This system has earned Trades-Own-Strategy (TOS) Certification.
This means that the manager of this system trades his own strategy
in a real-life, funded brokerage account.
Trades-Own-Strategy (TOS) Certification Details
Certification process started
04/02/2023
Most recent certification approved
4/2/23 20:30 ET
Trades at broker
Interactive Brokers (Europe)
Scaling percentage used
100%
# trading signals issued by system since certification
3,917
# trading signals executed in manager's Interactive Brokers (Europe) account
3,911
Percent signals followed since 04/02/2023
99.8%
This information was last updated
4/27/24 8:39 ET
Warning: System trading results are still hypothetical.
Even though the system developer is currently trading his own system in a real-life brokerage account,
the trading results presented on this Web site must still be regarded as purely hypothetical results.
This is because (among other reasons) the system developer may not have traded all signals,
particularly those that occurred before 04/02/2023,
and the system developer's results may not match the system results presented here. In addition,
not all subscribers have received the same trades or prices as the system manager has. For these reasons, and others, it is extremely important you remember the following:
About the results you see on this Web site
Past results are not necessarily indicative of future results.
These results are based on simulated or hypothetical performance results.
Hypothetical performance results have many inherent limitations, some of which are described below. No representation is being made that any account will or is likely to achieve profits or losses similar to those shown. In fact, there are frequently sharp differences between hypothetical performance results and the actual results subsequently achieved by any particular trading program.
One of the limitations of hypothetical performance results is that they are generally prepared with the benefit of hindsight. In addition, hypothetical trading does not involve financial risk, and no hypothetical trading record can completely account for the impact of financial risk in actual trading. For example, the ability to withstand losses or to adhere to a particular trading program in spite of trading losses are material points which can also adversely affect actual trading results. There are numerous other factors related to the markets in general or to the implementation of any specific trading program which cannot be fully accounted for in the preparation of hypothetical performance results and all of which can adversely affect actual trading results.
You may be interested to learn more technical details about
how Collective2 calculates the hypothetical results you see on this web site.
IC Algotrading
(144135459)
![Trades-Own-Strategy (TOS) Certification. Trades-Own-Strategy Certification](/images/TOS-big144135459.png)
This system has earned Trades-Own-Strategy (TOS) Certification. This means that the manager of this system trades his own strategy in a real-life, funded brokerage account.
Trades-Own-Strategy (TOS) Certification Details | |
---|---|
Certification process started | 04/02/2023 |
Most recent certification approved | 4/2/23 20:30 ET |
Trades at broker | Interactive Brokers (Europe) |
Scaling percentage used | 100% |
# trading signals issued by system since certification | 3,917 |
# trading signals executed in manager's Interactive Brokers (Europe) account | 3,911 |
Percent signals followed since 04/02/2023 | 99.8% |
This information was last updated | 4/27/24 8:39 ET |
Warning: System trading results are still hypothetical.
Even though the system developer is currently trading his own system in a real-life brokerage account, the trading results presented on this Web site must still be regarded as purely hypothetical results. This is because (among other reasons) the system developer may not have traded all signals, particularly those that occurred before 04/02/2023, and the system developer's results may not match the system results presented here. In addition, not all subscribers have received the same trades or prices as the system manager has. For these reasons, and others, it is extremely important you remember the following:
About the results you see on this Web site
Past results are not necessarily indicative of future results.
These results are based on simulated or hypothetical performance results. Hypothetical performance results have many inherent limitations, some of which are described below. No representation is being made that any account will or is likely to achieve profits or losses similar to those shown. In fact, there are frequently sharp differences between hypothetical performance results and the actual results subsequently achieved by any particular trading program.
One of the limitations of hypothetical performance results is that they are generally prepared with the benefit of hindsight. In addition, hypothetical trading does not involve financial risk, and no hypothetical trading record can completely account for the impact of financial risk in actual trading. For example, the ability to withstand losses or to adhere to a particular trading program in spite of trading losses are material points which can also adversely affect actual trading results. There are numerous other factors related to the markets in general or to the implementation of any specific trading program which cannot be fully accounted for in the preparation of hypothetical performance results and all of which can adversely affect actual trading results.
You may be interested to learn more technical details about how Collective2 calculates the hypothetical results you see on this web site.
Subscription terms. Subscriptions to this system cost $125.00 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.
Trend-following
Buys when price goes up, and sells when price goes down, expecting price movements to continue. There are a number of different techniques and time-frames used, including moving averages and channel breakouts. Traders do not aim to forecast specific price levels; they simply jump on a trend and ride it. Typically, trend-following analysis is backward looking; that is, it attempts to recognize and profit from already-established trends.Momentum
Aims to capitalize on the continuance of existing trends in the market. Trader takes a long position in an asset in an upward trend, and short-sells a security that has been in a downward trend. While similar to Trend-following, tends to be more forward-looking (predicting oncoming trend), while Momentum is more backward-looking (observing already-established price direction).Rate of Return Calculations
Overview
To comply with NFA regulations, we display Cumulative Rate of Return for strategies with a track record of less than one year. For strategies with longer track records, we display Annualized (Compounded) Rate of Return.
How Annualized (Compounded) Rate of Return is calculated
= ((Ending_equity / Starting_equity) ^ (1 / age_in_years)) - 1
Remember that, following NFA requirements, strategy subscription costs and estimated commissions are included in marked-to-market equity calculations.
All results are hypothetical.
Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | YTD | |
---|---|---|---|---|---|---|---|---|---|---|---|---|---|
2023 | (0.3%) | (4.2%) | (3.7%) | +8.5% | (7.7%) | +10.9% | - | +3.7% | +19.1% | +13.2% | +43.0% | ||
2024 | +24.4% | +8.9% | +4.8% | +7.0% | +51.9% |
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 | $50,000 | |
Buy Power | ($23,836) | |
Cash | ($27,081) | |
Equity | $3,640 | |
Cumulative $ | $63,677 | |
Includes dividends and cash-settled expirations: | $1,300 | Itemized |
Total System Equity | $113,677 | |
Margined | $395 | |
Open P/L | $3,737 |
Trading Record
Statistics
-
Strategy began3/31/2023
-
Suggested Minimum Cap$100,000
-
Strategy Age (days)392.71
-
Age13 months ago
-
What it tradesStocks, Futures
-
# Trades1658
-
# Profitable668
-
% Profitable40.30%
-
Avg trade duration1.7 days
-
Max peak-to-valley drawdown20.1%
-
drawdown periodJuly 18, 2023 - Aug 16, 2023
-
Annual Return (Compounded)104.6%
-
Avg win$402.01
-
Avg loss$208.25
- Model Account Values (Raw)
-
Cash($27,081)
-
Margin Used$395
-
Buying Power($23,836)
- Ratios
-
W:L ratio1.31:1
-
Sharpe Ratio1.66
-
Sortino Ratio2.92
-
Calmar Ratio5.963
- CORRELATION STATISTICS
-
Return of Strat Pcnt - Return of SP500 Pcnt (cumu)93.16%
-
Correlation to SP5000.43280
-
Return Percent SP500 (cumu) during strategy life24.11%
- Verified
-
C2Star0
- Return Statistics
-
Ann Return (w trading costs)104.6%
- Slump
-
Current Slump as Pcnt Equity0.40%
- Instruments
-
Percent Trades Futures0.47%
- Slump
-
Current Slump, time of slump as pcnt of strategy life0.00%
- Return Statistics
-
Return Pcnt Since TOS Statusn/a
- Instruments
-
Short Options - Percent Covered100.00%
- Return Statistics
-
Return Pcnt (Compound or Annual, age-based, NFA compliant)1.046%
- Instruments
-
Percent Trades Optionsn/a
-
Percent Trades Stocks0.53%
-
Percent Trades Forexn/a
- Return Statistics
-
Ann Return (Compnd, No Fees)114.1%
- Risk of Ruin (Monte-Carlo)
-
Chance of 10% account loss22.00%
-
Chance of 20% account loss5.50%
-
Chance of 30% account lossn/a
-
Chance of 40% account lossn/a
-
Chance of 60% account loss (Monte Carlo)n/a
-
Chance of 70% account loss (Monte Carlo)n/a
-
Chance of 80% account loss (Monte Carlo)n/a
-
Chance of 90% account loss (Monte Carlo)n/a
-
Chance of 100% account loss (Monte Carlo)n/a
- Automation
-
Percentage Signals Automatedn/a
- Risk of Ruin (Monte-Carlo)
-
Chance of 50% account lossn/a
- Popularity
-
Popularity (Today)988
-
Popularity (Last 6 weeks)996
- Trading Style
-
Any stock shorts? 0/11
- Popularity
-
C2 Score977
-
Popularity (7 days, Percentile 1000 scale)986
- Trades-Own-System Certification
-
Trades Own System?Yes
-
TOS percent100%
- Win / Loss
-
Avg Loss$208
-
Avg Win$402
-
Sum Trade PL (losers)$206,168.000
- Age
-
Num Months filled monthly returns table14
- Win / Loss
-
Sum Trade PL (winners)$268,540.000
-
# Winners668
-
Num Months Winners10
- Dividends
-
Dividends Received in Model Acct1301
- AUM
-
AUM (AutoTrader live capital)278118
- Win / Loss
-
# Losers990
-
% Winners40.3%
- Frequency
-
Avg Position Time (mins)2456.27
-
Avg Position Time (hrs)40.94
-
Avg Trade Length1.7 days
-
Last Trade Ago1
- Leverage
-
Daily leverage (average)3.73
-
Daily leverage (max)14.75
- Regression
-
Alpha0.14
-
Beta1.46
-
Treynor Index0.15
- Maximum Adverse Excursion (MAE)
-
MAE:Equity, average, all trades0.00
-
MAE:PL - worst single value for strategy-
-
MAE:PL (avg, winning trades)-
-
MAE:PL (avg, losing trades)-
-
MAE:PL (avg, all trades)-0.83
-
MAE:Equity, average, winning trades0.00
-
MAE:Equity, average, losing trades0.00
-
Avg(MAE) / Avg(PL) - All trades1.700
-
MAE:Equity, losing trades only, 95th Percentile Value for this strat-
-
MAE:Equity, win trades only, 95th Percentile Value for this strat-
-
MAE:Equity, 95th Percentile Value for this strat0.00
-
Avg(MAE) / Avg(PL) - Winning trades0.204
-
Avg(MAE) / Avg(PL) - Losing trades-1.210
-
Hold-and-Hope Ratio0.620
- Analysis based on MONTHLY values, full history
- RATIO STATISTICS
- Ratio statistics of excess return rates
- Statistics related to Sharpe ratio
-
Mean0.78046
-
SD0.31832
-
Sharpe ratio (Glass type estimate)2.45183
-
Sharpe ratio (Hedges UMVUE)2.28010
-
df11.00000
-
t2.45183
-
p0.01607
-
Lowerbound of 95% confidence interval for Sharpe Ratio0.20254
-
Upperbound of 95% confidence interval for Sharpe Ratio4.61435
-
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.10083
-
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation4.45937
- Statistics related to Sortino ratio
-
Sortino ratio8.45039
-
Upside Potential Ratio10.09340
-
Upside part of mean0.93220
-
Downside part of mean-0.15174
-
Upside SD0.36758
-
Downside SD0.09236
-
N nonnegative terms8.00000
-
N negative terms4.00000
- Statistics related to linear regression on benchmark
-
N of observations12.00000
-
Mean of predictor0.21807
-
Mean of criterion0.78046
-
SD of predictor0.12587
-
SD of criterion0.31832
-
Covariance0.01145
-
r0.28585
-
b (slope, estimate of beta)0.72288
-
a (intercept, estimate of alpha)0.62282
-
Mean Square Error0.10235
-
DF error10.00000
-
t(b)0.94328
-
p(b)0.18388
-
t(a)1.72555
-
p(a)0.05757
-
Lowerbound of 95% confidence interval for beta-0.98465
-
Upperbound of 95% confidence interval for beta2.43040
-
Lowerbound of 95% confidence interval for alpha-0.18141
-
Upperbound of 95% confidence interval for alpha1.42706
-
Treynor index (mean / b)1.07966
-
Jensen alpha (a)0.62282
- Ratio statistics of excess log return rates
- Statistics related to Sharpe ratio
-
Mean0.71344
-
SD0.29953
-
Sharpe ratio (Glass type estimate)2.38184
-
Sharpe ratio (Hedges UMVUE)2.21501
-
df11.00000
-
t2.38184
-
p0.01819
-
Lowerbound of 95% confidence interval for Sharpe Ratio0.14641
-
Upperbound of 95% confidence interval for Sharpe Ratio4.53205
-
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.04749
-
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation4.38254
- Statistics related to Sortino ratio
-
Sortino ratio7.47605
-
Upside Potential Ratio9.10906
-
Upside part of mean0.86928
-
Downside part of mean-0.15584
-
Upside SD0.33993
-
Downside SD0.09543
-
N nonnegative terms8.00000
-
N negative terms4.00000
- Statistics related to linear regression on benchmark
-
N of observations12.00000
-
Mean of predictor0.20861
-
Mean of criterion0.71344
-
SD of predictor0.12371
-
SD of criterion0.29953
-
Covariance0.01056
-
r0.28512
-
b (slope, estimate of beta)0.69037
-
a (intercept, estimate of alpha)0.56942
-
Mean Square Error0.09067
-
DF error10.00000
-
t(b)0.94067
-
p(b)0.18452
-
t(a)1.68567
-
p(a)0.06138
-
Lowerbound of 95% confidence interval for beta-0.94488
-
Upperbound of 95% confidence interval for beta2.32562
-
Lowerbound of 95% confidence interval for alpha-0.18325
-
Upperbound of 95% confidence interval for alpha1.32209
-
Treynor index (mean / b)1.03342
-
Jensen alpha (a)0.56942
- Risk estimates for a one-period unit investment (parametric)
- assuming log normal returns and losses (using central moments from Sharpe statistics)
-
VaR(95%)0.07944
-
Expected Shortfall on VaR0.11166
- assuming Pareto losses only (using partial moments from Sortino statistics)
-
VaR(95%)0.02208
-
Expected Shortfall on VaR0.04687
- ORDER STATISTICS
- Quartiles of return rates
-
Number of observations12.00000
-
Minimum0.92327
-
Quartile 10.98817
-
Median1.09311
-
Quartile 31.12490
-
Maximum1.23316
-
Mean of quarter 10.95619
-
Mean of quarter 21.02884
-
Mean of quarter 31.11531
-
Mean of quarter 41.16912
-
Inter Quartile Range0.13673
-
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 for a one-period unit investment (based on Ex
-
Extreme Value Index (moments method)-7.12375
-
VaR(95%) (moments method)0.03646
-
Expected Shortfall (moments method)0.03646
-
Extreme Value Index (regression method)-0.52304
-
VaR(95%) (regression method)0.08224
-
Expected Shortfall (regression method)0.10128
- DRAW DOWN STATISTICS
- Quartiles of draw downs
-
Number of observations3.00000
-
Minimum0.01100
-
Quartile 10.03256
-
Median0.05412
-
Quartile 30.06542
-
Maximum0.07673
-
Mean of quarter 10.01100
-
Mean of quarter 20.05412
-
Mean of quarter 30.00000
-
Mean of quarter 40.07673
-
Inter Quartile Range0.03286
-
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)1.09876
-
Compounded annual return (geometric extrapolation)1.09876
-
Calmar ratio (compounded annual return / max draw down)14.32000
-
Compounded annual return / average of 25% largest draw downs14.32000
-
Compounded annual return / Expected Shortfall lognormal9.84056
-
0.00000
-
0.00000
- Analysis based on DAILY values, full history
- RATIO STATISTICS
- Ratio statistics of excess return rates
- Statistics related to Sharpe ratio
-
Mean0.79985
-
SD0.37642
-
Sharpe ratio (Glass type estimate)2.12491
-
Sharpe ratio (Hedges UMVUE)2.11919
-
df279.00000
-
t2.19669
-
p0.01443
-
Lowerbound of 95% confidence interval for Sharpe Ratio0.21894
-
Upperbound of 95% confidence interval for Sharpe Ratio4.02714
-
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.21514
-
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation4.02325
- Statistics related to Sortino ratio
-
Sortino ratio3.75857
-
Upside Potential Ratio11.49650
-
Upside part of mean2.44655
-
Downside part of mean-1.64670
-
Upside SD0.31359
-
Downside SD0.21281
-
N nonnegative terms148.00000
-
N negative terms132.00000
- Statistics related to linear regression on benchmark
-
N of observations280.00000
-
Mean of predictor0.18098
-
Mean of criterion0.79985
-
SD of predictor0.11616
-
SD of criterion0.37642
-
Covariance0.01942
-
r0.44402
-
b (slope, estimate of beta)1.43882
-
a (intercept, estimate of alpha)0.53900
-
Mean Square Error0.11416
-
DF error278.00000
-
t(b)8.26253
-
p(b)0.00000
-
t(a)1.64290
-
p(a)0.05077
-
Lowerbound of 95% confidence interval for beta1.09603
-
Upperbound of 95% confidence interval for beta1.78162
-
Lowerbound of 95% confidence interval for alpha-0.10693
-
Upperbound of 95% confidence interval for alpha1.18584
-
Treynor index (mean / b)0.55591
-
Jensen alpha (a)0.53946
- Ratio statistics of excess log return rates
- Statistics related to Sharpe ratio
-
Mean0.72932
-
SD0.37163
-
Sharpe ratio (Glass type estimate)1.96247
-
Sharpe ratio (Hedges UMVUE)1.95719
-
df279.00000
-
t2.02876
-
p0.02172
-
Lowerbound of 95% confidence interval for Sharpe Ratio0.05787
-
Upperbound of 95% confidence interval for Sharpe Ratio3.86366
-
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.05433
-
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation3.86005
- Statistics related to Sortino ratio
-
Sortino ratio3.36014
-
Upside Potential Ratio11.05320
-
Upside part of mean2.39909
-
Downside part of mean-1.66977
-
Upside SD0.30420
-
Downside SD0.21705
-
N nonnegative terms148.00000
-
N negative terms132.00000
- Statistics related to linear regression on benchmark
-
N of observations280.00000
-
Mean of predictor0.17419
-
Mean of criterion0.72932
-
SD of predictor0.11606
-
SD of criterion0.37163
-
Covariance0.01906
-
r0.44203
-
b (slope, estimate of beta)1.41545
-
a (intercept, estimate of alpha)0.48276
-
Mean Square Error0.11153
-
DF error278.00000
-
t(b)8.21635
-
p(b)0.00000
-
t(a)1.48803
-
p(a)0.06894
-
Lowerbound of 95% confidence interval for beta1.07633
-
Upperbound of 95% confidence interval for beta1.75457
-
Lowerbound of 95% confidence interval for alpha-0.15589
-
Upperbound of 95% confidence interval for alpha1.12142
-
Treynor index (mean / b)0.51526
-
Jensen alpha (a)0.48276
- Risk estimates for a one-period unit investment (parametric)
- assuming log normal returns and losses (using central moments from Sharpe statistics)
-
VaR(95%)0.03438
-
Expected Shortfall on VaR0.04356
- assuming Pareto losses only (using partial moments from Sortino statistics)
-
VaR(95%)0.01392
-
Expected Shortfall on VaR0.02776
- ORDER STATISTICS
- Quartiles of return rates
-
Number of observations280.00000
-
Minimum0.93540
-
Quartile 10.99232
-
Median1.00079
-
Quartile 31.01194
-
Maximum1.13269
-
Mean of quarter 10.97820
-
Mean of quarter 20.99691
-
Mean of quarter 31.00526
-
Mean of quarter 41.03227
-
Inter Quartile Range0.01962
-
Number outliers low11.00000
-
Percentage of outliers low0.03929
-
Mean of outliers low0.95073
-
Number of outliers high17.00000
-
Percentage of outliers high0.06071
-
Mean of outliers high1.06041
- Risk estimates for a one-period unit investment (based on Ex
-
Extreme Value Index (moments method)0.26555
-
VaR(95%) (moments method)0.02118
-
Expected Shortfall (moments method)0.03514
-
Extreme Value Index (regression method)-0.05228
-
VaR(95%) (regression method)0.02263
-
Expected Shortfall (regression method)0.03101
- DRAW DOWN STATISTICS
- Quartiles of draw downs
-
Number of observations23.00000
-
Minimum0.00278
-
Quartile 10.00690
-
Median0.01786
-
Quartile 30.05417
-
Maximum0.18990
-
Mean of quarter 10.00419
-
Mean of quarter 20.01278
-
Mean of quarter 30.04113
-
Mean of quarter 40.12413
-
Inter Quartile Range0.04728
-
Number outliers low0.00000
-
Percentage of outliers low0.00000
-
Mean of outliers low0.00000
-
Number of outliers high3.00000
-
Percentage of outliers high0.13043
-
Mean of outliers high0.16054
- Risk estimates based on draw downs (based on Extreme Value T
-
Extreme Value Index (moments method)-4.86027
-
VaR(95%) (moments method)0.11430
-
Expected Shortfall (moments method)0.11434
-
Extreme Value Index (regression method)-0.99437
-
VaR(95%) (regression method)0.17794
-
Expected Shortfall (regression method)0.19338
- COMBINED STATISTICS
-
Annualized return (arithmetic extrapolation)1.16610
-
Compounded annual return (geometric extrapolation)1.13235
-
Calmar ratio (compounded annual return / max draw down)5.96300
-
Compounded annual return / average of 25% largest draw downs9.12249
-
Compounded annual return / Expected Shortfall lognormal25.99410
-
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
-
Mean1.43289
-
SD0.35442
-
Sharpe ratio (Glass type estimate)4.04286
-
Sharpe ratio (Hedges UMVUE)4.01949
-
df130.00000
-
t2.85873
-
p0.37840
-
Lowerbound of 95% confidence interval for Sharpe Ratio1.22047
-
Upperbound of 95% confidence interval for Sharpe Ratio6.85030
-
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation1.20495
-
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation6.83403
- Statistics related to Sortino ratio
-
Sortino ratio7.96045
-
Upside Potential Ratio15.29340
-
Upside part of mean2.75283
-
Downside part of mean-1.31994
-
Upside SD0.31638
-
Downside SD0.18000
-
N nonnegative terms78.00000
-
N negative terms53.00000
- Statistics related to linear regression on benchmark
-
N of observations131.00000
-
Mean of predictor0.39715
-
Mean of criterion1.43289
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SD of predictor0.11290
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SD of criterion0.35442
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Covariance0.02121
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r0.53001
-
b (slope, estimate of beta)1.66381
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a (intercept, estimate of alpha)0.77211
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Mean Square Error0.09103
-
DF error129.00000
-
t(b)7.09884
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p(b)0.17913
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t(a)1.76797
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p(a)0.40247
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Lowerbound of 95% confidence interval for beta1.20009
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Upperbound of 95% confidence interval for beta2.12753
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Lowerbound of 95% confidence interval for alpha-0.09195
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Upperbound of 95% confidence interval for alpha1.63617
-
Treynor index (mean / b)0.86121
-
Jensen alpha (a)0.77211
- Ratio statistics of excess log return rates
- Statistics related to Sharpe ratio
-
Mean1.36772
-
SD0.35024
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Sharpe ratio (Glass type estimate)3.90505
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Sharpe ratio (Hedges UMVUE)3.88247
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df130.00000
-
t2.76128
-
p0.38231
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Lowerbound of 95% confidence interval for Sharpe Ratio1.08567
-
Upperbound of 95% confidence interval for Sharpe Ratio6.70986
-
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation1.07078
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Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation6.69417
- Statistics related to Sortino ratio
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Sortino ratio7.46542
-
Upside Potential Ratio14.75980
-
Upside part of mean2.70410
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Downside part of mean-1.33638
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Upside SD0.30872
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Downside SD0.18321
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N nonnegative terms78.00000
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N negative terms53.00000
- Statistics related to linear regression on benchmark
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N of observations131.00000
-
Mean of predictor0.39050
-
Mean of criterion1.36772
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SD of predictor0.11269
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SD of criterion0.35024
-
Covariance0.02081
-
r0.52718
-
b (slope, estimate of beta)1.63845
-
a (intercept, estimate of alpha)0.72789
-
Mean Square Error0.08926
-
DF error129.00000
-
t(b)7.04636
-
p(b)0.18065
-
t(a)1.68426
-
p(a)0.40695
-
VAR (95 Confidence Intrvl)0.03400
-
Lowerbound of 95% confidence interval for beta1.17840
-
Upperbound of 95% confidence interval for beta2.09851
-
Lowerbound of 95% confidence interval for alpha-0.12717
-
Upperbound of 95% confidence interval for alpha1.58296
-
Treynor index (mean / b)0.83476
-
Jensen alpha (a)0.72789
- Risk estimates for a one-period unit investment (parametric)
- assuming log normal returns and losses (using central moments from Sharpe statistics)
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VaR(95%)0.02991
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Expected Shortfall on VaR0.03862
- assuming Pareto losses only (using partial moments from Sortino statistics)
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VaR(95%)0.01001
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Expected Shortfall on VaR0.02095
- ORDER STATISTICS
- Quartiles of return rates
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Number of observations131.00000
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Minimum0.94647
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Quartile 10.99344
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Median1.00259
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Quartile 31.01521
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Maximum1.08365
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Mean of quarter 10.98223
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Mean of quarter 20.99862
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Mean of quarter 31.00740
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Mean of quarter 41.03412
-
Inter Quartile Range0.02177
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Number outliers low4.00000
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Percentage of outliers low0.03053
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Mean of outliers low0.95418
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Number of outliers high5.00000
-
Percentage of outliers high0.03817
-
Mean of outliers high1.06766
- Risk estimates for a one-period unit investment (based on Ex
-
Extreme Value Index (moments method)0.50355
-
VaR(95%) (moments method)0.01934
-
Expected Shortfall (moments method)0.04290
-
Extreme Value Index (regression method)0.27303
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VaR(95%) (regression method)0.01737
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Expected Shortfall (regression method)0.02878
- DRAW DOWN STATISTICS
- Quartiles of draw downs
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Number of observations16.00000
-
Minimum0.00392
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Quartile 10.00980
-
Median0.01631
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Quartile 30.03789
-
Maximum0.13831
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Mean of quarter 10.00562
-
Mean of quarter 20.01260
-
Mean of quarter 30.02620
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Mean of quarter 40.08228
-
Inter Quartile Range0.02809
-
Number outliers low0.00000
-
Percentage of outliers low0.00000
-
Mean of outliers low0.00000
-
Number of outliers high2.00000
-
Percentage of outliers high0.12500
-
Mean of outliers high0.11464
- Risk estimates based on draw downs (based on Extreme Value T
-
Extreme Value Index (moments method)-0.10233
-
VaR(95%) (moments method)0.08665
-
Expected Shortfall (moments method)0.11200
-
Extreme Value Index (regression method)0.76098
-
VaR(95%) (regression method)0.11102
-
Last 4 Months - Pcnt Negativen/a
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Expected Shortfall (regression method)0.40501
-
Strat Max DD how much worse than SP500 max DD during strat life?-388179000
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Max Equity Drawdown (num days)29
- COMBINED STATISTICS
-
Annualized return (arithmetic extrapolation)2.01871
-
Compounded annual return (geometric extrapolation)3.03750
-
Calmar ratio (compounded annual return / max draw down)21.96230
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Compounded annual return / average of 25% largest draw downs36.91630
-
Compounded annual return / Expected Shortfall lognormal78.66030
Strategy Description
Our IC Algotrading system has an excellent risk/reward ratio. We focus on making sure our system does not lose money rather than making money, although the performance of the system is not bad.
Our algorithmic trading strategies (ATS) look for predictable and repeatable behavior in the financial futures and equity markets. Our approach to algorithmic trading focuses on a strategic combination of research, engineering and trading expertise. We encourage an individual and unique approach at each stage of strategy development. Our algorithmic trading consists of a diverse set of uncorrelated trading styles. We prefer latency-insensitive strategies with a greater emphasis on understanding and risk-taking. Our proprietary technology infrastructure provides excellent access to electronic markets and myriad tools to facilitate the development of algorithmic trading strategies, allowing us to bring ideas to market quickly and reliably.
IC Algotrading's platform setup includes Multicharts and TWS (Interactive Brokers) running on the Contabo platform in St. Louis, USA 24 hours a day, 7 days a week.
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.