This system has earned TradesOwnStrategy (TOS) Certification.
This means that the manager of this system trades his own strategy
in a reallife, funded brokerage account.
TradesOwnStrategy (TOS) Certification Details
Certification process started
06/25/2020
Most recent certification approved
6/25/20 9:34 ET
Trades at broker
Interactive Brokers (Stocks, Options, Futures)
Scaling percentage used
100%
# trading signals issued by system since certification
1,418
# trading signals executed in manager's Interactive Brokers (Stocks, Options, Futures) account
1,383
Percent signals followed since 06/25/2020
97.5%
This information was last updated
7/26/21 19:47 ET
Warning: System trading results are still hypothetical.
Even though the system developer is currently trading his own system in a reallife brokerage account,
the trading results presented on this Web site must still be regarded as purely hypothetical results.
This is because (among other reasons) the system developer may not have traded all signals,
particularly those that occurred before 06/25/2020,
and the system developer's results may not match the system results presented here. In addition,
not all subscribers have received the same trades or prices as the system manager has. For these reasons, and others, it is extremely important you remember the following:
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
underor overcompensated 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.
You may be interested to learn more technical details about
how Collective2 calculates the hypothetical results you see on this web site.
Seek Alpha
(128022277)
This system has earned TradesOwnStrategy (TOS) Certification. This means that the manager of this system trades his own strategy in a reallife, funded brokerage account.
TradesOwnStrategy (TOS) Certification Details  

Certification process started  06/25/2020 
Most recent certification approved  6/25/20 9:34 ET 
Trades at broker  Interactive Brokers (Stocks, Options, Futures) 
Scaling percentage used  100% 
# trading signals issued by system since certification  1,418 
# trading signals executed in manager's Interactive Brokers (Stocks, Options, Futures) account  1,383 
Percent signals followed since 06/25/2020  97.5% 
This information was last updated  7/26/21 19:47 ET 
Warning: System trading results are still hypothetical.
Even though the system developer is currently trading his own system in a reallife brokerage account, the trading results presented on this Web site must still be regarded as purely hypothetical results. This is because (among other reasons) the system developer may not have traded all signals, particularly those that occurred before 06/25/2020, and the system developer's results may not match the system results presented here. In addition, not all subscribers have received the same trades or prices as the system manager has. For these reasons, and others, it is extremely important you remember the following:
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 underor overcompensated 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.
You may be interested to learn more technical details about how Collective2 calculates the hypothetical results you see on this web site.
Subscription terms. Subscriptions to this system cost $150.00 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.
Hedged Equity
Core holding of long equities hedged at all times with short sales of stocks and/or stock index options.Pairs Trading / Relative Value
Seeks to exploit differences in the price or rate of the same or similar securities. The relative value fund trades on gaps, rather than the price of a specific security aloneRate 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 markedtomarket equity calculations.
All results are hypothetical.
Jan  Feb  Mar  Apr  May  Jun  Jul  Aug  Sep  Oct  Nov  Dec  YTD  

2020  +20.5%  +21.0%  +3.0%  +4.8%  +13.9%  (4.5%)  +1.6%  (8.5%)  +12.0%  +20.3%  +114.6%  
2021  +4.2%  (0.3%)  (9.6%)  +1.3%  (0.3%)  +22.4%  (16.1%)  (2.6%) 
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.
Started  $18,000  
Buy Power  ($2,231)  
Cash  $1  
Equity  $1  
Cumulative $  $25,122  
Includes dividends and cashsettled expirations:  $397  Itemized 
Total System Equity  $43,122  
Margined  $1  
Open P/L  ($2,978)  
Data has been delayed by 168 hours for nonsubscribers 
System developer has asked us to delay this information by 168 hours.
Trading Record
Statistics

Strategy began3/13/2020

Suggested Minimum Cap$40,000

Strategy Age (days)500.72

Age17 months ago

What it tradesStocks

# Trades572

# Profitable328

% Profitable57.30%

Avg trade duration18.1 days

Max peaktovalley drawdown33.66%

drawdown periodFeb 10, 2021  May 13, 2021

Annual Return (Compounded)71.0%

Avg win$200.16

Avg loss$170.23
 Model Account Values (Raw)

Cash$7,739

Margin Used$11,227

Buying Power($2,231)
 Ratios

W:L ratio1.60:1

Sharpe Ratio1.51

Sortino Ratio2.47

Calmar Ratio3.463
 CORRELATION STATISTICS

Return of Strat Pcnt  Return of SP500 Pcnt (cumu)46.49%

Correlation to SP5000.31420

Return Percent SP500 (cumu) during strategy life63.12%
 Return Statistics

Ann Return (w trading costs)71.0%
 Slump

Current Slump as Pcnt Equity22.80%
 Instruments

Percent Trades Futures0.16%
 Slump

Current Slump, time of slump as pcnt of strategy life0.33%
 Instruments

Short Options  Percent Covered25.00%
 Return Statistics

Return Pcnt (Compound or Annual, agebased, NFA compliant)0.710%
 Instruments

Percent Trades Options0.02%

Percent Trades Stocks0.82%

Percent Trades Forexn/a
 Return Statistics

Ann Return (Compnd, No Fees)88.4%
 Risk of Ruin (MonteCarlo)

Chance of 10% account loss24.00%

Chance of 20% account loss3.00%

Chance of 30% account lossn/a

Chance of 40% account lossn/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 Automatedn/a
 Risk of Ruin (MonteCarlo)

Chance of 50% account lossn/a
 Popularity

Popularity (Today)542

Popularity (Last 6 weeks)931
 Trading Style

Any stock shorts? 0/11
 Popularity

C2 Score828

Popularity (7 days, Percentile 1000 scale)712
 Management

No Subs Allowed Flag (1: no subs)0

Strat abandoned?0
 TradesOwnSystem Certification

Trades Own System?Yes

TOS percent100%
 Win / Loss

Avg Loss$173

Avg Win$197

Sum Trade PL (losers)$42,164.000
 AUM

AUM (AutoTrader num accounts)3
 Age

Num Months filled monthly returns table17
 Win / Loss

Sum Trade PL (winners)$64,529.000

# Winners327

Num Months Winners11
 Dividends

Dividends Received in Model Acct397
 AUM

AUM (AutoTrader live capital)245108
 Win / Loss

# Losers244

% Winners57.3%
 Frequency

Avg Position Time (mins)26149.30

Avg Position Time (hrs)435.82

Avg Trade Length18.2 days

Last Trade Ago3
 Leverage

Daily leverage (average)1.93

Daily leverage (max)8.46
 Regression

Alpha0.12

Beta0.39

Treynor Index0.40
 Maximum Adverse Excursion (MAE)

MAE:Equity, average, all trades0.00

MAE:PL  worst single value for strategy

MAE:PL (avg, winning trades)

MAE:PL (avg, losing trades)

MAE:PL (avg, all trades)0.40

MAE:Equity, average, winning trades0.00

MAE:Equity, average, losing trades0.01

Avg(MAE) / Avg(PL)  All trades5.631

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 strat0.02

Avg(MAE) / Avg(PL)  Winning trades0.433

Avg(MAE) / Avg(PL)  Losing trades1.246

HoldandHope Ratio0.212
 Analysis based on MONTHLY values, full history
 RATIO STATISTICS
 Ratio statistics of excess return rates
 Statistics related to Sharpe ratio

Mean0.67645

SD0.38747

Sharpe ratio (Glass type estimate)1.74583

Sharpe ratio (Hedges UMVUE)1.65681

df15.00000

t2.01591

p0.21687

Lowerbound of 95% confidence interval for Sharpe Ratio0.08646

Upperbound of 95% confidence interval for Sharpe Ratio3.52721

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.14113

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation3.45474
 Statistics related to Sortino ratio

Sortino ratio4.61367

Upside Potential Ratio6.13988

Upside part of mean0.90022

Downside part of mean0.22377

Upside SD0.39671

Downside SD0.14662

N nonnegative terms12.00000

N negative terms4.00000
 Statistics related to linear regression on benchmark

N of observations16.00000

Mean of predictor0.33001

Mean of criterion0.67645

SD of predictor0.07881

SD of criterion0.38747

Covariance0.01228

r0.40232

b (slope, estimate of beta)1.97810

a (intercept, estimate of alpha)0.02366

Mean Square Error0.13482

DF error14.00000

t(b)1.64428

p(b)0.29884

t(a)0.04652

p(a)0.49378

Lowerbound of 95% confidence interval for beta0.60211

Upperbound of 95% confidence interval for beta4.55831

Lowerbound of 95% confidence interval for alpha1.06729

Upperbound of 95% confidence interval for alpha1.11461

Treynor index (mean / b)0.34197

Jensen alpha (a)0.02366
 Ratio statistics of excess log return rates
 Statistics related to Sharpe ratio

Mean0.59539

SD0.35948

Sharpe ratio (Glass type estimate)1.65628

Sharpe ratio (Hedges UMVUE)1.57182

df15.00000

t1.91250

p0.22763

Lowerbound of 95% confidence interval for Sharpe Ratio0.16433

Upperbound of 95% confidence interval for Sharpe Ratio3.42801

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.21632

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation3.35996
 Statistics related to Sortino ratio

Sortino ratio3.85493

Upside Potential Ratio5.37486

Upside part of mean0.83015

Downside part of mean0.23475

Upside SD0.35614

Downside SD0.15445

N nonnegative terms12.00000

N negative terms4.00000
 Statistics related to linear regression on benchmark

N of observations16.00000

Mean of predictor0.32207

Mean of criterion0.59539

SD of predictor0.07631

SD of criterion0.35948

Covariance0.01094

r0.39896

b (slope, estimate of beta)1.87938

a (intercept, estimate of alpha)0.00990

Mean Square Error0.11642

DF error14.00000

t(b)1.62792

p(b)0.30052

t(a)0.02085

p(a)0.50279

Lowerbound of 95% confidence interval for beta0.59670

Upperbound of 95% confidence interval for beta4.35546

Lowerbound of 95% confidence interval for alpha1.02854

Upperbound of 95% confidence interval for alpha1.00873

Treynor index (mean / b)0.31680

Jensen alpha (a)0.00990
 Risk estimates for a oneperiod unit investment (parametric)
 assuming log normal returns and losses (using central moments from Sharpe statistics)

VaR(95%)0.11403

Expected Shortfall on VaR0.15101
 assuming Pareto losses only (using partial moments from Sortino statistics)

VaR(95%)0.02567

Expected Shortfall on VaR0.06002
 ORDER STATISTICS
 Quartiles of return rates

Number of observations16.00000

Minimum0.87854

Quartile 11.01084

Median1.05139

Quartile 31.12358

Maximum1.33639

Mean of quarter 10.92774

Mean of quarter 21.02380

Mean of quarter 31.08835

Mean of quarter 41.19490

Inter Quartile Range0.11274

Number outliers low0.00000

Percentage of outliers low0.00000

Mean of outliers low0.00000

Number of outliers high1.00000

Percentage of outliers high0.06250

Mean of outliers high1.33639
 Risk estimates for a oneperiod unit investment (based on Ex

Extreme Value Index (moments method)55.37020

VaR(95%) (moments method)0.03229

Expected Shortfall (moments method)0.00000

Extreme Value Index (regression method)1.08964

VaR(95%) (regression method)0.08652

Expected Shortfall (regression method)0.09559
 DRAW DOWN STATISTICS
 Quartiles of draw downs

Number of observations2.00000

Minimum0.00991

Quartile 10.05456

Median0.09920

Quartile 30.14384

Maximum0.18848

Mean of quarter 10.00991

Mean of quarter 20.00000

Mean of quarter 30.00000

Mean of quarter 40.18848

Inter Quartile Range0.08928

Number outliers low0.00000

Percentage of outliers low0.00000

Mean of outliers low0.00000

Number of outliers high0.00000

Percentage of outliers high0.00000

Mean of outliers high0.00000
 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)0.97183

Compounded annual return (geometric extrapolation)0.86508

Calmar ratio (compounded annual return / max draw down)4.58968

Compounded annual return / average of 25% largest draw downs4.58968

Compounded annual return / Expected Shortfall lognormal5.72864

0.00000

0.00000
 Analysis based on DAILY values, full history
 RATIO STATISTICS
 Ratio statistics of excess return rates
 Statistics related to Sharpe ratio

Mean0.65580

SD0.29254

Sharpe ratio (Glass type estimate)2.24179

Sharpe ratio (Hedges UMVUE)2.23701

df352.00000

t2.60214

p0.00483

Lowerbound of 95% confidence interval for Sharpe Ratio0.54362

Upperbound of 95% confidence interval for Sharpe Ratio3.93690

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.54040

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation3.93361
 Statistics related to Sortino ratio

Sortino ratio3.79815

Upside Potential Ratio11.88530

Upside part of mean2.05217

Downside part of mean1.39636

Upside SD0.23909

Downside SD0.17267

N nonnegative terms205.00000

N negative terms148.00000
 Statistics related to linear regression on benchmark

N of observations353.00000

Mean of predictor0.36841

Mean of criterion0.65580

SD of predictor0.25577

SD of criterion0.29254

Covariance0.02158

r0.28840

b (slope, estimate of beta)0.32986

a (intercept, estimate of alpha)0.53400

Mean Square Error0.07868

DF error351.00000

t(b)5.64288

p(b)0.00000

t(a)2.20215

p(a)0.01415

Lowerbound of 95% confidence interval for beta0.21489

Upperbound of 95% confidence interval for beta0.44483

Lowerbound of 95% confidence interval for alpha0.05711

Upperbound of 95% confidence interval for alpha1.01145

Treynor index (mean / b)1.98813

Jensen alpha (a)0.53428
 Ratio statistics of excess log return rates
 Statistics related to Sharpe ratio

Mean0.61272

SD0.29053

Sharpe ratio (Glass type estimate)2.10894

Sharpe ratio (Hedges UMVUE)2.10444

df352.00000

t2.44794

p0.00743

Lowerbound of 95% confidence interval for Sharpe Ratio0.41179

Upperbound of 95% confidence interval for Sharpe Ratio3.80321

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.40876

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation3.80012
 Statistics related to Sortino ratio

Sortino ratio3.49526

Upside Potential Ratio11.54680

Upside part of mean2.02414

Downside part of mean1.41142

Upside SD0.23425

Downside SD0.17530

N nonnegative terms205.00000

N negative terms148.00000
 Statistics related to linear regression on benchmark

N of observations353.00000

Mean of predictor0.33528

Mean of criterion0.61272

SD of predictor0.25732

SD of criterion0.29053

Covariance0.02124

r0.28405

b (slope, estimate of beta)0.32072

a (intercept, estimate of alpha)0.50518

Mean Square Error0.07782

DF error351.00000

t(b)5.55034

p(b)0.00000

t(a)2.09524

p(a)0.01843

Lowerbound of 95% confidence interval for beta0.20708

Upperbound of 95% confidence interval for beta0.43437

Lowerbound of 95% confidence interval for alpha0.03098

Upperbound of 95% confidence interval for alpha0.97939

Treynor index (mean / b)1.91043

Jensen alpha (a)0.50518
 Risk estimates for a oneperiod unit investment (parametric)
 assuming log normal returns and losses (using central moments from Sharpe statistics)

VaR(95%)0.02682

Expected Shortfall on VaR0.03407
 assuming Pareto losses only (using partial moments from Sortino statistics)

VaR(95%)0.01099

Expected Shortfall on VaR0.02183
 ORDER STATISTICS
 Quartiles of return rates

Number of observations353.00000

Minimum0.94058

Quartile 10.99198

Median1.00199

Quartile 31.01073

Maximum1.08406

Mean of quarter 10.98172

Mean of quarter 20.99774

Mean of quarter 31.00604

Mean of quarter 41.02518

Inter Quartile Range0.01875

Number outliers low4.00000

Percentage of outliers low0.01133

Mean of outliers low0.94893

Number of outliers high13.00000

Percentage of outliers high0.03683

Mean of outliers high1.05304
 Risk estimates for a oneperiod unit investment (based on Ex

Extreme Value Index (moments method)0.01565

VaR(95%) (moments method)0.01728

Expected Shortfall (moments method)0.02289

Extreme Value Index (regression method)0.14704

VaR(95%) (regression method)0.01834

Expected Shortfall (regression method)0.02327
 DRAW DOWN STATISTICS
 Quartiles of draw downs

Number of observations20.00000

Minimum0.00001

Quartile 10.01588

Median0.04143

Quartile 30.06820

Maximum0.25920

Mean of quarter 10.00680

Mean of quarter 20.02492

Mean of quarter 30.05414

Mean of quarter 40.15250

Inter Quartile Range0.05232

Number outliers low0.00000

Percentage of outliers low0.00000

Mean of outliers low0.00000

Number of outliers high2.00000

Percentage of outliers high0.10000

Mean of outliers high0.23134
 Risk estimates based on draw downs (based on Extreme Value T

Extreme Value Index (moments method)0.00584

VaR(95%) (moments method)0.15701

Expected Shortfall (moments method)0.20820

Extreme Value Index (regression method)0.30780

VaR(95%) (regression method)0.19435

Expected Shortfall (regression method)0.32144
 COMBINED STATISTICS

Annualized return (arithmetic extrapolation)1.01725

Compounded annual return (geometric extrapolation)0.89766

Calmar ratio (compounded annual return / max draw down)3.46315

Compounded annual return / average of 25% largest draw downs5.88637

Compounded annual return / Expected Shortfall lognormal26.34810

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

Mean0.09968

SD0.28949

Sharpe ratio (Glass type estimate)0.34434

Sharpe ratio (Hedges UMVUE)0.34235

df130.00000

t0.24348

p0.51067

Lowerbound of 95% confidence interval for Sharpe Ratio3.11586

Upperbound of 95% confidence interval for Sharpe Ratio2.42839

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation3.11447

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation2.42977
 Statistics related to Sortino ratio

Sortino ratio0.48001

Upside Potential Ratio8.06545

Upside part of mean1.67495

Downside part of mean1.77463

Upside SD0.20020

Downside SD0.20767

N nonnegative terms70.00000

N negative terms61.00000
 Statistics related to linear regression on benchmark

N of observations131.00000

Mean of predictor0.26304

Mean of criterion0.09968

SD of predictor0.13597

SD of criterion0.28949

Covariance0.01177

r0.29905

b (slope, estimate of beta)0.63668

a (intercept, estimate of alpha)0.26715

Mean Square Error0.07690

DF error129.00000

t(b)3.55938

p(b)0.31250

t(a)0.67635

p(a)0.53782

Lowerbound of 95% confidence interval for beta0.28277

Upperbound of 95% confidence interval for beta0.99059

Lowerbound of 95% confidence interval for alpha1.04866

Upperbound of 95% confidence interval for alpha0.51435

Treynor index (mean / b)0.15657

Jensen alpha (a)0.26715
 Ratio statistics of excess log return rates
 Statistics related to Sharpe ratio

Mean0.14134

SD0.28980

Sharpe ratio (Glass type estimate)0.48771

Sharpe ratio (Hedges UMVUE)0.48489

df130.00000

t0.34486

p0.51512

Lowerbound of 95% confidence interval for Sharpe Ratio3.25930

Upperbound of 95% confidence interval for Sharpe Ratio2.28558

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation3.25732

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation2.28755
 Statistics related to Sortino ratio

Sortino ratio0.66919

Upside Potential Ratio7.83664

Upside part of mean1.65516

Downside part of mean1.79650

Upside SD0.19701

Downside SD0.21121

N nonnegative terms70.00000

N negative terms61.00000
 Statistics related to linear regression on benchmark

N of observations131.00000

Mean of predictor0.25370

Mean of criterion0.14134

SD of predictor0.13607

SD of criterion0.28980

Covariance0.01182

r0.29969

b (slope, estimate of beta)0.63829

a (intercept, estimate of alpha)0.30327

Mean Square Error0.07703

DF error129.00000

t(b)3.56786

p(b)0.31211

t(a)0.76753

p(a)0.54289

VAR (95 Confidence Intrvl)0.02700

Lowerbound of 95% confidence interval for beta0.28433

Upperbound of 95% confidence interval for beta0.99225

Lowerbound of 95% confidence interval for alpha1.08505

Upperbound of 95% confidence interval for alpha0.47850

Treynor index (mean / b)0.22143

Jensen alpha (a)0.30327
 Risk estimates for a oneperiod unit investment (parametric)
 assuming log normal returns and losses (using central moments from Sharpe statistics)

VaR(95%)0.02954

Expected Shortfall on VaR0.03676
 assuming Pareto losses only (using partial moments from Sortino statistics)

VaR(95%)0.01504

Expected Shortfall on VaR0.02847
 ORDER STATISTICS
 Quartiles of return rates

Number of observations131.00000

Minimum0.94058

Quartile 10.98892

Median1.00119

Quartile 31.00868

Maximum1.05194

Mean of quarter 10.97783

Mean of quarter 20.99564

Mean of quarter 31.00418

Mean of quarter 41.02140

Inter Quartile Range0.01976

Number outliers low2.00000

Percentage of outliers low0.01527

Mean of outliers low0.94549

Number of outliers high4.00000

Percentage of outliers high0.03053

Mean of outliers high1.04464
 Risk estimates for a oneperiod unit investment (based on Ex

Extreme Value Index (moments method)0.14027

VaR(95%) (moments method)0.02307

Expected Shortfall (moments method)0.03282

Extreme Value Index (regression method)0.05852

VaR(95%) (regression method)0.02134

Expected Shortfall (regression method)0.02838
 DRAW DOWN STATISTICS
 Quartiles of draw downs

Number of observations3.00000

Minimum0.03760

Quartile 10.12054

Median0.20348

Quartile 30.23134

Maximum0.25920

Mean of quarter 10.03760

Mean of quarter 20.20348

Mean of quarter 30.00000

Mean of quarter 40.25920

Inter Quartile Range0.11080

Number outliers low0.00000

Percentage of outliers low0.00000

Mean of outliers low0.00000

Number of outliers high0.00000

Percentage of outliers high0.00000

Mean of outliers high0.00000
 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

Last 4 Months  Pcnt Negative0.50%

Expected Shortfall (regression method)0.00000

Strat Max DD how much worse than SP500 max DD during strat life?284142000

Max Equity Drawdown (num days)92
 COMBINED STATISTICS

Annualized return (arithmetic extrapolation)0.11027

Compounded annual return (geometric extrapolation)0.10723

Calmar ratio (compounded annual return / max draw down)0.41371

Compounded annual return / average of 25% largest draw downs0.41371

Compounded annual return / Expected Shortfall lognormal2.91748
Strategy Description
 Swing trade under/overvalued stocks both in shortterm and longterm
 Risk no more than 2% for each position
 Stop loss is placed when a position is opened, subscribers should receive notification
 Min Capital: $25,000
About the subscription fee:
The subscription fee will be updated on a month basis based on last month's performance.
The formula is: next month fee = this month fee * riskadjust return for this month.
Risk adjust return = return  SPY return.
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 underor overcompensated 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 rescaled downward to make current goforward 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 pertrade 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.
Not available
This feature isn't available under your current Trade Leader Plan.
Strategy is now visible
This strategy is now visible to the public. New subscribers will be able to follow it.
If you designate your strategy as Private, it will no longer be visible to the public.
No subscribers and simulations will be allowed. If you have subscribers, the strategy will still be visible to them.
If you have simulations, they will be stopped.
Continue to designate your strategy as Private?
Strategy is no longer visible
This strategy is no longer visible to anyone except current subscribers.
(Current subscribers will remain subscribed. You can see who is subscribed, and control their subscriptions, on your Subscriber Management screen.)
Finally, please note that you can restore public visibility at any time.
This strategy is no longer visible to the public. No subscribers will be allowed.
You can restore public visibility at any time.
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.