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
09/01/2020
Most recent certification approved
9/13/21 7:27 ET
Trades at broker
Interactive Brokers (Stocks, Options, Futures)
Scaling percentage used
100%
# trading signals issued by system since certification
279
# trading signals executed in manager's Interactive Brokers (Stocks, Options, Futures) account
273
Percent signals followed since 09/01/2020
97.8%
This information was last updated
9/17/21 9:33 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 09/01/2020,
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.
Micro Futures
(130482646)
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  09/01/2020 
Most recent certification approved  9/13/21 7:27 ET 
Trades at broker  Interactive Brokers (Stocks, Options, Futures) 
Scaling percentage used  100% 
# trading signals issued by system since certification  279 
# trading signals executed in manager's Interactive Brokers (Stocks, Options, Futures) account  273 
Percent signals followed since 09/01/2020  97.8% 
This information was last updated  9/17/21 9:33 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 09/01/2020, 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 $59.00 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.
Momentum
Aims to capitalize on the continuance of existing trends in the market. Trader takes a long position in an asset in an upward trend, and shortsells a security that has been in a downward trend. While similar to Trendfollowing, tends to be more forwardlooking (predicting oncoming trend), while Momentum is more backwardlooking (observing alreadyestablished price direction).Rate of Return Calculations
Overview
To comply with NFA regulations, we display Cumulative Rate of Return for strategies with a track record of less than one year. For strategies with longer track records, we display Annualized (Compounded) Rate of Return.
How Annualized (Compounded) Rate of Return is calculated
= ((Ending_equity / Starting_equity) ^ (1 / age_in_years))  1
Remember that, following NFA requirements, strategy subscription costs and estimated commissions are included in markedtomarket equity calculations.
All results are hypothetical.
Jan  Feb  Mar  Apr  May  Jun  Jul  Aug  Sep  Oct  Nov  Dec  YTD  

2020  +21.9%  (13%)  +7.3%  (3.7%)  (1%)  +8.4%  
2021  +3.7%  (0.5%)  (3.9%)  +7.6%  (3.8%)  +6.5%  +2.1%  +2.1%  (1.8%)  +12.0% 
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.
Started  $20,000  
Buy Power  $25,767  
Cash  $1  
Equity  $1  
Cumulative $  $6,357  
Total System Equity  $26,357  
Margined  $1  
Open P/L  ($818)  
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 began8/6/2020

Suggested Minimum Cap$25,000

Strategy Age (days)408.62

Age14 months ago

What it tradesFutures

# Trades140

# Profitable62

% Profitable44.30%

Avg trade duration2.0 days

Max peaktovalley drawdown23.42%

drawdown periodAug 31, 2020  Sept 17, 2020

Annual Return (Compounded)21.0%

Avg win$521.53

Avg loss$333.05
 Model Account Values (Raw)

Cash$26,065

Margin Used$590

Buying Power$25,767
 Ratios

W:L ratio1.24:1

Sharpe Ratio0.54

Sortino Ratio0.82

Calmar Ratio1.149
 CORRELATION STATISTICS

Return of Strat Pcnt  Return of SP500 Pcnt (cumu)8.35%

Correlation to SP5000.26690

Return Percent SP500 (cumu) during strategy life32.36%
 Return Statistics

Ann Return (w trading costs)21.0%
 Slump

Current Slump as Pcnt Equity2.50%
 Instruments

Percent Trades Futures1.00%
 Slump

Current Slump, time of slump as pcnt of strategy life0.03%
 Return Statistics

Return Pcnt Since TOS Status5.560%
 Instruments

Short Options  Percent Covered100.00%
 Return Statistics

Return Pcnt (Compound or Annual, agebased, NFA compliant)0.210%
 Instruments

Percent Trades Optionsn/a

Percent Trades Stocksn/a

Percent Trades Forexn/a
 Return Statistics

Ann Return (Compnd, No Fees)27.9%
 Risk of Ruin (MonteCarlo)

Chance of 10% account loss50.00%

Chance of 20% account loss19.50%

Chance of 30% account loss3.50%

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 Automated95.27%
 Risk of Ruin (MonteCarlo)

Chance of 50% account lossn/a
 Popularity

Popularity (Today)740

Popularity (Last 6 weeks)964
 Trading Style

Any stock shorts? 0/10
 Popularity

C2 Score40

Popularity (7 days, Percentile 1000 scale)911
 Management

No Subs Allowed Flag (1: no subs)0

Strat abandoned?0
 TradesOwnSystem Certification

Trades Own System?Yes

TOS percent100%
 Win / Loss

Avg Loss$333

Avg Win$522

Sum Trade PL (losers)$25,978.000
 AUM

AUM (AutoTrader num accounts)34
 Age

Num Months filled monthly returns table14
 Win / Loss

Sum Trade PL (winners)$32,335.000

# Winners62

Num Months Winners7
 Dividends

Dividends Received in Model Acct0
 AUM

AUM (AutoTrader live capital)939356
 Win / Loss

# Losers78

% Winners44.3%
 Frequency

Avg Position Time (mins)2888.95

Avg Position Time (hrs)48.15

Avg Trade Length2.0 days

Last Trade Ago1
 Leverage

Daily leverage (average)1.67

Daily leverage (max)7.76
 Regression

Alpha0.02

Beta0.63

Treynor Index0.10
 Maximum Adverse Excursion (MAE)

MAE:Equity, average, all trades0.01

MAE:PL  worst single value for strategy

MAE:PL (avg, winning trades)

MAE:PL (avg, losing trades)

MAE:PL (avg, all trades)3.00

MAE:Equity, average, winning trades0.01

MAE:Equity, average, losing trades0.01

Avg(MAE) / Avg(PL)  All trades3.236

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 strat0.03

Avg(MAE) / Avg(PL)  Winning trades0.495

Avg(MAE) / Avg(PL)  Losing trades2.576

HoldandHope Ratio0.309
 Analysis based on MONTHLY values, full history
 RATIO STATISTICS
 Ratio statistics of excess return rates
 Statistics related to Sharpe ratio

Mean0.23444

SD0.26729

Sharpe ratio (Glass type estimate)0.87712

Sharpe ratio (Hedges UMVUE)0.82093

df12.00000

t0.91293

p0.37258

Lowerbound of 95% confidence interval for Sharpe Ratio1.05512

Upperbound of 95% confidence interval for Sharpe Ratio2.77447

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation1.09057

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation2.73243
 Statistics related to Sortino ratio

Sortino ratio2.65263

Upside Potential Ratio4.73343

Upside part of mean0.41835

Downside part of mean0.18391

Upside SD0.25044

Downside SD0.08838

N nonnegative terms6.00000

N negative terms7.00000
 Statistics related to linear regression on benchmark

N of observations13.00000

Mean of predictor0.22682

Mean of criterion0.23444

SD of predictor0.07226

SD of criterion0.26729

Covariance0.00475

r0.24607

b (slope, estimate of beta)0.91019

a (intercept, estimate of alpha)0.02799

Mean Square Error0.07322

DF error11.00000

t(b)0.84201

p(b)0.20886

t(a)0.07833

p(a)0.46949

Lowerbound of 95% confidence interval for beta1.46901

Upperbound of 95% confidence interval for beta3.28939

Lowerbound of 95% confidence interval for alpha0.75855

Upperbound of 95% confidence interval for alpha0.81454

Treynor index (mean / b)0.25758

Jensen alpha (a)0.02799
 Ratio statistics of excess log return rates
 Statistics related to Sharpe ratio

Mean0.20239

SD0.24717

Sharpe ratio (Glass type estimate)0.81884

Sharpe ratio (Hedges UMVUE)0.76639

df12.00000

t0.85228

p0.38055

Lowerbound of 95% confidence interval for Sharpe Ratio1.10823

Upperbound of 95% confidence interval for Sharpe Ratio2.71323

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation1.14148

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation2.67426
 Statistics related to Sortino ratio

Sortino ratio2.23961

Upside Potential Ratio4.31440

Upside part of mean0.38988

Downside part of mean0.18750

Upside SD0.22724

Downside SD0.09037

N nonnegative terms6.00000

N negative terms7.00000
 Statistics related to linear regression on benchmark

N of observations13.00000

Mean of predictor0.22189

Mean of criterion0.20239

SD of predictor0.07061

SD of criterion0.24717

Covariance0.00434

r0.24876

b (slope, estimate of beta)0.87078

a (intercept, estimate of alpha)0.00918

Mean Square Error0.06252

DF error11.00000

t(b)0.85182

p(b)0.20624

t(a)0.02777

p(a)0.48917

Lowerbound of 95% confidence interval for beta1.37920

Upperbound of 95% confidence interval for beta3.12075

Lowerbound of 95% confidence interval for alpha0.71802

Upperbound of 95% confidence interval for alpha0.73637

Treynor index (mean / b)0.23242

Jensen alpha (a)0.00918
 Risk estimates for a oneperiod unit investment (parametric)
 assuming log normal returns and losses (using central moments from Sharpe statistics)

VaR(95%)0.09561

Expected Shortfall on VaR0.12187
 assuming Pareto losses only (using partial moments from Sortino statistics)

VaR(95%)0.03732

Expected Shortfall on VaR0.06304
 ORDER STATISTICS
 Quartiles of return rates

Number of observations13.00000

Minimum0.94308

Quartile 10.97272

Median0.99869

Quartile 31.03697

Maximum1.24077

Mean of quarter 10.95824

Mean of quarter 20.99470

Mean of quarter 31.03348

Mean of quarter 41.12224

Inter Quartile Range0.06425

Number outliers low0.00000

Percentage of outliers low0.00000

Mean of outliers low0.00000

Number of outliers high1.00000

Percentage of outliers high0.07692

Mean of outliers high1.24077
 Risk estimates for a oneperiod unit investment (based on Ex

Extreme Value Index (moments method)3.94111

VaR(95%) (moments method)0.04507

Expected Shortfall (moments method)0.04510

Extreme Value Index (regression method)0.81223

VaR(95%) (regression method)0.05811

Expected Shortfall (regression method)0.06254
 DRAW DOWN STATISTICS
 Quartiles of draw downs

Number of observations3.00000

Minimum0.00362

Quartile 10.02420

Median0.04479

Quartile 30.06874

Maximum0.09269

Mean of quarter 10.00362

Mean of quarter 20.04479

Mean of quarter 30.00000

Mean of quarter 40.09269

Inter Quartile Range0.04454

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)0.26157

Compounded annual return (geometric extrapolation)0.25897

Calmar ratio (compounded annual return / max draw down)2.79400

Compounded annual return / average of 25% largest draw downs2.79400

Compounded annual return / Expected Shortfall lognormal2.12496

0.00000

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

Mean0.26192

SD0.34813

Sharpe ratio (Glass type estimate)0.75236

Sharpe ratio (Hedges UMVUE)0.75036

df283.00000

t0.78331

p0.21705

Lowerbound of 95% confidence interval for Sharpe Ratio1.13179

Upperbound of 95% confidence interval for Sharpe Ratio2.63529

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation1.13317

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation2.63390
 Statistics related to Sortino ratio

Sortino ratio1.19417

Upside Potential Ratio7.68333

Upside part of mean1.68520

Downside part of mean1.42328

Upside SD0.27004

Downside SD0.21933

N nonnegative terms132.00000

N negative terms152.00000
 Statistics related to linear regression on benchmark

N of observations284.00000

Mean of predictor0.23250

Mean of criterion0.26192

SD of predictor0.14597

SD of criterion0.34813

Covariance0.01380

r0.27154

b (slope, estimate of beta)0.64763

a (intercept, estimate of alpha)0.11100

Mean Square Error0.11266

DF error282.00000

t(b)4.73798

p(b)0.00000

t(a)0.34371

p(a)0.36566

Lowerbound of 95% confidence interval for beta0.37857

Upperbound of 95% confidence interval for beta0.91669

Lowerbound of 95% confidence interval for alpha0.52631

Upperbound of 95% confidence interval for alpha0.74900

Treynor index (mean / b)0.40443

Jensen alpha (a)0.11134
 Ratio statistics of excess log return rates
 Statistics related to Sharpe ratio

Mean0.20225

SD0.34466

Sharpe ratio (Glass type estimate)0.58682

Sharpe ratio (Hedges UMVUE)0.58526

df283.00000

t0.61096

p0.27086

Lowerbound of 95% confidence interval for Sharpe Ratio1.29682

Upperbound of 95% confidence interval for Sharpe Ratio2.46946

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation1.29788

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation2.46840
 Statistics related to Sortino ratio

Sortino ratio0.89619

Upside Potential Ratio7.31276

Upside part of mean1.65036

Downside part of mean1.44811

Upside SD0.26000

Downside SD0.22568

N nonnegative terms132.00000

N negative terms152.00000
 Statistics related to linear regression on benchmark

N of observations284.00000

Mean of predictor0.22174

Mean of criterion0.20225

SD of predictor0.14626

SD of criterion0.34466

Covariance0.01386

r0.27501

b (slope, estimate of beta)0.64806

a (intercept, estimate of alpha)0.05855

Mean Square Error0.11020

DF error282.00000

t(b)4.80341

p(b)0.00000

t(a)0.18284

p(a)0.42753

Lowerbound of 95% confidence interval for beta0.38249

Upperbound of 95% confidence interval for beta0.91363

Lowerbound of 95% confidence interval for alpha0.57182

Upperbound of 95% confidence interval for alpha0.68893

Treynor index (mean / b)0.31209

Jensen alpha (a)0.05855
 Risk estimates for a oneperiod unit investment (parametric)
 assuming log normal returns and losses (using central moments from Sharpe statistics)

VaR(95%)0.03367

Expected Shortfall on VaR0.04220
 assuming Pareto losses only (using partial moments from Sortino statistics)

VaR(95%)0.01287

Expected Shortfall on VaR0.02703
 ORDER STATISTICS
 Quartiles of return rates

Number of observations284.00000

Minimum0.89375

Quartile 10.99466

Median1.00000

Quartile 31.00682

Maximum1.14371

Mean of quarter 10.97995

Mean of quarter 20.99855

Mean of quarter 31.00273

Mean of quarter 41.02320

Inter Quartile Range0.01216

Number outliers low20.00000

Percentage of outliers low0.07042

Mean of outliers low0.95660

Number of outliers high19.00000

Percentage of outliers high0.06690

Mean of outliers high1.05281
 Risk estimates for a oneperiod unit investment (based on Ex

Extreme Value Index (moments method)0.54284

VaR(95%) (moments method)0.01954

Expected Shortfall (moments method)0.04843

Extreme Value Index (regression method)0.35752

VaR(95%) (regression method)0.01536

Expected Shortfall (regression method)0.02801
 DRAW DOWN STATISTICS
 Quartiles of draw downs

Number of observations8.00000

Minimum0.00130

Quartile 10.00826

Median0.03893

Quartile 30.06273

Maximum0.22534

Mean of quarter 10.00155

Mean of quarter 20.02436

Mean of quarter 30.04925

Mean of quarter 40.14973

Inter Quartile Range0.05447

Number outliers low0.00000

Percentage of outliers low0.00000

Mean of outliers low0.00000

Number of outliers high1.00000

Percentage of outliers high0.12500

Mean of outliers high0.22534
 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)0.26142

Compounded annual return (geometric extrapolation)0.25880

Calmar ratio (compounded annual return / max draw down)1.14853

Compounded annual return / average of 25% largest draw downs1.72844

Compounded annual return / Expected Shortfall lognormal6.13240

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

Mean0.33575

SD0.13995

Sharpe ratio (Glass type estimate)2.39904

Sharpe ratio (Hedges UMVUE)2.38517

df130.00000

t1.69638

p0.42642

Lowerbound of 95% confidence interval for Sharpe Ratio0.39255

Upperbound of 95% confidence interval for Sharpe Ratio5.18166

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.40175

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation5.17210
 Statistics related to Sortino ratio

Sortino ratio3.72248

Upside Potential Ratio11.58060

Upside part of mean1.04451

Downside part of mean0.70876

Upside SD0.10831

Downside SD0.09019

N nonnegative terms75.00000

N negative terms56.00000
 Statistics related to linear regression on benchmark

N of observations131.00000

Mean of predictor0.22602

Mean of criterion0.33575

SD of predictor0.10557

SD of criterion0.13995

Covariance0.00493

r0.33400

b (slope, estimate of beta)0.44278

a (intercept, estimate of alpha)0.23567

Mean Square Error0.01754

DF error129.00000

t(b)4.02459

p(b)0.29139

t(a)1.24746

p(a)0.43063

Lowerbound of 95% confidence interval for beta0.22510

Upperbound of 95% confidence interval for beta0.66045

Lowerbound of 95% confidence interval for alpha0.13811

Upperbound of 95% confidence interval for alpha0.60945

Treynor index (mean / b)0.75828

Jensen alpha (a)0.23567
 Ratio statistics of excess log return rates
 Statistics related to Sharpe ratio

Mean0.32579

SD0.13989

Sharpe ratio (Glass type estimate)2.32900

Sharpe ratio (Hedges UMVUE)2.31554

df130.00000

t1.64685

p0.42852

Lowerbound of 95% confidence interval for Sharpe Ratio0.46159

Upperbound of 95% confidence interval for Sharpe Ratio5.11086

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.47052

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation5.10160
 Statistics related to Sortino ratio

Sortino ratio3.58455

Upside Potential Ratio11.42710

Upside part of mean1.03859

Downside part of mean0.71279

Upside SD0.10753

Downside SD0.09089

N nonnegative terms75.00000

N negative terms56.00000
 Statistics related to linear regression on benchmark

N of observations131.00000

Mean of predictor0.22038

Mean of criterion0.32579

SD of predictor0.10552

SD of criterion0.13989

Covariance0.00493

r0.33385

b (slope, estimate of beta)0.44256

a (intercept, estimate of alpha)0.22826

Mean Square Error0.01752

DF error129.00000

t(b)4.02263

p(b)0.29148

t(a)1.20926

p(a)0.43273

VAR (95 Confidence Intrvl)0.03400

Lowerbound of 95% confidence interval for beta0.22489

Upperbound of 95% confidence interval for beta0.66024

Lowerbound of 95% confidence interval for alpha0.14521

Upperbound of 95% confidence interval for alpha0.60173

Treynor index (mean / b)0.73615

Jensen alpha (a)0.22826
 Risk estimates for a oneperiod unit investment (parametric)
 assuming log normal returns and losses (using central moments from Sharpe statistics)

VaR(95%)0.01289

Expected Shortfall on VaR0.01644
 assuming Pareto losses only (using partial moments from Sortino statistics)

VaR(95%)0.00563

Expected Shortfall on VaR0.01131
 ORDER STATISTICS
 Quartiles of return rates

Number of observations131.00000

Minimum0.97397

Quartile 10.99650

Median1.00108

Quartile 31.00706

Maximum1.02417

Mean of quarter 10.99053

Mean of quarter 20.99912

Mean of quarter 31.00417

Mean of quarter 41.01181

Inter Quartile Range0.01057

Number outliers low2.00000

Percentage of outliers low0.01527

Mean of outliers low0.97722

Number of outliers high1.00000

Percentage of outliers high0.00763

Mean of outliers high1.02417
 Risk estimates for a oneperiod unit investment (based on Ex

Extreme Value Index (moments method)0.02048

VaR(95%) (moments method)0.00838

Expected Shortfall (moments method)0.01134

Extreme Value Index (regression method)0.06983

VaR(95%) (regression method)0.01017

Expected Shortfall (regression method)0.01383
 DRAW DOWN STATISTICS
 Quartiles of draw downs

Number of observations11.00000

Minimum0.00086

Quartile 10.00155

Median0.01042

Quartile 30.03059

Maximum0.06559

Mean of quarter 10.00102

Mean of quarter 20.00624

Mean of quarter 30.01907

Mean of quarter 40.04782

Inter Quartile Range0.02904

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)0.14736

VaR(95%) (moments method)0.05384

Expected Shortfall (moments method)0.06934

Extreme Value Index (regression method)3.35126

VaR(95%) (regression method)0.08110

Last 4 Months  Pcnt Negative0.25%

Expected Shortfall (regression method)0.00000

Strat Max DD how much worse than SP500 max DD during strat life?297172000

Max Equity Drawdown (num days)17
 COMBINED STATISTICS

Annualized return (arithmetic extrapolation)0.38690

Compounded annual return (geometric extrapolation)0.42433

Calmar ratio (compounded annual return / max draw down)6.46988

Compounded annual return / average of 25% largest draw downs8.87378

Compounded annual return / Expected Shortfall lognormal25.80920
Strategy Description
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.
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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.