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These are hypothetical performance results that have certain inherent limitations. Learn more
Listing Edit Subscribers Broadcast Share System More...

LoF FTSE TECH ENTRY

Started: 02/2024
Futures
Last trade: Today

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 $100.00 per month.

C2Star

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

You can read more about C2Star certification requirements here.

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

25.7%
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.

(7.2%)
Max Drawdown
25
Num Trades
88.0%
Win Trades
12.4 : 1
Profit Factor
100.0%
Win Months
Hypothetical Monthly Returns (includes system fee and Interactive Brokers commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2024       +1.9%+4.2%+0.4%+2.0%+0.6%+5.3%+1.0%+1.6%+0.1%+6.5%      +25.7%

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

Show AutoTrade data Hide AutoTrade data
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Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQuantAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
10/29/24 15:49 LFZ4 FTSE 100 INDEX LONG 1 8227.0 11/6 3:29 8298.2 5.9%
Trade id #149884427
Max drawdown($1,779)
Time10/31/24 0:00
Quant open1
Worst price8088.5
Drawdown as % of equity-5.90%
 $909
Includes Typical Broker Commissions trade costs of $8.00
10/28/24 15:14: Rescaled downward to 50% of previous Model Account size
10/24/24 13:12 LFZ4 FTSE 100 INDEX LONG 0.500000000 8301.3 10/28 15:05 8328.2 1.46%
Trade id #149820665
Max drawdown($439)
Time10/28/24 8:24
Quant open1
Worst price8233.5
Drawdown as % of equity-1.46%
 $170
Includes Typical Broker Commissions trade costs of $4.00
10/15/24 9:06 LFZ4 FTSE 100 INDEX LONG 0.500000000 8298.5 10/16 3:38 8349.0 0.3%
Trade id #149661393
Max drawdown($91)
Time10/15/24 15:47
Quant open0
Worst price8270.5
Drawdown as % of equity-0.30%
 $324
Includes Typical Broker Commissions trade costs of $4.00
10/10/24 8:08 LFZ4 FTSE 100 INDEX LONG 0.500000000 8282.5 10/14 9:53 8314.5 0.36%
Trade id #149625998
Max drawdown($107)
Time10/11/24 0:00
Quant open0
Worst price8249.5
Drawdown as % of equity-0.36%
 $205
Includes Typical Broker Commissions trade costs of $4.00
10/8/24 8:34 LFZ4 FTSE 100 INDEX LONG 0.500000000 8262.5 10/9 13:15 8314.0 0.41%
Trade id #149603404
Max drawdown($122)
Time10/8/24 10:23
Quant open0
Worst price8225.0
Drawdown as % of equity-0.41%
 $332
Includes Typical Broker Commissions trade costs of $4.00
9/30/24 14:14 LFZ4 FTSE 100 INDEX LONG 0.500000000 8296.0 10/1 15:30 8342.0 0.24%
Trade id #149543309
Max drawdown($71)
Time10/1/24 3:17
Quant open0
Worst price8274.5
Drawdown as % of equity-0.24%
 $302
Includes Typical Broker Commissions trade costs of $4.00
9/20/24 15:45 LFZ4 FTSE 100 INDEX LONG 0.500000000 8273.5 9/25 4:52 8347.0 0.25%
Trade id #149472526
Max drawdown($71)
Time9/20/24 15:55
Quant open0
Worst price8252.0
Drawdown as % of equity-0.25%
 $488
Includes Typical Broker Commissions trade costs of $4.00
9/3/24 15:07 LFU4 FTSE 100 INDEX LONG 0.500000000 8289.0 9/13 12:54 8282.0 1.28%
Trade id #149238395
Max drawdown($367)
Time9/6/24 0:00
Quant open0
Worst price8177.0
Drawdown as % of equity-1.28%
 ($50)
Includes Typical Broker Commissions trade costs of $4.00
8/1/24 10:11 LFU4 FTSE 100 INDEX LONG 0.500000000 8323.5 8/15 11:53 8379.5 4.75%
Trade id #148795385
Max drawdown($1,335)
Time8/5/24 0:00
Quant open0
Worst price7908.0
Drawdown as % of equity-4.75%
 $356
Includes Typical Broker Commissions trade costs of $4.00
7/30/24 12:06 LFU4 FTSE 100 INDEX LONG 0.500000000 8261.5 7/31 5:22 8398.0 0.07%
Trade id #148775239
Max drawdown($19)
Time7/30/24 13:04
Quant open0
Worst price8255.5
Drawdown as % of equity-0.07%
 $871
Includes Typical Broker Commissions trade costs of $4.00
7/18/24 2:58 LFU4 FTSE 100 INDEX LONG 0.500000000 8273.0 7/29 6:25 8364.0 2.63%
Trade id #148677485
Max drawdown($696)
Time7/25/24 0:00
Quant open0
Worst price8056.0
Drawdown as % of equity-2.63%
 $580
Includes Typical Broker Commissions trade costs of $4.00
7/2/24 15:35 LFU4 FTSE 100 INDEX LONG 0.500000000 8173.5 7/4 10:58 8265.0 0.07%
Trade id #148559398
Max drawdown($17)
Time7/2/24 15:58
Quant open0
Worst price8168.0
Drawdown as % of equity-0.07%
 $580
Includes Typical Broker Commissions trade costs of $4.00
7/1/24 5:56 LFU4 FTSE 100 INDEX LONG 0.500000000 8221.5 7/2 12:08 8140.5 1.01%
Trade id #148542442
Max drawdown($272)
Time7/2/24 10:25
Quant open0
Worst price8135.5
Drawdown as % of equity-1.01%
 ($517)
Includes Typical Broker Commissions trade costs of $4.00
6/21/24 4:11 LFU4 FTSE 100 INDEX LONG 0.500000000 8295.5 6/24 4:56 8320.5 0.79%
Trade id #148465422
Max drawdown($210)
Time6/21/24 5:59
Quant open0
Worst price8229.0
Drawdown as % of equity-0.79%
 $154
Includes Typical Broker Commissions trade costs of $4.00
6/11/24 2:28 LFM4 FTSE 100 INDEX LONG 0.500000000 8267.5 6/21 4:10 8252.0 1.79%
Trade id #148377515
Max drawdown($478)
Time6/14/24 0:00
Quant open0
Worst price8116.0
Drawdown as % of equity-1.79%
 ($102)
Includes Typical Broker Commissions trade costs of $4.00
6/7/24 8:21 MTM4 CAC40 LONG 0.500000000 7977.50 6/7 10:59 8010.50 0.36%
Trade id #148355135
Max drawdown($97)
Time6/7/24 8:45
Quant open0
Worst price7941.50
Drawdown as % of equity-0.36%
 $174
Includes Typical Broker Commissions trade costs of $4.00
5/30/24 3:35 LFM4 FTSE 100 INDEX LONG 0.500000000 8192.0 5/31 11:13 8286.5 0.02%
Trade id #148285526
Max drawdown($6)
Time5/30/24 3:52
Quant open0
Worst price8190.0
Drawdown as % of equity-0.02%
 $597
Includes Typical Broker Commissions trade costs of $4.00
4/25/24 13:46 DXSM4 MICRO-DAX INDEX LONG 0.500000000 18121 4/29 2:22 18409 0.03%
Trade id #148012926
Max drawdown($7)
Time4/25/24 14:40
Quant open0
Worst price18094
Drawdown as % of equity-0.03%
 $154
Includes Typical Broker Commissions trade costs of $0.40
4/16/24 13:08 LFM4 FTSE 100 INDEX LONG 0.500000000 7846.0 4/17 3:57 7849.5 0.45%
Trade id #147925768
Max drawdown($118)
Time4/17/24 2:41
Quant open0
Worst price7808.0
Drawdown as % of equity-0.45%
 $18
Includes Typical Broker Commissions trade costs of $4.00
3/4/24 10:42 LFH4 FTSE 100 INDEX LONG 0.500000000 7613.5 3/12 8:50 7762.0 0.48%
Trade id #147528482
Max drawdown($123)
Time3/5/24 0:00
Quant open0
Worst price7575.0
Drawdown as % of equity-0.48%
 $946
Includes Typical Broker Commissions trade costs of $4.00
3/4/24 10:42 @MESH4 MICRO E-MINI S&P 500 SHORT 0.500000000 5143.75 3/5 15:22 5066.25 0.07%
Trade id #147528474
Max drawdown($17)
Time3/4/24 15:14
Quant open0
Worst price5157.50
Drawdown as % of equity-0.07%
 $194
Includes Typical Broker Commissions trade costs of $0.46
2/22/24 6:27 LFH4 FTSE 100 INDEX LONG 0.500000000 7668.0 3/1 2:18 7673.5 0.94%
Trade id #147407535
Max drawdown($239)
Time2/28/24 0:00
Quant open0
Worst price7592.0
Drawdown as % of equity-0.94%
 $31
Includes Typical Broker Commissions trade costs of $4.00
2/8/24 8:42 LFH4 FTSE 100 INDEX LONG 0.500000000 7599.5 2/16 8:37 7670.5 2.15%
Trade id #147255783
Max drawdown($529)
Time2/13/24 0:00
Quant open0
Worst price7431.5
Drawdown as % of equity-2.15%
 $442
Includes Typical Broker Commissions trade costs of $4.00
2/8/24 8:55 @MESH4 MICRO E-MINI S&P 500 SHORT 0.500000000 5009.00 2/13 8:56 4978.25 0.2%
Trade id #147255824
Max drawdown($49)
Time2/9/24 0:00
Quant open0
Worst price5048.50
Drawdown as % of equity-0.20%
 $77
Includes Typical Broker Commissions trade costs of $0.46
Next

Statistics

  • Strategy began
    2/8/2024
  • Suggested Minimum Cap
    $30,000
  • Strategy Age (days)
    272.5
  • Age
    9 months ago
  • What it trades
    Futures
  • # Trades
    25
  • # Profitable
    22
  • % Profitable
    88.00%
  • Avg trade duration
    4.4 days
  • Max peak-to-valley drawdown
    7.16%
  • drawdown period
    July 31, 2024 - Aug 05, 2024
  • Cumul. Return
    26.1%
  • Avg win
    $370.64
  • Avg loss
    $219.00
  • Model Account Values (Raw)
  • Cash
    $32,323
  • Margin Used
    $6,558
  • Buying Power
    $25,938
  • Ratios
  • W:L ratio
    12.41:1
  • Sharpe Ratio
    1.96
  • Sortino Ratio
    3.11
  • Calmar Ratio
    6.343
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    7.47%
  • Correlation to SP500
    0.47150
  • Return Percent SP500 (cumu) during strategy life
    18.63%
  • Return Statistics
  • Ann Return (w trading costs)
    35.9%
  • Slump
  • Current Slump as Pcnt Equity
    0.90%
  • Instruments
  • Percent Trades Futures
    1.00%
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    n/a
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.261%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    n/a
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    41.0%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    2.00%
  • Chance of 20% account loss
    n/a
  • Chance of 30% account loss
    n/a
  • Chance of 40% account loss
    n/a
  • Chance of 60% account loss (Monte Carlo)
    n/a
  • Chance of 70% account loss (Monte Carlo)
    n/a
  • Chance of 80% account loss (Monte Carlo)
    n/a
  • Chance of 90% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    670
  • Popularity (Last 6 weeks)
    845
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • Popularity (7 days, Percentile 1000 scale)
    766
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $219
  • Avg Win
    $364
  • Sum Trade PL (losers)
    $657.000
  • Age
  • Num Months filled monthly returns table
    10
  • Win / Loss
  • Sum Trade PL (winners)
    $7,999.000
  • # Winners
    22
  • Num Months Winners
    10
  • Dividends
  • Dividends Received in Model Acct
    0
  • AUM
  • AUM (AutoTrader live capital)
    194589
  • Win / Loss
  • # Losers
    3
  • % Winners
    88.0%
  • Frequency
  • Avg Position Time (mins)
    6395.93
  • Avg Position Time (hrs)
    106.60
  • Avg Trade Length
    4.4 days
  • Last Trade Ago
    0
  • Leverage
  • Daily leverage (average)
    1.94
  • Daily leverage (max)
    3.64
  • Regression
  • Alpha
    0.06
  • Beta
    0.48
  • Treynor Index
    0.18
  • 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)
    -0.13
  • MAE:Equity, average, winning trades
    0.01
  • MAE:Equity, average, losing trades
    0.01
  • Avg(MAE) / Avg(PL) - All trades
    1.009
  • MAE:Equity, losing trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, win trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, 95th Percentile Value for this strat
    0.00
  • Avg(MAE) / Avg(PL) - Winning trades
    0.771
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.851
  • Hold-and-Hope Ratio
    1.007
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.29208
  • SD
    0.05809
  • Sharpe ratio (Glass type estimate)
    5.02847
  • Sharpe ratio (Hedges UMVUE)
    4.46630
  • df
    7.00000
  • t
    4.10573
  • p
    0.00227
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    1.42768
  • Upperbound of 95% confidence interval for Sharpe Ratio
    8.47466
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.11434
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    7.81826
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.00000
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    0.29208
  • Downside part of mean
    0.00000
  • Upside SD
    0.10031
  • Downside SD
    0.00000
  • N nonnegative terms
    8.00000
  • N negative terms
    0.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    8.00000
  • Mean of predictor
    0.19772
  • Mean of criterion
    0.29208
  • SD of predictor
    0.11251
  • SD of criterion
    0.05809
  • Covariance
    0.00138
  • r
    0.21157
  • b (slope, estimate of beta)
    0.10922
  • a (intercept, estimate of alpha)
    0.27048
  • Mean Square Error
    0.00376
  • DF error
    6.00000
  • t(b)
    0.53025
  • p(b)
    0.30749
  • t(a)
    3.16603
  • p(a)
    0.00971
  • Lowerbound of 95% confidence interval for beta
    -0.39482
  • Upperbound of 95% confidence interval for beta
    0.61326
  • Lowerbound of 95% confidence interval for alpha
    0.06143
  • Upperbound of 95% confidence interval for alpha
    0.47953
  • Treynor index (mean / b)
    2.67414
  • Jensen alpha (a)
    0.27048
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.28652
  • SD
    0.05651
  • Sharpe ratio (Glass type estimate)
    5.07000
  • Sharpe ratio (Hedges UMVUE)
    4.50319
  • df
    7.00000
  • t
    4.13964
  • p
    0.00218
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    1.45373
  • Upperbound of 95% confidence interval for Sharpe Ratio
    8.53193
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.13771
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    7.86867
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.00000
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    0.28652
  • Downside part of mean
    0.00000
  • Upside SD
    0.09816
  • Downside SD
    0.00000
  • N nonnegative terms
    8.00000
  • N negative terms
    0.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    8.00000
  • Mean of predictor
    0.19018
  • Mean of criterion
    0.28652
  • SD of predictor
    0.11263
  • SD of criterion
    0.05651
  • Covariance
    0.00131
  • r
    0.20648
  • b (slope, estimate of beta)
    0.10361
  • a (intercept, estimate of alpha)
    0.26682
  • Mean Square Error
    0.00357
  • DF error
    6.00000
  • t(b)
    0.51692
  • p(b)
    0.31185
  • t(a)
    3.23472
  • p(a)
    0.00890
  • Lowerbound of 95% confidence interval for beta
    -0.38685
  • Upperbound of 95% confidence interval for beta
    0.59407
  • Lowerbound of 95% confidence interval for alpha
    0.06498
  • Upperbound of 95% confidence interval for alpha
    0.46865
  • Treynor index (mean / b)
    2.76540
  • Jensen alpha (a)
    0.26682
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00295
  • Expected Shortfall on VaR
    0.00971
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00000
  • Expected Shortfall on VaR
    0.00000
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    8.00000
  • Minimum
    1.00477
  • Quartile 1
    1.01764
  • Median
    1.02643
  • Quartile 3
    1.03361
  • Maximum
    1.05161
  • Mean of quarter 1
    1.00568
  • Mean of quarter 2
    1.02260
  • Mean of quarter 3
    1.02905
  • Mean of quarter 4
    1.04934
  • Inter Quartile Range
    0.01597
  • 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
    0.00000
  • Minimum
    0.00000
  • Quartile 1
    0.00000
  • Median
    0.00000
  • Quartile 3
    0.00000
  • Maximum
    0.00000
  • Mean of quarter 1
    0.00000
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.00000
  • Inter Quartile Range
    0.00000
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.34981
  • Compounded annual return (geometric extrapolation)
    0.36948
  • Calmar ratio (compounded annual return / max draw down)
    0.00000
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    38.05740
  • 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
    0.33597
  • SD
    0.13282
  • Sharpe ratio (Glass type estimate)
    2.52956
  • Sharpe ratio (Hedges UMVUE)
    2.51972
  • df
    193.00000
  • t
    2.17668
  • p
    0.40185
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.23472
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.81801
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.22818
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.81125
  • Statistics related to Sortino ratio
  • Sortino ratio
    4.07546
  • Upside Potential Ratio
    8.78685
  • Upside part of mean
    0.72437
  • Downside part of mean
    -0.38839
  • Upside SD
    0.10576
  • Downside SD
    0.08244
  • N nonnegative terms
    72.00000
  • N negative terms
    122.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    194.00000
  • Mean of predictor
    0.21139
  • Mean of criterion
    0.33597
  • SD of predictor
    0.13046
  • SD of criterion
    0.13282
  • Covariance
    0.00800
  • r
    0.46149
  • b (slope, estimate of beta)
    0.46981
  • a (intercept, estimate of alpha)
    0.23700
  • Mean Square Error
    0.01396
  • DF error
    192.00000
  • t(b)
    7.20803
  • p(b)
    0.26926
  • t(a)
    1.71518
  • p(a)
    0.43858
  • Lowerbound of 95% confidence interval for beta
    0.34125
  • Upperbound of 95% confidence interval for beta
    0.59837
  • Lowerbound of 95% confidence interval for alpha
    -0.03549
  • Upperbound of 95% confidence interval for alpha
    0.50880
  • Treynor index (mean / b)
    0.71511
  • Jensen alpha (a)
    0.23665
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.32696
  • SD
    0.13270
  • Sharpe ratio (Glass type estimate)
    2.46385
  • Sharpe ratio (Hedges UMVUE)
    2.45427
  • df
    193.00000
  • t
    2.12014
  • p
    0.40432
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.16981
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.75167
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.16344
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.74509
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.90718
  • Upside Potential Ratio
    8.58939
  • Upside part of mean
    0.71878
  • Downside part of mean
    -0.39182
  • Upside SD
    0.10452
  • Downside SD
    0.08368
  • N nonnegative terms
    72.00000
  • N negative terms
    122.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    194.00000
  • Mean of predictor
    0.20282
  • Mean of criterion
    0.32696
  • SD of predictor
    0.13055
  • SD of criterion
    0.13270
  • Covariance
    0.00804
  • r
    0.46402
  • b (slope, estimate of beta)
    0.47167
  • a (intercept, estimate of alpha)
    0.23130
  • Mean Square Error
    0.01389
  • DF error
    192.00000
  • t(b)
    7.25841
  • p(b)
    0.26799
  • t(a)
    1.68098
  • p(a)
    0.43978
  • Lowerbound of 95% confidence interval for beta
    0.34350
  • Upperbound of 95% confidence interval for beta
    0.59984
  • Lowerbound of 95% confidence interval for alpha
    -0.04010
  • Upperbound of 95% confidence interval for alpha
    0.50270
  • Treynor index (mean / b)
    0.69320
  • Jensen alpha (a)
    0.23130
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01216
  • Expected Shortfall on VaR
    0.01554
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00385
  • Expected Shortfall on VaR
    0.00852
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    194.00000
  • Minimum
    0.95305
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00299
  • Maximum
    1.04340
  • Mean of quarter 1
    0.99440
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00066
  • Mean of quarter 4
    1.01045
  • Inter Quartile Range
    0.00299
  • Number outliers low
    19.00000
  • Percentage of outliers low
    0.09794
  • Mean of outliers low
    0.98709
  • Number of outliers high
    25.00000
  • Percentage of outliers high
    0.12887
  • Mean of outliers high
    1.01534
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.15944
  • VaR(95%) (moments method)
    0.00309
  • Expected Shortfall (moments method)
    0.00468
  • Extreme Value Index (regression method)
    0.06383
  • VaR(95%) (regression method)
    0.00629
  • Expected Shortfall (regression method)
    0.01169
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    12.00000
  • Minimum
    0.00072
  • Quartile 1
    0.00619
  • Median
    0.01686
  • Quartile 3
    0.02680
  • Maximum
    0.06716
  • Mean of quarter 1
    0.00226
  • Mean of quarter 2
    0.01317
  • Mean of quarter 3
    0.02180
  • Mean of quarter 4
    0.04519
  • Inter Quartile Range
    0.02061
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.08333
  • Mean of outliers high
    0.06716
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.01539
  • VaR(95%) (moments method)
    0.04884
  • Expected Shortfall (moments method)
    0.06285
  • Extreme Value Index (regression method)
    2.08921
  • VaR(95%) (regression method)
    0.06752
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.40586
  • Compounded annual return (geometric extrapolation)
    0.42600
  • Calmar ratio (compounded annual return / max draw down)
    6.34265
  • Compounded annual return / average of 25% largest draw downs
    9.42574
  • Compounded annual return / Expected Shortfall lognormal
    27.41890
  • 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
    0.35677
  • SD
    0.15029
  • Sharpe ratio (Glass type estimate)
    2.37394
  • Sharpe ratio (Hedges UMVUE)
    2.36021
  • df
    130.00000
  • t
    1.67863
  • p
    0.42717
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.41722
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.15623
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.42640
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.14683
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.71724
  • Upside Potential Ratio
    8.63163
  • Upside part of mean
    0.82844
  • Downside part of mean
    -0.47167
  • Upside SD
    0.11700
  • Downside SD
    0.09598
  • N nonnegative terms
    52.00000
  • N negative terms
    79.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.24834
  • Mean of criterion
    0.35677
  • SD of predictor
    0.13433
  • SD of criterion
    0.15029
  • Covariance
    0.01032
  • r
    0.51107
  • b (slope, estimate of beta)
    0.57180
  • a (intercept, estimate of alpha)
    0.21477
  • Mean Square Error
    0.01682
  • DF error
    129.00000
  • t(b)
    6.75320
  • p(b)
    0.18942
  • t(a)
    1.16348
  • p(a)
    0.43524
  • Lowerbound of 95% confidence interval for beta
    0.40427
  • Upperbound of 95% confidence interval for beta
    0.73932
  • Lowerbound of 95% confidence interval for alpha
    -0.15045
  • Upperbound of 95% confidence interval for alpha
    0.57999
  • Treynor index (mean / b)
    0.62395
  • Jensen alpha (a)
    0.21477
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.34530
  • SD
    0.15024
  • Sharpe ratio (Glass type estimate)
    2.29836
  • Sharpe ratio (Hedges UMVUE)
    2.28507
  • df
    130.00000
  • t
    1.62519
  • p
    0.42944
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.49174
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.07984
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.50061
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.07076
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.54094
  • Upside Potential Ratio
    8.42549
  • Upside part of mean
    0.82163
  • Downside part of mean
    -0.47633
  • Upside SD
    0.11552
  • Downside SD
    0.09752
  • N nonnegative terms
    52.00000
  • N negative terms
    79.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.23924
  • Mean of criterion
    0.34530
  • SD of predictor
    0.13449
  • SD of criterion
    0.15024
  • Covariance
    0.01039
  • r
    0.51407
  • b (slope, estimate of beta)
    0.57427
  • a (intercept, estimate of alpha)
    0.20791
  • Mean Square Error
    0.01674
  • DF error
    129.00000
  • t(b)
    6.80698
  • p(b)
    0.18778
  • t(a)
    1.12960
  • p(a)
    0.43710
  • VAR (95 Confidence Intrvl)
    0.01200
  • Lowerbound of 95% confidence interval for beta
    0.40735
  • Upperbound of 95% confidence interval for beta
    0.74119
  • Lowerbound of 95% confidence interval for alpha
    -0.15625
  • Upperbound of 95% confidence interval for alpha
    0.57208
  • Treynor index (mean / b)
    0.60129
  • Jensen alpha (a)
    0.20791
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01385
  • Expected Shortfall on VaR
    0.01766
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00455
  • Expected Shortfall on VaR
    0.01006
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.95305
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00343
  • Maximum
    1.04340
  • Mean of quarter 1
    0.99311
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00115
  • Mean of quarter 4
    1.01161
  • Inter Quartile Range
    0.00343
  • Number outliers low
    13.00000
  • Percentage of outliers low
    0.09924
  • Mean of outliers low
    0.98478
  • Number of outliers high
    14.00000
  • Percentage of outliers high
    0.10687
  • Mean of outliers high
    1.01849
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.26824
  • VaR(95%) (moments method)
    0.00365
  • Expected Shortfall (moments method)
    0.00720
  • Extreme Value Index (regression method)
    0.30032
  • VaR(95%) (regression method)
    0.00839
  • Expected Shortfall (regression method)
    0.01859
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    9.00000
  • Minimum
    0.00072
  • Quartile 1
    0.00454
  • Median
    0.01699
  • Quartile 3
    0.03238
  • Maximum
    0.06716
  • Mean of quarter 1
    0.00226
  • Mean of quarter 2
    0.01652
  • Mean of quarter 3
    0.02866
  • Mean of quarter 4
    0.05160
  • Inter Quartile Range
    0.02785
  • 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)
    0.01539
  • VaR(95%) (moments method)
    0.05282
  • Expected Shortfall (moments method)
    0.06689
  • Extreme Value Index (regression method)
    2.08921
  • VaR(95%) (regression method)
    0.09427
  • Last 4 Months - Pcnt Negative
    n/a
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -372859000
  • Max Equity Drawdown (num days)
    5
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.41030
  • Compounded annual return (geometric extrapolation)
    0.45239
  • Calmar ratio (compounded annual return / max draw down)
    6.73559
  • Compounded annual return / average of 25% largest draw downs
    8.76695
  • Compounded annual return / Expected Shortfall lognormal
    25.61090

Strategy Description

Summary Statistics

Strategy began
2024-02-08
Suggested Minimum Capital
$30,000
# Trades
25
# Profitable
22
% Profitable
88.0%
Correlation S&P500
0.471
Sharpe Ratio
1.96
Sortino Ratio
3.11
Beta
0.48
Alpha
0.06
Leverage
1.94 Average
3.64 Maximum
Summary
Higher leverage = greater risk.

More information about leverage

TPP 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.