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Featured Strategy Income Trades +22.4% Cumul. Return since Feb 16, 2024 Hypothetical

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This strategy is no longer supported by its creator.
These are hypothetical performance results that have certain inherent limitations. Learn more
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Million Dollar Chaser
(30318563)

Created by: Equalizer Equalizer
Started: 01/2008
Futures
Last trade: 5,333 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. You can subscribe to this system for free.

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.

-
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.

(100.0%)
Max Drawdown
1722
Num Trades
46.2%
Win Trades
1.0 : 1
Profit Factor
3.9%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2008+14.2%+23.2%+2.4%+2.3%(49.5%)+20.2%(41%)(120.7%)(307.7%)+405.2%+60.2%(5.1%)+74.5%
2009(119%)(497.3%)(56.7%)(30.3%)(9.4%)(0.1%)(0.1%)(0.1%)(0.1%)(2.8%)(27%)(61.8%)(372.4%)
2010(160.7%)(24.4%)+28.3%(287.3%)  -  (0.6%)(0.8%)(11.3%)(4%)  -    -    -  (27.3%)
2011  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2012  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2013  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2014  -    -    -    -    -    -  (0.1%)(0.1%)(0.1%)  -    -  (0.1%)-
2015(0.2%)  -  (0.1%)(0.1%)  -    -    -    -    -    -  (0.1%)(0.1%)-
2016  -    -  (0.1%)(0.1%)  -    -    -    -    -  (0.1%)  -    -  -
2017  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2018  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2019  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2020  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2021  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2022  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2023  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2024  -    -    -    -    -    -    -    -    -    -    -        

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 one hour.

Trading Record

This strategy has placed 607 trades in real-life brokerage accounts. The most recent trade in a real-money brokerage account occurred more than 5789 days ago.

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Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQuantAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
4/20/10 3:30 @KCN0 COFFEE SHORT 10 131.30 4/28 9:11 134.00 17.42%
Trade id #48566146
Max drawdown($10,125)
Time4/26/10 11:37
Quant open-10
Worst price133.40
Drawdown as % of equity-17.42%
 ($10,205)
Includes Typical Broker Commissions trade costs of $80.00
4/12/10 10:39 @KCK0 COFFEE SHORT 10 133.50 4/20 3:30 129.35 4.55%
Trade id #48338740
Max drawdown($2,062)
Time4/13/10 6:54
Quant open-10
Worst price134.05
Drawdown as % of equity-4.55%
 $15,482
Includes Typical Broker Commissions trade costs of $80.00
4/12/10 10:37 QCLK0 CRUDE OIL SHORT 20 84.96 4/12 10:46 85.14 6.7%
Trade id #48338609
Max drawdown($3,600)
Time4/12/10 10:44
Quant open-20
Worst price85.13
Drawdown as % of equity-6.70%
 ($3,760)
Includes Typical Broker Commissions trade costs of $160.00
4/12/10 10:20 @EUM0 EUROFX LONG 10 1.35970 4/12 10:37 1.35940 0.93%
Trade id #48337444
Max drawdown($500)
Time4/12/10 10:25
Quant open10
Worst price1.35930
Drawdown as % of equity-0.93%
 ($455)
Includes Typical Broker Commissions trade costs of $80.00
4/12/10 10:29 QCLK0 CRUDE OIL LONG 20 85.17 4/12 10:36 84.97 7.45%
Trade id #48338097
Max drawdown($4,000)
Time4/12/10 10:34
Quant open20
Worst price84.98
Drawdown as % of equity-7.45%
 ($4,160)
Includes Typical Broker Commissions trade costs of $160.00
4/8/10 13:51 @SK0 SOYBEANS SHORT 30 946 2/4 4/9 0:59 948 3/4 6.11%
Trade id #48265100
Max drawdown($3,375)
Time4/8/10 21:30
Quant open-30
Worst price948 1/4
Drawdown as % of equity-6.11%
 ($3,615)
Includes Typical Broker Commissions trade costs of $240.00
4/8/10 13:31 QCLK0 CRUDE OIL LONG 20 85.78 4/8 13:43 85.59 4.83%
Trade id #48264492
Max drawdown($3,800)
Time4/8/10 13:42
Quant open20
Worst price85.65
Drawdown as % of equity-4.83%
 ($3,960)
Includes Typical Broker Commissions trade costs of $160.00
4/8/10 13:04 QCLK0 CRUDE OIL LONG 20 85.59 4/8 13:26 85.59 0%
Trade id #48263357
Max drawdown$0
Time4/8/10 13:06
Quant open20
Worst price85.59
Drawdown as % of equity0.00%
 ($160)
Includes Typical Broker Commissions trade costs of $160.00
4/8/10 12:29 QCLK0 CRUDE OIL SHORT 20 85.46 4/8 12:47 85.57 2.8%
Trade id #48261951
Max drawdown($2,200)
Time4/8/10 12:34
Quant open-20
Worst price85.55
Drawdown as % of equity-2.80%
 ($2,360)
Includes Typical Broker Commissions trade costs of $160.00
4/8/10 11:20 QCLK0 CRUDE OIL SHORT 20 84.93 4/8 11:40 85.00 1.78%
Trade id #48259105
Max drawdown($1,400)
Time4/8/10 11:24
Quant open-20
Worst price84.98
Drawdown as % of equity-1.78%
 ($1,560)
Includes Typical Broker Commissions trade costs of $160.00
4/8/10 11:28 @SK0 SOYBEANS LONG 30 951 4/8 11:38 947 1/4 7.16%
Trade id #48259362
Max drawdown($5,625)
Time4/8/10 11:37
Quant open30
Worst price947 2/4
Drawdown as % of equity-7.16%
 ($5,865)
Includes Typical Broker Commissions trade costs of $240.00
4/8/10 10:50 @SK0 SOYBEANS SHORT 30 948 4/8 11:28 951 5.72%
Trade id #48257963
Max drawdown($4,500)
Time4/8/10 11:28
Quant open-30
Worst price951
Drawdown as % of equity-5.72%
 ($4,740)
Includes Typical Broker Commissions trade costs of $240.00
4/8/10 10:39 @SK0 SOYBEANS LONG 30 951 4/8 10:44 948 2/4 4.77%
Trade id #48257513
Max drawdown($3,750)
Time4/8/10 10:41
Quant open30
Worst price950 1/4
Drawdown as % of equity-4.77%
 ($3,990)
Includes Typical Broker Commissions trade costs of $240.00
4/8/10 8:57 @SK0 SOYBEANS SHORT 5 949 3/4 4/8 10:38 950 3/4 0.32%
Trade id #48251947
Max drawdown($250)
Time4/8/10 10:34
Quant open-5
Worst price950 3/4
Drawdown as % of equity-0.32%
 ($290)
Includes Typical Broker Commissions trade costs of $40.00
4/6/10 8:28 @ADM0 AUSTRALIAN DOLLAR LONG 20 0.9152 4/8 3:30 0.9170 2.05%
Trade id #48184498
Max drawdown($2,200)
Time4/6/10 9:07
Quant open20
Worst price0.9141
Drawdown as % of equity-2.05%
 $3,440
Includes Typical Broker Commissions trade costs of $160.00
4/7/10 8:44 QHGK0 Copper SHORT 15 360.00 4/7 9:05 361.00 4.13%
Trade id #48216381
Max drawdown($3,750)
Time4/7/10 9:04
Quant open-15
Worst price360.85
Drawdown as % of equity-4.13%
 ($3,870)
Includes Typical Broker Commissions trade costs of $120.00
4/7/10 8:24 QHGJ0 Copper SHORT 15 359.12 4/7 8:42 359.25 n/a ($620)
Includes Typical Broker Commissions trade costs of $120.00
4/6/10 12:34 @SK0 SOYBEANS SHORT 30 938 2/4 4/6 13:09 940 2.1%
Trade id #48192620
Max drawdown($2,250)
Time4/6/10 13:04
Quant open-30
Worst price939 2/4
Drawdown as % of equity-2.10%
 ($2,490)
Includes Typical Broker Commissions trade costs of $240.00
4/6/10 12:52 QCLK0 CRUDE OIL SHORT 20 86.41 4/6 12:59 86.55 2.61%
Trade id #48193115
Max drawdown($2,800)
Time4/6/10 12:57
Quant open-20
Worst price86.51
Drawdown as % of equity-2.61%
 ($2,960)
Includes Typical Broker Commissions trade costs of $160.00
4/6/10 11:30 @SK0 SOYBEANS LONG 30 940 3/4 4/6 12:34 938 2/4 3.26%
Trade id #48190631
Max drawdown($3,500)
Time4/6/10 11:42
Quant open30
Worst price939
Drawdown as % of equity-3.26%
 ($3,740)
Includes Typical Broker Commissions trade costs of $240.00
4/6/10 12:18 QCLK0 CRUDE OIL LONG 20 86.78 4/6 12:27 86.63 2.8%
Trade id #48192057
Max drawdown($3,000)
Time4/6/10 12:26
Quant open20
Worst price86.69
Drawdown as % of equity-2.80%
 ($3,160)
Includes Typical Broker Commissions trade costs of $160.00
4/6/10 11:17 @SK0 SOYBEANS SHORT 60 939 3/4 4/6 11:28 941 3.49%
Trade id #48190222
Max drawdown($3,750)
Time4/6/10 11:28
Quant open-60
Worst price941
Drawdown as % of equity-3.49%
 ($4,230)
Includes Typical Broker Commissions trade costs of $480.00
4/6/10 10:58 @SK0 SOYBEANS LONG 30 939 1/4 4/6 11:16 939 3/4 0%
Trade id #48189704
Max drawdown$0
Time4/6/10 11:01
Quant open30
Worst price939 1/4
Drawdown as % of equity0.00%
 $510
Includes Typical Broker Commissions trade costs of $240.00
4/6/10 10:53 @SK0 SOYBEANS SHORT 30 938 4/6 10:58 939 1/4 1.75%
Trade id #48189610
Max drawdown($1,875)
Time4/6/10 10:58
Quant open-30
Worst price939 1/4
Drawdown as % of equity-1.75%
 ($2,115)
Includes Typical Broker Commissions trade costs of $240.00
4/6/10 10:35 @SK0 SOYBEANS LONG 30 937 1/4 4/6 10:51 937 0.82%
Trade id #48189079
Max drawdown($875)
Time4/6/10 10:37
Quant open10
Worst price935 1/4
Drawdown as % of equity-0.82%
 ($740)
Includes Typical Broker Commissions trade costs of $240.00
4/6/10 10:31 @SK0 SOYBEANS SHORT 10 934 1/4 4/6 10:34 937 1.63%
Trade id #48188882
Max drawdown($1,750)
Time4/6/10 10:34
Quant open-10
Worst price937 3/4
Drawdown as % of equity-1.63%
 ($1,455)
Includes Typical Broker Commissions trade costs of $80.00
4/5/10 10:04 @EUM0 EUROFX LONG 10 1.35250 4/6 8:31 1.33700 18.05%
Trade id #48157024
Max drawdown($19,375)
Time4/6/10 8:25
Quant open10
Worst price1.33820
Drawdown as % of equity-18.05%
 ($19,455)
Includes Typical Broker Commissions trade costs of $80.00
4/5/10 2:07 @EUM0 EUROFX SHORT 10 1.34910 4/5 9:26 1.35100 1.95%
Trade id #48146744
Max drawdown($2,375)
Time4/5/10 9:25
Quant open-10
Worst price1.35070
Drawdown as % of equity-1.95%
 ($2,455)
Includes Typical Broker Commissions trade costs of $80.00
4/5/10 0:27 @EUM0 EUROFX LONG 10 1.35190 4/5 2:06 1.34900 2.98%
Trade id #48145021
Max drawdown($3,625)
Time4/5/10 2:06
Quant open10
Worst price1.34920
Drawdown as % of equity-2.98%
 ($3,705)
Includes Typical Broker Commissions trade costs of $80.00
3/26/10 1:44 @JYM0 JAPANESE YEN LONG 4 0.010804 3/26 6:31 0.010831 0.37%
Trade id #47925418
Max drawdown($450)
Time3/26/10 3:49
Quant open4
Worst price0.010795
Drawdown as % of equity-0.37%
 $1,318
Includes Typical Broker Commissions trade costs of $32.00
Next

Statistics

  • Strategy began
    1/26/2008
  • Suggested Minimum Cap
    $10,000
  • Strategy Age (days)
    6151.35
  • Age
    205 months ago
  • What it trades
    Futures
  • # Trades
    1722
  • # Profitable
    795
  • % Profitable
    46.20%
  • Avg trade duration
    1.6 hours
  • Max peak-to-valley drawdown
    100%
  • drawdown period
    Sept 23, 2008 - Jan 08, 2010
  • Annual Return (Compounded)
    0.0%
  • Avg win
    $934.17
  • Avg loss
    $765.04
  • Model Account Values (Raw)
  • Cash
    $43,472
  • Margin Used
    $0
  • Buying Power
    $43,472
  • Ratios
  • W:L ratio
    1.05:1
  • Sharpe Ratio
    0.67
  • Sortino Ratio
    1.09
  • Calmar Ratio
    0.212
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -748.51%
  • Correlation to SP500
    -0.04720
  • Return Percent SP500 (cumu) during strategy life
    354.46%
  • Return Statistics
  • Ann Return (w trading costs)
    n/a
  • Slump
  • Current Slump as Pcnt Equity
    n/a
  • Instruments
  • Percent Trades Futures
    0.99%
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.88%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    n/a
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    n/a
  • Percent Trades Forex
    0.01%
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    9.1%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    100.00%
  • Chance of 20% account loss
    100.00%
  • Chance of 30% account loss
    100.00%
  • Chance of 40% account loss
    100.00%
  • Chance of 60% account loss (Monte Carlo)
    100.00%
  • Chance of 70% account loss (Monte Carlo)
    100.00%
  • Chance of 80% account loss (Monte Carlo)
    100.00%
  • Chance of 90% account loss (Monte Carlo)
    100.00%
  • Chance of 100% account loss (Monte Carlo)
    100.00%
  • Automation
  • Percentage Signals Automated
    9.43%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    100.00%
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    0
  • 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
    $765
  • Avg Win
    $934
  • Sum Trade PL (losers)
    $709,193.000
  • Age
  • Num Months filled monthly returns table
    8
  • Win / Loss
  • Sum Trade PL (winners)
    $742,668.000
  • # Winners
    795
  • Num Months Winners
    5
  • Dividends
  • Dividends Received in Model Acct
    0
  • Win / Loss
  • # Losers
    927
  • % Winners
    46.2%
  • Frequency
  • Avg Position Time (mins)
    97.87
  • Avg Position Time (hrs)
    1.63
  • Avg Trade Length
    0.1 days
  • Last Trade Ago
    5338
  • Regression
  • Alpha
    0.00
  • Beta
    -0.58
  • Treynor Index
    0.00
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.07
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    18.27
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    8.09
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -0.24
  • MAE:Equity, average, winning trades
    0.04
  • MAE:Equity, average, losing trades
    0.10
  • Avg(MAE) / Avg(PL) - All trades
    -27.434
  • 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
    0.01
  • Avg(MAE) / Avg(PL) - Winning trades
    0.365
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.055
  • Hold-and-Hope Ratio
    -0.036
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.61154
  • SD
    1.03274
  • Sharpe ratio (Glass type estimate)
    0.59215
  • Sharpe ratio (Hedges UMVUE)
    0.58518
  • df
    64.00000
  • t
    1.37816
  • p
    0.08648
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.25844
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.43823
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.26303
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.43340
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.77725
  • Upside Potential Ratio
    2.78394
  • Upside part of mean
    0.95793
  • Downside part of mean
    -0.34639
  • Upside SD
    0.98128
  • Downside SD
    0.34409
  • N nonnegative terms
    19.00000
  • N negative terms
    46.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    65.00000
  • Mean of predictor
    0.10498
  • Mean of criterion
    0.61154
  • SD of predictor
    0.24229
  • SD of criterion
    1.03274
  • Covariance
    -0.02330
  • r
    -0.09312
  • b (slope, estimate of beta)
    -0.39691
  • a (intercept, estimate of alpha)
    0.65321
  • Mean Square Error
    1.07409
  • DF error
    63.00000
  • t(b)
    -0.74231
  • p(b)
    0.76967
  • t(a)
    1.45537
  • p(a)
    0.07527
  • Lowerbound of 95% confidence interval for beta
    -1.46540
  • Upperbound of 95% confidence interval for beta
    0.67158
  • Lowerbound of 95% confidence interval for alpha
    -0.24370
  • Upperbound of 95% confidence interval for alpha
    1.55011
  • Treynor index (mean / b)
    -1.54077
  • Jensen alpha (a)
    0.65321
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.26104
  • SD
    0.78604
  • Sharpe ratio (Glass type estimate)
    0.33209
  • Sharpe ratio (Hedges UMVUE)
    0.32819
  • df
    64.00000
  • t
    0.77291
  • p
    0.22121
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.51328
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.17491
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.51587
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.17224
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.55120
  • Upside Potential Ratio
    1.47213
  • Upside part of mean
    0.69717
  • Downside part of mean
    -0.43613
  • Upside SD
    0.62430
  • Downside SD
    0.47358
  • N nonnegative terms
    19.00000
  • N negative terms
    46.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    65.00000
  • Mean of predictor
    0.07555
  • Mean of criterion
    0.26104
  • SD of predictor
    0.24378
  • SD of criterion
    0.78604
  • Covariance
    -0.00087
  • r
    -0.00453
  • b (slope, estimate of beta)
    -0.01461
  • a (intercept, estimate of alpha)
    0.26214
  • Mean Square Error
    0.62765
  • DF error
    63.00000
  • t(b)
    -0.03598
  • p(b)
    0.51429
  • t(a)
    0.76699
  • p(a)
    0.22298
  • Lowerbound of 95% confidence interval for beta
    -0.82639
  • Upperbound of 95% confidence interval for beta
    0.79715
  • Lowerbound of 95% confidence interval for alpha
    -0.42086
  • Upperbound of 95% confidence interval for alpha
    0.94514
  • Treynor index (mean / b)
    -17.86090
  • Jensen alpha (a)
    0.26214
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.29635
  • Expected Shortfall on VaR
    0.35782
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.08090
  • Expected Shortfall on VaR
    0.17701
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    65.00000
  • Minimum
    0.41632
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00238
  • Maximum
    2.91786
  • Mean of quarter 1
    0.89172
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00043
  • Mean of quarter 4
    1.32502
  • Inter Quartile Range
    0.00238
  • Number outliers low
    12.00000
  • Percentage of outliers low
    0.18462
  • Mean of outliers low
    0.84681
  • Number of outliers high
    14.00000
  • Percentage of outliers high
    0.21538
  • Mean of outliers high
    1.37105
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    1.10870
  • VaR(95%) (moments method)
    0.01298
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    1.17928
  • VaR(95%) (regression method)
    0.08209
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    4.00000
  • Minimum
    0.05633
  • Quartile 1
    0.21193
  • Median
    0.41254
  • Quartile 3
    0.58339
  • Maximum
    0.64972
  • Mean of quarter 1
    0.05633
  • Mean of quarter 2
    0.26380
  • Mean of quarter 3
    0.56128
  • Mean of quarter 4
    0.64972
  • Inter Quartile Range
    0.37146
  • 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)
    0.61660
  • Compounded annual return (geometric extrapolation)
    0.31126
  • Calmar ratio (compounded annual return / max draw down)
    0.47906
  • Compounded annual return / average of 25% largest draw downs
    0.47906
  • Compounded annual return / Expected Shortfall lognormal
    0.86989
  • 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
    0.48355
  • SD
    0.72816
  • Sharpe ratio (Glass type estimate)
    0.66407
  • Sharpe ratio (Hedges UMVUE)
    0.66380
  • df
    1864.00000
  • t
    1.54623
  • p
    0.48211
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.17804
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.50602
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.17823
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.50583
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.23803
  • Upside Potential Ratio
    5.35652
  • Upside part of mean
    2.09217
  • Downside part of mean
    -1.60861
  • Upside SD
    0.61487
  • Downside SD
    0.39058
  • N nonnegative terms
    431.00000
  • N negative terms
    1434.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1865.00000
  • Mean of predictor
    0.10794
  • Mean of criterion
    0.48355
  • SD of predictor
    0.26729
  • SD of criterion
    0.72816
  • Covariance
    -0.00202
  • r
    -0.01040
  • b (slope, estimate of beta)
    -0.02832
  • a (intercept, estimate of alpha)
    1.61900
  • Mean Square Error
    0.53045
  • DF error
    1863.00000
  • t(b)
    -0.44872
  • p(b)
    0.50662
  • t(a)
    1.55530
  • p(a)
    0.47708
  • Lowerbound of 95% confidence interval for beta
    -0.15210
  • Upperbound of 95% confidence interval for beta
    0.09546
  • Lowerbound of 95% confidence interval for alpha
    -0.12701
  • Upperbound of 95% confidence interval for alpha
    1.10022
  • Treynor index (mean / b)
    -17.07460
  • Jensen alpha (a)
    0.48661
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.26090
  • SD
    0.64770
  • Sharpe ratio (Glass type estimate)
    0.40281
  • Sharpe ratio (Hedges UMVUE)
    0.40265
  • df
    1864.00000
  • t
    0.93791
  • p
    0.48914
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.43909
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.24463
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.43921
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.24450
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.60972
  • Upside Potential Ratio
    4.57003
  • Upside part of mean
    1.95551
  • Downside part of mean
    -1.69461
  • Upside SD
    0.48619
  • Downside SD
    0.42790
  • N nonnegative terms
    431.00000
  • N negative terms
    1434.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1865.00000
  • Mean of predictor
    0.07222
  • Mean of criterion
    0.26090
  • SD of predictor
    0.26738
  • SD of criterion
    0.64770
  • Covariance
    -0.00235
  • r
    -0.01360
  • b (slope, estimate of beta)
    -0.03293
  • a (intercept, estimate of alpha)
    0.26328
  • Mean Square Error
    0.41966
  • DF error
    1863.00000
  • t(b)
    -0.58689
  • p(b)
    0.50865
  • t(a)
    0.94619
  • p(a)
    0.48605
  • Lowerbound of 95% confidence interval for beta
    -0.14299
  • Upperbound of 95% confidence interval for beta
    0.07712
  • Lowerbound of 95% confidence interval for alpha
    -0.28244
  • Upperbound of 95% confidence interval for alpha
    0.80899
  • Treynor index (mean / b)
    -7.92182
  • Jensen alpha (a)
    0.26328
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.05511
  • Expected Shortfall on VaR
    0.06872
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01376
  • Expected Shortfall on VaR
    0.03085
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    1865.00000
  • Minimum
    0.68540
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    2.09738
  • Mean of quarter 1
    0.98141
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.02437
  • Inter Quartile Range
    0.00000
  • Number outliers low
    353.00000
  • Percentage of outliers low
    0.18928
  • Mean of outliers low
    0.97541
  • Number of outliers high
    459.00000
  • Percentage of outliers high
    0.24611
  • Mean of outliers high
    1.02474
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.46254
  • VaR(95%) (moments method)
    0.00378
  • Expected Shortfall (moments method)
    0.00585
  • 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
    18.00000
  • Minimum
    0.00680
  • Quartile 1
    0.06245
  • Median
    0.09871
  • Quartile 3
    0.21316
  • Maximum
    0.77848
  • Mean of quarter 1
    0.04055
  • Mean of quarter 2
    0.08530
  • Mean of quarter 3
    0.12721
  • Mean of quarter 4
    0.46358
  • Inter Quartile Range
    0.15071
  • 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
    0.11111
  • Mean of outliers high
    0.72699
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -0.14804
  • VaR(95%) (moments method)
    0.48272
  • Expected Shortfall (moments method)
    0.61840
  • Extreme Value Index (regression method)
    -0.25960
  • VaR(95%) (regression method)
    0.60153
  • Expected Shortfall (regression method)
    0.74638
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.61649
  • Compounded annual return (geometric extrapolation)
    0.31107
  • Calmar ratio (compounded annual return / max draw down)
    0.39959
  • Compounded annual return / average of 25% largest draw downs
    0.67104
  • Compounded annual return / Expected Shortfall lognormal
    4.52699
  • 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
    0.00153
  • SD
    0.08874
  • Sharpe ratio (Glass type estimate)
    0.01723
  • Sharpe ratio (Hedges UMVUE)
    0.01715
  • df
    171.00000
  • t
    0.01218
  • p
    0.49941
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.75458
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.78904
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.75465
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.78896
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.02493
  • Upside Potential Ratio
    2.20205
  • Upside part of mean
    0.13504
  • Downside part of mean
    -0.13351
  • Upside SD
    0.06378
  • Downside SD
    0.06133
  • N nonnegative terms
    83.00000
  • N negative terms
    89.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    172.00000
  • Mean of predictor
    0.09703
  • Mean of criterion
    0.00153
  • SD of predictor
    0.25546
  • SD of criterion
    0.08874
  • Covariance
    0.00331
  • r
    0.14598
  • b (slope, estimate of beta)
    0.05071
  • a (intercept, estimate of alpha)
    -0.00339
  • Mean Square Error
    0.00775
  • DF error
    170.00000
  • t(b)
    1.92401
  • p(b)
    0.42701
  • t(a)
    -0.02723
  • p(a)
    0.50104
  • Lowerbound of 95% confidence interval for beta
    -0.00132
  • Upperbound of 95% confidence interval for beta
    0.10274
  • Lowerbound of 95% confidence interval for alpha
    -0.24924
  • Upperbound of 95% confidence interval for alpha
    0.24245
  • Treynor index (mean / b)
    0.03015
  • Jensen alpha (a)
    -0.00339
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.00238
  • SD
    0.08870
  • Sharpe ratio (Glass type estimate)
    -0.02686
  • Sharpe ratio (Hedges UMVUE)
    -0.02674
  • df
    171.00000
  • t
    -0.01899
  • p
    0.50092
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.79867
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.74495
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.79855
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.74507
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.03801
  • Upside Potential Ratio
    2.12283
  • Upside part of mean
    0.13306
  • Downside part of mean
    -0.13545
  • Upside SD
    0.06239
  • Downside SD
    0.06268
  • N nonnegative terms
    83.00000
  • N negative terms
    89.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    172.00000
  • Mean of predictor
    0.06457
  • Mean of criterion
    -0.00238
  • SD of predictor
    0.25554
  • SD of criterion
    0.08870
  • Covariance
    0.00330
  • r
    0.14573
  • b (slope, estimate of beta)
    0.05058
  • a (intercept, estimate of alpha)
    -0.00565
  • Mean Square Error
    0.00775
  • DF error
    170.00000
  • t(b)
    1.92058
  • p(b)
    0.42713
  • t(a)
    -0.04538
  • p(a)
    0.50174
  • VAR (95 Confidence Intrvl)
    0.14500
  • Lowerbound of 95% confidence interval for beta
    -0.00141
  • Upperbound of 95% confidence interval for beta
    0.10257
  • Lowerbound of 95% confidence interval for alpha
    -0.25137
  • Upperbound of 95% confidence interval for alpha
    0.24007
  • Treynor index (mean / b)
    -0.04710
  • Jensen alpha (a)
    -0.00565
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00784
  • Expected Shortfall on VaR
    0.00982
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00086
  • Expected Shortfall on VaR
    0.00209
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    172.00000
  • Minimum
    0.95678
  • Quartile 1
    0.99982
  • Median
    1.00002
  • Quartile 3
    1.00023
  • Maximum
    1.04500
  • Mean of quarter 1
    0.99858
  • Mean of quarter 2
    0.99992
  • Mean of quarter 3
    1.00011
  • Mean of quarter 4
    1.00152
  • Inter Quartile Range
    0.00041
  • Number outliers low
    2.00000
  • Percentage of outliers low
    0.01163
  • Mean of outliers low
    0.97798
  • Number of outliers high
    5.00000
  • Percentage of outliers high
    0.02907
  • Mean of outliers high
    1.00983
  • 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
    6.00000
  • Minimum
    0.00005
  • Quartile 1
    0.00007
  • Median
    0.00013
  • Quartile 3
    0.00072
  • Maximum
    0.04522
  • Mean of quarter 1
    0.00006
  • Mean of quarter 2
    0.00007
  • Mean of quarter 3
    0.00018
  • Mean of quarter 4
    0.02306
  • Inter Quartile Range
    0.00065
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.16667
  • Mean of outliers high
    0.04522
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Last 4 Months - Pcnt Negative
    0.75%
  • Expected Shortfall (regression method)
    0.00000
  • Max Equity Drawdown (num days)
    472
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.00758
  • Compounded annual return (geometric extrapolation)
    0.00760
  • Calmar ratio (compounded annual return / max draw down)
    0.16801
  • Compounded annual return / average of 25% largest draw downs
    0.32947
  • Compounded annual return / Expected Shortfall lognormal
    0.77347

Strategy Description

Summary Statistics

Strategy began
2008-01-26
Suggested Minimum Capital
$10,000
# Trades
1722
# Profitable
795
% Profitable
46.2%
Correlation S&P500
-0.047
Sharpe Ratio
0.67
Sortino Ratio
1.09
Beta
-0.58
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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