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Halifax 5 Stock US ETF
(100828111)

Created by: AndrewGibbs3 AndrewGibbs3
Started: 02/2016
Stocks
Last trade: 725 days ago

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 $45.00 per month.

6.6%
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.

(11.8%)
Max Drawdown
87
Num Trades
70.1%
Win Trades
2.2 : 1
Profit Factor
27.5%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2016       +0.2%+5.7%(2.9%)+2.1%+3.2%+1.7%+0.9%+9.4%(5.7%)+0.2%(4.5%)+9.7%
2017+6.9%(0.5%)+2.1%  -  +3.0%  -    -    -    -    -    -    -  +11.8%
2018  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2019  -    -    -    -    -                                            0.0

Model Account Details

A trading strategy on Collective2. Follow it in your broker account, or use a free simulated trading account.

Advanced users may want to use this information to adjust their AutoTrade scaling, or merely to understand the magnitudes of the nearby chart.

Trading Record

This strategy has placed 32 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
5/18/17 9:31 URTY PROSHARES ULTRAPRO RUSSELL2000 LONG 40 114.78 5/24 9:30 122.42 0.1%
Trade id #111662760
Max drawdown($31)
Time5/18/17 9:33
Quant open40
Worst price114.00
Drawdown as % of equity-0.10%
$305
Includes Typical Broker Commissions trade costs of $0.80
4/28/17 10:05 UMDD PROSHARES ULTRAPRO MIDCAP400 LONG 110 88.56 5/23 11:08 86.56 2.85%
Trade id #111316577
Max drawdown($858)
Time5/18/17 9:54
Quant open110
Worst price80.76
Drawdown as % of equity-2.85%
($222)
Includes Typical Broker Commissions trade costs of $2.20
5/18/17 9:31 TQQQ PROSHARES ULTRAPRO QQQ LONG 50 95.04 5/23 9:30 101.48 0.06%
Trade id #111662745
Max drawdown($18)
Time5/18/17 9:33
Quant open50
Worst price94.68
Drawdown as % of equity-0.06%
$321
Includes Typical Broker Commissions trade costs of $1.00
5/18/17 9:30 UPRO PROSHARES ULTRAPRO S&P500 LONG 50 95.36 5/23 9:30 100.19 0.05%
Trade id #111662675
Max drawdown($15)
Time5/18/17 9:33
Quant open50
Worst price95.06
Drawdown as % of equity-0.05%
$241
Includes Typical Broker Commissions trade costs of $1.00
5/11/17 9:30 TQQQ PROSHARES ULTRAPRO QQQ LONG 50 99.50 5/17 9:30 100.55 0.22%
Trade id #111541841
Max drawdown($68)
Time5/11/17 10:33
Quant open50
Worst price98.13
Drawdown as % of equity-0.22%
$52
Includes Typical Broker Commissions trade costs of $1.00
5/11/17 9:30 UPRO PROSHARES ULTRAPRO S&P500 LONG 50 100.08 5/17 9:30 98.41 0.32%
Trade id #111541844
Max drawdown($99)
Time5/17/17 9:05
Quant open50
Worst price98.10
Drawdown as % of equity-0.32%
($85)
Includes Typical Broker Commissions trade costs of $1.00
5/9/17 13:25 UPRO PROSHARES ULTRAPRO S&P500 LONG 50 100.16 5/10 11:27 100.50 0.09%
Trade id #111481166
Max drawdown($27)
Time5/9/17 19:58
Quant open50
Worst price99.61
Drawdown as % of equity-0.09%
$16
Includes Typical Broker Commissions trade costs of $1.00
5/9/17 15:42 URTY PROSHARES ULTRAPRO RUSSELL2000 LONG 40 124.00 5/10 9:54 126.00 0.04%
Trade id #111485545
Max drawdown($13)
Time5/9/17 15:44
Quant open40
Worst price123.66
Drawdown as % of equity-0.04%
$79
Includes Typical Broker Commissions trade costs of $0.80
4/28/17 10:22 UDOW PROSHARES ULTRAPRO DOW30 LONG 44 112.87 5/3 11:49 112.81 0.13%
Trade id #111317511
Max drawdown($40)
Time5/3/17 10:53
Quant open44
Worst price111.94
Drawdown as % of equity-0.13%
($3)
Includes Typical Broker Commissions trade costs of $0.88
4/28/17 10:05 URTY PROSHARES ULTRAPRO RUSSELL2000 LONG 38 131.24 5/2 9:30 130.41 0.57%
Trade id #111316615
Max drawdown($175)
Time5/1/17 10:26
Quant open38
Worst price126.62
Drawdown as % of equity-0.57%
($33)
Includes Typical Broker Commissions trade costs of $0.76
3/22/17 9:30 UDOW PROSHARES ULTRAPRO DOW30 LONG 54 108.22 4/26 9:30 114.33 0.7%
Trade id #110376018
Max drawdown($211)
Time4/19/17 15:53
Quant open54
Worst price104.30
Drawdown as % of equity-0.70%
$329
Includes Typical Broker Commissions trade costs of $1.08
3/20/17 9:31 UPRO PROSHARES ULTRAPRO S&P500 LONG 60 97.82 3/29 10:30 95.69 1.32%
Trade id #110328625
Max drawdown($400)
Time3/27/17 9:40
Quant open60
Worst price91.15
Drawdown as % of equity-1.32%
($129)
Includes Typical Broker Commissions trade costs of $1.20
3/22/17 9:30 TQQQ PROSHARES ULTRAPRO QQQ LONG 71 83.41 3/29 9:30 86.97 0.23%
Trade id #110376041
Max drawdown($69)
Time3/27/17 9:43
Quant open71
Worst price82.43
Drawdown as % of equity-0.23%
$252
Includes Typical Broker Commissions trade costs of $1.42
2/23/17 9:31 UMDD PROSHARES ULTRAPRO MIDCAP400 LONG 65 91.04 3/16 9:30 88.95 1.69%
Trade id #109781995
Max drawdown($495)
Time3/9/17 14:20
Quant open65
Worst price83.41
Drawdown as % of equity-1.69%
($137)
Includes Typical Broker Commissions trade costs of $1.30
2/23/17 9:30 URTY PROSHARES ULTRAPRO RUSSELL2000 LONG 45 131.00 3/16 9:30 125.33 2.31%
Trade id #109781874
Max drawdown($683)
Time3/14/17 10:21
Quant open45
Worst price115.81
Drawdown as % of equity-2.31%
($256)
Includes Typical Broker Commissions trade costs of $0.90
3/15/17 9:36 UPRO PROSHARES ULTRAPRO S&P500 LONG 61 97.29 3/16 9:30 99.19 0.07%
Trade id #110243447
Max drawdown($20)
Time3/15/17 9:42
Quant open61
Worst price96.95
Drawdown as % of equity-0.07%
$115
Includes Typical Broker Commissions trade costs of $1.22
3/9/17 9:31 UDOW PROSHARES ULTRAPRO DOW30 LONG 53 112.10 3/16 9:30 114.36 0.22%
Trade id #110133425
Max drawdown($63)
Time3/9/17 14:17
Quant open53
Worst price110.90
Drawdown as % of equity-0.22%
$119
Includes Typical Broker Commissions trade costs of $1.06
3/15/17 9:36 TQQQ PROSHARES ULTRAPRO QQQ LONG 69 86.34 3/16 9:30 87.80 0.21%
Trade id #110243460
Max drawdown($61)
Time3/15/17 10:18
Quant open69
Worst price85.45
Drawdown as % of equity-0.21%
$100
Includes Typical Broker Commissions trade costs of $1.38
3/1/17 9:30 UPRO PROSHARES ULTRAPRO S&P500 LONG 61 98.49 3/13 9:31 97.50 0.7%
Trade id #109948085
Max drawdown($205)
Time3/9/17 14:17
Quant open61
Worst price95.12
Drawdown as % of equity-0.70%
($61)
Includes Typical Broker Commissions trade costs of $1.22
2/24/17 9:30 TQQQ PROSHARES ULTRAPRO QQQ LONG 71 82.26 3/13 9:30 85.97 0%
Trade id #109827984
Max drawdown($1)
Time2/24/17 9:35
Quant open71
Worst price82.24
Drawdown as % of equity-0.00%
$262
Includes Typical Broker Commissions trade costs of $1.42
1/31/17 9:30 TQQQ PROSHARES ULTRAPRO QQQ LONG 135 73.29 2/6 11:15 75.58 0.45%
Trade id #109166393
Max drawdown($135)
Time1/31/17 12:08
Quant open135
Worst price72.29
Drawdown as % of equity-0.45%
$306
Includes Typical Broker Commissions trade costs of $2.70
1/11/17 9:31 UDOW PROSHARES ULTRAPRO DOW30 LONG 78 96.29 1/25 9:30 98.50 0.8%
Trade id #108526764
Max drawdown($223)
Time1/19/17 14:21
Quant open78
Worst price93.42
Drawdown as % of equity-0.80%
$170
Includes Typical Broker Commissions trade costs of $1.56
12/22/16 9:30 URTY PROSHARES ULTRAPRO RUSSELL2000 LONG 97 123.07 1/25/17 9:30 123.49 3.34%
Trade id #108130984
Max drawdown($942)
Time1/23/17 11:51
Quant open97
Worst price113.35
Drawdown as % of equity-3.34%
$39
Includes Typical Broker Commissions trade costs of $1.94
12/22/16 9:30 UMDD PROSHARES ULTRAPRO MIDCAP400 LONG 288 83.59 1/25/17 9:30 82.07 5.2%
Trade id #108130978
Max drawdown($1,460)
Time12/28/16 14:55
Quant open288
Worst price78.52
Drawdown as % of equity-5.20%
($444)
Includes Typical Broker Commissions trade costs of $5.76
1/13/17 9:30 TQQQ PROSHARES ULTRAPRO QQQ LONG 106 70.66 1/24 9:31 71.87 0.26%
Trade id #108633480
Max drawdown($74)
Time1/17/17 9:47
Quant open106
Worst price69.96
Drawdown as % of equity-0.26%
$126
Includes Typical Broker Commissions trade costs of $2.12
12/23/16 9:30 TQQQ PROSHARES ULTRAPRO QQQ LONG 21 131.93 12/28 9:30 135.73 0.03%
Trade id #108164693
Max drawdown($9)
Time12/23/16 11:21
Quant open21
Worst price131.50
Drawdown as % of equity-0.03%
$80
Includes Typical Broker Commissions trade costs of $0.42
12/15/16 9:30 UPRO PROSHARES ULTRAPRO S&P500 LONG 141 83.32 12/21 9:35 85.02 0.1%
Trade id #107981410
Max drawdown($29)
Time12/16/16 15:45
Quant open141
Worst price83.11
Drawdown as % of equity-0.10%
$237
Includes Typical Broker Commissions trade costs of $2.82
12/19/16 9:30 TQQQ PROSHARES ULTRAPRO QQQ LONG 89 131.45 12/21 9:33 134.30 0.18%
Trade id #108044554
Max drawdown($52)
Time12/19/16 9:37
Quant open89
Worst price130.86
Drawdown as % of equity-0.18%
$252
Includes Typical Broker Commissions trade costs of $1.78
12/15/16 9:30 UDOW PROSHARES ULTRAPRO DOW30 LONG 123 95.73 12/20 9:30 97.28 0.08%
Trade id #107981524
Max drawdown($23)
Time12/15/16 9:39
Quant open123
Worst price95.54
Drawdown as % of equity-0.08%
$188
Includes Typical Broker Commissions trade costs of $2.46
11/22/16 11:32 URTY PROSHARES ULTRAPRO RUSSELL2000 LONG 91 109.89 11/22 11:48 110.21 0.03%
Trade id #107401305
Max drawdown($10)
Time11/22/16 11:36
Quant open91
Worst price109.78
Drawdown as % of equity-0.03%
$27
Includes Typical Broker Commissions trade costs of $1.82

Statistics

  • Strategy began
    2/24/2016
  • Suggested Minimum Cap
    $15,000
  • Strategy Age (days)
    1167.64
  • Age
    39 months ago
  • What it trades
    Stocks
  • # Trades
    87
  • # Profitable
    61
  • % Profitable
    70.10%
  • Avg trade duration
    9.1 days
  • Max peak-to-valley drawdown
    11.81%
  • drawdown period
    Sept 28, 2016 - Nov 04, 2016
  • Annual Return (Compounded)
    6.6%
  • Avg win
    $195.66
  • Avg loss
    $208.88
  • Model Account Values (Raw)
  • Cash
    $31,511
  • Margin Used
    $0
  • Buying Power
    $31,511
  • Ratios
  • W:L ratio
    2.20:1
  • Sharpe Ratio
    0.903
  • Sortino Ratio
    1.402
  • Calmar Ratio
    1.301
  • CORRELATION STATISTICS
  • Correlation to SP500
    0.28600
  • Return Statistics
  • Ann Return (w trading costs)
    6.6%
  • Ann Return (Compnd, No Fees)
    7.4%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    22.00%
  • Chance of 20% account loss
    1.00%
  • Chance of 30% account loss
    n/a
  • Chance of 40% account loss
    n/a
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    0
  • Trades-Own-System Certification
  • Trades Own System?
    0
  • TOS percent
    n/a
  • Subscription Price
  • Billing Period (days)
    30
  • Trial Days
    30
  • Win / Loss
  • Avg Loss
    $209
  • Avg Win
    $196
  • # Winners
    61
  • # Losers
    26
  • % Winners
    70.1%
  • Frequency
  • Avg Position Time (mins)
    13141.50
  • Avg Position Time (hrs)
    219.03
  • Avg Trade Length
    9.1 days
  • Last Trade Ago
    713
  • Unknown
  • Alpha
    0.05
  • Beta
    0.27
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.10729
  • SD
    0.10949
  • Sharpe ratio (Glass type estimate)
    0.97993
  • Sharpe ratio (Hedges UMVUE)
    0.94264
  • df
    20.00000
  • t
    1.29633
  • p
    0.36080
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.54373
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.48028
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.56748
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.45276
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.80937
  • Upside Potential Ratio
    3.00901
  • Upside part of mean
    0.17843
  • Downside part of mean
    -0.07114
  • Upside SD
    0.09413
  • Downside SD
    0.05930
  • N nonnegative terms
    11.00000
  • N negative terms
    10.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    21.00000
  • Mean of predictor
    0.20915
  • Mean of criterion
    0.10729
  • SD of predictor
    0.08714
  • SD of criterion
    0.10949
  • Covariance
    0.00110
  • r
    0.11519
  • b (slope, estimate of beta)
    0.14473
  • a (intercept, estimate of alpha)
    0.07702
  • Mean Square Error
    0.01245
  • DF error
    19.00000
  • t(b)
    0.50548
  • p(b)
    0.42683
  • t(a)
    0.74453
  • p(a)
    0.39332
  • Lowerbound of 95% confidence interval for beta
    -0.45455
  • Upperbound of 95% confidence interval for beta
    0.74401
  • Lowerbound of 95% confidence interval for alpha
    -0.13950
  • Upperbound of 95% confidence interval for alpha
    0.29354
  • Treynor index (mean / b)
    0.74131
  • Jensen alpha (a)
    0.07702
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.10099
  • SD
    0.10819
  • Sharpe ratio (Glass type estimate)
    0.93347
  • Sharpe ratio (Hedges UMVUE)
    0.89794
  • df
    20.00000
  • t
    1.23486
  • p
    0.36692
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.58689
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.43155
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.60955
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.40544
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.65469
  • Upside Potential Ratio
    2.84739
  • Upside part of mean
    0.17379
  • Downside part of mean
    -0.07279
  • Upside SD
    0.09095
  • Downside SD
    0.06103
  • N nonnegative terms
    11.00000
  • N negative terms
    10.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    21.00000
  • Mean of predictor
    0.20340
  • Mean of criterion
    0.10099
  • SD of predictor
    0.08540
  • SD of criterion
    0.10819
  • Covariance
    0.00123
  • r
    0.13366
  • b (slope, estimate of beta)
    0.16933
  • a (intercept, estimate of alpha)
    0.06655
  • Mean Square Error
    0.01210
  • DF error
    19.00000
  • t(b)
    0.58790
  • p(b)
    0.41516
  • t(a)
    0.65424
  • p(a)
    0.40585
  • Lowerbound of 95% confidence interval for beta
    -0.43352
  • Upperbound of 95% confidence interval for beta
    0.77218
  • Lowerbound of 95% confidence interval for alpha
    -0.14635
  • Upperbound of 95% confidence interval for alpha
    0.27946
  • Treynor index (mean / b)
    0.59642
  • Jensen alpha (a)
    0.06655
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.04205
  • Expected Shortfall on VaR
    0.05440
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01284
  • Expected Shortfall on VaR
    0.02853
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    21.00000
  • Minimum
    0.93396
  • Quartile 1
    1.00000
  • Median
    1.00816
  • Quartile 3
    1.01968
  • Maximum
    1.09146
  • Mean of quarter 1
    0.98276
  • Mean of quarter 2
    1.00207
  • Mean of quarter 3
    1.01403
  • Mean of quarter 4
    1.05191
  • Inter Quartile Range
    0.01968
  • Number outliers low
    2.00000
  • Percentage of outliers low
    0.09524
  • Mean of outliers low
    0.94925
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.09524
  • Mean of outliers high
    1.07538
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    1.24204
  • VaR(95%) (regression method)
    0.02724
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    2.00000
  • Minimum
    0.00190
  • Quartile 1
    0.02179
  • Median
    0.04167
  • Quartile 3
    0.06155
  • Maximum
    0.08144
  • Mean of quarter 1
    0.00190
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.08144
  • Inter Quartile Range
    0.03977
  • 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)
    0.14460
  • Compounded annual return (geometric extrapolation)
    0.13758
  • Calmar ratio (compounded annual return / max draw down)
    1.68933
  • Compounded annual return / average of 25% largest draw downs
    1.68933
  • Compounded annual return / Expected Shortfall lognormal
    2.52879
  • 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
    0.10638
  • SD
    0.11763
  • Sharpe ratio (Glass type estimate)
    0.90439
  • Sharpe ratio (Hedges UMVUE)
    0.90293
  • df
    463.00000
  • t
    1.20356
  • p
    0.11469
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.57002
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.37786
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.57100
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.37686
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.40193
  • Upside Potential Ratio
    6.83913
  • Upside part of mean
    0.51896
  • Downside part of mean
    -0.41258
  • Upside SD
    0.08995
  • Downside SD
    0.07588
  • N nonnegative terms
    130.00000
  • N negative terms
    334.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    464.00000
  • Mean of predictor
    0.22098
  • Mean of criterion
    0.10638
  • SD of predictor
    0.14083
  • SD of criterion
    0.11763
  • Covariance
    0.00532
  • r
    0.32115
  • b (slope, estimate of beta)
    0.26824
  • a (intercept, estimate of alpha)
    0.04700
  • Mean Square Error
    0.01244
  • DF error
    462.00000
  • t(b)
    7.28893
  • p(b)
    0.00000
  • t(a)
    0.55949
  • p(a)
    0.28805
  • Lowerbound of 95% confidence interval for beta
    0.19592
  • Upperbound of 95% confidence interval for beta
    0.34056
  • Lowerbound of 95% confidence interval for alpha
    -0.11834
  • Upperbound of 95% confidence interval for alpha
    0.21255
  • Treynor index (mean / b)
    0.39659
  • Jensen alpha (a)
    0.04710
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.09946
  • SD
    0.11740
  • Sharpe ratio (Glass type estimate)
    0.84719
  • Sharpe ratio (Hedges UMVUE)
    0.84582
  • df
    463.00000
  • t
    1.12743
  • p
    0.13007
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.62701
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.32058
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.62797
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.31961
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.29687
  • Upside Potential Ratio
    6.71380
  • Upside part of mean
    0.51492
  • Downside part of mean
    -0.41546
  • Upside SD
    0.08894
  • Downside SD
    0.07670
  • N nonnegative terms
    130.00000
  • N negative terms
    334.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    464.00000
  • Mean of predictor
    0.21093
  • Mean of criterion
    0.09946
  • SD of predictor
    0.14138
  • SD of criterion
    0.11740
  • Covariance
    0.00532
  • r
    0.32059
  • b (slope, estimate of beta)
    0.26622
  • a (intercept, estimate of alpha)
    0.04331
  • Mean Square Error
    0.01239
  • DF error
    462.00000
  • t(b)
    7.27473
  • p(b)
    0.00000
  • t(a)
    0.51553
  • p(a)
    0.30321
  • Lowerbound of 95% confidence interval for beta
    0.19431
  • Upperbound of 95% confidence interval for beta
    0.33814
  • Lowerbound of 95% confidence interval for alpha
    -0.12178
  • Upperbound of 95% confidence interval for alpha
    0.20840
  • Treynor index (mean / b)
    0.37361
  • Jensen alpha (a)
    0.04331
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01148
  • Expected Shortfall on VaR
    0.01447
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00448
  • Expected Shortfall on VaR
    0.00952
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    464.00000
  • Minimum
    0.96295
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00088
  • Maximum
    1.03883
  • Mean of quarter 1
    0.99401
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00006
  • Mean of quarter 4
    1.00798
  • Inter Quartile Range
    0.00088
  • Number outliers low
    89.00000
  • Percentage of outliers low
    0.19181
  • Mean of outliers low
    0.99232
  • Number of outliers high
    89.00000
  • Percentage of outliers high
    0.19181
  • Mean of outliers high
    1.00995
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.45884
  • VaR(95%) (moments method)
    0.00406
  • Expected Shortfall (moments method)
    0.00963
  • Extreme Value Index (regression method)
    0.27275
  • VaR(95%) (regression method)
    0.00561
  • Expected Shortfall (regression method)
    0.01113
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    15.00000
  • Minimum
    0.00011
  • Quartile 1
    0.00261
  • Median
    0.00611
  • Quartile 3
    0.01387
  • Maximum
    0.10440
  • Mean of quarter 1
    0.00104
  • Mean of quarter 2
    0.00532
  • Mean of quarter 3
    0.00843
  • Mean of quarter 4
    0.06069
  • Inter Quartile Range
    0.01126
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    3.00000
  • Percentage of outliers high
    0.20000
  • Mean of outliers high
    0.07492
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -11.99880
  • VaR(95%) (moments method)
    0.04509
  • Expected Shortfall (moments method)
    0.04509
  • Extreme Value Index (regression method)
    -0.66624
  • VaR(95%) (regression method)
    0.08344
  • Expected Shortfall (regression method)
    0.09706
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.14288
  • Compounded annual return (geometric extrapolation)
    0.13584
  • Calmar ratio (compounded annual return / max draw down)
    1.30120
  • Compounded annual return / average of 25% largest draw downs
    2.23842
  • Compounded annual return / Expected Shortfall lognormal
    9.38603
  • 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
    -0.02791
  • SD
    0.00000
  • Sharpe ratio (Glass type estimate)
    0.00000
  • Sharpe ratio (Hedges UMVUE)
    0.00000
  • df
    0.00000
  • t
    0.00000
  • p
    0.00000
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.00000
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.00000
  • Statistics related to Sortino ratio
  • Sortino ratio
    -16.18640
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    0.00000
  • Downside part of mean
    -0.02791
  • Upside SD
    0.00000
  • Downside SD
    0.00172
  • N nonnegative terms
    0.00000
  • N negative terms
    131.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.38071
  • Mean of criterion
    -0.02791
  • SD of predictor
    0.21367
  • SD of criterion
    0.00000
  • Covariance
    0.00000
  • r
    0.00000
  • b (slope, estimate of beta)
    0.00000
  • a (intercept, estimate of alpha)
    0.00000
  • Mean Square Error
    0.00000
  • DF error
    0.00000
  • t(b)
    0.00000
  • p(b)
    0.00000
  • t(a)
    0.00000
  • p(a)
    0.00000
  • Lowerbound of 95% confidence interval for beta
    0.00000
  • Upperbound of 95% confidence interval for beta
    0.00000
  • Lowerbound of 95% confidence interval for alpha
    0.00000
  • Upperbound of 95% confidence interval for alpha
    0.00000
  • Treynor index (mean / b)
    0.00000
  • Jensen alpha (a)
    0.00000
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.02791
  • SD
    0.00000
  • Sharpe ratio (Glass type estimate)
    -9748420000000000.00000
  • Sharpe ratio (Hedges UMVUE)
    -9692070000000000.00000
  • df
    130.00000
  • t
    -6893170000000000.00000
  • p
    1.00000
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -10870200000000000.00000
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -8513980000000000.00000
  • Statistics related to Sortino ratio
  • Sortino ratio
    -16.18640
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    0.00000
  • Downside part of mean
    -0.02791
  • Upside SD
    0.00000
  • Downside SD
    0.00172
  • N nonnegative terms
    0.00000
  • N negative terms
    131.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.35759
  • Mean of criterion
    -0.02791
  • SD of predictor
    0.21491
  • SD of criterion
    0.00000
  • Covariance
    0.00000
  • r
    0.00000
  • b (slope, estimate of beta)
    0.00000
  • a (intercept, estimate of alpha)
    -0.02791
  • Mean Square Error
    0.00000
  • DF error
    129.00000
  • t(b)
    0.00000
  • p(b)
    0.50000
  • t(a)
    -6830340000000000.00000
  • p(a)
    1.00000
  • Lowerbound of 95% confidence interval for beta
    -0.00000
  • Upperbound of 95% confidence interval for beta
    0.00000
  • Lowerbound of 95% confidence interval for alpha
    -0.02791
  • Upperbound of 95% confidence interval for alpha
    -0.02791
  • Treynor index (mean / b)
    -485755000000000040268052280901632.00000
  • Jensen alpha (a)
    -0.02791
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00011
  • Expected Shortfall on VaR
    0.00011
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00000
  • Expected Shortfall on VaR
    0.00000
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    1.00000
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.00000
  • Mean of quarter 1
    1.00000
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.00000
  • Inter Quartile Range
    0.00000
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    0.00000
  • Minimum
    0.00000
  • Quartile 1
    0.00000
  • Median
    0.00000
  • Quartile 3
    0.00000
  • Maximum
    0.00000
  • Mean of quarter 1
    0.00000
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.00000
  • Inter Quartile Range
    0.00000
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.00000
  • Compounded annual return (geometric extrapolation)
    0.00000
  • Calmar ratio (compounded annual return / max draw down)
    0.00000
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    0.00000

Strategy Description

The Halifax 5 Stock US ETF strategy trades the five big 3x leveraged Ultra shares ETF's on TQQQ, UDOW, UMDD, UPRO and URTY starting with $25,000 and allocating 20% of equity to each trade.

The strategy looks to enter on the opening price of the day, when their is a setup during a dip in the market, often in periods of panic and then holds until the next bounce where it will exit.

The strategy does not run a stop loss, but rather holds until a bounce in the market so intraday drawdowns can be short, sharp and severe, but over the long term need to be ridden through in order for the strategy to do well. With your own auto-trading we suggest following the system as it is. Adding a stop loss of profit target will only reduce long term performance.

Summary Statistics

Strategy began
2016-02-24
Suggested Minimum Capital
$15,000
# Trades
87
# Profitable
61
% Profitable
70.1%
Net Dividends
Correlation S&P500
0.286
Sharpe Ratio
0.90
Sortino Ratio
1.40
Beta
0.27
Alpha
0.05

Latest Activity

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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.

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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.