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Demla Swing Trader
(104636666)

Created by: DemlaAnalytics DemlaAnalytics
Started: 07/2017
Stocks
Last trade: 3 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 $100.00 per month.

14.5%
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.

(9.1%)
Max Drawdown
439
Num Trades
42.6%
Win Trades
1.5 : 1
Profit Factor
75.0%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2017                                          +4.6%+1.6%+1.2%(1.8%)+1.4%+2.1%+9.3%
2018+7.5%+3.3%+1.2%(3.7%)(1.9%)+1.2%(2.3%)+2.2%+0.5%+1.2%            +9.2%

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 239 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
10/17/18 10:30 QQQ POWERSHARES QQQ LONG 50 176.67 10/17 10:38 175.87 0.11%
Trade id #120401631
Max drawdown($40)
Time10/17/18 10:38
Quant open0
Worst price175.87
Drawdown as % of equity-0.11%
($41)
Includes Typical Broker Commissions trade costs of $1.00
10/12/18 9:57 GDX VANECK VECTORS GOLD MINERS ETF LONG 100 19.57 10/15 9:30 20.10 0.08%
Trade id #120321462
Max drawdown($30)
Time10/12/18 11:03
Quant open100
Worst price19.27
Drawdown as % of equity-0.08%
$51
Includes Typical Broker Commissions trade costs of $2.00
10/9/18 12:14 FB FACEBOOK SHORT 30 158.82 10/11 9:30 150.13 0.02%
Trade id #120257002
Max drawdown($6)
Time10/9/18 14:00
Quant open-30
Worst price159.04
Drawdown as % of equity-0.02%
$260
Includes Typical Broker Commissions trade costs of $0.60
10/5/18 9:30 INCY INCYTE SHORT 20 66.72 10/10 11:09 65.32 0.01%
Trade id #120203674
Max drawdown($5)
Time10/5/18 9:32
Quant open-20
Worst price66.98
Drawdown as % of equity-0.01%
$28
Includes Typical Broker Commissions trade costs of $0.40
10/9/18 10:42 QQQ POWERSHARES QQQ SHORT 45 181.00 10/10 10:04 175.68 n/a $238
Includes Typical Broker Commissions trade costs of $0.90
10/5/18 11:29 INTC INTEL SHORT 55 47.10 10/10 9:49 45.55 0.08%
Trade id #120207232
Max drawdown($28)
Time10/9/18 9:35
Quant open-55
Worst price47.62
Drawdown as % of equity-0.08%
$84
Includes Typical Broker Commissions trade costs of $1.10
10/5/18 13:42 SPY SPDR S&P 500 SHORT 50 286.92 10/8 11:55 286.04 0.19%
Trade id #120210521
Max drawdown($72)
Time10/5/18 15:50
Quant open-50
Worst price288.36
Drawdown as % of equity-0.19%
$43
Includes Typical Broker Commissions trade costs of $1.00
10/1/18 9:33 DIA SPDR DOW JONES INDUSTRIAL AVER LONG 20 266.25 10/5 11:29 264.50 0.09%
Trade id #120114973
Max drawdown($35)
Time10/5/18 11:29
Quant open0
Worst price264.50
Drawdown as % of equity-0.09%
($35)
Includes Typical Broker Commissions trade costs of $0.40
10/3/18 14:11 IWM ISHARES RUSSELL 2000 INDEX LONG 20 166.55 10/4 12:05 163.90 0.14%
Trade id #120167105
Max drawdown($53)
Time10/4/18 12:05
Quant open0
Worst price163.90
Drawdown as % of equity-0.14%
($53)
Includes Typical Broker Commissions trade costs of $0.40
9/26/18 11:28 QQQ POWERSHARES QQQ LONG 30 185.27 10/4 10:23 183.40 0.15%
Trade id #120045331
Max drawdown($56)
Time10/4/18 10:23
Quant open0
Worst price183.40
Drawdown as % of equity-0.15%
($57)
Includes Typical Broker Commissions trade costs of $0.60
9/26/18 14:00 SPY SPDR S&P 500 LONG 15 291.68 10/4 10:02 290.40 0.8%
Trade id #120049400
Max drawdown($297)
Time10/3/18 16:01
Quant open15
Worst price271.86
Drawdown as % of equity-0.80%
($19)
Includes Typical Broker Commissions trade costs of $0.30
9/24/18 9:54 TEAM ATLASSIAN CORPORATION PLC CLASS A ORDINARY SHARES LONG 10 91.80 10/3 9:37 92.80 0%
Trade id #120000879
Max drawdown($1)
Time9/24/18 9:56
Quant open10
Worst price91.67
Drawdown as % of equity-0.00%
$10
Includes Typical Broker Commissions trade costs of $0.20
9/10/18 10:23 NKE NIKE LONG 40 82.35 10/3 9:30 81.75 0.17%
Trade id #119779276
Max drawdown($64)
Time9/25/18 17:36
Quant open40
Worst price80.75
Drawdown as % of equity-0.17%
($25)
Includes Typical Broker Commissions trade costs of $0.80
9/20/18 14:05 IART INTEGRA LIFESCIENCES HLDG LONG 15 63.58 10/1 9:31 63.38 0.06%
Trade id #119956414
Max drawdown($22)
Time9/24/18 9:31
Quant open15
Worst price62.07
Drawdown as % of equity-0.06%
($3)
Includes Typical Broker Commissions trade costs of $0.30
9/21/18 9:34 COST COSTCO WHOLESALE LONG 5 235.56 9/27 9:31 233.70 0.04%
Trade id #119967657
Max drawdown($14)
Time9/25/18 16:00
Quant open5
Worst price232.73
Drawdown as % of equity-0.04%
($9)
Includes Typical Broker Commissions trade costs of $0.10
9/7/18 9:31 INCY INCYTE SHORT 85 67.32 9/26 10:40 68.26 0.21%
Trade id #119759084
Max drawdown($80)
Time9/26/18 10:40
Quant open70
Worst price69.31
Drawdown as % of equity-0.21%
($82)
Includes Typical Broker Commissions trade costs of $1.70
9/24/18 9:30 GOOGL ALPHABET INC CLASS A SHORT 3 1160.58 9/25 15:52 1196.00 0.28%
Trade id #119999662
Max drawdown($106)
Time9/25/18 15:52
Quant open0
Worst price1196.00
Drawdown as % of equity-0.28%
($106)
Includes Typical Broker Commissions trade costs of $0.06
9/21/18 9:48 PYPL PAYPAL HOLDINGS CORP LONG 10 91.61 9/24 9:34 88.38 0.09%
Trade id #119968871
Max drawdown($32)
Time9/24/18 9:34
Quant open0
Worst price88.38
Drawdown as % of equity-0.09%
($32)
Includes Typical Broker Commissions trade costs of $0.20
9/21/18 9:40 QQQ POWERSHARES QQQ LONG 25 185.45 9/24 9:32 181.70 0.25%
Trade id #119968378
Max drawdown($94)
Time9/24/18 9:32
Quant open0
Worst price181.70
Drawdown as % of equity-0.25%
($95)
Includes Typical Broker Commissions trade costs of $0.50
9/13/18 9:39 SPY SPDR S&P 500 LONG 30 290.55 9/20 9:43 292.88 0.19%
Trade id #119840155
Max drawdown($70)
Time9/17/18 19:00
Quant open30
Worst price288.20
Drawdown as % of equity-0.19%
$69
Includes Typical Broker Commissions trade costs of $0.60
9/12/18 11:26 DIA SPDR DOW JONES INDUSTRIAL AVER LONG 30 261.35 9/20 9:30 266.04 0.14%
Trade id #119825608
Max drawdown($53)
Time9/12/18 14:47
Quant open30
Worst price259.58
Drawdown as % of equity-0.14%
$140
Includes Typical Broker Commissions trade costs of $0.60
9/19/18 9:33 PANW PALO ALTO NETWORKS LONG 20 234.87 9/19 9:42 231.85 0.16%
Trade id #119927045
Max drawdown($60)
Time9/19/18 9:42
Quant open0
Worst price231.85
Drawdown as % of equity-0.16%
($60)
Includes Typical Broker Commissions trade costs of $0.40
9/14/18 9:34 ADBE ADOBE INC LONG 20 270.77 9/17 13:14 271.19 0.01%
Trade id #119859578
Max drawdown($4)
Time9/14/18 9:36
Quant open20
Worst price270.53
Drawdown as % of equity-0.01%
$8
Includes Typical Broker Commissions trade costs of $0.40
9/14/18 9:32 FB FACEBOOK SHORT 15 160.80 9/14 10:31 162.10 0.05%
Trade id #119859351
Max drawdown($20)
Time9/14/18 10:31
Quant open0
Worst price162.10
Drawdown as % of equity-0.05%
($20)
Includes Typical Broker Commissions trade costs of $0.30
9/6/18 10:48 INTC INTEL SHORT 80 47.38 9/12 9:30 44.49 0.1%
Trade id #119745891
Max drawdown($38)
Time9/6/18 11:54
Quant open-80
Worst price47.86
Drawdown as % of equity-0.10%
$229
Includes Typical Broker Commissions trade costs of $1.60
9/4/18 9:39 SPY SPDR S&P 500 LONG 35 289.25 9/7 9:32 286.90 0.23%
Trade id #119712775
Max drawdown($85)
Time9/7/18 9:05
Quant open35
Worst price286.82
Drawdown as % of equity-0.23%
($83)
Includes Typical Broker Commissions trade costs of $0.70
9/6/18 9:42 DIA SPDR DOW JONES INDUSTRIAL AVER LONG 45 260.35 9/6 11:08 259.10 0.15%
Trade id #119743987
Max drawdown($56)
Time9/6/18 11:08
Quant open0
Worst price259.10
Drawdown as % of equity-0.15%
($57)
Includes Typical Broker Commissions trade costs of $0.90
8/31/18 9:44 FB FACEBOOK SHORT 20 175.51 9/6 10:47 163.00 0.06%
Trade id #119679387
Max drawdown($21)
Time8/31/18 10:32
Quant open-20
Worst price176.59
Drawdown as % of equity-0.06%
$250
Includes Typical Broker Commissions trade costs of $0.40
8/29/18 9:30 ALRM ALARM.COM HOLDINGS INC. COMMON STOCK LONG 55 55.38 9/6 9:30 55.70 0.14%
Trade id #119642466
Max drawdown($51)
Time8/30/18 9:32
Quant open55
Worst price54.45
Drawdown as % of equity-0.14%
$17
Includes Typical Broker Commissions trade costs of $1.10
8/7/18 9:30 SPSC SPS COMMERCE LONG 45 91.48 9/4 15:10 98.63 0.08%
Trade id #119315596
Max drawdown($30)
Time8/7/18 9:51
Quant open20
Worst price88.30
Drawdown as % of equity-0.08%
$321
Includes Typical Broker Commissions trade costs of $0.90

Statistics

  • Strategy began
    7/5/2017
  • Suggested Minimum Cap
    $35,000
  • Strategy Age (days)
    473.03
  • Age
    16 months ago
  • What it trades
    Stocks
  • # Trades
    439
  • # Profitable
    187
  • % Profitable
    42.60%
  • Avg trade duration
    4.7 days
  • Max peak-to-valley drawdown
    9.14%
  • drawdown period
    March 13, 2018 - Aug 03, 2018
  • Annual Return (Compounded)
    14.5%
  • Avg win
    $132.31
  • Avg loss
    $67.60
  • Model Account Values (Raw)
  • Cash
    $49,900
  • Margin Used
    $18,246
  • Buying Power
    $31,755
  • Ratios
  • W:L ratio
    1.49:1
  • Sharpe Ratio
    2.151
  • Sortino Ratio
    3.69
  • Calmar Ratio
    2.89
  • CORRELATION STATISTICS
  • Correlation to SP500
    0.14900
  • Return Statistics
  • Ann Return (w trading costs)
    14.5%
  • Ann Return (Compnd, No Fees)
    19.6%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    n/a
  • Chance of 20% account loss
    n/a
  • Chance of 30% account loss
    n/a
  • Chance of 40% account loss
    n/a
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    778
  • C2 Score
    92.4
  • 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
    $68
  • Avg Win
    $132
  • # Winners
    187
  • # Losers
    252
  • % Winners
    42.6%
  • Frequency
  • Avg Position Time (mins)
    6777.27
  • Avg Position Time (hrs)
    112.95
  • Avg Trade Length
    4.7 days
  • Last Trade Ago
    3
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.15876
  • SD
    0.11733
  • Sharpe ratio (Glass type estimate)
    1.35309
  • Sharpe ratio (Hedges UMVUE)
    1.27905
  • df
    14.00000
  • t
    1.51280
  • p
    0.31258
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.49107
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.15297
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.53688
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.09499
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.55491
  • Upside Potential Ratio
    5.33289
  • Upside part of mean
    0.23816
  • Downside part of mean
    -0.07940
  • Upside SD
    0.11382
  • Downside SD
    0.04466
  • N nonnegative terms
    9.00000
  • N negative terms
    6.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    15.00000
  • Mean of predictor
    0.08501
  • Mean of criterion
    0.15876
  • SD of predictor
    0.09263
  • SD of criterion
    0.11733
  • Covariance
    0.00546
  • r
    0.50213
  • b (slope, estimate of beta)
    0.63599
  • a (intercept, estimate of alpha)
    0.10469
  • Mean Square Error
    0.01109
  • DF error
    13.00000
  • t(b)
    2.09351
  • p(b)
    0.19433
  • t(a)
    1.07200
  • p(a)
    0.32106
  • Lowerbound of 95% confidence interval for beta
    -0.02031
  • Upperbound of 95% confidence interval for beta
    1.29230
  • Lowerbound of 95% confidence interval for alpha
    -0.10629
  • Upperbound of 95% confidence interval for alpha
    0.31566
  • Treynor index (mean / b)
    0.24962
  • Jensen alpha (a)
    0.10469
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.15121
  • SD
    0.11431
  • Sharpe ratio (Glass type estimate)
    1.32287
  • Sharpe ratio (Hedges UMVUE)
    1.25050
  • df
    14.00000
  • t
    1.47902
  • p
    0.31620
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.51785
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.12016
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.56271
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.06370
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.34068
  • Upside Potential Ratio
    5.11321
  • Upside part of mean
    0.23144
  • Downside part of mean
    -0.08023
  • Upside SD
    0.10978
  • Downside SD
    0.04526
  • N nonnegative terms
    9.00000
  • N negative terms
    6.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    15.00000
  • Mean of predictor
    0.08054
  • Mean of criterion
    0.15121
  • SD of predictor
    0.09266
  • SD of criterion
    0.11431
  • Covariance
    0.00524
  • r
    0.49488
  • b (slope, estimate of beta)
    0.61050
  • a (intercept, estimate of alpha)
    0.10204
  • Mean Square Error
    0.01062
  • DF error
    13.00000
  • t(b)
    2.05340
  • p(b)
    0.19833
  • t(a)
    1.07129
  • p(a)
    0.32116
  • Lowerbound of 95% confidence interval for beta
    -0.03180
  • Upperbound of 95% confidence interval for beta
    1.25280
  • Lowerbound of 95% confidence interval for alpha
    -0.10374
  • Upperbound of 95% confidence interval for alpha
    0.30782
  • Treynor index (mean / b)
    0.24769
  • Jensen alpha (a)
    0.10204
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.04082
  • Expected Shortfall on VaR
    0.05388
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01329
  • Expected Shortfall on VaR
    0.02619
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    15.00000
  • Minimum
    0.96535
  • Quartile 1
    0.99403
  • Median
    1.01760
  • Quartile 3
    1.02407
  • Maximum
    1.09281
  • Mean of quarter 1
    0.98153
  • Mean of quarter 2
    1.00323
  • Mean of quarter 3
    1.02022
  • Mean of quarter 4
    1.05841
  • Inter Quartile Range
    0.03004
  • 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
    0.06667
  • Mean of outliers high
    1.09281
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.57909
  • VaR(95%) (moments method)
    0.02018
  • Expected Shortfall (moments method)
    0.05508
  • Extreme Value Index (regression method)
    3.79740
  • VaR(95%) (regression method)
    0.02141
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    2.00000
  • Minimum
    0.01233
  • Quartile 1
    0.02439
  • Median
    0.03645
  • Quartile 3
    0.04851
  • Maximum
    0.06057
  • Mean of quarter 1
    0.01233
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.06057
  • Inter Quartile Range
    0.02412
  • 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)
    0.20075
  • Compounded annual return (geometric extrapolation)
    0.19616
  • Calmar ratio (compounded annual return / max draw down)
    3.23845
  • Compounded annual return / average of 25% largest draw downs
    3.23845
  • Compounded annual return / Expected Shortfall lognormal
    3.64060
  • 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
    0.15497
  • SD
    0.07189
  • Sharpe ratio (Glass type estimate)
    2.15573
  • Sharpe ratio (Hedges UMVUE)
    2.15088
  • df
    334.00000
  • t
    2.43762
  • p
    0.00765
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.41316
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.89517
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.40992
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.89185
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.69001
  • Upside Potential Ratio
    11.96270
  • Upside part of mean
    0.50239
  • Downside part of mean
    -0.34742
  • Upside SD
    0.05899
  • Downside SD
    0.04200
  • N nonnegative terms
    177.00000
  • N negative terms
    158.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    335.00000
  • Mean of predictor
    0.08064
  • Mean of criterion
    0.15497
  • SD of predictor
    0.12269
  • SD of criterion
    0.07189
  • Covariance
    0.00132
  • r
    0.15023
  • b (slope, estimate of beta)
    0.08802
  • a (intercept, estimate of alpha)
    0.14800
  • Mean Square Error
    0.00507
  • DF error
    333.00000
  • t(b)
    2.77283
  • p(b)
    0.00294
  • t(a)
    2.34721
  • p(a)
    0.00975
  • Lowerbound of 95% confidence interval for beta
    0.02558
  • Upperbound of 95% confidence interval for beta
    0.15046
  • Lowerbound of 95% confidence interval for alpha
    0.02395
  • Upperbound of 95% confidence interval for alpha
    0.27179
  • Treynor index (mean / b)
    1.76064
  • Jensen alpha (a)
    0.14787
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.15234
  • SD
    0.07175
  • Sharpe ratio (Glass type estimate)
    2.12309
  • Sharpe ratio (Hedges UMVUE)
    2.11832
  • df
    334.00000
  • t
    2.40071
  • p
    0.00845
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.38075
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.86230
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.37758
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.85905
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.61507
  • Upside Potential Ratio
    11.87990
  • Upside part of mean
    0.50061
  • Downside part of mean
    -0.34827
  • Upside SD
    0.05870
  • Downside SD
    0.04214
  • N nonnegative terms
    177.00000
  • N negative terms
    158.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    335.00000
  • Mean of predictor
    0.07307
  • Mean of criterion
    0.15234
  • SD of predictor
    0.12325
  • SD of criterion
    0.07175
  • Covariance
    0.00131
  • r
    0.14845
  • b (slope, estimate of beta)
    0.08642
  • a (intercept, estimate of alpha)
    0.14602
  • Mean Square Error
    0.00505
  • DF error
    333.00000
  • t(b)
    2.73923
  • p(b)
    0.00324
  • t(a)
    2.32193
  • p(a)
    0.01042
  • Lowerbound of 95% confidence interval for beta
    0.02436
  • Upperbound of 95% confidence interval for beta
    0.14848
  • Lowerbound of 95% confidence interval for alpha
    0.02231
  • Upperbound of 95% confidence interval for alpha
    0.26973
  • Treynor index (mean / b)
    1.76279
  • Jensen alpha (a)
    0.14602
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00669
  • Expected Shortfall on VaR
    0.00852
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00296
  • Expected Shortfall on VaR
    0.00570
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    335.00000
  • Minimum
    0.98703
  • Quartile 1
    0.99807
  • Median
    1.00038
  • Quartile 3
    1.00297
  • Maximum
    1.01700
  • Mean of quarter 1
    0.99559
  • Mean of quarter 2
    0.99935
  • Mean of quarter 3
    1.00146
  • Mean of quarter 4
    1.00639
  • Inter Quartile Range
    0.00490
  • Number outliers low
    3.00000
  • Percentage of outliers low
    0.00896
  • Mean of outliers low
    0.98767
  • Number of outliers high
    12.00000
  • Percentage of outliers high
    0.03582
  • Mean of outliers high
    1.01311
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.08901
  • VaR(95%) (moments method)
    0.00430
  • Expected Shortfall (moments method)
    0.00605
  • Extreme Value Index (regression method)
    -0.15347
  • VaR(95%) (regression method)
    0.00415
  • Expected Shortfall (regression method)
    0.00520
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    17.00000
  • Minimum
    0.00042
  • Quartile 1
    0.00474
  • Median
    0.00822
  • Quartile 3
    0.01459
  • Maximum
    0.06833
  • Mean of quarter 1
    0.00196
  • Mean of quarter 2
    0.00747
  • Mean of quarter 3
    0.01292
  • Mean of quarter 4
    0.03775
  • Inter Quartile Range
    0.00985
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.11765
  • Mean of outliers high
    0.05305
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -0.29058
  • VaR(95%) (moments method)
    0.03427
  • Expected Shortfall (moments method)
    0.04206
  • Extreme Value Index (regression method)
    0.40230
  • VaR(95%) (regression method)
    0.05314
  • Expected Shortfall (regression method)
    0.10520
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.20270
  • Compounded annual return (geometric extrapolation)
    0.19751
  • Calmar ratio (compounded annual return / max draw down)
    2.89042
  • Compounded annual return / average of 25% largest draw downs
    5.23146
  • Compounded annual return / Expected Shortfall lognormal
    23.16980
  • 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
    -0.00650
  • SD
    0.05198
  • Sharpe ratio (Glass type estimate)
    -0.12513
  • Sharpe ratio (Hedges UMVUE)
    -0.12441
  • df
    130.00000
  • t
    -0.08848
  • p
    0.50388
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.89674
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.64684
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.89626
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.64744
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.17299
  • Upside Potential Ratio
    8.21589
  • Upside part of mean
    0.30892
  • Downside part of mean
    -0.31543
  • Upside SD
    0.03561
  • Downside SD
    0.03760
  • N nonnegative terms
    66.00000
  • N negative terms
    65.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.03265
  • Mean of criterion
    -0.00650
  • SD of predictor
    0.10857
  • SD of criterion
    0.05198
  • Covariance
    0.00011
  • r
    0.01946
  • b (slope, estimate of beta)
    0.00932
  • a (intercept, estimate of alpha)
    -0.00681
  • Mean Square Error
    0.00272
  • DF error
    129.00000
  • t(b)
    0.22112
  • p(b)
    0.48761
  • t(a)
    -0.09227
  • p(a)
    0.50517
  • Lowerbound of 95% confidence interval for beta
    -0.07407
  • Upperbound of 95% confidence interval for beta
    0.09271
  • Lowerbound of 95% confidence interval for alpha
    -0.15282
  • Upperbound of 95% confidence interval for alpha
    0.13920
  • Treynor index (mean / b)
    -0.69795
  • Jensen alpha (a)
    -0.00681
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.00785
  • SD
    0.05200
  • Sharpe ratio (Glass type estimate)
    -0.15088
  • Sharpe ratio (Hedges UMVUE)
    -0.15001
  • df
    130.00000
  • t
    -0.10669
  • p
    0.50468
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.92251
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.62123
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.92188
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.62186
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.20799
  • Upside Potential Ratio
    8.17259
  • Upside part of mean
    0.30826
  • Downside part of mean
    -0.31610
  • Upside SD
    0.03550
  • Downside SD
    0.03772
  • N nonnegative terms
    66.00000
  • N negative terms
    65.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.02678
  • Mean of criterion
    -0.00785
  • SD of predictor
    0.10889
  • SD of criterion
    0.05200
  • Covariance
    0.00010
  • r
    0.01765
  • b (slope, estimate of beta)
    0.00843
  • a (intercept, estimate of alpha)
    -0.00807
  • Mean Square Error
    0.00272
  • DF error
    129.00000
  • t(b)
    0.20044
  • p(b)
    0.48877
  • t(a)
    -0.10934
  • p(a)
    0.50613
  • Lowerbound of 95% confidence interval for beta
    -0.07474
  • Upperbound of 95% confidence interval for beta
    0.09160
  • Lowerbound of 95% confidence interval for alpha
    -0.15411
  • Upperbound of 95% confidence interval for alpha
    0.13797
  • Treynor index (mean / b)
    -0.93106
  • Jensen alpha (a)
    -0.00807
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00530
  • Expected Shortfall on VaR
    0.00663
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00278
  • Expected Shortfall on VaR
    0.00526
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.98784
  • Quartile 1
    0.99815
  • Median
    1.00024
  • Quartile 3
    1.00188
  • Maximum
    1.00960
  • Mean of quarter 1
    0.99610
  • Mean of quarter 2
    0.99934
  • Mean of quarter 3
    1.00099
  • Mean of quarter 4
    1.00392
  • Inter Quartile Range
    0.00373
  • Number outliers low
    3.00000
  • Percentage of outliers low
    0.02290
  • Mean of outliers low
    0.99079
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.01527
  • Mean of outliers high
    1.00955
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.12740
  • VaR(95%) (moments method)
    0.00401
  • Expected Shortfall (moments method)
    0.00568
  • Extreme Value Index (regression method)
    0.04505
  • VaR(95%) (regression method)
    0.00437
  • Expected Shortfall (regression method)
    0.00602
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    4.00000
  • Minimum
    0.00034
  • Quartile 1
    0.00047
  • Median
    0.01644
  • Quartile 3
    0.03541
  • Maximum
    0.04453
  • Mean of quarter 1
    0.00034
  • Mean of quarter 2
    0.00051
  • Mean of quarter 3
    0.03237
  • Mean of quarter 4
    0.04453
  • Inter Quartile Range
    0.03494
  • 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)
    0.02016
  • Compounded annual return (geometric extrapolation)
    0.02026
  • Calmar ratio (compounded annual return / max draw down)
    0.45508
  • Compounded annual return / average of 25% largest draw downs
    0.45508
  • Compounded annual return / Expected Shortfall lognormal
    3.05504

Strategy Description

The investment objective of the program is to achieve capital growth through compounding. Capital preservation and risk management are key components of the strategy. The program will strive to maintain low drawdown and volatility at all times and will tailor the strategy for both long and short sides. The strategy will try to generate alpha in all market environments.

The strategy uses "Quantamental" approach that combines fundamental and quantitative investing recently favored by hedge funds. The portfolio manager believes that best companies / sectors / industries can be screened for their fundamental strength (weakness). For the Long (Short) side, the program will swing trade those fundamentally strong (weak) companies / sectors with a catalyst through sophisticated algorithms and methodologies. Thematic investing may also be used through ETFs and strong (weak) ETFs are determined for swing trading. The strategy is a hybrid rule-based system: the program quantitatively determines entry level, target and stop-loss for each trade by analyzing price and volume patterns of each security at multi-time frame levels and ranks the prospective trades based on their risk/reward. Position sizing is calculated at portfolio level commensurate with the risk of each trade. Once a trade is executed, stop-loss and price targets may be adjusted depending on how the trade behaves. Most of the time (95%), orders will be entered before market opens therefore the program can be easily traded manually. In strong trending markets, leveraged may be used conservatively.

Summary Statistics

Strategy began
2017-07-05
Suggested Minimum Capital
$35,000
# Trades
439
# Profitable
187
% Profitable
42.6%
Net Dividends
Correlation S&P500
0.149
Sharpe Ratio
2.151

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.