Collective2 Collective2
Featured Strategy Income Trades +16.6% Cumul. Return since Feb 16, 2024 Hypothetical

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These are hypothetical performance results that have certain inherent limitations. Learn more
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SP Alpha
(77778975)

Created by: Hans-JoergStraehnz Hans-JoergStraehnz
Started: 11/2012
Stocks
Last trade: 3,466 days ago
Subscriptions not currently available.

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 $99.00 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.

14.9%
Annual Return (Compounded)

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.

(26.5%)
Max Drawdown
71
Num Trades
62.0%
Win Trades
7.5 : 1
Profit Factor
67.4%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2012                                                                      +5.0%(3.6%)+1.2%
2013+13.0%+1.3%+7.6%  -  (1.1%)+5.7%+3.6%(1.5%)(0.2%)+1.6%+3.4%+7.6%+48.1%
2014(12.3%)  -  +5.1%+4.0%+1.5%+0.7%(4.1%)+0.5%(0.1%)+0.2%+0.9%(0.3%)(4.9%)
2015(9.1%)+6.9%(5%)(1.3%)+1.1%(3.8%)+4.2%(8%)(5.5%)+13.8%+2.0%(3.9%)(10.5%)
2016(7.5%)+1.1%+9.3%+1.5%(0.1%)+1.5%+5.8%+0.2%(1.8%)(0.7%)+5.9%+1.4%+16.6%
2017+3.4%+5.6%(0.3%)+2.0%+1.7%+1.0%+1.9%+0.3%+2.6%+2.3%+4.6%+1.2%+29.6%
2018+7.8%(4.5%)(5.6%)+2.9%+4.4%(1.3%)+5.3%+4.0%+0.4%(9.8%)+3.9%(12.1%)(6.7%)
2019+9.2%+7.1%+3.0%+3.3%(4.3%)  -  (2.8%)+5.5%+2.1%+4.2%+3.5%+40.9%
2020+2.0%(10.4%)+0.5%(4.7%)+8.1%+0.4%+6.5%+10.8%(5%)+1.4%+8.8%+3.0%+21.0%
2021(0.2%)+3.1%+5.1%+6.0%+0.7%+2.7%+2.2%+3.6%(4.3%)+7.1%(0.3%)+4.0%+33.3%
2022(7.8%)(0.9%)+3.8%(6.2%)(2.4%)(10%)+10.3%+0.8%(13%)+7.4%+4.3%(5.9%)(20.4%)
2023+6.2%(1.1%)+1.4%+4.4%+1.1%+6.0%+2.6%(3%)(2.8%)(1.1%)+8.1%+3.4%+27.4%
2024+4.1%+4.9%+2.4%(2%)+3.9%+3.3%+1.8%+2.1%+1.0%+2.0%+1.5%      +27.9%

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.

System developer has asked us to delay this information by 24 hours.

Trading Record

This strategy has placed 8 trades in real-life brokerage accounts. The most recent trade in a real-money brokerage account occurred more than 4094 days ago.

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Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQuantAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
5/6/15 9:31 SPY SPDR S&P 500 LONG 235 209.59 5/11 9:31 211.57 0.63%
Trade id #94272334
Max drawdown($318)
Time5/7/15 5:18
Quant open98
Worst price206.31
Drawdown as % of equity-0.63%
 $461
Includes Typical Broker Commissions trade costs of $4.70
5/1/15 9:31 SPY SPDR S&P 500 LONG 367 209.40 5/5 9:31 211.03 0.36%
Trade id #94188531
Max drawdown($183)
Time5/4/15 18:03
Quant open367
Worst price208.90
Drawdown as % of equity-0.36%
 $591
Includes Typical Broker Commissions trade costs of $7.34
3/24/15 9:31 SPY SPDR S&P 500 LONG 421 208.97 4/6 9:31 205.55 4.08%
Trade id #93445462
Max drawdown($2,043)
Time3/26/15 5:26
Quant open340
Worst price203.84
Drawdown as % of equity-4.08%
 ($1,447)
Includes Typical Broker Commissions trade costs of $8.42
11/3/14 9:31 SSO PROSHARES ULTRA S&P 500 LONG 272 61.58 4/2/15 9:31 64.14 1.3%
Trade id #90578735
Max drawdown($641)
Time2/2/15 10:07
Quant open136
Worst price118.45
Drawdown as % of equity-1.30%
 $690
Includes Typical Broker Commissions trade costs of $5.44
2/24/15 9:30 SPY SPDR S&P 500 LONG 524 210.01 3/17 9:31 208.62 2.71%
Trade id #92716679
Max drawdown($1,367)
Time3/11/15 16:03
Quant open243
Worst price204.38
Drawdown as % of equity-2.71%
 ($739)
Includes Typical Broker Commissions trade costs of $10.48
1/23/15 9:31 SPY SPDR S&P 500 LONG 350 205.79 2/4 9:30 203.92 5.63%
Trade id #92057727
Max drawdown($2,775)
Time2/2/15 10:07
Quant open350
Worst price197.86
Drawdown as % of equity-5.63%
 ($662)
Includes Typical Broker Commissions trade costs of $7.00
12/23/14 15:30 SPY SPDR S&P 500 LONG 495 206.55 1/22/15 12:48 202.04 7.21%
Trade id #91480985
Max drawdown($3,637)
Time1/6/15 13:26
Quant open433
Worst price198.85
Drawdown as % of equity-7.21%
 ($2,243)
Includes Typical Broker Commissions trade costs of $9.90
12/10/14 9:30 SPY SPDR S&P 500 LONG 254 203.10 12/19 9:31 206.43 2.75%
Trade id #91243003
Max drawdown($1,425)
Time12/16/14 7:26
Quant open254
Worst price197.49
Drawdown as % of equity-2.75%
 $841
Includes Typical Broker Commissions trade costs of $5.08
11/25/14 9:30 SPY SPDR S&P 500 LONG 357 207.54 12/8 9:31 207.52 1.43%
Trade id #90982612
Max drawdown($771)
Time12/1/14 11:00
Quant open357
Worst price205.38
Drawdown as % of equity-1.43%
 ($14)
Includes Typical Broker Commissions trade costs of $7.14
10/23/14 9:30 SPY SPDR S&P 500 LONG 360 194.62 11/4 9:30 201.23 0.26%
Trade id #90407495
Max drawdown($129)
Time10/23/14 9:54
Quant open360
Worst price194.26
Drawdown as % of equity-0.26%
 $2,373
Includes Typical Broker Commissions trade costs of $7.20
9/24/14 9:30 SPY SPDR S&P 500 LONG 260 197.13 10/20 9:31 188.13 7.87%
Trade id #89866663
Max drawdown($3,954)
Time10/15/14 13:29
Quant open260
Worst price181.92
Drawdown as % of equity-7.87%
 ($2,344)
Includes Typical Broker Commissions trade costs of $5.20
9/16/14 9:31 SPY SPDR S&P 500 LONG 43 198.61 9/17 9:30 200.77 0%
Trade id #89702293
Max drawdown($1)
Time9/16/14 9:33
Quant open43
Worst price198.57
Drawdown as % of equity-0.00%
 $92
Includes Typical Broker Commissions trade costs of $0.86
7/23/14 9:30 SPY SPDR S&P 500 LONG 556 198.05 8/12 9:31 192.41 6.89%
Trade id #88712215
Max drawdown($3,605)
Time8/1/14 11:58
Quant open556
Worst price191.57
Drawdown as % of equity-6.89%
 ($3,148)
Includes Typical Broker Commissions trade costs of $11.12
8/1/14 12:54 @ESU4 E-MINI S&P 500 LONG 1 1914.25 8/12 9:31 1930.00 2.36%
Trade id #88884724
Max drawdown($1,200)
Time8/8/14 3:54
Quant open1
Worst price1890.25
Drawdown as % of equity-2.36%
 $780
Includes Typical Broker Commissions trade costs of $8.00
6/24/14 9:30 SPY SPDR S&P 500 LONG 381 195.53 7/7 9:32 197.82 0.98%
Trade id #88251361
Max drawdown($533)
Time6/26/14 9:52
Quant open381
Worst price194.13
Drawdown as % of equity-0.98%
 $864
Includes Typical Broker Commissions trade costs of $7.62
6/13/14 9:30 SPY SPDR S&P 500 LONG 181 193.94 6/18 9:30 194.83 0.05%
Trade id #88096799
Max drawdown($27)
Time6/13/14 10:08
Quant open45
Worst price193.30
Drawdown as % of equity-0.05%
 $157
Includes Typical Broker Commissions trade costs of $3.62
5/16/14 9:31 SPY SPDR S&P 500 LONG 383 189.17 6/5 9:30 193.41 0.07%
Trade id #87608804
Max drawdown($35)
Time5/16/14 10:09
Quant open45
Worst price186.72
Drawdown as % of equity-0.07%
 $1,616
Includes Typical Broker Commissions trade costs of $7.66
4/23/14 9:30 SPY SPDR S&P 500 LONG 386 187.81 5/5 9:32 187.14 2.09%
Trade id #87192364
Max drawdown($1,100)
Time4/28/14 13:34
Quant open386
Worst price184.96
Drawdown as % of equity-2.09%
 ($267)
Includes Typical Broker Commissions trade costs of $7.72
4/8/14 9:30 SPY SPDR S&P 500 LONG 276 183.62 4/16 9:30 185.47 0.94%
Trade id #86920978
Max drawdown($488)
Time4/11/14 14:50
Quant open184
Worst price181.31
Drawdown as % of equity-0.94%
 $504
Includes Typical Broker Commissions trade costs of $5.52
3/27/14 9:31 @ESM4 E-MINI S&P 500 LONG 1 1841.75 4/4 9:30 1892.00 0.78%
Trade id #86715493
Max drawdown($387)
Time3/27/14 9:46
Quant open1
Worst price1834.00
Drawdown as % of equity-0.78%
 $2,505
Includes Typical Broker Commissions trade costs of $8.00
4/1/14 9:31 SPY SPDR S&P 500 SHORT 130 187.62 4/4 9:30 189.64 0.5%
Trade id #86795942
Max drawdown($263)
Time4/4/14 9:30
Quant open0
Worst price189.64
Drawdown as % of equity-0.50%
 ($266)
Includes Typical Broker Commissions trade costs of $2.60
1/14/14 9:31 SSO PROSHARES ULTRA S&P 500 LONG 532 49.90 4/2 9:31 53.43 5.71%
Trade id #85157046
Max drawdown($2,514)
Time2/5/14 10:26
Quant open266
Worst price90.36
Drawdown as % of equity-5.71%
 $1,866
Includes Typical Broker Commissions trade costs of $7.82
3/28/14 9:30 SPY SPDR S&P 500 LONG 131 186.13 4/1 9:31 187.62 0.01%
Trade id #86740776
Max drawdown($4)
Time3/28/14 14:20
Quant open44
Worst price185.00
Drawdown as % of equity-0.01%
 $192
Includes Typical Broker Commissions trade costs of $2.62
3/27/14 9:31 SPY SPDR S&P 500 SHORT 21 184.77 3/28 9:30 185.10 0.02%
Trade id #86715504
Max drawdown($11)
Time3/27/14 10:22
Quant open-21
Worst price185.34
Drawdown as % of equity-0.02%
 ($7)
Includes Typical Broker Commissions trade costs of $0.42
3/25/14 9:31 SPY SPDR S&P 500 LONG 414 186.37 3/27 9:31 184.77 1.46%
Trade id #86660068
Max drawdown($720)
Time3/27/14 9:31
Quant open414
Worst price184.63
Drawdown as % of equity-1.46%
 ($670)
Includes Typical Broker Commissions trade costs of $8.28
3/14/14 9:31 SPY SPDR S&P 500 LONG 173 185.10 3/19 9:30 187.70 0.08%
Trade id #86479030
Max drawdown($38)
Time3/14/14 15:55
Quant open108
Worst price184.44
Drawdown as % of equity-0.08%
 $447
Includes Typical Broker Commissions trade costs of $3.46
3/4/14 9:31 XIV VELOCITYSHARES DAILY INVERSE V LONG 326 30.53 3/18 9:30 30.34 1.74%
Trade id #86274945
Max drawdown($853)
Time3/14/14 11:24
Quant open326
Worst price27.91
Drawdown as % of equity-1.74%
 ($68)
Includes Typical Broker Commissions trade costs of $6.52
2/25/14 9:30 SPY SPDR S&P 500 LONG 353 185.03 3/7 9:30 188.87 0.94%
Trade id #86150421
Max drawdown($451)
Time3/3/14 12:13
Quant open353
Worst price183.75
Drawdown as % of equity-0.94%
 $1,349
Includes Typical Broker Commissions trade costs of $7.06
1/27/14 9:32 SPY SPDR S&P 500 LONG 277 178.15 2/7 9:31 178.31 2.79%
Trade id #85391354
Max drawdown($1,230)
Time2/5/14 10:26
Quant open277
Worst price173.71
Drawdown as % of equity-2.79%
 $38
Includes Typical Broker Commissions trade costs of $5.54
1/28/14 9:31 XIV VELOCITYSHARES DAILY INVERSE V LONG 360 31.49 2/7 9:31 27.30 4.24%
Trade id #85424608
Max drawdown($1,861)
Time2/3/14 15:01
Quant open360
Worst price26.32
Drawdown as % of equity-4.24%
 ($1,515)
Includes Typical Broker Commissions trade costs of $7.20
Next

Statistics

  • Strategy began
    11/21/2012
  • Suggested Minimum Cap
    $35,000
  • Strategy Age (days)
    4378.81
  • Age
    146 months ago
  • What it trades
    Stocks
  • # Trades
    71
  • # Profitable
    44
  • % Profitable
    62.00%
  • Avg trade duration
    64.9 days
  • Max peak-to-valley drawdown
    26.5%
  • drawdown period
    Dec 31, 2013 - Feb 09, 2016
  • Annual Return (Compounded)
    14.9%
  • Avg win
    $3,664
  • Avg loss
    $889.30
  • Model Account Values (Raw)
  • Cash
    $33,136
  • Margin Used
    $0
  • Buying Power
    $155,595
  • Ratios
  • W:L ratio
    7.47:1
  • Sharpe Ratio
    0.65
  • Sortino Ratio
    0.9
  • Calmar Ratio
    1.861
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    102.66%
  • Correlation to SP500
    0.81340
  • Return Percent SP500 (cumu) during strategy life
    322.93%
  • Return Statistics
  • Ann Return (w trading costs)
    14.9%
  • Slump
  • Current Slump as Pcnt Equity
    n/a
  • Instruments
  • Percent Trades Futures
    0.14%
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    n/a
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.149%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    0.86%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    15.2%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    100.00%
  • Chance of 20% account loss
    100.00%
  • 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
  • Chance of 100% 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)
    0
  • Popularity (Last 6 weeks)
    0
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Popularity
  • Popularity (7 days, Percentile 1000 scale)
    0
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $889
  • Avg Win
    $3,665
  • Sum Trade PL (losers)
    $24,011.000
  • Age
  • Num Months filled monthly returns table
    145
  • Win / Loss
  • Sum Trade PL (winners)
    $161,244.000
  • # Winners
    44
  • Num Months Winners
    99
  • Dividends
  • Dividends Received in Model Acct
    18192
  • Win / Loss
  • # Losers
    27
  • % Winners
    62.0%
  • Frequency
  • Avg Position Time (mins)
    93490.40
  • Avg Position Time (hrs)
    1558.17
  • Avg Trade Length
    64.9 days
  • Last Trade Ago
    3464
  • Regression
  • Alpha
    0.01
  • Beta
    0.98
  • Treynor Index
    0.04
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.02
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    53.05
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    91.30
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -1.98
  • MAE:Equity, average, winning trades
    0.02
  • MAE:Equity, average, losing trades
    0.03
  • Avg(MAE) / Avg(PL) - All trades
    0.509
  • 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
    0.03
  • Avg(MAE) / Avg(PL) - Winning trades
    0.187
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.644
  • Hold-and-Hope Ratio
    2.219
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.36378
  • SD
    0.25908
  • Sharpe ratio (Glass type estimate)
    1.40414
  • Sharpe ratio (Hedges UMVUE)
    1.38295
  • df
    50.00000
  • t
    2.89470
  • p
    0.00281
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.40810
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.38722
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.39434
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.37156
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.39451
  • Upside Potential Ratio
    4.90226
  • Upside part of mean
    0.52536
  • Downside part of mean
    -0.16158
  • Upside SD
    0.25563
  • Downside SD
    0.10717
  • N nonnegative terms
    33.00000
  • N negative terms
    18.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    51.00000
  • Mean of predictor
    0.29413
  • Mean of criterion
    0.36378
  • SD of predictor
    0.20714
  • SD of criterion
    0.25908
  • Covariance
    0.04877
  • r
    0.90871
  • b (slope, estimate of beta)
    1.13654
  • a (intercept, estimate of alpha)
    0.02950
  • Mean Square Error
    0.01193
  • DF error
    49.00000
  • t(b)
    15.23870
  • p(b)
    -0.00000
  • t(a)
    0.51432
  • p(a)
    0.30467
  • Lowerbound of 95% confidence interval for beta
    0.98666
  • Upperbound of 95% confidence interval for beta
    1.28641
  • Lowerbound of 95% confidence interval for alpha
    -0.08576
  • Upperbound of 95% confidence interval for alpha
    0.14475
  • Treynor index (mean / b)
    0.32008
  • Jensen alpha (a)
    0.02950
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.32748
  • SD
    0.24632
  • Sharpe ratio (Glass type estimate)
    1.32949
  • Sharpe ratio (Hedges UMVUE)
    1.30943
  • df
    50.00000
  • t
    2.74081
  • p
    0.00424
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.33772
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.30891
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.32468
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.29418
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.91803
  • Upside Potential Ratio
    4.40879
  • Upside part of mean
    0.49478
  • Downside part of mean
    -0.16730
  • Upside SD
    0.23628
  • Downside SD
    0.11223
  • N nonnegative terms
    33.00000
  • N negative terms
    18.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    51.00000
  • Mean of predictor
    0.27091
  • Mean of criterion
    0.32748
  • SD of predictor
    0.19462
  • SD of criterion
    0.24632
  • Covariance
    0.04309
  • r
    0.89876
  • b (slope, estimate of beta)
    1.13748
  • a (intercept, estimate of alpha)
    0.01932
  • Mean Square Error
    0.01190
  • DF error
    49.00000
  • t(b)
    14.34900
  • p(b)
    -0.00000
  • t(a)
    0.33833
  • p(a)
    0.36828
  • Lowerbound of 95% confidence interval for beta
    0.97818
  • Upperbound of 95% confidence interval for beta
    1.29678
  • Lowerbound of 95% confidence interval for alpha
    -0.09545
  • Upperbound of 95% confidence interval for alpha
    0.13409
  • Treynor index (mean / b)
    0.28790
  • Jensen alpha (a)
    0.01932
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.08577
  • Expected Shortfall on VaR
    0.11223
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02416
  • Expected Shortfall on VaR
    0.05263
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    51.00000
  • Minimum
    0.87018
  • Quartile 1
    0.98947
  • Median
    1.01956
  • Quartile 3
    1.07668
  • Maximum
    1.26881
  • Mean of quarter 1
    0.95177
  • Mean of quarter 2
    1.00645
  • Mean of quarter 3
    1.04050
  • Mean of quarter 4
    1.13246
  • Inter Quartile Range
    0.08721
  • 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
    0.01961
  • Mean of outliers high
    1.26881
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.01734
  • VaR(95%) (moments method)
    0.03340
  • Expected Shortfall (moments method)
    0.04843
  • Extreme Value Index (regression method)
    0.02575
  • VaR(95%) (regression method)
    0.06361
  • Expected Shortfall (regression method)
    0.09796
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    7.00000
  • Minimum
    0.00590
  • Quartile 1
    0.01763
  • Median
    0.02328
  • Quartile 3
    0.13147
  • Maximum
    0.13945
  • Mean of quarter 1
    0.01029
  • Mean of quarter 2
    0.02193
  • Mean of quarter 3
    0.12982
  • Mean of quarter 4
    0.13628
  • Inter Quartile Range
    0.11384
  • 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)
    0.83024
  • Compounded annual return (geometric extrapolation)
    0.42673
  • Calmar ratio (compounded annual return / max draw down)
    3.06012
  • Compounded annual return / average of 25% largest draw downs
    3.13126
  • Compounded annual return / Expected Shortfall lognormal
    3.80245
  • 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
    0.40374
  • SD
    0.29171
  • Sharpe ratio (Glass type estimate)
    1.38405
  • Sharpe ratio (Hedges UMVUE)
    1.38313
  • df
    1134.00000
  • t
    2.88071
  • p
    0.45738
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.44035
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.32717
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.43974
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.32653
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.88621
  • Upside Potential Ratio
    7.16457
  • Upside part of mean
    1.53357
  • Downside part of mean
    -1.12983
  • Upside SD
    0.19956
  • Downside SD
    0.21405
  • N nonnegative terms
    609.00000
  • N negative terms
    526.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1135.00000
  • Mean of predictor
    0.33386
  • Mean of criterion
    0.40374
  • SD of predictor
    0.25164
  • SD of criterion
    0.29171
  • Covariance
    0.06262
  • r
    0.85303
  • b (slope, estimate of beta)
    0.98886
  • a (intercept, estimate of alpha)
    0.07400
  • Mean Square Error
    0.02320
  • DF error
    1133.00000
  • t(b)
    55.01960
  • p(b)
    0.03306
  • t(a)
    1.00241
  • p(a)
    0.48105
  • Lowerbound of 95% confidence interval for beta
    0.95360
  • Upperbound of 95% confidence interval for beta
    1.02412
  • Lowerbound of 95% confidence interval for alpha
    -0.07046
  • Upperbound of 95% confidence interval for alpha
    0.21765
  • Treynor index (mean / b)
    0.40829
  • Jensen alpha (a)
    0.07360
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.35949
  • SD
    0.29938
  • Sharpe ratio (Glass type estimate)
    1.20076
  • Sharpe ratio (Hedges UMVUE)
    1.19997
  • df
    1134.00000
  • t
    2.49921
  • p
    0.46299
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.25754
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.14348
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.25700
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.14293
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.57999
  • Upside Potential Ratio
    6.65430
  • Upside part of mean
    1.51402
  • Downside part of mean
    -1.15453
  • Upside SD
    0.19565
  • Downside SD
    0.22753
  • N nonnegative terms
    609.00000
  • N negative terms
    526.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1135.00000
  • Mean of predictor
    0.30100
  • Mean of criterion
    0.35949
  • SD of predictor
    0.25787
  • SD of criterion
    0.29938
  • Covariance
    0.06643
  • r
    0.86045
  • b (slope, estimate of beta)
    0.99896
  • a (intercept, estimate of alpha)
    0.05880
  • Mean Square Error
    0.02329
  • DF error
    1133.00000
  • t(b)
    56.84050
  • p(b)
    0.03063
  • t(a)
    0.79988
  • p(a)
    0.48488
  • Lowerbound of 95% confidence interval for beta
    0.96447
  • Upperbound of 95% confidence interval for beta
    1.03344
  • Lowerbound of 95% confidence interval for alpha
    -0.08544
  • Upperbound of 95% confidence interval for alpha
    0.20305
  • Treynor index (mean / b)
    0.35986
  • Jensen alpha (a)
    0.05880
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02863
  • Expected Shortfall on VaR
    0.03609
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00913
  • Expected Shortfall on VaR
    0.02063
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    1135.00000
  • Minimum
    0.75991
  • Quartile 1
    0.99700
  • Median
    1.00063
  • Quartile 3
    1.00697
  • Maximum
    1.09876
  • Mean of quarter 1
    0.98360
  • Mean of quarter 2
    0.99942
  • Mean of quarter 3
    1.00317
  • Mean of quarter 4
    1.02041
  • Inter Quartile Range
    0.00996
  • Number outliers low
    79.00000
  • Percentage of outliers low
    0.06960
  • Mean of outliers low
    0.96291
  • Number of outliers high
    94.00000
  • Percentage of outliers high
    0.08282
  • Mean of outliers high
    1.03546
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.54583
  • VaR(95%) (moments method)
    0.01313
  • Expected Shortfall (moments method)
    0.03397
  • Extreme Value Index (regression method)
    0.37435
  • VaR(95%) (regression method)
    0.01351
  • Expected Shortfall (regression method)
    0.02742
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    65.00000
  • Minimum
    0.00004
  • Quartile 1
    0.00271
  • Median
    0.01406
  • Quartile 3
    0.03689
  • Maximum
    0.25418
  • Mean of quarter 1
    0.00153
  • Mean of quarter 2
    0.00723
  • Mean of quarter 3
    0.02288
  • Mean of quarter 4
    0.11362
  • Inter Quartile Range
    0.03418
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    7.00000
  • Percentage of outliers high
    0.10769
  • Mean of outliers high
    0.18364
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.36820
  • VaR(95%) (moments method)
    0.11053
  • Expected Shortfall (moments method)
    0.20722
  • Extreme Value Index (regression method)
    0.01564
  • VaR(95%) (regression method)
    0.11933
  • Expected Shortfall (regression method)
    0.17107
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    1.00553
  • Compounded annual return (geometric extrapolation)
    0.47314
  • Calmar ratio (compounded annual return / max draw down)
    1.86142
  • Compounded annual return / average of 25% largest draw downs
    4.16438
  • Compounded annual return / Expected Shortfall lognormal
    13.11030
  • 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
    1.15154
  • SD
    0.48287
  • Sharpe ratio (Glass type estimate)
    2.38475
  • Sharpe ratio (Hedges UMVUE)
    2.37097
  • df
    130.00000
  • t
    1.68628
  • p
    0.42685
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.40666
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.16719
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.41578
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.15772
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.55312
  • Upside Potential Ratio
    10.34860
  • Upside part of mean
    3.35389
  • Downside part of mean
    -2.20235
  • Upside SD
    0.36251
  • Downside SD
    0.32409
  • N nonnegative terms
    79.00000
  • N negative terms
    52.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.98364
  • Mean of criterion
    1.15154
  • SD of predictor
    0.44322
  • SD of criterion
    0.48287
  • Covariance
    0.19859
  • r
    0.92790
  • b (slope, estimate of beta)
    1.01093
  • a (intercept, estimate of alpha)
    0.15715
  • Mean Square Error
    0.03266
  • DF error
    129.00000
  • t(b)
    28.26710
  • p(b)
    0.01149
  • t(a)
    0.60911
  • p(a)
    0.46592
  • Lowerbound of 95% confidence interval for beta
    0.94017
  • Upperbound of 95% confidence interval for beta
    1.08169
  • Lowerbound of 95% confidence interval for alpha
    -0.35331
  • Upperbound of 95% confidence interval for alpha
    0.66760
  • Treynor index (mean / b)
    1.13909
  • Jensen alpha (a)
    0.15715
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    1.03293
  • SD
    0.48497
  • Sharpe ratio (Glass type estimate)
    2.12988
  • Sharpe ratio (Hedges UMVUE)
    2.11757
  • df
    130.00000
  • t
    1.50605
  • p
    0.43452
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.65799
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.90975
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.66617
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.90130
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.07253
  • Upside Potential Ratio
    9.78694
  • Upside part of mean
    3.29018
  • Downside part of mean
    -2.25725
  • Upside SD
    0.35278
  • Downside SD
    0.33618
  • N nonnegative terms
    79.00000
  • N negative terms
    52.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.88326
  • Mean of criterion
    1.03293
  • SD of predictor
    0.44748
  • SD of criterion
    0.48497
  • Covariance
    0.20168
  • r
    0.92934
  • b (slope, estimate of beta)
    1.00720
  • a (intercept, estimate of alpha)
    0.14331
  • Mean Square Error
    0.03231
  • DF error
    129.00000
  • t(b)
    28.58770
  • p(b)
    0.01115
  • t(a)
    0.55956
  • p(a)
    0.46869
  • VAR (95 Confidence Intrvl)
    0.02900
  • Lowerbound of 95% confidence interval for beta
    0.93749
  • Upperbound of 95% confidence interval for beta
    1.07690
  • Lowerbound of 95% confidence interval for alpha
    -0.36341
  • Upperbound of 95% confidence interval for alpha
    0.65003
  • Treynor index (mean / b)
    1.02554
  • Jensen alpha (a)
    0.14331
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.04433
  • Expected Shortfall on VaR
    0.05616
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01632
  • Expected Shortfall on VaR
    0.03530
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.88082
  • Quartile 1
    0.99275
  • Median
    1.00330
  • Quartile 3
    1.02018
  • Maximum
    1.09876
  • Mean of quarter 1
    0.96827
  • Mean of quarter 2
    0.99933
  • Mean of quarter 3
    1.01240
  • Mean of quarter 4
    1.03825
  • Inter Quartile Range
    0.02743
  • Number outliers low
    6.00000
  • Percentage of outliers low
    0.04580
  • Mean of outliers low
    0.92702
  • Number of outliers high
    4.00000
  • Percentage of outliers high
    0.03053
  • Mean of outliers high
    1.07943
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.20553
  • VaR(95%) (moments method)
    0.02255
  • Expected Shortfall (moments method)
    0.02928
  • Extreme Value Index (regression method)
    0.09658
  • VaR(95%) (regression method)
    0.03007
  • Expected Shortfall (regression method)
    0.04696
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    15.00000
  • Minimum
    0.00091
  • Quartile 1
    0.00458
  • Median
    0.01553
  • Quartile 3
    0.02937
  • Maximum
    0.25418
  • Mean of quarter 1
    0.00228
  • Mean of quarter 2
    0.00990
  • Mean of quarter 3
    0.02215
  • Mean of quarter 4
    0.09921
  • Inter Quartile Range
    0.02479
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.13333
  • Mean of outliers high
    0.16055
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.59440
  • VaR(95%) (moments method)
    0.10390
  • Expected Shortfall (moments method)
    0.29071
  • Extreme Value Index (regression method)
    1.62001
  • VaR(95%) (regression method)
    0.17568
  • 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?
    -347100000
  • Max Equity Drawdown (num days)
    770
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    1.39928
  • Compounded annual return (geometric extrapolation)
    1.88877
  • Calmar ratio (compounded annual return / max draw down)
    7.43081
  • Compounded annual return / average of 25% largest draw downs
    19.03730
  • Compounded annual return / Expected Shortfall lognormal
    33.63240

Strategy Description

System Description The strategy SP Alpha is actually a portfolio of three mutually independent trading strategies. All three are based on daily data, trades are usually days or weeks in the market. The oldest part, created more than eight years ago, is also the longest term investing part of SP Alpha. Trading times are filtered, including seasonal patterns based on a classic trend-following system. Part two of the strategy is based on a systematic approach from Behaivoral Finance. The third part is a by Larry Connors inspired, but further developed "Buy the Dip" tactics. At the end were combined these three subsystems with extensive testing for the optimal allocation of the available capital. Communication & Timing Entry and exit signals are generally sent before market opens. All positions are ordered to the market open or Limit (GTD) See our Blog for more information and historical results: http://spalpha.blogspot.com -----------Copyright Notice----------- A subscription to SP Alpha entitles one (1) person, the subscriber, to take the trades in his own accounts. If you are sharing your account, or any information from this site with others or trading others accounts based on these signals, you are in violation of copyright laws, subject to a penalty of up to $100,000 per incident. In other words, do NOT share any trade signals or commentary with anyone else. If you are trading others accounts you must sign up them up as well. Warning/Disclaimer: No system is 100% perfect and No system can continuously generate successful trades. So is the same with our service. Our emphasis is mainly on capital protection while generating regular income.
Trade this strategy at Interactive Brokers

Summary Statistics

Strategy began
2012-11-21
Suggested Minimum Capital
$25,000
# Trades
71
# Profitable
44
% Profitable
62.0%
Net Dividends
$18,192
Correlation S&P500
0.813
Sharpe Ratio
0.65
Sortino Ratio
0.90
Beta
0.98
Alpha
0.01

Latest Activity

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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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