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This is an archived track record. This track record was archived on 11/11/22 11:38 ET. (See latest track record)
These are hypothetical performance results that have certain inherent limitations. Learn more

Persistence Pays
(139465218)

Created by: JamieJones JamieJones
Started: 02/2022
Forex
Last trade: 29 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 $125.00 per month.

C2Star

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

You can read more about C2Star certification requirements here.

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

25.6%
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.

(10.2%)
Max Drawdown
66
Num Trades
51.5%
Win Trades
1.8 : 1
Profit Factor
54.5%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2022       (2.1%)(1.4%)+14.3%+1.6%+5.4%(0.7%)+2.7%+12.0%(4.5%)(3.2%)+0.6%+25.6%

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 82 trades in real-life brokerage accounts. To see live brokerage data, select Show AutoTrade Data, and click on a Live AutoTrade Indicator symbol.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
11/7/22 15:17 EUR/JPY EUR/JPY LONG 3 146.969 11/10 9:38 144.350 1.21%
Trade id #142472890
Max drawdown($611)
Time11/10/22 9:38
Quant open3
Worst price144.081
Drawdown as % of equity-1.21%
($554)
11/2/22 18:18 USD/JPY USD/JPY LONG 4 147.824 11/4 9:14 147.060 0.44%
Trade id #142418785
Max drawdown($225)
Time11/4/22 9:13
Quant open4
Worst price146.997
Drawdown as % of equity-0.44%
($208)
11/1/22 16:08 USD/JPY USD/JPY LONG 4 148.189 11/2 14:01 146.161 1.1%
Trade id #142401469
Max drawdown($562)
Time11/2/22 14:01
Quant open4
Worst price146.111
Drawdown as % of equity-1.10%
($555)
10/31/22 18:55 AUD/NZD AUD/NZD SHORT 5 1.10085 10/31 23:31 1.10109 0.06%
Trade id #142388147
Max drawdown($30)
Time10/31/22 23:21
Quant open5
Worst price1.10188
Drawdown as % of equity-0.06%
($7)
10/27/22 18:03 EUR/CHF EUR/CHF SHORT 5 0.98733 10/31 23:30 0.99089 0.68%
Trade id #142352183
Max drawdown($355)
Time10/28/22 0:00
Quant open5
Worst price0.99439
Drawdown as % of equity-0.68%
($178)
10/26/22 18:32 CAD/CHF CAD/CHF SHORT 5 0.72710 10/31 23:30 0.73655 0.94%
Trade id #142334829
Max drawdown($483)
Time10/31/22 23:21
Quant open5
Worst price0.73670
Drawdown as % of equity-0.94%
($472)
10/26/22 19:17 GBP/CAD GBP/CAD LONG 4 1.57625 10/31 15:41 1.56225 0.82%
Trade id #142334909
Max drawdown($424)
Time10/31/22 15:28
Quant open4
Worst price1.56179
Drawdown as % of equity-0.82%
($411)
10/4/22 11:57 AUD/CAD AUD/CAD SHORT 6 0.87948 10/21 11:31 0.86955 0.68%
Trade id #142032308
Max drawdown($363)
Time10/6/22 0:00
Quant open6
Worst price0.88774
Drawdown as % of equity-0.68%
$435
10/12/22 12:50 CHF/JPY CHF/JPY LONG 4 147.097 10/21 11:20 147.385 0.67%
Trade id #142143422
Max drawdown($363)
Time10/13/22 0:00
Quant open4
Worst price145.757
Drawdown as % of equity-0.67%
$79
10/5/22 18:23 EUR/CHF EUR/CHF SHORT 5 0.97149 10/20 10:55 0.98512 1.27%
Trade id #142057586
Max drawdown($678)
Time10/20/22 10:55
Quant open5
Worst price0.98512
Drawdown as % of equity-1.27%
($681)
10/11/22 15:11 GBP/JPY GBP/JPY SHORT 4 160.071 10/13 7:19 164.013 2.02%
Trade id #142128650
Max drawdown($1,078)
Time10/13/22 7:19
Quant open4
Worst price164.028
Drawdown as % of equity-2.02%
($1,075)
10/10/22 12:02 AUD/NZD AUD/NZD LONG 11 1.13215 10/11 6:06 1.12082 1.31%
Trade id #142107374
Max drawdown($718)
Time10/11/22 6:06
Quant open11
Worst price1.12052
Drawdown as % of equity-1.31%
($696)
10/5/22 18:39 GBP/JPY GBP/JPY SHORT 4 163.598 10/11 5:58 160.953 0.44%
Trade id #142057684
Max drawdown($234)
Time10/5/22 20:49
Quant open4
Worst price164.450
Drawdown as % of equity-0.44%
$726
9/18/22 18:23 GBP/AUD GBP/AUD SHORT 4 1.69937 9/23 16:56 1.66134 0.56%
Trade id #141844403
Max drawdown($292)
Time9/22/22 0:00
Quant open4
Worst price1.71058
Drawdown as % of equity-0.56%
$993
9/7/22 18:51 EUR/GBP EUR/GBP LONG 4 0.86703 9/23 12:35 0.89350 0.38%
Trade id #141696735
Max drawdown($194)
Time9/14/22 0:00
Quant open4
Worst price0.86254
Drawdown as % of equity-0.38%
$1,151
8/17/22 18:50 AUD/USD AUD/USD SHORT 3 0.69364 9/23 10:50 0.65424 0.45%
Trade id #141455371
Max drawdown($217)
Time8/26/22 0:00
Quant open3
Worst price0.70088
Drawdown as % of equity-0.45%
$1,182
8/24/22 18:16 NZD/CAD NZD/CAD SHORT 9 0.80257 9/20 6:26 0.78507 0.56%
Trade id #141530606
Max drawdown($268)
Time8/25/22 0:00
Quant open9
Worst price0.80653
Drawdown as % of equity-0.56%
$1,185
9/14/22 18:48 CHF/JPY CHF/JPY SHORT 4 148.680 9/19 6:50 148.616 0.8%
Trade id #141809507
Max drawdown($407)
Time9/15/22 0:00
Quant open4
Worst price150.145
Drawdown as % of equity-0.80%
$18
9/11/22 18:48 GBP/AUD GBP/AUD SHORT 4 1.69601 9/14 6:53 1.71860 1.18%
Trade id #141740665
Max drawdown($604)
Time9/14/22 6:53
Quant open4
Worst price1.71849
Drawdown as % of equity-1.18%
($608)
9/6/22 18:39 NZD/CHF NZD/CHF SHORT 6 0.59432 9/13 14:58 0.57569 0.05%
Trade id #141678237
Max drawdown($23)
Time9/7/22 0:00
Quant open6
Worst price0.59469
Drawdown as % of equity-0.05%
$1,163
7/24/22 19:35 GBP/CHF GBP/CHF SHORT 6 1.15162 9/7 10:35 1.12441 1.14%
Trade id #141161979
Max drawdown($530)
Time8/4/22 0:00
Quant open3
Worst price1.17208
Drawdown as % of equity-1.14%
$1,664
8/8/22 18:17 EUR/AUD EUR/AUD SHORT 6 1.45819 9/7 10:25 1.48001 1.75%
Trade id #141343399
Max drawdown($882)
Time9/7/22 10:25
Quant open6
Worst price1.47997
Drawdown as % of equity-1.75%
($879)
8/31/22 18:02 EUR/JPY EUR/JPY LONG 4 139.801 9/7 10:15 143.595 0.63%
Trade id #141614671
Max drawdown($308)
Time9/5/22 0:00
Quant open4
Worst price138.688
Drawdown as % of equity-0.63%
$1,048
8/16/22 18:13 USD/JPY USD/JPY LONG 4 134.238 8/28 20:07 138.300 0.21%
Trade id #141440592
Max drawdown($97)
Time8/16/22 22:08
Quant open4
Worst price133.901
Drawdown as % of equity-0.21%
$1,175
8/14/22 18:54 GBP/CAD GBP/CAD SHORT 4 1.54992 8/19 13:14 1.53642 0.96%
Trade id #141411843
Max drawdown($451)
Time8/15/22 0:00
Quant open4
Worst price1.56459
Drawdown as % of equity-0.96%
$416
8/2/22 17:40 AUD/USD AUD/USD SHORT 3 0.69180 8/10 12:12 0.71072 1.23%
Trade id #141277672
Max drawdown($568)
Time8/10/22 12:12
Quant open3
Worst price0.71075
Drawdown as % of equity-1.23%
($568)
7/28/22 11:22 NZD/CAD NZD/CAD SHORT 7 0.80584 8/10 8:30 0.81959 1.42%
Trade id #141216523
Max drawdown($657)
Time8/10/22 8:30
Quant open7
Worst price0.81783
Drawdown as % of equity-1.42%
($750)
7/27/22 5:02 NZD/CAD NZD/CAD SHORT 7 0.80101 7/28 8:57 0.80612 0.59%
Trade id #141195787
Max drawdown($275)
Time7/28/22 8:57
Quant open7
Worst price0.80605
Drawdown as % of equity-0.59%
($279)
7/27/22 19:16 GBP/JPY GBP/JPY LONG 4 165.824 7/28 8:41 163.944 1.2%
Trade id #141208501
Max drawdown($565)
Time7/28/22 8:41
Quant open4
Worst price163.924
Drawdown as % of equity-1.20%
($557)
7/4/22 18:41 CAD/JPY CAD/JPY LONG 4 105.602 7/22 10:18 105.655 1.39%
Trade id #140953102
Max drawdown($658)
Time7/6/22 0:00
Quant open4
Worst price103.362
Drawdown as % of equity-1.39%
$16

Statistics

  • Strategy began
    2/20/2022
  • Suggested Minimum Cap
    $50,000
  • Strategy Age (days)
    291.62
  • Age
    10 months ago
  • What it trades
    Forex
  • # Trades
    66
  • # Profitable
    34
  • % Profitable
    51.50%
  • Avg trade duration
    9.8 days
  • Max peak-to-valley drawdown
    10.23%
  • drawdown period
    Oct 10, 2022 - Nov 30, 2022
  • Cumul. Return
    25.6%
  • Avg win
    $760.09
  • Avg loss
    $441.25
  • Model Account Values (Raw)
  • Cash
    $51,690
  • Margin Used
    $608
  • Buying Power
    $51,114
  • Ratios
  • W:L ratio
    1.83:1
  • Sharpe Ratio
    1.53
  • Sortino Ratio
    3.49
  • Calmar Ratio
    4.084
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    34.44%
  • Correlation to SP500
    -0.13750
  • Return Percent SP500 (cumu) during strategy life
    -8.86%
  • Verified
  • C2Star
    0
  • Return Statistics
  • Ann Return (w trading costs)
    32.6%
  • Slump
  • Current Slump as Pcnt Equity
    10.70%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.20%
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.256%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    n/a
  • Percent Trades Forex
    1.00%
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    37.6%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    1.50%
  • Chance of 20% account loss
    n/a
  • Chance of 30% account loss
    n/a
  • Chance of 40% account loss
    n/a
  • Chance of 60% account loss (Monte Carlo)
    n/a
  • Chance of 70% account loss (Monte Carlo)
    n/a
  • Chance of 80% account loss (Monte Carlo)
    n/a
  • Chance of 90% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    571
  • Popularity (Last 6 weeks)
    923
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • Popularity (7 days, Percentile 1000 scale)
    543
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $429
  • Avg Win
    $782
  • Sum Trade PL (losers)
    $14,156.000
  • Age
  • Num Months filled monthly returns table
    11
  • Win / Loss
  • Sum Trade PL (winners)
    $25,810.000
  • # Winners
    33
  • Num Months Winners
    6
  • Dividends
  • Dividends Received in Model Acct
    0
  • Win / Loss
  • # Losers
    33
  • % Winners
    50.0%
  • Frequency
  • Avg Position Time (mins)
    14159.00
  • Avg Position Time (hrs)
    235.98
  • Avg Trade Length
    9.8 days
  • Last Trade Ago
    29
  • Leverage
  • Daily leverage (average)
    2.58
  • Daily leverage (max)
    17.08
  • Regression
  • Alpha
    0.08
  • Beta
    -0.08
  • Treynor Index
    -0.92
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.01
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -0.29
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.01
  • Avg(MAE) / Avg(PL) - All trades
    1.848
  • 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
    0.00
  • Avg(MAE) / Avg(PL) - Winning trades
    0.284
  • Avg(MAE) / Avg(PL) - Losing trades
    -0.988
  • Hold-and-Hope Ratio
    0.545
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.33105
  • SD
    0.20702
  • Sharpe ratio (Glass type estimate)
    1.59918
  • Sharpe ratio (Hedges UMVUE)
    1.44358
  • df
    8.00000
  • t
    1.38493
  • p
    0.10174
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.83539
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.94613
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.92755
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.81472
  • Statistics related to Sortino ratio
  • Sortino ratio
    5.00776
  • Upside Potential Ratio
    6.61199
  • Upside part of mean
    0.43711
  • Downside part of mean
    -0.10605
  • Upside SD
    0.20702
  • Downside SD
    0.06611
  • N nonnegative terms
    7.00000
  • N negative terms
    2.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    9.00000
  • Mean of predictor
    -0.11199
  • Mean of criterion
    0.33105
  • SD of predictor
    0.19930
  • SD of criterion
    0.20702
  • Covariance
    -0.02287
  • r
    -0.55440
  • b (slope, estimate of beta)
    -0.57587
  • a (intercept, estimate of alpha)
    0.26656
  • Mean Square Error
    0.03392
  • DF error
    7.00000
  • t(b)
    -1.76244
  • p(b)
    0.93932
  • t(a)
    1.23521
  • p(a)
    0.12830
  • Lowerbound of 95% confidence interval for beta
    -1.34850
  • Upperbound of 95% confidence interval for beta
    0.19676
  • Lowerbound of 95% confidence interval for alpha
    -0.24373
  • Upperbound of 95% confidence interval for alpha
    0.77686
  • Treynor index (mean / b)
    -0.57488
  • Jensen alpha (a)
    0.26656
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.30839
  • SD
    0.19663
  • Sharpe ratio (Glass type estimate)
    1.56835
  • Sharpe ratio (Hedges UMVUE)
    1.41575
  • df
    8.00000
  • t
    1.35823
  • p
    0.10573
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.86084
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.91119
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.95135
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.78285
  • Statistics related to Sortino ratio
  • Sortino ratio
    4.57571
  • Upside Potential Ratio
    6.17883
  • Upside part of mean
    0.41643
  • Downside part of mean
    -0.10805
  • Upside SD
    0.19430
  • Downside SD
    0.06740
  • N nonnegative terms
    7.00000
  • N negative terms
    2.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    9.00000
  • Mean of predictor
    -0.13035
  • Mean of criterion
    0.30839
  • SD of predictor
    0.20229
  • SD of criterion
    0.19663
  • Covariance
    -0.02220
  • r
    -0.55813
  • b (slope, estimate of beta)
    -0.54252
  • a (intercept, estimate of alpha)
    0.23767
  • Mean Square Error
    0.03042
  • DF error
    7.00000
  • t(b)
    -1.77967
  • p(b)
    0.94082
  • t(a)
    1.15776
  • p(a)
    0.14247
  • Lowerbound of 95% confidence interval for beta
    -1.26336
  • Upperbound of 95% confidence interval for beta
    0.17832
  • Lowerbound of 95% confidence interval for alpha
    -0.24776
  • Upperbound of 95% confidence interval for alpha
    0.72310
  • Treynor index (mean / b)
    -0.56844
  • Jensen alpha (a)
    0.23767
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.06543
  • Expected Shortfall on VaR
    0.08713
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01114
  • Expected Shortfall on VaR
    0.02634
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    9.00000
  • Minimum
    0.95499
  • Quartile 1
    1.00772
  • Median
    1.01647
  • Quartile 3
    1.04994
  • Maximum
    1.15738
  • Mean of quarter 1
    0.97761
  • Mean of quarter 2
    1.01474
  • Mean of quarter 3
    1.03879
  • Mean of quarter 4
    1.11468
  • Inter Quartile Range
    0.04222
  • 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
    0.11111
  • Mean of outliers high
    1.15738
  • 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)
    -2.31333
  • VaR(95%) (regression method)
    0.07401
  • Expected Shortfall (regression method)
    0.07493
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    2.00000
  • Minimum
    0.02988
  • Quartile 1
    0.03366
  • Median
    0.03744
  • Quartile 3
    0.04122
  • Maximum
    0.04501
  • Mean of quarter 1
    0.02988
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.04501
  • Inter Quartile Range
    0.00756
  • 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)
    0.38251
  • Compounded annual return (geometric extrapolation)
    0.39975
  • Calmar ratio (compounded annual return / max draw down)
    8.88220
  • Compounded annual return / average of 25% largest draw downs
    8.88220
  • Compounded annual return / Expected Shortfall lognormal
    4.58777
  • 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
    0.29997
  • SD
    0.15198
  • Sharpe ratio (Glass type estimate)
    1.97376
  • Sharpe ratio (Hedges UMVUE)
    1.96664
  • df
    208.00000
  • t
    1.76286
  • p
    0.03970
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.23115
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.17404
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.23593
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.16921
  • Statistics related to Sortino ratio
  • Sortino ratio
    4.74507
  • Upside Potential Ratio
    12.92580
  • Upside part of mean
    0.81715
  • Downside part of mean
    -0.51717
  • Upside SD
    0.13905
  • Downside SD
    0.06322
  • N nonnegative terms
    100.00000
  • N negative terms
    109.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    209.00000
  • Mean of predictor
    -0.11240
  • Mean of criterion
    0.29997
  • SD of predictor
    0.25270
  • SD of criterion
    0.15198
  • Covariance
    -0.00676
  • r
    -0.17594
  • b (slope, estimate of beta)
    -0.10582
  • a (intercept, estimate of alpha)
    0.28800
  • Mean Square Error
    0.02249
  • DF error
    207.00000
  • t(b)
    -2.57140
  • p(b)
    0.99459
  • t(a)
    1.71500
  • p(a)
    0.04392
  • Lowerbound of 95% confidence interval for beta
    -0.18694
  • Upperbound of 95% confidence interval for beta
    -0.02469
  • Lowerbound of 95% confidence interval for alpha
    -0.04308
  • Upperbound of 95% confidence interval for alpha
    0.61925
  • Treynor index (mean / b)
    -2.83489
  • Jensen alpha (a)
    0.28808
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.28861
  • SD
    0.14879
  • Sharpe ratio (Glass type estimate)
    1.93968
  • Sharpe ratio (Hedges UMVUE)
    1.93268
  • df
    208.00000
  • t
    1.73242
  • p
    0.04234
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.26494
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.13976
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.26961
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.13497
  • Statistics related to Sortino ratio
  • Sortino ratio
    4.54262
  • Upside Potential Ratio
    12.71360
  • Upside part of mean
    0.80774
  • Downside part of mean
    -0.51913
  • Upside SD
    0.13533
  • Downside SD
    0.06353
  • N nonnegative terms
    100.00000
  • N negative terms
    109.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    209.00000
  • Mean of predictor
    -0.14422
  • Mean of criterion
    0.28861
  • SD of predictor
    0.25286
  • SD of criterion
    0.14879
  • Covariance
    -0.00672
  • r
    -0.17874
  • b (slope, estimate of beta)
    -0.10518
  • a (intercept, estimate of alpha)
    0.27344
  • Mean Square Error
    0.02154
  • DF error
    207.00000
  • t(b)
    -2.61369
  • p(b)
    0.99519
  • t(a)
    1.66318
  • p(a)
    0.04889
  • Lowerbound of 95% confidence interval for beta
    -0.18451
  • Upperbound of 95% confidence interval for beta
    -0.02584
  • Lowerbound of 95% confidence interval for alpha
    -0.05069
  • Upperbound of 95% confidence interval for alpha
    0.59757
  • Treynor index (mean / b)
    -2.74403
  • Jensen alpha (a)
    0.27344
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01392
  • Expected Shortfall on VaR
    0.01770
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00468
  • Expected Shortfall on VaR
    0.00895
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    209.00000
  • Minimum
    0.98503
  • Quartile 1
    0.99748
  • Median
    1.00000
  • Quartile 3
    1.00375
  • Maximum
    1.08873
  • Mean of quarter 1
    0.99332
  • Mean of quarter 2
    0.99909
  • Mean of quarter 3
    1.00143
  • Mean of quarter 4
    1.01132
  • Inter Quartile Range
    0.00627
  • Number outliers low
    7.00000
  • Percentage of outliers low
    0.03349
  • Mean of outliers low
    0.98634
  • Number of outliers high
    12.00000
  • Percentage of outliers high
    0.05742
  • Mean of outliers high
    1.02627
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.15407
  • VaR(95%) (moments method)
    0.00608
  • Expected Shortfall (moments method)
    0.00777
  • Extreme Value Index (regression method)
    -0.22129
  • VaR(95%) (regression method)
    0.00679
  • Expected Shortfall (regression method)
    0.00858
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    14.00000
  • Minimum
    0.00183
  • Quartile 1
    0.00586
  • Median
    0.00901
  • Quartile 3
    0.02260
  • Maximum
    0.09116
  • Mean of quarter 1
    0.00397
  • Mean of quarter 2
    0.00726
  • Mean of quarter 3
    0.01325
  • Mean of quarter 4
    0.04979
  • Inter Quartile Range
    0.01674
  • 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
    0.07143
  • Mean of outliers high
    0.09116
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -1.08662
  • VaR(95%) (moments method)
    0.05368
  • Expected Shortfall (moments method)
    0.05772
  • Extreme Value Index (regression method)
    0.19349
  • VaR(95%) (regression method)
    0.07834
  • Expected Shortfall (regression method)
    0.12570
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.36006
  • Compounded annual return (geometric extrapolation)
    0.37234
  • Calmar ratio (compounded annual return / max draw down)
    4.08442
  • Compounded annual return / average of 25% largest draw downs
    7.47870
  • Compounded annual return / Expected Shortfall lognormal
    21.04150
  • 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
    0.20581
  • SD
    0.11181
  • Sharpe ratio (Glass type estimate)
    1.84074
  • Sharpe ratio (Hedges UMVUE)
    1.83010
  • df
    130.00000
  • t
    1.30160
  • p
    0.44329
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.94347
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.61806
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.95062
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.61082
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.33076
  • Upside Potential Ratio
    11.35150
  • Upside part of mean
    0.70140
  • Downside part of mean
    -0.49560
  • Upside SD
    0.09354
  • Downside SD
    0.06179
  • N nonnegative terms
    63.00000
  • N negative terms
    68.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.02451
  • Mean of criterion
    0.20581
  • SD of predictor
    0.24860
  • SD of criterion
    0.11181
  • Covariance
    -0.00843
  • r
    -0.30334
  • b (slope, estimate of beta)
    -0.13643
  • a (intercept, estimate of alpha)
    0.20246
  • Mean Square Error
    0.01144
  • DF error
    129.00000
  • t(b)
    -3.61558
  • p(b)
    0.69010
  • t(a)
    1.33856
  • p(a)
    0.42566
  • Lowerbound of 95% confidence interval for beta
    -0.21108
  • Upperbound of 95% confidence interval for beta
    -0.06177
  • Lowerbound of 95% confidence interval for alpha
    -0.09680
  • Upperbound of 95% confidence interval for alpha
    0.50172
  • Treynor index (mean / b)
    -1.50856
  • Jensen alpha (a)
    0.20246
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.19954
  • SD
    0.11132
  • Sharpe ratio (Glass type estimate)
    1.79245
  • Sharpe ratio (Hedges UMVUE)
    1.78209
  • df
    130.00000
  • t
    1.26745
  • p
    0.44476
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.99130
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.56942
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.99817
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.56235
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.21317
  • Upside Potential Ratio
    11.22380
  • Upside part of mean
    0.69701
  • Downside part of mean
    -0.49747
  • Upside SD
    0.09270
  • Downside SD
    0.06210
  • N nonnegative terms
    63.00000
  • N negative terms
    68.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.05513
  • Mean of criterion
    0.19954
  • SD of predictor
    0.24830
  • SD of criterion
    0.11132
  • Covariance
    -0.00843
  • r
    -0.30516
  • b (slope, estimate of beta)
    -0.13681
  • a (intercept, estimate of alpha)
    0.19200
  • Mean Square Error
    0.01133
  • DF error
    129.00000
  • t(b)
    -3.63951
  • p(b)
    0.69121
  • t(a)
    1.27558
  • p(a)
    0.42910
  • VAR (95 Confidence Intrvl)
    0.01400
  • Lowerbound of 95% confidence interval for beta
    -0.21119
  • Upperbound of 95% confidence interval for beta
    -0.06244
  • Lowerbound of 95% confidence interval for alpha
    -0.10581
  • Upperbound of 95% confidence interval for alpha
    0.48980
  • Treynor index (mean / b)
    -1.45848
  • Jensen alpha (a)
    0.19200
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01050
  • Expected Shortfall on VaR
    0.01333
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00447
  • Expected Shortfall on VaR
    0.00863
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.98503
  • Quartile 1
    0.99758
  • Median
    1.00001
  • Quartile 3
    1.00338
  • Maximum
    1.03061
  • Mean of quarter 1
    0.99354
  • Mean of quarter 2
    0.99916
  • Mean of quarter 3
    1.00125
  • Mean of quarter 4
    1.00962
  • Inter Quartile Range
    0.00580
  • Number outliers low
    5.00000
  • Percentage of outliers low
    0.03817
  • Mean of outliers low
    0.98659
  • Number of outliers high
    9.00000
  • Percentage of outliers high
    0.06870
  • Mean of outliers high
    1.01860
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.01933
  • VaR(95%) (moments method)
    0.00575
  • Expected Shortfall (moments method)
    0.00777
  • Extreme Value Index (regression method)
    -0.11565
  • VaR(95%) (regression method)
    0.00698
  • Expected Shortfall (regression method)
    0.00928
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    9.00000
  • Minimum
    0.00183
  • Quartile 1
    0.00503
  • Median
    0.00656
  • Quartile 3
    0.01924
  • Maximum
    0.09116
  • Mean of quarter 1
    0.00341
  • Mean of quarter 2
    0.00609
  • Mean of quarter 3
    0.01482
  • Mean of quarter 4
    0.06888
  • Inter Quartile Range
    0.01421
  • 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
    0.22222
  • Mean of outliers high
    0.06888
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -4.89751
  • VaR(95%) (moments method)
    0.04749
  • Expected Shortfall (moments method)
    0.04750
  • Extreme Value Index (regression method)
    -0.29708
  • VaR(95%) (regression method)
    0.10502
  • Last 4 Months - Pcnt Negative
    0.50%
  • Expected Shortfall (regression method)
    0.13298
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -336629000
  • Max Equity Drawdown (num days)
    51
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.24088
  • Compounded annual return (geometric extrapolation)
    0.25539
  • Calmar ratio (compounded annual return / max draw down)
    2.80156
  • Compounded annual return / average of 25% largest draw downs
    3.70755
  • Compounded annual return / Expected Shortfall lognormal
    19.15650

Strategy Description

Summary Statistics

Strategy began
2022-02-20
Suggested Minimum Capital
$50,000
# Trades
66
# Profitable
34
% Profitable
51.5%
Correlation S&P500
-0.138
Sharpe Ratio
1.53
Sortino Ratio
3.49
Beta
-0.08
Alpha
0.08
Leverage
2.58 Average
17.08 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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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.