052
  • Upside SD
    0.04692
  • Downside SD
    0.04524
  • 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
    0.02678
  • Mean of criterion
    0.07177
  • SD of predictor
    0.10889
  • SD of criterion
    0.06528
  • Covariance
    0.00225
  • r
    0.31620
  • b (slope, estimate of beta)
    0.18957
  • a (intercept, estimate of alpha)
    0.06669
  • Mean Square Error
    0.00386
  • DF error
    129.00000
  • t(b)
    3.78555
  • p(b)
    0.30211
  • t(a)
    0.75847
  • p(a)
    0.45761
  • Lowerbound of 95% confidence interval for beta
    0.09049
  • Upperbound of 95% confidence interval for beta
    0.28864
  • Lowerbound of 95% confidence interval for alpha
    -0.10728
  • Upperbound of 95% confidence interval for alpha
    0.24066
  • Treynor index (mean / b)
    0.37859
  • Jensen alpha (a)
    0.06669
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00634
  • Expected Shortfall on VaR
    0.00801
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00315
  • Expected Shortfall on VaR
    0.00604
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.99021
  • Quartile 1
    0.99775
  • Median
    1.00075
  • Quartile 3
    1.00319
  • Maximum
    1.01539
  • Mean of quarter 1
    0.99507
  • Mean of quarter 2
    0.99946
  • Mean of quarter 3
    1.00193
  • Mean of quarter 4
    1.00515
  • Inter Quartile Range
    0.00544
  • 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
    0.00763
  • Mean of outliers high
    1.01539
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.29251
  • VaR(95%) (moments method)
    0.00490
  • Expected Shortfall (moments method)
    0.00592
  • Extreme Value Index (regression method)
    -0.40845
  • VaR(95%) (regression method)
    0.00504
  • Expected Shortfall (regression method)
    0.00591
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    11.00000
  • Minimum
    0.00022
  • Quartile 1
    0.00103
  • Median
    0.00349
  • Quartile 3
    0.01498
  • Maximum
    0.05568
  • Mean of quarter 1
    0.00040
  • Mean of quarter 2
    0.00252
  • Mean of quarter 3
    0.00619
  • Mean of quarter 4
    0.03596
  • Inter Quartile Range
    0.01396
  • 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
    0.05568
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -0.69103
  • VaR(95%) (moments method)
    0.04174
  • Expected Shortfall (moments method)
    0.04720
  • Extreme Value Index (regression method)
    0.84295
  • VaR(95%) (regression method)
    0.05765
  • Expected Shortfall (regression method)
    0.31186
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.10220
  • Compounded annual return (geometric extrapolation)
    0.10481
  • Calmar ratio (compounded annual return / max draw down)
    1.88244
  • Compounded annual return / average of 25% largest draw downs
    2.91435
  • Compounded annual return / Expected Shortfall lognormal
    13.08280

Strategy Description

Long only portfolio. Strategy invests across all asset classes globally via ETFs. Hedge exposure provided via long positions in inverse ETFs. Long exposure in US equity is taken via individual stocks.

Summary Statistics

Strategy began
2016-03-23
Suggested Minimum Capital
$15,000
# Trades
355
# Profitable
207
% Profitable
58.3%
Net Dividends
Correlation S&P500
0.117
Sharpe Ratio
0.424

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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Suggested Minimum Capital

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