Welcome to Collective2

Follow these tips for a better experience

Ok, let's start

Close
Add to Watch List Create new Watch List
Add
Enter a name for your Watch List.
Watch List name must be less than 60 characters.
You have reached the maximum number of custom Watch Lists.
You have reached the maximum number of strategies in this Watch List.
Strategy added to Watch List. Go to Watch List

Sim is unavailable for this strategy, because you've recently "Simmed" it.

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

TRADEofficer-QuantOne
(121957290)

Created by: TRADEofficer TRADEofficer
Started: 01/2019
Stocks, Options
Last trade: 17 days ago
Trading style: Equity Hedged Equity

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 $75.00 per month.

C2Star

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

You can read more about C2Star certification requirements here.

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

Trading Category: Equity
Hedged Equity
Category: Equity

Hedged Equity

Core holding of long equities hedged at all times with short sales of stocks and/or stock index options.
-6.3%
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.

(32.8%)
Max Drawdown
136
Num Trades
63.2%
Win Trades
1.0 : 1
Profit Factor
63.2%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2019+0.1%+2.4%(0.2%)+2.7%(6.2%)+5.4%+0.5%(3.3%)+2.3%+2.0%+1.7%+8.9%+16.7%
2020+0.3%(10.2%)(14.1%)(3.7%)+2.6%(0.2%)+2.2%                              (22.1%)

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 168 hours.

Trading Record

Download CSV
Long
Short
Both
Win
Loss
Both
Show More details Show Fewer details
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
4/20/20 11:33 IWM2019R98 IWM Jun19'20 98 put LONG 3 2.67 6/20 9:35 0.00 1.76%
Trade id #128653245
Max drawdown($798)
Time6/3/20 0:00
Quant open3
Worst price0.01
Drawdown as % of equity-1.76%
($803)
Includes Typical Broker Commissions trade costs of $2.10
4/20/20 11:34 IWM2019R108 IWM Jun19'20 108 put SHORT 3 4.77 6/20 9:35 0.00 1.16%
Trade id #128653285
Max drawdown($483)
Time4/21/20 0:00
Quant open3
Worst price6.38
Drawdown as % of equity-1.16%
$1,429
Includes Typical Broker Commissions trade costs of $2.10
4/18/20 9:35 IWM ISHARES RUSSELL 2000 INDEX SHORT 400 151.00 4/18 9:35 157.00 n/a ($2,408)
Includes Typical Broker Commissions trade costs of $8.00
2/7/20 10:16 IWM2017P157 IWM Apr17'20 157 put SHORT 5 2.04 4/18 9:35 0.00 62.16%
Trade id #127412379
Max drawdown($29,480)
Time3/19/20 0:00
Quant open5
Worst price61.00
Drawdown as % of equity-62.16%
$1,017
Includes Typical Broker Commissions trade costs of $3.50
4/18/20 9:35 SPY SPDR S&P 500 LONG 500 318.00 4/18 9:35 306.00 n/a ($6,010)
Includes Typical Broker Commissions trade costs of $10.00
2/7/20 10:16 SPY2017P306 SPY Apr17'20 306 put LONG 5 2.35 4/18 9:35 0.00 0.87%
Trade id #127412393
Max drawdown($530)
Time2/20/20 0:00
Quant open5
Worst price1.29
Drawdown as % of equity-0.87%
($1,179)
Includes Typical Broker Commissions trade costs of $3.50
2/7/20 10:15 IWM2017P151 IWM Apr17'20 151 put LONG 5 1.22 4/18 9:35 0.00 0.5%
Trade id #127412368
Max drawdown($305)
Time2/19/20 0:00
Quant open5
Worst price0.61
Drawdown as % of equity-0.50%
($614)
Includes Typical Broker Commissions trade costs of $3.50
2/7/19 10:03 IWM ISHARES RUSSELL 2000 INDEX LONG 100 149.84 4/18/20 9:35 151.00 11.42%
Trade id #122413986
Max drawdown($5,415)
Time3/19/20 0:00
Quant open100
Worst price95.69
Drawdown as % of equity-11.42%
$114
Includes Typical Broker Commissions trade costs of $2.00
2/7/20 10:17 SPY2017P318 SPY Apr17'20 318 put SHORT 5 3.88 4/18 9:35 0.00 95.74%
Trade id #127412398
Max drawdown($47,070)
Time3/23/20 0:00
Quant open5
Worst price98.02
Drawdown as % of equity-95.74%
$1,937
Includes Typical Broker Commissions trade costs of $3.50
1/24/20 11:02 LKQ2020C37.5 LKQ Mar20'20 37.5 call SHORT 1 0.35 3/21 9:35 0.00 n/a $34
Includes Typical Broker Commissions trade costs of $1.00
2/14/20 9:44 ICE INTERCONTINENTALEXCHANGE LONG 30 95.75 3/11 12:41 86.60 0.55%
Trade id #127513246
Max drawdown($269)
Time3/11/20 12:41
Quant open30
Worst price86.77
Drawdown as % of equity-0.55%
($276)
Includes Typical Broker Commissions trade costs of $0.60
1/23/20 10:38 DLR DIGITAL REALTY TRUST LONG 20 127.50 2/28 9:49 117.50 0.37%
Trade id #127177300
Max drawdown($197)
Time2/28/20 9:49
Quant open20
Worst price117.65
Drawdown as % of equity-0.37%
($200)
Includes Typical Broker Commissions trade costs of $0.40
2/14/20 9:30 EQR EQUITY RESIDENTIAL LONG 50 85.57 2/27 15:29 80.20 0.49%
Trade id #127512642
Max drawdown($268)
Time2/27/20 15:04
Quant open50
Worst price80.21
Drawdown as % of equity-0.49%
($270)
Includes Typical Broker Commissions trade costs of $1.00
2/11/20 10:09 XRAY DENTSPLY SIRONA INC LONG 50 58.00 2/25 13:18 52.50 0.48%
Trade id #127456491
Max drawdown($274)
Time2/25/20 13:18
Quant open50
Worst price52.51
Drawdown as % of equity-0.48%
($276)
Includes Typical Broker Commissions trade costs of $1.00
2/7/20 9:39 MTD METTLER-TOLEDO INTL LONG 3 797.05 2/25 10:51 712.72 0.43%
Trade id #127411105
Max drawdown($249)
Time2/25/20 10:34
Quant open3
Worst price713.91
Drawdown as % of equity-0.43%
($253)
Includes Typical Broker Commissions trade costs of $0.06
1/16/20 12:48 LKQ LKQ LONG 100 34.60 2/25 10:21 32.00 0.44%
Trade id #127045256
Max drawdown($259)
Time2/25/20 10:18
Quant open100
Worst price32.01
Drawdown as % of equity-0.44%
($262)
Includes Typical Broker Commissions trade costs of $2.00
12/12/19 15:02 GS GOLDMAN SACHS GROUP LONG 20 226.61 2/24/20 9:30 223.23 0.1%
Trade id #126604289
Max drawdown($58)
Time12/13/19 0:00
Quant open20
Worst price223.70
Drawdown as % of equity-0.10%
($68)
Includes Typical Broker Commissions trade costs of $0.40
12/5/19 13:24 AFL AFLAC LONG 200 52.71 2/24/20 9:30 50.38 0.52%
Trade id #126502560
Max drawdown($318)
Time2/21/20 0:00
Quant open200
Worst price51.12
Drawdown as % of equity-0.52%
($470)
Includes Typical Broker Commissions trade costs of $4.00
12/9/19 9:48 SH2021B27 SH Feb21'20 27 call SHORT 4 0.20 2/22/20 9:35 0.00 n/a $77
Includes Typical Broker Commissions trade costs of $2.80
1/7/20 13:48 SPY2021N311 SPY Feb21'20 311 put SHORT 5 2.35 2/22 9:35 0.00 0.31%
Trade id #126902133
Max drawdown($185)
Time1/27/20 0:00
Quant open5
Worst price2.72
Drawdown as % of equity-0.31%
$1,172
Includes Typical Broker Commissions trade costs of $3.50
1/7/20 13:51 IWM2021N159 IWM Feb21'20 159 put SHORT 5 1.52 2/22 9:35 0.00 2.75%
Trade id #126902158
Max drawdown($1,665)
Time2/19/20 0:00
Quant open5
Worst price4.85
Drawdown as % of equity-2.75%
$757
Includes Typical Broker Commissions trade costs of $3.50
1/7/20 13:50 IWM2021N154 IWM Feb21'20 154 put LONG 5 0.85 2/22 9:35 0.00 0.69%
Trade id #126902151
Max drawdown($420)
Time2/14/20 0:00
Quant open5
Worst price0.01
Drawdown as % of equity-0.69%
($429)
Includes Typical Broker Commissions trade costs of $3.50
1/7/20 13:47 SPY2021N302 SPY Feb21'20 302 put LONG 5 1.35 2/22 9:35 0.00 1.09%
Trade id #126902117
Max drawdown($670)
Time2/18/20 0:00
Quant open5
Worst price0.01
Drawdown as % of equity-1.09%
($679)
Includes Typical Broker Commissions trade costs of $3.50
1/23/20 15:29 VMC VULCAN MATERIALS LONG 30 142.59 2/18 13:11 137.75 0.23%
Trade id #127192036
Max drawdown($141)
Time2/18/20 13:10
Quant open30
Worst price137.87
Drawdown as % of equity-0.23%
($146)
Includes Typical Broker Commissions trade costs of $0.60
2/4/20 9:30 WRK WESTROCK CO LONG 50 40.15 2/13 9:49 41.00 0.06%
Trade id #127352973
Max drawdown($35)
Time2/4/20 12:18
Quant open50
Worst price39.45
Drawdown as % of equity-0.06%
$42
Includes Typical Broker Commissions trade costs of $1.00
1/24/20 11:04 LUV SOUTHWEST AIRLINES LONG 50 55.80 2/7 11:46 57.00 0.1%
Trade id #127206791
Max drawdown($58)
Time1/31/20 0:00
Quant open50
Worst price54.63
Drawdown as % of equity-0.10%
$59
Includes Typical Broker Commissions trade costs of $1.00
1/21/20 11:45 ECL ECOLAB LONG 25 196.84 2/7 9:30 207.20 0.06%
Trade id #127122399
Max drawdown($37)
Time1/21/20 15:51
Quant open25
Worst price195.33
Drawdown as % of equity-0.06%
$259
Includes Typical Broker Commissions trade costs of $0.50
11/19/19 14:19 V VISA LONG 30 182.90 1/23/20 9:33 207.00 0.26%
Trade id #126273814
Max drawdown($136)
Time11/22/19 0:00
Quant open30
Worst price178.35
Drawdown as % of equity-0.26%
$722
Includes Typical Broker Commissions trade costs of $0.60
12/2/19 13:07 MRK MERCK LONG 100 86.97 1/22/20 12:50 89.65 0.09%
Trade id #126444895
Max drawdown($47)
Time12/3/19 0:00
Quant open100
Worst price86.50
Drawdown as % of equity-0.09%
$266
Includes Typical Broker Commissions trade costs of $2.00
12/9/19 10:47 HD HOME DEPOT LONG 30 217.00 1/22/20 9:51 235.20 0.35%
Trade id #126543250
Max drawdown($191)
Time12/11/19 0:00
Quant open30
Worst price210.61
Drawdown as % of equity-0.35%
$545
Includes Typical Broker Commissions trade costs of $0.60

Statistics

  • Strategy began
    1/14/2019
  • Suggested Minimum Cap
    $35,000
  • Strategy Age (days)
    537.82
  • Age
    18 months ago
  • What it trades
    Stocks, Options
  • # Trades
    136
  • # Profitable
    86
  • % Profitable
    63.20%
  • Avg trade duration
    63.3 days
  • Max peak-to-valley drawdown
    32.83%
  • drawdown period
    Feb 17, 2020 - April 21, 2020
  • Annual Return (Compounded)
    -6.3%
  • Avg win
    $382.07
  • Avg loss
    $695.62
  • Model Account Values (Raw)
  • Cash
    $14,553
  • Margin Used
    $0
  • Buying Power
    $7,529
  • Ratios
  • W:L ratio
    1.04:1
  • Sharpe Ratio
    -0.43
  • Sortino Ratio
    -0.55
  • Calmar Ratio
    -0.185
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -30.34%
  • Correlation to SP500
    0.23790
  • Return Percent SP500 (cumu) during strategy life
    22.83%
  • Return Statistics
  • Ann Return (w trading costs)
    -6.3%
  • Slump
  • Current Slump as Pcnt Equity
    38.00%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.25%
  • Instruments
  • Short Options - Percent Covered
    27.50%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    -0.063%
  • Instruments
  • Percent Trades Options
    0.41%
  • Percent Trades Stocks
    0.59%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    -4.0%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    1.00%
  • Chance of 20% account loss
    n/a
  • Chance of 30% account loss
    n/a
  • Chance of 40% account loss
    n/a
  • Chance of 70% account loss (Monte Carlo)
    n/a
  • Chance of 80% account loss (Monte Carlo)
    n/a
  • Chance of 60% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 90% account loss (Monte Carlo)
    n/a
  • 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
  • Management
  • No Subs Allowed Flag (1: no subs)
    0
  • Strat abandoned?
    0
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $749
  • Avg Win
    $382
  • Sum Trade PL (losers)
    $37,473.000
  • Age
  • Num Months filled monthly returns table
    18
  • Win / Loss
  • Sum Trade PL (winners)
    $32,858.000
  • # Winners
    86
  • Num Months Winners
    11
  • Dividends
  • Dividends Received in Model Acct
    1697
  • Win / Loss
  • # Losers
    50
  • % Winners
    63.2%
  • Frequency
  • Avg Position Time (mins)
    91110.50
  • Avg Position Time (hrs)
    1518.51
  • Avg Trade Length
    63.3 days
  • Last Trade Ago
    15
  • Leverage
  • Daily leverage (average)
    3.94
  • Daily leverage (max)
    12.33
  • Regression
  • Alpha
    -0.03
  • Beta
    0.14
  • Treynor Index
    -0.17
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.02
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    23.73
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    52.26
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    0.47
  • MAE:Equity, average, winning trades
    0.03
  • MAE:Equity, average, losing trades
    0.01
  • Avg(MAE) / Avg(PL) - All trades
    30.939
  • 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
    0.01
  • Avg(MAE) / Avg(PL) - Winning trades
    3.191
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.151
  • Hold-and-Hope Ratio
    0.022
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.04314
  • SD
    0.22146
  • Sharpe ratio (Glass type estimate)
    -0.19480
  • Sharpe ratio (Hedges UMVUE)
    -0.18487
  • df
    15.00000
  • t
    -0.22493
  • p
    0.53689
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.89038
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.50719
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.88353
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.51380
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.24022
  • Upside Potential Ratio
    1.27877
  • Upside part of mean
    0.22965
  • Downside part of mean
    -0.27279
  • Upside SD
    0.11782
  • Downside SD
    0.17959
  • N nonnegative terms
    9.00000
  • N negative terms
    7.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    16.00000
  • Mean of predictor
    0.12943
  • Mean of criterion
    -0.04314
  • SD of predictor
    0.18568
  • SD of criterion
    0.22146
  • Covariance
    0.03419
  • r
    0.83135
  • b (slope, estimate of beta)
    0.99151
  • a (intercept, estimate of alpha)
    -0.17147
  • Mean Square Error
    0.01623
  • DF error
    14.00000
  • t(b)
    5.59709
  • p(b)
    0.08433
  • t(a)
    -1.52166
  • p(a)
    0.68836
  • Lowerbound of 95% confidence interval for beta
    0.61157
  • Upperbound of 95% confidence interval for beta
    1.37146
  • Lowerbound of 95% confidence interval for alpha
    -0.41316
  • Upperbound of 95% confidence interval for alpha
    0.07022
  • Treynor index (mean / b)
    -0.04351
  • Jensen alpha (a)
    -0.17147
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.06746
  • SD
    0.23121
  • Sharpe ratio (Glass type estimate)
    -0.29179
  • Sharpe ratio (Hedges UMVUE)
    -0.27691
  • df
    15.00000
  • t
    -0.33693
  • p
    0.55510
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.98756
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.41351
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.97718
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.42336
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.34732
  • Upside Potential Ratio
    1.14581
  • Upside part of mean
    0.22256
  • Downside part of mean
    -0.29003
  • Upside SD
    0.11299
  • Downside SD
    0.19424
  • N nonnegative terms
    9.00000
  • N negative terms
    7.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    16.00000
  • Mean of predictor
    0.11203
  • Mean of criterion
    -0.06746
  • SD of predictor
    0.18911
  • SD of criterion
    0.23121
  • Covariance
    0.03720
  • r
    0.85083
  • b (slope, estimate of beta)
    1.04022
  • a (intercept, estimate of alpha)
    -0.18400
  • Mean Square Error
    0.01581
  • DF error
    14.00000
  • t(b)
    6.05865
  • p(b)
    0.07459
  • t(a)
    -1.66376
  • p(a)
    0.70315
  • Lowerbound of 95% confidence interval for beta
    0.67198
  • Upperbound of 95% confidence interval for beta
    1.40846
  • Lowerbound of 95% confidence interval for alpha
    -0.42119
  • Upperbound of 95% confidence interval for alpha
    0.05320
  • Treynor index (mean / b)
    -0.06486
  • Jensen alpha (a)
    -0.18400
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.10900
  • Expected Shortfall on VaR
    0.13324
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.04746
  • Expected Shortfall on VaR
    0.09941
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    16.00000
  • Minimum
    0.82762
  • Quartile 1
    0.98497
  • Median
    1.01253
  • Quartile 3
    1.02495
  • Maximum
    1.10726
  • Mean of quarter 1
    0.91804
  • Mean of quarter 2
    0.99665
  • Mean of quarter 3
    1.02112
  • Mean of quarter 4
    1.05912
  • Inter Quartile Range
    0.03998
  • Number outliers low
    2.00000
  • Percentage of outliers low
    0.12500
  • Mean of outliers low
    0.86432
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.06250
  • Mean of outliers high
    1.10726
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.24426
  • VaR(95%) (moments method)
    0.07067
  • Expected Shortfall (moments method)
    0.12460
  • Extreme Value Index (regression method)
    0.89623
  • VaR(95%) (regression method)
    0.12355
  • Expected Shortfall (regression method)
    1.26192
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    3.00000
  • Minimum
    0.00848
  • Quartile 1
    0.01656
  • Median
    0.02464
  • Quartile 3
    0.15135
  • Maximum
    0.27806
  • Mean of quarter 1
    0.00848
  • Mean of quarter 2
    0.02464
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.27806
  • Inter Quartile Range
    0.13479
  • 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)
    -0.03853
  • Compounded annual return (geometric extrapolation)
    -0.03879
  • Calmar ratio (compounded annual return / max draw down)
    -0.13949
  • Compounded annual return / average of 25% largest draw downs
    -0.13949
  • Compounded annual return / Expected Shortfall lognormal
    -0.29109
  • 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
    -0.07278
  • SD
    0.17411
  • Sharpe ratio (Glass type estimate)
    -0.41801
  • Sharpe ratio (Hedges UMVUE)
    -0.41712
  • df
    354.00000
  • t
    -0.48657
  • p
    0.68657
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.10180
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.26632
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.10118
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.26694
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.54149
  • Upside Potential Ratio
    6.74391
  • Upside part of mean
    0.90640
  • Downside part of mean
    -0.97918
  • Upside SD
    0.11038
  • Downside SD
    0.13440
  • N nonnegative terms
    182.00000
  • N negative terms
    173.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    355.00000
  • Mean of predictor
    0.12832
  • Mean of criterion
    -0.07278
  • SD of predictor
    0.29371
  • SD of criterion
    0.17411
  • Covariance
    0.01302
  • r
    0.25454
  • b (slope, estimate of beta)
    0.15089
  • a (intercept, estimate of alpha)
    -0.09200
  • Mean Square Error
    0.02843
  • DF error
    353.00000
  • t(b)
    4.94521
  • p(b)
    0.00000
  • t(a)
    -0.63587
  • p(a)
    0.73736
  • Lowerbound of 95% confidence interval for beta
    0.09088
  • Upperbound of 95% confidence interval for beta
    0.21090
  • Lowerbound of 95% confidence interval for alpha
    -0.37712
  • Upperbound of 95% confidence interval for alpha
    0.19284
  • Treynor index (mean / b)
    -0.48233
  • Jensen alpha (a)
    -0.09214
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.08799
  • SD
    0.17495
  • Sharpe ratio (Glass type estimate)
    -0.50295
  • Sharpe ratio (Hedges UMVUE)
    -0.50188
  • df
    354.00000
  • t
    -0.58544
  • p
    0.72069
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.18682
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.18155
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.18606
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.18230
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.64498
  • Upside Potential Ratio
    6.59911
  • Upside part of mean
    0.90029
  • Downside part of mean
    -0.98828
  • Upside SD
    0.10927
  • Downside SD
    0.13643
  • N nonnegative terms
    182.00000
  • N negative terms
    173.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    355.00000
  • Mean of predictor
    0.08488
  • Mean of criterion
    -0.08799
  • SD of predictor
    0.29587
  • SD of criterion
    0.17495
  • Covariance
    0.01363
  • r
    0.26335
  • b (slope, estimate of beta)
    0.15572
  • a (intercept, estimate of alpha)
    -0.10121
  • Mean Square Error
    0.02857
  • DF error
    353.00000
  • t(b)
    5.12896
  • p(b)
    0.00000
  • t(a)
    -0.69693
  • p(a)
    0.75685
  • Lowerbound of 95% confidence interval for beta
    0.09601
  • Upperbound of 95% confidence interval for beta
    0.21543
  • Lowerbound of 95% confidence interval for alpha
    -0.38682
  • Upperbound of 95% confidence interval for alpha
    0.18440
  • Treynor index (mean / b)
    -0.56506
  • Jensen alpha (a)
    -0.10121
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01795
  • Expected Shortfall on VaR
    0.02237
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00841
  • Expected Shortfall on VaR
    0.01714
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    355.00000
  • Minimum
    0.94556
  • Quartile 1
    0.99594
  • Median
    1.00026
  • Quartile 3
    1.00515
  • Maximum
    1.04426
  • Mean of quarter 1
    0.98703
  • Mean of quarter 2
    0.99828
  • Mean of quarter 3
    1.00231
  • Mean of quarter 4
    1.01172
  • Inter Quartile Range
    0.00921
  • Number outliers low
    20.00000
  • Percentage of outliers low
    0.05634
  • Mean of outliers low
    0.97203
  • Number of outliers high
    11.00000
  • Percentage of outliers high
    0.03099
  • Mean of outliers high
    1.02577
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.33205
  • VaR(95%) (moments method)
    0.01221
  • Expected Shortfall (moments method)
    0.02202
  • Extreme Value Index (regression method)
    0.22274
  • VaR(95%) (regression method)
    0.01258
  • Expected Shortfall (regression method)
    0.02068
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    24.00000
  • Minimum
    0.00017
  • Quartile 1
    0.00148
  • Median
    0.00535
  • Quartile 3
    0.01646
  • Maximum
    0.31600
  • Mean of quarter 1
    0.00057
  • Mean of quarter 2
    0.00339
  • Mean of quarter 3
    0.00906
  • Mean of quarter 4
    0.09161
  • Inter Quartile Range
    0.01498
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    4.00000
  • Percentage of outliers high
    0.16667
  • Mean of outliers high
    0.12105
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.72643
  • VaR(95%) (moments method)
    0.09223
  • Expected Shortfall (moments method)
    0.36171
  • Extreme Value Index (regression method)
    1.57928
  • VaR(95%) (regression method)
    0.09625
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.05770
  • Compounded annual return (geometric extrapolation)
    -0.05832
  • Calmar ratio (compounded annual return / max draw down)
    -0.18454
  • Compounded annual return / average of 25% largest draw downs
    -0.63659
  • Compounded annual return / Expected Shortfall lognormal
    -2.60700
  • 0.00000
  • 0.00000
  • Analysis based on DAILY values, last 6 months only
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.38155
  • SD
    0.24351
  • Sharpe ratio (Glass type estimate)
    -1.56686
  • Sharpe ratio (Hedges UMVUE)
    -1.55780
  • df
    130.00000
  • t
    -1.10794
  • p
    0.54836
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -4.34230
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.21439
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -4.33607
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.22047
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.94165
  • Upside Potential Ratio
    6.19928
  • Upside part of mean
    1.21819
  • Downside part of mean
    -1.59974
  • Upside SD
    0.14417
  • Downside SD
    0.19651
  • N nonnegative terms
    61.00000
  • N negative terms
    70.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.00436
  • Mean of criterion
    -0.38155
  • SD of predictor
    0.45556
  • SD of criterion
    0.24351
  • Covariance
    0.01677
  • r
    0.15119
  • b (slope, estimate of beta)
    0.08082
  • a (intercept, estimate of alpha)
    -0.38119
  • Mean Square Error
    0.05839
  • DF error
    129.00000
  • t(b)
    1.73719
  • p(b)
    0.40412
  • t(a)
    -1.11547
  • p(a)
    0.56212
  • Lowerbound of 95% confidence interval for beta
    -0.01123
  • Upperbound of 95% confidence interval for beta
    0.17286
  • Lowerbound of 95% confidence interval for alpha
    -1.05732
  • Upperbound of 95% confidence interval for alpha
    0.29493
  • Treynor index (mean / b)
    -4.72108
  • Jensen alpha (a)
    -0.38119
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.41149
  • SD
    0.24511
  • Sharpe ratio (Glass type estimate)
    -1.67878
  • Sharpe ratio (Hedges UMVUE)
    -1.66907
  • df
    130.00000
  • t
    -1.18707
  • p
    0.55178
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -4.45494
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.10368
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -4.44829
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.11015
  • Statistics related to Sortino ratio
  • Sortino ratio
    -2.05854
  • Upside Potential Ratio
    6.04240
  • Upside part of mean
    1.20783
  • Downside part of mean
    -1.61932
  • Upside SD
    0.14251
  • Downside SD
    0.19989
  • N nonnegative terms
    61.00000
  • N negative terms
    70.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.10833
  • Mean of criterion
    -0.41149
  • SD of predictor
    0.45907
  • SD of criterion
    0.24511
  • Covariance
    0.01826
  • r
    0.16232
  • b (slope, estimate of beta)
    0.08667
  • a (intercept, estimate of alpha)
    -0.40210
  • Mean Square Error
    0.05895
  • DF error
    129.00000
  • t(b)
    1.86836
  • p(b)
    0.39712
  • t(a)
    -1.17092
  • p(a)
    0.56517
  • VAR (95 Confidence Intrvl)
    0.01800
  • Lowerbound of 95% confidence interval for beta
    -0.00511
  • Upperbound of 95% confidence interval for beta
    0.17844
  • Lowerbound of 95% confidence interval for alpha
    -1.08153
  • Upperbound of 95% confidence interval for alpha
    0.27733
  • Treynor index (mean / b)
    -4.74792
  • Jensen alpha (a)
    -0.40210
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02613
  • Expected Shortfall on VaR
    0.03226
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01469
  • Expected Shortfall on VaR
    0.02806
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.94556
  • Quartile 1
    0.99295
  • Median
    0.99981
  • Quartile 3
    1.00803
  • Maximum
    1.04426
  • Mean of quarter 1
    0.97942
  • Mean of quarter 2
    0.99658
  • Mean of quarter 3
    1.00293
  • Mean of quarter 4
    1.01581
  • Inter Quartile Range
    0.01509
  • Number outliers low
    6.00000
  • Percentage of outliers low
    0.04580
  • Mean of outliers low
    0.95938
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.01527
  • Mean of outliers high
    1.03793
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.12933
  • VaR(95%) (moments method)
    0.01806
  • Expected Shortfall (moments method)
    0.02351
  • Extreme Value Index (regression method)
    0.10766
  • VaR(95%) (regression method)
    0.01968
  • Expected Shortfall (regression method)
    0.02913
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    7.00000
  • Minimum
    0.00017
  • Quartile 1
    0.00182
  • Median
    0.00799
  • Quartile 3
    0.02662
  • Maximum
    0.31600
  • Mean of quarter 1
    0.00027
  • Mean of quarter 2
    0.00563
  • Mean of quarter 3
    0.00966
  • Mean of quarter 4
    0.17979
  • 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
    1.00000
  • Percentage of outliers high
    0.14286
  • Mean of outliers high
    0.31600
  • 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
  • Last 4 Months - Pcnt Negative
    0.75%
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -316950000
  • Max Equity Drawdown (num days)
    64
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.34904
  • Compounded annual return (geometric extrapolation)
    -0.31858
  • Calmar ratio (compounded annual return / max draw down)
    -1.00817
  • Compounded annual return / average of 25% largest draw downs
    -1.77198
  • Compounded annual return / Expected Shortfall lognormal
    -9.87587

Strategy Description

Strategy Logic
This strategy (QuantOne), developed by TRADEofficer, uses a quantitative approach based on proven mathematical, statistical techniques supplemented by objective technical (indicator) analysis and extended to include fundamental aspects.
Ten complementary strategies (mechanical and computerized) are combined into a trading system that adapts to the respective global stock market structure using a proprietary algorithm, weighting the individual strategies within the trading system on a monthly basis and making them adaptive to bullish, bearish, as well as sideways markets.
As a result, the entire system correlates significantly less with the major indices, e.g. S & P500 and DAX, etc.

Strategy Watchlist
S&P 500, Russell 2000, DAX, MDAX, TecDAX, Euro Stoxx 50, CAC 40, ATX, ETFs: SPY, IWM, SH, QQQ, HYG, GLD, FXI, EFA, EEM, EXS1, EXS3, DXSN, FXA, FXB, FXC, FXE, FXF, FXY, (Options: Stocks, ETF, Future)

TRADEofficer deliberately uses a a large investment universe so the algorithm has the maximum base to seek and find which results in the best of the best trading opportunities. At the same time this approach offers a high level of diversification and thus leads to maximum risk minimization.
About 80% of the trades are US market-based. The rest of trades are in Europe and via ETFs..

Money Management
The TRADEofficer approach is strongly geared to capital preservation and conservative growth - as used by large family offices and asset managers.

Risk minimization is key. We therefor rely on several depots with different strategies and time horizons. The ultimate goal is a stable, steady and over the years consistent performance that beats the benchmark of S&P500, taking into account the interest and compound interest and dividend effects and always the lowest possible setback potential for the deposit.

Summary Statistics

Strategy began
2019-01-14
Suggested Minimum Capital
$35,000
# Trades
136
# Profitable
86
% Profitable
63.2%
Net Dividends
Correlation S&P500
0.238
Sharpe Ratio
-0.43
Sortino Ratio
-0.55
Beta
0.14
Alpha
-0.03
Leverage
3.94 Average
12.33 Maximum
Summary
Higher leverage = greater risk.

More information about leverage

Collective2 calculates the maximum leverage used by a strategy in each day. We then display the average of these measurements (i.e. the average daily maximum leverage) and the greatest of these measurements (maximum daily leverage).

Leverage is the ratio of total notional value controlled by a strategy divided by its Model Account equity. Generally higher leverage implies greater risk.

Example of calculation:
The Strategy buys 100 shares of stock at $12 per share.
The Model Account equity during that day is $5,000.
The leverage is: $1200 / $5,000 = 0.24

This is a useful measurement, but it should be considered in context. This measurement doesn't take into account important factors, such as when multiple positions are held that are inversely correlated. Nor does the measurement take into account the volatility of the instruments being held.

In addition, certain asset classes are inherently more leveraged than others. For example, futures contracts are highly leveraged. Forex positions are often even more leveraged than futures.

Latest Activity

#PERSONNAME#
subscribed on started simulation #SUBSCRIBEDDATE#

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.

Okay, gotcha.

Not available

This feature isn't available under your current Trade Leader Plan.

Want to see available plans and features?

Please hold...

Strategy is now visible

This strategy is now visible to the public. New subscribers will be able to follow it.

If you designate your strategy as Private, it will no longer be visible to the public.

No subscribers and simulations will be allowed. If you have subscribers, the strategy will still be visible to them.
If you have simulations, they will be stopped.

Continue to designate your strategy as Private?

Strategy is no longer visible

This strategy is no longer visible to anyone except current subscribers.

(Current subscribers will remain subscribed. You can see who is subscribed, and control their subscriptions, on your Subscriber Management screen.)

Finally, please note that you can restore public visibility at any time.

This strategy is no longer visible to the public. No subscribers will be allowed.

You can restore public visibility at any time.

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.