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These are hypothetical performance results that have certain inherent limitations. Learn more

Dodger and Me
(129456503)

Started: 06/2020
Futures
Last trade: Today
Trading style: Options Directional Bets

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 $147.00 per month.

C2Star

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

You can read more about C2Star certification requirements here.

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

Trading Category: Options
Directional Bets
Category: Equity

Directional Bets

Uses primarily options to make bets about the direction or magnitude of price movements in assets.
20.3%
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.

(28.7%)
Max Drawdown
1033
Num Trades
78.5%
Win Trades
1.3 : 1
Profit Factor
66.7%
Win Months
Hypothetical Monthly Returns (includes system fee and Interactive Brokers commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2020                                   +7.2%(5.7%)(11.8%)+4.9%(3%)+15.7%+7.7%+13.1%
2021+5.4%+1.0%                                                            +6.4%

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 5,414 trades in real-life brokerage accounts. The most recent trade in a real-money brokerage account occurred more than 64 days ago.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
2/4/21 20:59 @MNQH1 MICRO E-MINI NASDAQ 100 SHORT 15 13659.00 2/22 20:52 13520.33 10.5%
Trade id #133862340
Max drawdown($4,950)
Time2/16/21 0:00
Quant open10
Worst price13900.80
Drawdown as % of equity-10.50%
$4,146
Includes Typical Broker Commissions trade costs of $14.10
2/4/21 20:58 @MESH1 MICRO E-MINI S&P 500 SHORT 15 3895.83 2/22 20:52 3894.67 7.28%
Trade id #133862330
Max drawdown($3,431)
Time2/16/21 0:00
Quant open10
Worst price3959.25
Drawdown as % of equity-7.28%
$74
Includes Typical Broker Commissions trade costs of $14.10
2/4/21 20:58 @QMH1 MINY CRUDE OIL SHORT 4 58.938 2/18 19:54 59.700 10.78%
Trade id #133862332
Max drawdown($5,725)
Time2/18/21 0:19
Quant open4
Worst price61.800
Drawdown as % of equity-10.78%
($1,543)
Includes Typical Broker Commissions trade costs of $18.40
2/16/21 15:21 @TYH1 US T-NOTE 10 YR LONG 3 135 50/64 2/17 9:44 135 55/64 1.83%
Trade id #134093196
Max drawdown($937)
Time2/17/21 8:31
Quant open3
Worst price135 30/64
Drawdown as % of equity-1.83%
$216
Includes Typical Broker Commissions trade costs of $18.00
1/26/21 14:55 @MESH1 MICRO E-MINI S&P 500 SHORT 2 3848.25 1/27 12:40 3782.25 0.1%
Trade id #133608056
Max drawdown($57)
Time1/26/21 16:08
Quant open2
Worst price3854.00
Drawdown as % of equity-0.10%
$658
Includes Typical Broker Commissions trade costs of $1.88
1/26/21 14:55 @MNQH1 MICRO E-MINI NASDAQ 100 SHORT 5 13548.65 1/27 12:40 13296.00 0.69%
Trade id #133608041
Max drawdown($381)
Time1/26/21 18:23
Quant open5
Worst price13586.80
Drawdown as % of equity-0.69%
$2,522
Includes Typical Broker Commissions trade costs of $4.70
1/26/21 14:56 QMGCG1 E-Micro Gold LONG 2 1850.2 1/27 12:40 1843.2 0.79%
Trade id #133608074
Max drawdown($438)
Time1/27/21 9:45
Quant open2
Worst price1828.3
Drawdown as % of equity-0.79%
($141)
Includes Typical Broker Commissions trade costs of $1.40
1/14/21 12:32 @RTYH1 Russell 2000 CME SHORT 1 2157.60 1/14 12:42 2154.50 n/a $149
Includes Typical Broker Commissions trade costs of $6.00
12/21/20 12:27 @MNQH1 MICRO E-MINI NASDAQ 100 SHORT 21 12692.78 12/22 11:31 12681.03 1.26%
Trade id #132943866
Max drawdown($693)
Time12/21/20 20:30
Quant open6
Worst price12728.00
Drawdown as % of equity-1.26%
$474
Includes Typical Broker Commissions trade costs of $19.74
12/21/20 16:00 @M2KH1 MICRO E-MINI RUSSELL 2000 SHORT 2 1964.05 12/21 16:04 1965.70 0.06%
Trade id #132948461
Max drawdown($31)
Time12/21/20 16:03
Quant open2
Worst price1967.20
Drawdown as % of equity-0.06%
($19)
Includes Typical Broker Commissions trade costs of $1.88
12/21/20 11:41 @MNQH1 MICRO E-MINI NASDAQ 100 SHORT 1 12582.50 12/21 11:43 12580.20 n/a $4
Includes Typical Broker Commissions trade costs of $0.94
12/21/20 10:45 @MNQH1 MICRO E-MINI NASDAQ 100 LONG 5 12475.90 12/21 11:01 12488.38 0.15%
Trade id #132940768
Max drawdown($81)
Time12/21/20 10:52
Quant open3
Worst price12462.20
Drawdown as % of equity-0.15%
$120
Includes Typical Broker Commissions trade costs of $4.70
12/21/20 10:18 @MYMH1 MICRO E-MINI DOW LONG 1 29672 12/21 10:45 29751 0.03%
Trade id #132939723
Max drawdown($15)
Time12/21/20 10:22
Quant open1
Worst price29641
Drawdown as % of equity-0.03%
$39
Includes Typical Broker Commissions trade costs of $0.94
12/21/20 10:11 @MNQH1 MICRO E-MINI NASDAQ 100 LONG 3 12502.23 12/21 10:24 12513.07 0.16%
Trade id #132939456
Max drawdown($88)
Time12/21/20 10:19
Quant open2
Worst price12480.00
Drawdown as % of equity-0.16%
$62
Includes Typical Broker Commissions trade costs of $2.82
12/21/20 9:42 QMGCG1 E-Micro Gold SHORT 1 1886.9 12/21 9:51 1883.4 0.01%
Trade id #132937932
Max drawdown($3)
Time12/21/20 9:46
Quant open1
Worst price1887.2
Drawdown as % of equity-0.01%
$34
Includes Typical Broker Commissions trade costs of $0.70
12/21/20 7:00 @M2KH1 MICRO E-MINI RUSSELL 2000 LONG 3 1915.37 12/21 8:41 1917.90 0.34%
Trade id #132933581
Max drawdown($183)
Time12/21/20 8:18
Quant open2
Worst price1897.00
Drawdown as % of equity-0.34%
$35
Includes Typical Broker Commissions trade costs of $2.82
12/18/20 15:59 @MNQH1 MICRO E-MINI NASDAQ 100 SHORT 9 12735.94 12/21 7:43 12684.57 0.44%
Trade id #132916414
Max drawdown($234)
Time12/21/20 0:47
Quant open3
Worst price12775.00
Drawdown as % of equity-0.44%
$917
Includes Typical Broker Commissions trade costs of $8.46
12/20/20 21:10 QMGCG1 E-Micro Gold SHORT 1 1903.0 12/20 21:36 1900.9 0.01%
Trade id #132926088
Max drawdown($5)
Time12/20/20 21:14
Quant open1
Worst price1903.5
Drawdown as % of equity-0.01%
$20
Includes Typical Broker Commissions trade costs of $0.70
12/20/20 20:46 @M2KH1 MICRO E-MINI RUSSELL 2000 LONG 3 1953.83 12/20 21:07 1954.80 0.11%
Trade id #132925857
Max drawdown($58)
Time12/20/20 20:51
Quant open2
Worst price1949.20
Drawdown as % of equity-0.11%
$12
Includes Typical Broker Commissions trade costs of $2.82
12/20/20 20:06 QMGCG1 E-Micro Gold SHORT 3 1900.6 12/20 20:44 1901.4 0.2%
Trade id #132925533
Max drawdown($107)
Time12/20/20 20:29
Quant open2
Worst price1905.6
Drawdown as % of equity-0.20%
($27)
Includes Typical Broker Commissions trade costs of $2.10
12/20/20 19:26 @M2KH1 MICRO E-MINI RUSSELL 2000 LONG 2 1964.55 12/20 19:50 1968.05 0.04%
Trade id #132925147
Max drawdown($24)
Time12/20/20 19:29
Quant open1
Worst price1960.70
Drawdown as % of equity-0.04%
$33
Includes Typical Broker Commissions trade costs of $1.88
12/18/20 15:56 @MNQH1 MICRO E-MINI NASDAQ 100 SHORT 1 12691.00 12/18 15:56 12694.50 0.01%
Trade id #132916228
Max drawdown($7)
Time12/18/20 15:56
Quant open1
Worst price12694.50
Drawdown as % of equity-0.01%
($8)
Includes Typical Broker Commissions trade costs of $0.94
12/18/20 15:54 @MNQH1 MICRO E-MINI NASDAQ 100 SHORT 1 12690.00 12/18 15:55 12694.20 0.01%
Trade id #132916180
Max drawdown($8)
Time12/18/20 15:55
Quant open1
Worst price12694.20
Drawdown as % of equity-0.01%
($9)
Includes Typical Broker Commissions trade costs of $0.94
12/18/20 15:17 @MNQH1 MICRO E-MINI NASDAQ 100 LONG 2 12648.65 12/18 15:33 12641.02 0.23%
Trade id #132915295
Max drawdown($123)
Time12/18/20 15:26
Quant open2
Worst price12617.80
Drawdown as % of equity-0.23%
($33)
Includes Typical Broker Commissions trade costs of $1.88
12/18/20 15:04 @MESH1 MICRO E-MINI S&P 500 LONG 1 3682.75 12/18 15:08 3685.75 n/a $14
Includes Typical Broker Commissions trade costs of $0.94
12/18/20 14:57 @MESH1 MICRO E-MINI S&P 500 LONG 1 3681.50 12/18 14:58 3681.50 n/a ($1)
Includes Typical Broker Commissions trade costs of $0.94
12/18/20 14:26 @MESH1 MICRO E-MINI S&P 500 LONG 1 3685.00 12/18 14:37 3687.00 0%
Trade id #132914278
Max drawdown($1)
Time12/18/20 14:30
Quant open1
Worst price3684.75
Drawdown as % of equity-0.00%
$9
Includes Typical Broker Commissions trade costs of $0.94
12/18/20 13:55 @QMG1 MINY CRUDE OIL SHORT 1 49.200 12/18 14:30 49.200 0.21%
Trade id #132913793
Max drawdown($112)
Time12/18/20 14:24
Quant open1
Worst price49.425
Drawdown as % of equity-0.21%
($5)
Includes Typical Broker Commissions trade costs of $4.60
12/16/20 15:29 @MNQH1 MICRO E-MINI NASDAQ 100 SHORT 18 12713.40 12/18 10:45 12702.94 1.71%
Trade id #132871335
Max drawdown($910)
Time12/18/20 9:18
Quant open6
Worst price12789.20
Drawdown as % of equity-1.71%
$359
Includes Typical Broker Commissions trade costs of $16.92
12/16/20 16:00 QMGCG1 E-Micro Gold SHORT 1 1869.3 12/16 16:07 1868.3 0%
Trade id #132872426
Max drawdown($2)
Time12/16/20 16:04
Quant open1
Worst price1869.5
Drawdown as % of equity-0.00%
$9
Includes Typical Broker Commissions trade costs of $0.70

Statistics

  • Strategy began
    6/9/2020
  • Suggested Minimum Cap
    $60,000
  • Strategy Age (days)
    260.09
  • Age
    9 months ago
  • What it trades
    Futures
  • # Trades
    1033
  • # Profitable
    811
  • % Profitable
    78.50%
  • Avg trade duration
    15.4 hours
  • Max peak-to-valley drawdown
    28.68%
  • drawdown period
    June 25, 2020 - Sept 02, 2020
  • Cumul. Return
    18.3%
  • Avg win
    $88.20
  • Avg loss
    $249.08
  • Model Account Values (Raw)
  • Cash
    $67,913
  • Margin Used
    $10,400
  • Buying Power
    $55,765
  • Ratios
  • W:L ratio
    1.29:1
  • Sharpe Ratio
    0.71
  • Sortino Ratio
    1.05
  • Calmar Ratio
    2.509
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -4.10%
  • Correlation to SP500
    0.08010
  • Return Percent SP500 (cumu) during strategy life
    22.40%
  • Return Statistics
  • Ann Return (w trading costs)
    26.2%
  • Slump
  • Current Slump as Pcnt Equity
    0.80%
  • Instruments
  • Percent Trades Futures
    0.97%
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.00%
  • Instruments
  • Short Options - Percent Covered
    n/a
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.183%
  • Instruments
  • Percent Trades Options
    0.03%
  • Percent Trades Stocks
    n/a
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    46.5%
  • Automation
  • Percentage Signals Automated
    33.84%
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    400
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • C2 Score
    20
  • Popularity (7 days, Percentile 1000 scale)
    0
  • Management
  • No Subs Allowed Flag (1: no subs)
    0
  • Strat abandoned?
    0
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $252
  • Avg Win
    $88
  • Sum Trade PL (losers)
    $55,878.000
  • Age
  • Num Months filled monthly returns table
    9
  • Win / Loss
  • Sum Trade PL (winners)
    $71,617.000
  • # Winners
    811
  • Num Months Winners
    6
  • Dividends
  • Dividends Received in Model Acct
    0
  • Win / Loss
  • # Losers
    222
  • % Winners
    78.5%
  • Frequency
  • Avg Position Time (mins)
    924.50
  • Avg Position Time (hrs)
    15.41
  • Avg Trade Length
    0.6 days
  • Last Trade Ago
    0
  • Leverage
  • Daily leverage (average)
    6.68
  • Daily leverage (max)
    27.55
  • Regression
  • Alpha
    0.09
  • Beta
    0.19
  • Treynor Index
    0.52
  • 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)
    0.59
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.02
  • Avg(MAE) / Avg(PL) - All trades
    33.397
  • 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
    1.652
  • Avg(MAE) / Avg(PL) - Losing trades
    -2.720
  • Hold-and-Hope Ratio
    0.030
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.31725
  • SD
    0.21601
  • Sharpe ratio (Glass type estimate)
    1.46870
  • Sharpe ratio (Hedges UMVUE)
    1.30451
  • df
    7.00000
  • t
    1.19919
  • p
    0.13473
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.09410
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.93848
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.19131
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.80033
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.44362
  • Upside Potential Ratio
    5.21317
  • Upside part of mean
    0.48027
  • Downside part of mean
    -0.16302
  • Upside SD
    0.20181
  • Downside SD
    0.09213
  • N nonnegative terms
    4.00000
  • N negative terms
    4.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    8.00000
  • Mean of predictor
    0.27844
  • Mean of criterion
    0.31725
  • SD of predictor
    0.08295
  • SD of criterion
    0.21601
  • Covariance
    0.00839
  • r
    0.46837
  • b (slope, estimate of beta)
    1.21968
  • a (intercept, estimate of alpha)
    -0.02236
  • Mean Square Error
    0.04249
  • DF error
    6.00000
  • t(b)
    1.29850
  • p(b)
    0.12089
  • t(a)
    -0.06150
  • p(a)
    0.52352
  • Lowerbound of 95% confidence interval for beta
    -1.07873
  • Upperbound of 95% confidence interval for beta
    3.51808
  • Lowerbound of 95% confidence interval for alpha
    -0.91186
  • Upperbound of 95% confidence interval for alpha
    0.86714
  • Treynor index (mean / b)
    0.26011
  • Jensen alpha (a)
    -0.02236
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.29298
  • SD
    0.21110
  • Sharpe ratio (Glass type estimate)
    1.38787
  • Sharpe ratio (Hedges UMVUE)
    1.23271
  • df
    7.00000
  • t
    1.13319
  • p
    0.14722
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.16069
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.84761
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.25308
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.71849
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.09423
  • Upside Potential Ratio
    4.85834
  • Upside part of mean
    0.46003
  • Downside part of mean
    -0.16704
  • Upside SD
    0.19283
  • Downside SD
    0.09469
  • N nonnegative terms
    4.00000
  • N negative terms
    4.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    8.00000
  • Mean of predictor
    0.27176
  • Mean of criterion
    0.29298
  • SD of predictor
    0.08107
  • SD of criterion
    0.21110
  • Covariance
    0.00822
  • r
    0.48020
  • b (slope, estimate of beta)
    1.25048
  • a (intercept, estimate of alpha)
    -0.04684
  • Mean Square Error
    0.04000
  • DF error
    6.00000
  • t(b)
    1.34097
  • p(b)
    0.11423
  • t(a)
    -0.13290
  • p(a)
    0.55069
  • Lowerbound of 95% confidence interval for beta
    -1.03133
  • Upperbound of 95% confidence interval for beta
    3.53230
  • Lowerbound of 95% confidence interval for alpha
    -0.90928
  • Upperbound of 95% confidence interval for alpha
    0.81560
  • Treynor index (mean / b)
    0.23430
  • Jensen alpha (a)
    -0.04684
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.07302
  • Expected Shortfall on VaR
    0.09610
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.03143
  • Expected Shortfall on VaR
    0.06004
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    8.00000
  • Minimum
    0.93707
  • Quartile 1
    0.98826
  • Median
    1.03484
  • Quartile 3
    1.07189
  • Maximum
    1.11578
  • Mean of quarter 1
    0.95128
  • Mean of quarter 2
    0.99904
  • Mean of quarter 3
    1.06906
  • Mean of quarter 4
    1.09569
  • Inter Quartile Range
    0.08363
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    3.00000
  • Minimum
    0.00415
  • Quartile 1
    0.01933
  • Median
    0.03452
  • Quartile 3
    0.04872
  • Maximum
    0.06293
  • Mean of quarter 1
    0.00415
  • Mean of quarter 2
    0.03452
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.06293
  • Inter Quartile Range
    0.02939
  • 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)
    0.35780
  • Compounded annual return (geometric extrapolation)
    0.37836
  • Calmar ratio (compounded annual return / max draw down)
    6.01222
  • Compounded annual return / average of 25% largest draw downs
    6.01222
  • Compounded annual return / Expected Shortfall lognormal
    3.93720
  • 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
    0.48997
  • SD
    0.42368
  • Sharpe ratio (Glass type estimate)
    1.15647
  • Sharpe ratio (Hedges UMVUE)
    1.15172
  • df
    183.00000
  • t
    0.96915
  • p
    0.45455
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.18686
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.49670
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.19003
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.49348
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.66779
  • Upside Potential Ratio
    8.28172
  • Upside part of mean
    2.43303
  • Downside part of mean
    -1.94306
  • Upside SD
    0.30518
  • Downside SD
    0.29378
  • N nonnegative terms
    91.00000
  • N negative terms
    93.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    184.00000
  • Mean of predictor
    0.27642
  • Mean of criterion
    0.48997
  • SD of predictor
    0.18081
  • SD of criterion
    0.42368
  • Covariance
    0.00621
  • r
    0.08109
  • b (slope, estimate of beta)
    0.19001
  • a (intercept, estimate of alpha)
    0.43700
  • Mean Square Error
    0.17930
  • DF error
    182.00000
  • t(b)
    1.09758
  • p(b)
    0.45946
  • t(a)
    0.86189
  • p(a)
    0.46812
  • Lowerbound of 95% confidence interval for beta
    -0.15157
  • Upperbound of 95% confidence interval for beta
    0.53159
  • Lowerbound of 95% confidence interval for alpha
    -0.56398
  • Upperbound of 95% confidence interval for alpha
    1.43887
  • Treynor index (mean / b)
    2.57863
  • Jensen alpha (a)
    0.43744
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.39935
  • SD
    0.42727
  • Sharpe ratio (Glass type estimate)
    0.93466
  • Sharpe ratio (Hedges UMVUE)
    0.93082
  • df
    183.00000
  • t
    0.78327
  • p
    0.46322
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.40729
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.27419
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.40990
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.27155
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.30475
  • Upside Potential Ratio
    7.80131
  • Upside part of mean
    2.38777
  • Downside part of mean
    -1.98842
  • Upside SD
    0.29748
  • Downside SD
    0.30607
  • N nonnegative terms
    91.00000
  • N negative terms
    93.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    184.00000
  • Mean of predictor
    0.25984
  • Mean of criterion
    0.39935
  • SD of predictor
    0.18210
  • SD of criterion
    0.42727
  • Covariance
    0.00752
  • r
    0.09667
  • b (slope, estimate of beta)
    0.22681
  • a (intercept, estimate of alpha)
    0.34042
  • Mean Square Error
    0.18185
  • DF error
    182.00000
  • t(b)
    1.31023
  • p(b)
    0.45167
  • t(a)
    0.66639
  • p(a)
    0.47533
  • Lowerbound of 95% confidence interval for beta
    -0.11474
  • Upperbound of 95% confidence interval for beta
    0.56835
  • Lowerbound of 95% confidence interval for alpha
    -0.66751
  • Upperbound of 95% confidence interval for alpha
    1.34835
  • Treynor index (mean / b)
    1.76076
  • Jensen alpha (a)
    0.34042
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.04103
  • Expected Shortfall on VaR
    0.05150
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01694
  • Expected Shortfall on VaR
    0.03564
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    184.00000
  • Minimum
    0.86493
  • Quartile 1
    0.99197
  • Median
    1.00005
  • Quartile 3
    1.01160
  • Maximum
    1.07512
  • Mean of quarter 1
    0.97270
  • Mean of quarter 2
    0.99784
  • Mean of quarter 3
    1.00557
  • Mean of quarter 4
    1.03179
  • Inter Quartile Range
    0.01963
  • Number outliers low
    8.00000
  • Percentage of outliers low
    0.04348
  • Mean of outliers low
    0.93303
  • Number of outliers high
    13.00000
  • Percentage of outliers high
    0.07065
  • Mean of outliers high
    1.05963
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.32554
  • VaR(95%) (moments method)
    0.02513
  • Expected Shortfall (moments method)
    0.04518
  • Extreme Value Index (regression method)
    0.17557
  • VaR(95%) (regression method)
    0.02851
  • Expected Shortfall (regression method)
    0.04599
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    10.00000
  • Minimum
    0.00162
  • Quartile 1
    0.00841
  • Median
    0.05173
  • Quartile 3
    0.12179
  • Maximum
    0.21249
  • Mean of quarter 1
    0.00364
  • Mean of quarter 2
    0.02888
  • Mean of quarter 3
    0.07053
  • Mean of quarter 4
    0.16884
  • Inter Quartile Range
    0.11338
  • 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)
    -1.44156
  • VaR(95%) (moments method)
    0.19597
  • Expected Shortfall (moments method)
    0.20161
  • Extreme Value Index (regression method)
    0.16542
  • VaR(95%) (regression method)
    0.22251
  • Expected Shortfall (regression method)
    0.29334
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.49828
  • Compounded annual return (geometric extrapolation)
    0.53305
  • Calmar ratio (compounded annual return / max draw down)
    2.50855
  • Compounded annual return / average of 25% largest draw downs
    3.15716
  • Compounded annual return / Expected Shortfall lognormal
    10.34980
  • 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
    0.57599
  • SD
    0.33982
  • Sharpe ratio (Glass type estimate)
    1.69500
  • Sharpe ratio (Hedges UMVUE)
    1.68520
  • df
    130.00000
  • t
    1.19855
  • p
    0.44773
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.08760
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.47131
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.09416
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.46457
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.55184
  • Upside Potential Ratio
    8.72845
  • Upside part of mean
    1.97015
  • Downside part of mean
    -1.39416
  • Upside SD
    0.25478
  • Downside SD
    0.22572
  • N nonnegative terms
    64.00000
  • N negative terms
    67.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.27618
  • Mean of criterion
    0.57599
  • SD of predictor
    0.17264
  • SD of criterion
    0.33982
  • Covariance
    -0.00696
  • r
    -0.11862
  • b (slope, estimate of beta)
    -0.23348
  • a (intercept, estimate of alpha)
    0.64047
  • Mean Square Error
    0.11473
  • DF error
    129.00000
  • t(b)
    -1.35683
  • p(b)
    0.57534
  • t(a)
    1.33050
  • p(a)
    0.42610
  • Lowerbound of 95% confidence interval for beta
    -0.57393
  • Upperbound of 95% confidence interval for beta
    0.10698
  • Lowerbound of 95% confidence interval for alpha
    -0.31195
  • Upperbound of 95% confidence interval for alpha
    1.59289
  • Treynor index (mean / b)
    -2.46701
  • Jensen alpha (a)
    0.64047
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.51790
  • SD
    0.34074
  • Sharpe ratio (Glass type estimate)
    1.51993
  • Sharpe ratio (Hedges UMVUE)
    1.51114
  • df
    130.00000
  • t
    1.07475
  • p
    0.45308
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.26093
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.29498
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.26674
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.28903
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.22331
  • Upside Potential Ratio
    8.32171
  • Upside part of mean
    1.93847
  • Downside part of mean
    -1.42057
  • Upside SD
    0.24896
  • Downside SD
    0.23294
  • N nonnegative terms
    64.00000
  • N negative terms
    67.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.26116
  • Mean of criterion
    0.51790
  • SD of predictor
    0.17322
  • SD of criterion
    0.34074
  • Covariance
    -0.00670
  • r
    -0.11351
  • b (slope, estimate of beta)
    -0.22329
  • a (intercept, estimate of alpha)
    0.57622
  • Mean Square Error
    0.11550
  • DF error
    129.00000
  • t(b)
    -1.29765
  • p(b)
    0.57211
  • t(a)
    1.19370
  • p(a)
    0.43358
  • VAR (95 Confidence Intrvl)
    0.04100
  • Lowerbound of 95% confidence interval for beta
    -0.56375
  • Upperbound of 95% confidence interval for beta
    0.11716
  • Lowerbound of 95% confidence interval for alpha
    -0.37884
  • Upperbound of 95% confidence interval for alpha
    1.53128
  • Treynor index (mean / b)
    -2.31937
  • Jensen alpha (a)
    0.57622
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.03212
  • Expected Shortfall on VaR
    0.04057
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01219
  • Expected Shortfall on VaR
    0.02615
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.89996
  • Quartile 1
    0.99512
  • Median
    1.00000
  • Quartile 3
    1.00873
  • Maximum
    1.06996
  • Mean of quarter 1
    0.97967
  • Mean of quarter 2
    0.99942
  • Mean of quarter 3
    1.00467
  • Mean of quarter 4
    1.02553
  • Inter Quartile Range
    0.01361
  • Number outliers low
    8.00000
  • Percentage of outliers low
    0.06107
  • Mean of outliers low
    0.95378
  • Number of outliers high
    10.00000
  • Percentage of outliers high
    0.07634
  • Mean of outliers high
    1.04949
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.52184
  • VaR(95%) (moments method)
    0.01969
  • Expected Shortfall (moments method)
    0.04709
  • Extreme Value Index (regression method)
    0.42041
  • VaR(95%) (regression method)
    0.01857
  • Expected Shortfall (regression method)
    0.03777
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    13.00000
  • Minimum
    0.00162
  • Quartile 1
    0.00586
  • Median
    0.01433
  • Quartile 3
    0.05914
  • Maximum
    0.15895
  • Mean of quarter 1
    0.00398
  • Mean of quarter 2
    0.01150
  • Mean of quarter 3
    0.04258
  • Mean of quarter 4
    0.13261
  • Inter Quartile Range
    0.05327
  • 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
    0.15385
  • Mean of outliers high
    0.15795
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -1.77990
  • VaR(95%) (moments method)
    0.12503
  • Expected Shortfall (moments method)
    0.12799
  • Extreme Value Index (regression method)
    -3.54206
  • VaR(95%) (regression method)
    0.18520
  • Last 4 Months - Pcnt Negative
    n/a
  • Expected Shortfall (regression method)
    0.18540
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -284852000
  • Max Equity Drawdown (num days)
    69
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.62755
  • Compounded annual return (geometric extrapolation)
    0.72600
  • Calmar ratio (compounded annual return / max draw down)
    4.56759
  • Compounded annual return / average of 25% largest draw downs
    5.47481
  • Compounded annual return / Expected Shortfall lognormal
    17.89540

Strategy Description

Summary Statistics

Includes fees & commissions
Strategy began
2020-06-09
Suggested Minimum Capital
$60,000
# Trades
1033
# Profitable
811
% Profitable
78.5%
Correlation S&P500
0.080
Sharpe Ratio
0.71
Sortino Ratio
1.05
Beta
0.19
Alpha
0.09
Leverage
6.68 Average
27.55 Maximum
Summary
Higher leverage = greater risk.

More information about leverage

tradersdevGROUP 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.

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.

0