Spy Strategy
(100866727)
Subscription terms. Subscriptions to this system cost $29.00 per month.
Trendfollowing
Tries to take advantage of long, medium or shortterm moves that seem to play out in various markets. Typically, trendfollowing analysis is backward looking; that is, it attempts to recognize and profit from alreadyestablished trends.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  

2016  (1.3%)  +6.0%  +0.9%  +1.8%  +0.9%  +3.6%  +0.1%  (0.9%)  (2.4%)  +1.4%  +1.4%  +11.8%  
2017  +2.4%  +3.9%  (0.9%)  +0.1%    (0.2%)  +1.1%  (0.5%)  +1.5%  +1.5%      +9.2% 
2018        (0.6%)  (0.6%)  +0.1%  +1.4%  +3.1%  +0.1%  +0.1%      +3.5% 
2019      (0.1%)  +3.7%  (2.3%)  +1.2% 
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  $100,000  
Buy Power  $129,403  
Cash  $129,403  
Equity  $0  
Cumulative $  $29,403  
Includes dividends and cashsettled expirations:  $4,001  Itemized 
Total System Equity  $129,403  
Margined  $0  
Open P/L  $0 
Trading Record
Statistics

Strategy began2/26/2016

Suggested Minimum Cap$15,000

Strategy Age (days)1183.97

Age39 months ago

What it tradesStocks

# Trades24

# Profitable12

% Profitable50.00%

Avg trade duration26.7 days

Max peaktovalley drawdown4.72%

drawdown periodAug 23, 2016  Nov 11, 2016

Annual Return (Compounded)7.9%

Avg win$2,671

Avg loss$555.08
 Model Account Values (Raw)

Cash$129,403

Margin Used$0

Buying Power$129,403
 Ratios

W:L ratio6.01:1

Sharpe Ratio1.1

Sortino Ratio1.7

Calmar Ratio2.167
 CORRELATION STATISTICS

Correlation to SP5000.37450
 Return Statistics

Ann Return (w trading costs)7.9%

Ann Return (Compnd, No Fees)8.3%
 Risk of Ruin (MonteCarlo)

Chance of 10% account loss1.00%

Chance of 20% account lossn/a

Chance of 30% account lossn/a

Chance of 40% account lossn/a

Chance of 50% account lossn/a
 Popularity

Popularity (Today)390

Popularity (Last 6 weeks)876

C2 Score85.6
 TradesOwnSystem Certification

Trades Own System?0

TOS percentn/a
 Subscription Price

Billing Period (days)30

Trial Days0
 Win / Loss

Avg Loss$555

Avg Win$2,672

# Winners12

# Losers12

% Winners50.0%
 Frequency

Avg Position Time (mins)38376.30

Avg Position Time (hrs)639.61

Avg Trade Length26.6 days

Last Trade Ago1
 Leverage

Daily leverage (average)1.00

Daily leverage (max)1.01
 Unknown

Alpha0.01

Beta0.13

Treynor Index0.12
 Analysis based on MONTHLY values, full history
 RATIO STATISTICS
 Ratio statistics of excess return rates
 Statistics related to Sharpe ratio

Mean0.07057

SD0.05431

Sharpe ratio (Glass type estimate)1.29944

Sharpe ratio (Hedges UMVUE)1.26964

df33.00000

t2.18728

p0.01796

Lowerbound of 95% confidence interval for Sharpe Ratio0.08477

Upperbound of 95% confidence interval for Sharpe Ratio2.49581

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.06563

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation2.47365
 Statistics related to Sortino ratio

Sortino ratio3.07591

Upside Potential Ratio4.80757

Upside part of mean0.11029

Downside part of mean0.03973

Upside SD0.05245

Downside SD0.02294

N nonnegative terms20.00000

N negative terms14.00000
 Statistics related to linear regression on benchmark

N of observations34.00000

Mean of predictor0.12274

Mean of criterion0.07057

SD of predictor0.11146

SD of criterion0.05431

Covariance0.00280

r0.46324

b (slope, estimate of beta)0.22569

a (intercept, estimate of alpha)0.04286

Mean Square Error0.00239

DF error32.00000

t(b)2.95687

p(b)0.00290

t(a)1.40497

p(a)0.08483

Lowerbound of 95% confidence interval for beta0.07022

Upperbound of 95% confidence interval for beta0.38116

Lowerbound of 95% confidence interval for alpha0.01928

Upperbound of 95% confidence interval for alpha0.10501

Treynor index (mean / b)0.31267

Jensen alpha (a)0.04286
 Ratio statistics of excess log return rates
 Statistics related to Sharpe ratio

Mean0.06880

SD0.05365

Sharpe ratio (Glass type estimate)1.28223

Sharpe ratio (Hedges UMVUE)1.25283

df33.00000

t2.15832

p0.01914

Lowerbound of 95% confidence interval for Sharpe Ratio0.06870

Upperbound of 95% confidence interval for Sharpe Ratio2.47765

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.04985

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation2.45581
 Statistics related to Sortino ratio

Sortino ratio2.98054

Upside Potential Ratio4.70916

Upside part of mean0.10870

Downside part of mean0.03990

Upside SD0.05153

Downside SD0.02308

N nonnegative terms20.00000

N negative terms14.00000
 Statistics related to linear regression on benchmark

N of observations34.00000

Mean of predictor0.11582

Mean of criterion0.06880

SD of predictor0.11199

SD of criterion0.05365

Covariance0.00278

r0.46184

b (slope, estimate of beta)0.22126

a (intercept, estimate of alpha)0.04317

Mean Square Error0.00234

DF error32.00000

t(b)2.94551

p(b)0.00298

t(a)1.43900

p(a)0.07993

Lowerbound of 95% confidence interval for beta0.06825

Upperbound of 95% confidence interval for beta0.37427

Lowerbound of 95% confidence interval for alpha0.01794

Upperbound of 95% confidence interval for alpha0.10428

Treynor index (mean / b)0.31093

Jensen alpha (a)0.04317
 Risk estimates for a oneperiod unit investment (parametric)
 assuming log normal returns and losses (using central moments from Sharpe statistics)

VaR(95%)0.01955

Expected Shortfall on VaR0.02586
 assuming Pareto losses only (using partial moments from Sortino statistics)

VaR(95%)0.00675

Expected Shortfall on VaR0.01344
 ORDER STATISTICS
 Quartiles of return rates

Number of observations34.00000

Minimum0.97990

Quartile 10.99949

Median1.00501

Quartile 31.01744

Maximum1.04660

Mean of quarter 10.99111

Mean of quarter 21.00150

Mean of quarter 31.01088

Mean of quarter 41.02889

Inter Quartile Range0.01796

Number outliers low0.00000

Percentage of outliers low0.00000

Mean of outliers low0.00000

Number of outliers high1.00000

Percentage of outliers high0.02941

Mean of outliers high1.04660
 Risk estimates for a oneperiod unit investment (based on Ex

Extreme Value Index (moments method)5.31196

VaR(95%) (moments method)0.00270

Expected Shortfall (moments method)0.00271

Extreme Value Index (regression method)0.44798

VaR(95%) (regression method)0.01418

Expected Shortfall (regression method)0.01804
 DRAW DOWN STATISTICS
 Quartiles of draw downs

Number of observations5.00000

Minimum0.00068

Quartile 10.00445

Median0.01084

Quartile 30.01648

Maximum0.03001

Mean of quarter 10.00257

Mean of quarter 20.01084

Mean of quarter 30.01648

Mean of quarter 40.03001

Inter Quartile Range0.01203

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)0.11125

Compounded annual return (geometric extrapolation)0.10153

Calmar ratio (compounded annual return / max draw down)3.38358

Compounded annual return / average of 25% largest draw downs3.38358

Compounded annual return / Expected Shortfall lognormal3.92652

0.00000

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

Mean0.06266

SD0.04639

Sharpe ratio (Glass type estimate)1.35088

Sharpe ratio (Hedges UMVUE)1.34955

df763.00000

t2.30682

p0.01067

Lowerbound of 95% confidence interval for Sharpe Ratio0.20070

Upperbound of 95% confidence interval for Sharpe Ratio2.50023

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.19980

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation2.49931
 Statistics related to Sortino ratio

Sortino ratio2.06938

Upside Potential Ratio8.67202

Upside part of mean0.26259

Downside part of mean0.19993

Upside SD0.03531

Downside SD0.03028

N nonnegative terms280.00000

N negative terms484.00000
 Statistics related to linear regression on benchmark

N of observations764.00000

Mean of predictor0.10841

Mean of criterion0.06266

SD of predictor0.13181

SD of criterion0.04639

Covariance0.00226

r0.36930

b (slope, estimate of beta)0.12996

a (intercept, estimate of alpha)0.04900

Mean Square Error0.00186

DF error762.00000

t(b)10.96980

p(b)0.00000

t(a)1.92044

p(a)0.02759

Lowerbound of 95% confidence interval for beta0.10671

Upperbound of 95% confidence interval for beta0.15322

Lowerbound of 95% confidence interval for alpha0.00108

Upperbound of 95% confidence interval for alpha0.09823

Treynor index (mean / b)0.48215

Jensen alpha (a)0.04857
 Ratio statistics of excess log return rates
 Statistics related to Sharpe ratio

Mean0.06157

SD0.04638

Sharpe ratio (Glass type estimate)1.32771

Sharpe ratio (Hedges UMVUE)1.32641

df763.00000

t2.26725

p0.01183

Lowerbound of 95% confidence interval for Sharpe Ratio0.17760

Upperbound of 95% confidence interval for Sharpe Ratio2.47699

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.17672

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation2.47609
 Statistics related to Sortino ratio

Sortino ratio2.02610

Upside Potential Ratio8.61934

Upside part of mean0.26195

Downside part of mean0.20037

Upside SD0.03520

Downside SD0.03039

N nonnegative terms280.00000

N negative terms484.00000
 Statistics related to linear regression on benchmark

N of observations764.00000

Mean of predictor0.09968

Mean of criterion0.06157

SD of predictor0.13200

SD of criterion0.04638

Covariance0.00226

r0.36947

b (slope, estimate of beta)0.12981

a (intercept, estimate of alpha)0.04863

Mean Square Error0.00186

DF error762.00000

t(b)10.97540

p(b)0.00000

t(a)1.92379

p(a)0.02738

Lowerbound of 95% confidence interval for beta0.10659

Upperbound of 95% confidence interval for beta0.15303

Lowerbound of 95% confidence interval for alpha0.00099

Upperbound of 95% confidence interval for alpha0.09826

Treynor index (mean / b)0.47434

Jensen alpha (a)0.04863
 Risk estimates for a oneperiod unit investment (parametric)
 assuming log normal returns and losses (using central moments from Sharpe statistics)

VaR(95%)0.00447

Expected Shortfall on VaR0.00566
 assuming Pareto losses only (using partial moments from Sortino statistics)

VaR(95%)0.00202

Expected Shortfall on VaR0.00412
 ORDER STATISTICS
 Quartiles of return rates

Number of observations764.00000

Minimum0.98297

Quartile 10.99969

Median1.00000

Quartile 31.00134

Maximum1.01188

Mean of quarter 10.99722

Mean of quarter 20.99999

Mean of quarter 31.00031

Mean of quarter 41.00385

Inter Quartile Range0.00166

Number outliers low72.00000

Percentage of outliers low0.09424

Mean of outliers low0.99496

Number of outliers high81.00000

Percentage of outliers high0.10602

Mean of outliers high1.00582
 Risk estimates for a oneperiod unit investment (based on Ex

Extreme Value Index (moments method)0.08029

VaR(95%) (moments method)0.00246

Expected Shortfall (moments method)0.00369

Extreme Value Index (regression method)0.15381

VaR(95%) (regression method)0.00267

Expected Shortfall (regression method)0.00428
 DRAW DOWN STATISTICS
 Quartiles of draw downs

Number of observations37.00000

Minimum0.00003

Quartile 10.00114

Median0.00519

Quartile 30.01191

Maximum0.04320

Mean of quarter 10.00061

Mean of quarter 20.00276

Mean of quarter 30.00947

Mean of quarter 40.02088

Inter Quartile Range0.01076

Number outliers low0.00000

Percentage of outliers low0.00000

Mean of outliers low0.00000

Number of outliers high2.00000

Percentage of outliers high0.05405

Mean of outliers high0.03566
 Risk estimates based on draw downs (based on Extreme Value T

Extreme Value Index (moments method)0.24696

VaR(95%) (moments method)0.02292

Expected Shortfall (moments method)0.03408

Extreme Value Index (regression method)0.83542

VaR(95%) (regression method)0.02233

Expected Shortfall (regression method)0.09287
 COMBINED STATISTICS

Annualized return (arithmetic extrapolation)0.10224

Compounded annual return (geometric extrapolation)0.09361

Calmar ratio (compounded annual return / max draw down)2.16661

Compounded annual return / average of 25% largest draw downs4.48312

Compounded annual return / Expected Shortfall lognormal16.54330

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

Mean0.00879

SD0.03719

Sharpe ratio (Glass type estimate)0.23635

Sharpe ratio (Hedges UMVUE)0.23499

df130.00000

t0.16713

p0.49267

Lowerbound of 95% confidence interval for Sharpe Ratio2.53597

Upperbound of 95% confidence interval for Sharpe Ratio3.00795

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation2.53697

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation3.00694
 Statistics related to Sortino ratio

Sortino ratio0.31492

Upside Potential Ratio5.25482

Upside part of mean0.14669

Downside part of mean0.13790

Upside SD0.02437

Downside SD0.02792

N nonnegative terms29.00000

N negative terms102.00000
 Statistics related to linear regression on benchmark

N of observations131.00000

Mean of predictor0.11076

Mean of criterion0.00879

SD of predictor0.18276

SD of criterion0.03719

Covariance0.00153

r0.22534

b (slope, estimate of beta)0.04586

a (intercept, estimate of alpha)0.00371

Mean Square Error0.00132

DF error129.00000

t(b)2.62690

p(b)0.35777

t(a)0.07209

p(a)0.49596

Lowerbound of 95% confidence interval for beta0.01132

Upperbound of 95% confidence interval for beta0.08040

Lowerbound of 95% confidence interval for alpha0.09815

Upperbound of 95% confidence interval for alpha0.10557

Treynor index (mean / b)0.19170

Jensen alpha (a)0.00371
 Ratio statistics of excess log return rates
 Statistics related to Sharpe ratio

Mean0.00810

SD0.03724

Sharpe ratio (Glass type estimate)0.21754

Sharpe ratio (Hedges UMVUE)0.21629

df130.00000

t0.15383

p0.49325

Lowerbound of 95% confidence interval for Sharpe Ratio2.55475

Upperbound of 95% confidence interval for Sharpe Ratio2.98912

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation2.55564

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation2.98822
 Statistics related to Sortino ratio

Sortino ratio0.28900

Upside Potential Ratio5.22116

Upside part of mean0.14638

Downside part of mean0.13828

Upside SD0.02431

Downside SD0.02804

N nonnegative terms29.00000

N negative terms102.00000
 Statistics related to linear regression on benchmark

N of observations131.00000

Mean of predictor0.09419

Mean of criterion0.00810

SD of predictor0.18251

SD of criterion0.03724

Covariance0.00154

r0.22659

b (slope, estimate of beta)0.04624

a (intercept, estimate of alpha)0.00375

Mean Square Error0.00133

DF error129.00000

t(b)2.64232

p(b)0.35699

t(a)0.07271

p(a)0.49592

Lowerbound of 95% confidence interval for beta0.01162

Upperbound of 95% confidence interval for beta0.08086

Lowerbound of 95% confidence interval for alpha0.09820

Upperbound of 95% confidence interval for alpha0.10569

Treynor index (mean / b)0.17522

Jensen alpha (a)0.00375
 Risk estimates for a oneperiod unit investment (parametric)
 assuming log normal returns and losses (using central moments from Sharpe statistics)

VaR(95%)0.00375

Expected Shortfall on VaR0.00470
 assuming Pareto losses only (using partial moments from Sortino statistics)

VaR(95%)0.00157

Expected Shortfall on VaR0.00337
 ORDER STATISTICS
 Quartiles of return rates

Number of observations131.00000

Minimum0.98738

Quartile 11.00000

Median1.00000

Quartile 31.00000

Maximum1.00724

Mean of quarter 10.99824

Mean of quarter 21.00000

Mean of quarter 31.00000

Mean of quarter 41.00232

Inter Quartile Range0.00000

Number outliers low16.00000

Percentage of outliers low0.12214

Mean of outliers low0.99637

Number of outliers high31.00000

Percentage of outliers high0.23664

Mean of outliers high1.00247
 Risk estimates for a oneperiod unit investment (based on Ex

Extreme Value Index (moments method)0.36112

VaR(95%) (moments method)0.00165

Expected Shortfall (moments method)0.00378

Extreme Value Index (regression method)0.27445

VaR(95%) (regression method)0.00216

Expected Shortfall (regression method)0.00481
 DRAW DOWN STATISTICS
 Quartiles of draw downs

Number of observations6.00000

Minimum0.00105

Quartile 10.00117

Median0.00137

Quartile 30.01385

Maximum0.02151

Mean of quarter 10.00110

Mean of quarter 20.00125

Mean of quarter 30.00150

Mean of quarter 40.01974

Inter Quartile Range0.01268

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)0.03634

Compounded annual return (geometric extrapolation)0.03667

Calmar ratio (compounded annual return / max draw down)1.70468

Compounded annual return / average of 25% largest draw downs1.85780

Compounded annual return / Expected Shortfall lognormal7.79486
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.