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This is an archived track record. This track record was archived on 11/3/20 11:38 ET. (See latest track record)
These are hypothetical performance results that have certain inherent limitations. Learn more
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Checkmate Strategy
(129263338)

Created by: JBiggs JBiggs
Started: 05/2020
Stocks
Last trade: 1,260 days ago
Trading style: Equity Trend-following

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 $50.00 per month.

C2Star

C2Star is a certification program for trading strategies. In order to become "C2Star Certified," a strategy must apply tight risk controls, and must exhibit excellent performance characteristics, including low drawdowns.

You can read more about C2Star certification requirements here.

Note that: all trading strategies are risky, and C2Star Certification does not imply that a strategy is low risk.

Trading Category: Equity
Trend-following
Category: Equity

Trend-following

Tries to take advantage of long, medium or short-term moves that seem to play out in various markets. Typically, trend-following analysis is backward looking; that is, it attempts to recognize and profit from already-established trends.
139.9%
Cumul. Return

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 Cumulative Rate of Return is calculated

= (Ending_equity - Starting_equity) / Starting_equity

Remember that, following NFA requirements, strategy subscription costs and estimated commissions are included in marked-to-market equity calculations.

All results are hypothetical.

(17.4%)
Max Drawdown
380
Num Trades
81.1%
Win Trades
2.1 : 1
Profit Factor
10.4%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2020                            +0.1%+23.9%(0.5%)+21.2%+3.8%(12.3%)+8.3%  -  +47.2%
2021  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2022  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2023  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2024  -    -    -    -                                                  0.0

Model Account Details

A trading strategy on Collective2. Follow it in your broker account, or use a free simulated trading account.

Advanced users may want to use this information to adjust their AutoTrade scaling, or merely to understand the magnitudes of the nearby chart.

System developer has asked us to delay this information by 24 hours.

Trading Record

Download CSV
Long
Short
Both
Win
Loss
Both
Show More details Show Fewer details
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
11/3/20 11:15 FUTU FUTU HOLDINGS LTD ADS LONG 66 30.06 11/3 11:22 30.02 n/a ($4)
Includes Typical Broker Commissions trade costs of $1.32
11/3/20 11:15 PTON PELOTON INTERACTIVE INC. CLASS A LONG 18 111.26 11/3 11:22 111.01 n/a ($5)
Includes Typical Broker Commissions trade costs of $0.36
11/3/20 11:15 WW WW INTERNATIONAL INC LONG 90 23.32 11/3 11:22 23.29 n/a ($5)
Includes Typical Broker Commissions trade costs of $1.80
11/3/20 11:15 SMAR SMARTSHEET INC LONG 40 50.27 11/3 11:21 50.40 n/a $4
Includes Typical Broker Commissions trade costs of $0.80
11/3/20 11:14 EXPD EXPEDITORS INTERNATIONAL LONG 44 87.14 11/3 11:21 86.85 n/a ($14)
Includes Typical Broker Commissions trade costs of $0.88
11/3/20 11:14 ETR ENTERGY LONG 19 107.04 11/3 11:21 107.45 n/a $8
Includes Typical Broker Commissions trade costs of $0.38
11/3/20 11:12 LMNX LUMINEX SHORT 90 22.82 11/3 11:21 22.86 n/a ($6)
Includes Typical Broker Commissions trade costs of $1.80
11/2/20 9:33 AERI AERIE PHARMACEUTICALS INC. CO SHORT 193 10.73 11/3 11:21 10.80 0.17%
Trade id #132015721
Max drawdown($57)
Time11/2/20 15:26
Quant open193
Worst price11.03
Drawdown as % of equity-0.17%
 ($18)
Includes Typical Broker Commissions trade costs of $3.86
10/23/20 9:44 SGMS SCIENTIFIC GAMES LONG 88 32.39 11/3 11:21 34.97 0.59%
Trade id #131864324
Max drawdown($200)
Time10/30/20 0:00
Quant open88
Worst price30.11
Drawdown as % of equity-0.59%
 $225
Includes Typical Broker Commissions trade costs of $1.76
10/23/20 9:35 LAC LITHIUM AMERICAS INC LONG 136 11.00 11/3 11:21 10.38 0.71%
Trade id #131863781
Max drawdown($242)
Time10/30/20 0:00
Quant open136
Worst price9.22
Drawdown as % of equity-0.71%
 ($87)
Includes Typical Broker Commissions trade costs of $2.72
10/19/20 12:29 KNDI KANDI TECHNOLGIES GROUP INC C LONG 200 7.51 11/3 11:21 6.90 0.79%
Trade id #131772373
Max drawdown($272)
Time10/30/20 0:00
Quant open200
Worst price6.15
Drawdown as % of equity-0.79%
 ($126)
Includes Typical Broker Commissions trade costs of $4.00
10/19/20 13:19 VXRT VAXART INC LONG 253 5.90 11/3 11:21 5.15 0.78%
Trade id #131773341
Max drawdown($265)
Time10/30/20 0:00
Quant open253
Worst price4.85
Drawdown as % of equity-0.78%
 ($195)
Includes Typical Broker Commissions trade costs of $5.06
10/19/20 11:09 VERI VERITONE INC. COMMON STOCK LONG 152 9.87 11/3 11:21 9.59 0.56%
Trade id #131769658
Max drawdown($206)
Time10/21/20 0:00
Quant open152
Worst price8.51
Drawdown as % of equity-0.56%
 ($46)
Includes Typical Broker Commissions trade costs of $3.04
10/16/20 13:03 CCC CLARIVATE PLC LONG 98 29.62 11/3 11:21 29.18 0.66%
Trade id #131742972
Max drawdown($225)
Time11/2/20 0:00
Quant open98
Worst price27.32
Drawdown as % of equity-0.66%
 ($45)
Includes Typical Broker Commissions trade costs of $1.96
10/16/20 11:04 MRVL MARVELL TECHNOLOGY LONG 105 39.86 11/3 11:21 37.40 1.38%
Trade id #131738967
Max drawdown($467)
Time10/29/20 0:00
Quant open70
Worst price35.30
Drawdown as % of equity-1.38%
 ($260)
Includes Typical Broker Commissions trade costs of $2.10
10/16/20 10:04 AYX ALTERYX INC LONG 11 142.00 11/3 11:21 125.79 0.67%
Trade id #131736291
Max drawdown($228)
Time11/2/20 0:00
Quant open11
Worst price121.27
Drawdown as % of equity-0.67%
 ($178)
Includes Typical Broker Commissions trade costs of $0.22
10/16/20 9:54 ANF ABERCROMBIE & FITCH LONG 276 15.17 11/3 11:21 14.91 0.91%
Trade id #131735799
Max drawdown($311)
Time10/30/20 0:00
Quant open276
Worst price14.04
Drawdown as % of equity-0.91%
 ($78)
Includes Typical Broker Commissions trade costs of $5.52
10/16/20 9:30 GOLD BARRICK GOLD CORP LONG 108 27.01 11/3 11:21 27.57 0.46%
Trade id #131734408
Max drawdown($156)
Time10/29/20 0:00
Quant open108
Worst price25.56
Drawdown as % of equity-0.46%
 $58
Includes Typical Broker Commissions trade costs of $2.16
10/15/20 14:47 JELD JELD-WEN HOLDING INC LONG 236 22.76 11/3 11:21 21.93 1.7%
Trade id #131722358
Max drawdown($580)
Time10/30/20 0:00
Quant open236
Worst price20.30
Drawdown as % of equity-1.70%
 ($201)
Includes Typical Broker Commissions trade costs of $4.72
10/15/20 14:46 UDR UDR LONG 220 31.16 11/3 11:20 34.38 1.15%
Trade id #131722304
Max drawdown($388)
Time10/29/20 0:00
Quant open176
Worst price29.34
Drawdown as % of equity-1.15%
 $705
Includes Typical Broker Commissions trade costs of $4.40
10/15/20 14:45 Z ZILLOW GROUP INC. CLASS C LONG 30 96.83 11/3 11:20 91.18 1.02%
Trade id #131722201
Max drawdown($347)
Time10/30/20 0:00
Quant open30
Worst price85.24
Drawdown as % of equity-1.02%
 ($171)
Includes Typical Broker Commissions trade costs of $0.60
10/15/20 14:45 ZG ZILLOW GROUP INC. CLASS A COMMON STOCK LONG 30 97.56 11/3 11:20 91.86 1%
Trade id #131722185
Max drawdown($343)
Time10/30/20 0:00
Quant open30
Worst price86.11
Drawdown as % of equity-1.00%
 ($172)
Includes Typical Broker Commissions trade costs of $0.60
10/15/20 14:45 BURL BURLINGTON STORES INC LONG 14 205.81 11/3 11:20 199.05 0.65%
Trade id #131722172
Max drawdown($221)
Time10/30/20 0:00
Quant open14
Worst price190.00
Drawdown as % of equity-0.65%
 ($95)
Includes Typical Broker Commissions trade costs of $0.28
10/15/20 14:44 KRG KITE REALTY GROUP TRUST LONG 390 10.80 11/3 11:20 10.67 0.81%
Trade id #131722120
Max drawdown($278)
Time10/30/20 0:00
Quant open390
Worst price10.09
Drawdown as % of equity-0.81%
 ($60)
Includes Typical Broker Commissions trade costs of $7.80
10/14/20 14:09 VNO VORNADO REALTY TRUST LONG 132 31.85 11/3 11:20 33.64 0.8%
Trade id #131698735
Max drawdown($272)
Time10/30/20 0:00
Quant open132
Worst price29.79
Drawdown as % of equity-0.80%
 $233
Includes Typical Broker Commissions trade costs of $2.64
10/14/20 10:04 AEO AMERICAN EAGLE LONG 198 14.60 11/3 11:20 14.55 0.71%
Trade id #131690415
Max drawdown($244)
Time10/30/20 0:00
Quant open198
Worst price13.36
Drawdown as % of equity-0.71%
 ($13)
Includes Typical Broker Commissions trade costs of $3.96
10/13/20 15:14 CLDX CELLDEX THERAPEUTICS LONG 88 17.05 11/3 11:20 16.03 0.64%
Trade id #131676726
Max drawdown($219)
Time10/30/20 0:00
Quant open88
Worst price14.56
Drawdown as % of equity-0.64%
 ($92)
Includes Typical Broker Commissions trade costs of $1.76
10/13/20 11:05 ANGI ANGI INC LONG 133 11.25 11/3 11:20 11.14 0.35%
Trade id #131669581
Max drawdown($118)
Time11/2/20 0:00
Quant open133
Worst price10.36
Drawdown as % of equity-0.35%
 ($18)
Includes Typical Broker Commissions trade costs of $2.66
11/3/20 11:14 CDLX CARDLYTICS INC. COMMON STOCK LONG 26 74.59 11/3 11:14 74.58 n/a ($1)
Includes Typical Broker Commissions trade costs of $0.52
11/3/20 11:14 CDLX CARDLYTICS INC. COMMON STOCK LONG 26 74.63 11/3 11:14 74.28 n/a ($10)
Includes Typical Broker Commissions trade costs of $0.52
Next

Statistics

  • Strategy began
    5/29/2020
  • Suggested Minimum Cap
    $25,000
  • Strategy Age (days)
    1417.41
  • Age
    47 months ago
  • What it trades
    Stocks
  • # Trades
    380
  • # Profitable
    308
  • % Profitable
    81.10%
  • Avg trade duration
    5.4 days
  • Max peak-to-valley drawdown
    17.35%
  • drawdown period
    Sept 15, 2020 - Oct 30, 2020
  • Cumul. Return
    47.3%
  • Avg win
    $84.69
  • Avg loss
    $176.15
  • Model Account Values (Raw)
  • Cash
    $38,397
  • Margin Used
    $0
  • Buying Power
    $38,397
  • Ratios
  • W:L ratio
    2.06:1
  • Sharpe Ratio
    0.66
  • Sortino Ratio
    1.15
  • Calmar Ratio
    3.847
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    36.17%
  • Correlation to SP500
    0.11760
  • Return Percent SP500 (cumu) during strategy life
    66.27%
  • Return Statistics
  • Ann Return (w trading costs)
    139.9%
  • Slump
  • Current Slump as Pcnt Equity
    8.90%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.92%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.473%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    11.7%
  • Automation
  • Percentage Signals Automated
    n/a
  • Popularity
  • Popularity (Today)
    576
  • Popularity (Last 6 weeks)
    948
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Popularity
  • Popularity (7 days, Percentile 1000 scale)
    812
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $176
  • Avg Win
    $85
  • Sum Trade PL (losers)
    $12,683.000
  • Age
  • Num Months filled monthly returns table
    48
  • Win / Loss
  • Sum Trade PL (winners)
    $26,084.000
  • # Winners
    308
  • Num Months Winners
    5
  • Dividends
  • Dividends Received in Model Acct
    1
  • Win / Loss
  • # Losers
    72
  • % Winners
    81.0%
  • Frequency
  • Avg Position Time (mins)
    7761.88
  • Avg Position Time (hrs)
    129.37
  • Avg Trade Length
    5.4 days
  • Last Trade Ago
    1259
  • Leverage
  • Daily leverage (average)
    1.06
  • Daily leverage (max)
    2.49
  • Regression
  • Alpha
    0.02
  • Beta
    0.08
  • Treynor Index
    0.31
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.00
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    0.41
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.01
  • Avg(MAE) / Avg(PL) - All trades
    3.760
  • 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
    1.155
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.429
  • Hold-and-Hope Ratio
    0.266
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.96801
  • SD
    0.48726
  • Sharpe ratio (Glass type estimate)
    1.98666
  • Sharpe ratio (Hedges UMVUE)
    1.58513
  • df
    4.00000
  • t
    1.28239
  • p
    0.13449
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.42577
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.20288
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.64380
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.81406
  • Statistics related to Sortino ratio
  • Sortino ratio
    5.73238
  • Upside Potential Ratio
    7.28158
  • Upside part of mean
    1.22962
  • Downside part of mean
    -0.26161
  • Upside SD
    0.48939
  • Downside SD
    0.16887
  • N nonnegative terms
    4.00000
  • N negative terms
    1.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    5.00000
  • Mean of predictor
    0.21368
  • Mean of criterion
    0.96801
  • SD of predictor
    0.16766
  • SD of criterion
    0.48726
  • Covariance
    0.03543
  • r
    0.43374
  • b (slope, estimate of beta)
    1.26050
  • a (intercept, estimate of alpha)
    0.69867
  • Mean Square Error
    0.25700
  • DF error
    3.00000
  • t(b)
    0.83376
  • p(b)
    0.23280
  • t(a)
    0.82272
  • p(a)
    0.23548
  • Lowerbound of 95% confidence interval for beta
    -3.55079
  • Upperbound of 95% confidence interval for beta
    6.07180
  • Lowerbound of 95% confidence interval for alpha
    -2.00393
  • Upperbound of 95% confidence interval for alpha
    3.40126
  • Treynor index (mean / b)
    0.76796
  • Jensen alpha (a)
    0.69867
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.84770
  • SD
    0.45900
  • Sharpe ratio (Glass type estimate)
    1.84685
  • Sharpe ratio (Hedges UMVUE)
    1.47357
  • df
    4.00000
  • t
    1.19213
  • p
    0.14955
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.52465
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.03130
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.72989
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.67703
  • Statistics related to Sortino ratio
  • Sortino ratio
    4.74107
  • Upside Potential Ratio
    6.29027
  • Upside part of mean
    1.12470
  • Downside part of mean
    -0.27700
  • Upside SD
    0.44324
  • Downside SD
    0.17880
  • N nonnegative terms
    4.00000
  • N negative terms
    1.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    5.00000
  • Mean of predictor
    0.20090
  • Mean of criterion
    0.84770
  • SD of predictor
    0.16532
  • SD of criterion
    0.45900
  • Covariance
    0.03223
  • r
    0.42476
  • b (slope, estimate of beta)
    1.17929
  • a (intercept, estimate of alpha)
    0.61079
  • Mean Square Error
    0.23023
  • DF error
    3.00000
  • t(b)
    0.81265
  • p(b)
    0.23796
  • t(a)
    0.76496
  • p(a)
    0.24998
  • Lowerbound of 95% confidence interval for beta
    -3.43895
  • Upperbound of 95% confidence interval for beta
    5.79753
  • Lowerbound of 95% confidence interval for alpha
    -1.93027
  • Upperbound of 95% confidence interval for alpha
    3.15184
  • Treynor index (mean / b)
    0.71883
  • Jensen alpha (a)
    0.61079
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.13697
  • Expected Shortfall on VaR
    0.18249
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02477
  • Expected Shortfall on VaR
    0.06144
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    5.00000
  • Minimum
    0.89100
  • Quartile 1
    1.01978
  • Median
    1.05571
  • Quartile 3
    1.19745
  • Maximum
    1.23940
  • Mean of quarter 1
    0.95539
  • Mean of quarter 2
    1.05571
  • Mean of quarter 3
    1.19745
  • Mean of quarter 4
    1.23940
  • Inter Quartile Range
    0.17766
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    1.00000
  • Minimum
    0.10900
  • Quartile 1
    0.10900
  • Median
    0.10900
  • Quartile 3
    0.10900
  • Maximum
    0.10900
  • Mean of quarter 1
    0.00000
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.00000
  • Inter Quartile Range
    0.00000
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    1.01671
  • Compounded annual return (geometric extrapolation)
    1.33428
  • Calmar ratio (compounded annual return / max draw down)
    12.24070
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    7.31166
  • 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
    1.02615
  • SD
    0.33335
  • Sharpe ratio (Glass type estimate)
    3.07827
  • Sharpe ratio (Hedges UMVUE)
    3.05743
  • df
    111.00000
  • t
    2.01264
  • p
    0.38125
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.04664
  • Upperbound of 95% confidence interval for Sharpe Ratio
    6.09637
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.03286
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    6.08200
  • Statistics related to Sortino ratio
  • Sortino ratio
    5.93078
  • Upside Potential Ratio
    13.67580
  • Upside part of mean
    2.36619
  • Downside part of mean
    -1.34005
  • Upside SD
    0.29020
  • Downside SD
    0.17302
  • N nonnegative terms
    61.00000
  • N negative terms
    51.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    112.00000
  • Mean of predictor
    0.27004
  • Mean of criterion
    1.02615
  • SD of predictor
    0.20989
  • SD of criterion
    0.33335
  • Covariance
    0.02025
  • r
    0.28941
  • b (slope, estimate of beta)
    0.45964
  • a (intercept, estimate of alpha)
    0.39600
  • Mean Square Error
    0.10274
  • DF error
    110.00000
  • t(b)
    3.17101
  • p(b)
    0.35530
  • t(a)
    1.83411
  • p(a)
    0.41387
  • Lowerbound of 95% confidence interval for beta
    0.17238
  • Upperbound of 95% confidence interval for beta
    0.74689
  • Lowerbound of 95% confidence interval for alpha
    -0.07262
  • Upperbound of 95% confidence interval for alpha
    1.87668
  • Treynor index (mean / b)
    2.23253
  • Jensen alpha (a)
    0.90203
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.97033
  • SD
    0.32835
  • Sharpe ratio (Glass type estimate)
    2.95520
  • Sharpe ratio (Hedges UMVUE)
    2.93519
  • df
    111.00000
  • t
    1.93217
  • p
    0.38579
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.07401
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.97147
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.08728
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.95766
  • Statistics related to Sortino ratio
  • Sortino ratio
    5.51371
  • Upside Potential Ratio
    13.21530
  • Upside part of mean
    2.32569
  • Downside part of mean
    -1.35536
  • Upside SD
    0.28191
  • Downside SD
    0.17599
  • N nonnegative terms
    61.00000
  • N negative terms
    51.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    112.00000
  • Mean of predictor
    0.24784
  • Mean of criterion
    0.97033
  • SD of predictor
    0.21164
  • SD of criterion
    0.32835
  • Covariance
    0.02049
  • r
    0.29491
  • b (slope, estimate of beta)
    0.45754
  • a (intercept, estimate of alpha)
    0.85693
  • Mean Square Error
    0.09933
  • DF error
    110.00000
  • t(b)
    3.23705
  • p(b)
    0.35254
  • t(a)
    1.77306
  • p(a)
    0.41665
  • Lowerbound of 95% confidence interval for beta
    0.17743
  • Upperbound of 95% confidence interval for beta
    0.73766
  • Lowerbound of 95% confidence interval for alpha
    -0.10087
  • Upperbound of 95% confidence interval for alpha
    1.81474
  • Treynor index (mean / b)
    2.12074
  • Jensen alpha (a)
    0.85693
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02923
  • Expected Shortfall on VaR
    0.03739
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01108
  • Expected Shortfall on VaR
    0.02220
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    112.00000
  • Minimum
    0.94363
  • Quartile 1
    0.99335
  • Median
    1.00158
  • Quartile 3
    1.01234
  • Maximum
    1.10941
  • Mean of quarter 1
    0.98221
  • Mean of quarter 2
    0.99753
  • Mean of quarter 3
    1.00681
  • Mean of quarter 4
    1.02911
  • Inter Quartile Range
    0.01899
  • Number outliers low
    2.00000
  • Percentage of outliers low
    0.01786
  • Mean of outliers low
    0.94932
  • Number of outliers high
    5.00000
  • Percentage of outliers high
    0.04464
  • Mean of outliers high
    1.06127
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.21800
  • VaR(95%) (moments method)
    0.01741
  • Expected Shortfall (moments method)
    0.02748
  • Extreme Value Index (regression method)
    0.19775
  • VaR(95%) (regression method)
    0.01788
  • Expected Shortfall (regression method)
    0.02785
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    14.00000
  • Minimum
    0.00263
  • Quartile 1
    0.00993
  • Median
    0.01986
  • Quartile 3
    0.02441
  • Maximum
    0.14396
  • Mean of quarter 1
    0.00477
  • Mean of quarter 2
    0.01462
  • Mean of quarter 3
    0.02275
  • Mean of quarter 4
    0.06885
  • Inter Quartile Range
    0.01448
  • 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
    0.14286
  • Mean of outliers high
    0.10265
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -0.87326
  • VaR(95%) (moments method)
    0.06652
  • Expected Shortfall (moments method)
    0.07410
  • Extreme Value Index (regression method)
    0.39011
  • VaR(95%) (regression method)
    0.11965
  • Expected Shortfall (regression method)
    0.24609
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    1.20254
  • Compounded annual return (geometric extrapolation)
    1.63882
  • Calmar ratio (compounded annual return / max draw down)
    11.38390
  • Compounded annual return / average of 25% largest draw downs
    23.80200
  • Compounded annual return / Expected Shortfall lognormal
    43.82580
  • Analysis based on DAILY values, last 6 months only
  • RATIO STATISTICS
  • Ratio statistics of excess log return rates
  • Statistics related to linear regression on benchmark
  • VAR (95 Confidence Intrvl)
    0.02100
  • DRAW DOWN STATISTICS
  • Risk estimates based on draw downs (based on Extreme Value T
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • Last 4 Months - Pcnt Negative
    n/a
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -297568000
  • Max Equity Drawdown (num days)
    45

Strategy Description

Checkmate will discover long and short trade ideas. Each trade that Checkmate discovers simulates opening a position with a share size equivalent to $1500. When the trade is executed it will have already calculated the percentage goal of the trade, the profit target and the stop loss level. During the trade the AI might detect a price level that is significant and it will occasionally increase the position size. (Buy More Shares). When the profit target is reached the trade is closed.

All stockBOX trade ideas go through 3 major steps to be qualified as a valid trade alert. Ultimately the target percent needs to have a reward greater than 1.7% to be justified as a trade worth taking. Trade ideas below this are suppressed and determined not be worth the risk.

stockBOX Requirements:
1.General Market Index Direction
Determine what the trend of the overall market is. Are we trending up or down. Use SPX and RUT to decide this. This sets a Long / Short position stock symbol search.

2. Strategy Triggers / Targets / Stops
StockBOX uses triggers generated from technical indicator combinations. These triggers match the direction of the overall market trend determined by Step 1. Fibonacci is used for targets and stop levels.

3. Checking High and Low Time Frames
StockBOX checks higher and lower time frames to make sure the trend direction of the stock is the same as the trading time frame of 15 minute OHLCV data.

Once a trade has executed it is not left to either succeed or fail. A separate engine adapts and manages the open trade to the unpredictable events of the live market.

Execution Engine
This application will monitor the live trade and make adjustments as unpredictable events start to happen. The AI uses pattern recognition and is aware of the entire trading history of the stock from historical OHLCV data. The AI is trained to identify all major support and resistance levels from this data and candle patterns. As the trade progresses the AI will increase the share size as needed to cost average the trade if necessary.

Execution Engine has an ever growing list of features, here are a few.

EE (Execution Engine) will monitor the index and close the trade if the index trend collapses.

If a trade is not going in the intended direction EE will buy / sell to cost average.

If progression on retracement is not taking place EE will close the trade.

1 Year Backtest Information: http://stockbox.ai/strategy-checkmate.php
Trade this strategy at Interactive Brokers

Summary Statistics

Strategy began
2020-05-29
Suggested Minimum Capital
$35,000
# Trades
380
# Profitable
308
% Profitable
81.1%
Net Dividends
$0
Correlation S&P500
0.118
Sharpe Ratio
0.66
Sortino Ratio
1.15
Beta
0.08
Alpha
0.02
Leverage
1.06 Average
2.49 Maximum
Summary
Higher leverage = greater risk.

More information about leverage

Collective2 calculates the maximum leverage used by a strategy in each day. We then display the average of these measurements (i.e. the average daily maximum leverage) and the greatest of these measurements (maximum daily leverage).

Leverage is the ratio of total notional value controlled by a strategy divided by its Model Account equity. Generally higher leverage implies greater risk.

Example of calculation:
The Strategy buys 100 shares of stock at $12 per share.
The Model Account equity during that day is $5,000.
The leverage is: $1200 / $5,000 = 0.24

This is a useful measurement, but it should be considered in context. This measurement doesn't take into account important factors, such as when multiple positions are held that are inversely correlated. Nor does the measurement take into account the volatility of the instruments being held.

In addition, certain asset classes are inherently more leveraged than others. For example, futures contracts are highly leveraged. Forex positions are often even more leveraged than futures.

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

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.