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

Halifax Index Trader 2 (101091358)

Created by: AndrewGibbs3 AndrewGibbs3
Started: 03/2016
Futures
Last trade: 155 days ago

39.0%
Annual Return (Compounded)
24.7%
Max Drawdown
96
Num Trades
68.8%
Win Trades
2.5 : 1
Profit Factor
52.4%
Win Months
Hypothetical Monthly Returns (includes system fee and Interactive Brokers commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2016              +25.3%  -  +2.4%+1.2%+6.5%(0.7%)+14.5%(2.3%)+2.3%(5.5%)+48.5%
2017+8.7%+5.0%+0.2%+0.6%+3.4%(0.3%)(0.1%)(0.3%)  -  (0.3%)  -        +17.8%

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 12 hours.

Trading Record

This strategy has placed 39 trades in real-life brokerage accounts.

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Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
6/12/17 3:01 @NQM7 E-MINI NASDAQ 100 STK IDX LONG 1 5710.75 6/16 12:01 5702.00 1.72%
Trade id #112008731
Max drawdown($1,540)
Time6/15/17 10:25
Quant open1
Worst price5633.75
Drawdown as % of equity-1.72%
($179)
Includes Typical Broker Commissions trade costs of $4.02
5/16/17 20:05 @NQM7 E-MINI NASDAQ 100 STK IDX LONG 1 5695.25 5/23 3:31 5706.25 3.3%
Trade id #111630237
Max drawdown($2,895)
Time5/18/17 5:58
Quant open1
Worst price5550.50
Drawdown as % of equity-3.30%
$216
Includes Typical Broker Commissions trade costs of $4.02
5/11/17 9:56 @NQM7 E-MINI NASDAQ 100 STK IDX LONG 1 5645.50 5/16 18:00 5722.00 0.21%
Trade id #111543484
Max drawdown($185)
Time5/11/17 10:54
Quant open1
Worst price5636.25
Drawdown as % of equity-0.21%
$1,526
Includes Typical Broker Commissions trade costs of $4.02
5/1/17 12:51 @YMM7 MINI DOW LONG 1 20838 5/16 18:00 20928 0.44%
Trade id #111346638
Max drawdown($390)
Time5/11/17 10:04
Quant open1
Worst price20760
Drawdown as % of equity-0.44%
$446
Includes Typical Broker Commissions trade costs of $4.02
4/28/17 9:34 @EMDM7 Mini Midcap 400 LONG 1 1744.80 5/9 5:26 1731.00 3.88%
Trade id #111315325
Max drawdown($3,390)
Time5/4/17 12:20
Quant open1
Worst price1710.90
Drawdown as % of equity-3.88%
($1,384)
Includes Typical Broker Commissions trade costs of $4.02
4/28/17 14:18 @NQM7 E-MINI NASDAQ 100 STK IDX LONG 1 5572.75 5/1 18:00 5629.50 0.02%
Trade id #111325383
Max drawdown($20)
Time4/28/17 14:20
Quant open1
Worst price5571.75
Drawdown as % of equity-0.02%
$1,131
Includes Typical Broker Commissions trade costs of $4.02
3/19/17 20:21 @YMM7 MINI DOW LONG 1 20835 4/25 18:31 20931 3.07%
Trade id #110320986
Max drawdown($2,620)
Time4/19/17 15:46
Quant open1
Worst price20311
Drawdown as % of equity-3.07%
$476
Includes Typical Broker Commissions trade costs of $4.02
3/31/17 1:36 @EMDM7 Mini Midcap 400 LONG 1 1712.60 4/2 18:00 1719.10 0.09%
Trade id #110571206
Max drawdown($80)
Time3/31/17 2:28
Quant open1
Worst price1711.80
Drawdown as % of equity-0.09%
$646
Includes Typical Broker Commissions trade costs of $4.02
3/20/17 9:32 @EMDM7 Mini Midcap 400 LONG 1 1723.70 3/29 2:43 1705.30 6.41%
Trade id #110328787
Max drawdown($5,290)
Time3/27/17 9:40
Quant open1
Worst price1670.80
Drawdown as % of equity-6.41%
($1,844)
Includes Typical Broker Commissions trade costs of $4.02
3/12/17 19:44 @EMDM7 Mini Midcap 400 LONG 1 1705.80 3/16 2:39 1730.40 1.07%
Trade id #110185201
Max drawdown($910)
Time3/14/17 10:21
Quant open1
Worst price1696.70
Drawdown as % of equity-1.07%
$2,456
Includes Typical Broker Commissions trade costs of $4.02
3/12/17 19:45 @YMM7 MINI DOW LONG 1 20829 3/15 18:26 20899 0.5%
Trade id #110185216
Max drawdown($420)
Time3/14/17 10:46
Quant open1
Worst price20745
Drawdown as % of equity-0.50%
$346
Includes Typical Broker Commissions trade costs of $4.02
3/12/17 19:33 @NQM7 E-MINI NASDAQ 100 STK IDX LONG 1 5376.25 3/15 18:15 5419.25 0.3%
Trade id #110184920
Max drawdown($255)
Time3/14/17 10:46
Quant open1
Worst price5363.50
Drawdown as % of equity-0.30%
$856
Includes Typical Broker Commissions trade costs of $4.02
3/9/17 14:04 @YMH7 MINI DOW LONG 1 20815 3/12 19:45 20872 0.2%
Trade id #110142331
Max drawdown($170)
Time3/9/17 14:17
Quant open1
Worst price20781
Drawdown as % of equity-0.20%
$281
Includes Typical Broker Commissions trade costs of $4.02
2/23/17 10:45 @EMDH7 Mini Midcap 400 LONG 1 1731.10 3/12 19:44 1705.80 4.21%
Trade id #109786885
Max drawdown($3,540)
Time3/9/17 14:17
Quant open1
Worst price1695.70
Drawdown as % of equity-4.21%
($2,534)
Includes Typical Broker Commissions trade costs of $4.02
3/9/17 9:34 @NQH7 E-MINI NASDAQ 100 STK IDX LONG 1 5351.25 3/9 19:18 5373.50 0.37%
Trade id #110133676
Max drawdown($315)
Time3/9/17 14:17
Quant open1
Worst price5335.50
Drawdown as % of equity-0.37%
$441
Includes Typical Broker Commissions trade costs of $4.02
2/23/17 23:22 @NQH7 E-MINI NASDAQ 100 STK IDX LONG 1 5321.25 3/1 18:01 5387.50 0.53%
Trade id #109809649
Max drawdown($445)
Time2/24/17 8:53
Quant open1
Worst price5299.00
Drawdown as % of equity-0.53%
$1,321
Includes Typical Broker Commissions trade costs of $4.02
2/28/17 12:26 @YMH7 MINI DOW LONG 1 20773 2/28 18:00 20832 n/a $291
Includes Typical Broker Commissions trade costs of $4.02
1/29/17 18:00 @NQH7 E-MINI NASDAQ 100 STK IDX LONG 1 5146.25 2/7 4:00 5162.25 1.58%
Trade id #109108619
Max drawdown($1,260)
Time1/31/17 12:06
Quant open1
Worst price5083.25
Drawdown as % of equity-1.58%
$316
Includes Typical Broker Commissions trade costs of $4.02
1/26/17 11:20 @EMDH7 Mini Midcap 400 LONG 1 1702.50 2/6 4:11 1706.10 4.81%
Trade id #109056136
Max drawdown($3,880)
Time1/30/17 10:56
Quant open1
Worst price1663.70
Drawdown as % of equity-4.81%
$356
Includes Typical Broker Commissions trade costs of $4.02
1/27/17 10:34 @YMH7 MINI DOW LONG 1 20012 2/5 18:00 20003 1.87%
Trade id #109094697
Max drawdown($1,495)
Time1/31/17 14:06
Quant open1
Worst price19713
Drawdown as % of equity-1.87%
($49)
Includes Typical Broker Commissions trade costs of $4.02
1/19/17 11:03 @YMH7 MINI DOW LONG 1 19688 1/24 18:01 19858 0.48%
Trade id #108768107
Max drawdown($405)
Time1/19/17 14:21
Quant open1
Worst price19607
Drawdown as % of equity-0.48%
$846
Includes Typical Broker Commissions trade costs of $4.02
1/17/17 5:21 @NQH7 E-MINI NASDAQ 100 STK IDX LONG 1 5038.25 1/23 9:35 5062.75 0.32%
Trade id #108680025
Max drawdown($265)
Time1/17/17 9:47
Quant open1
Worst price5025.00
Drawdown as % of equity-0.32%
$486
Includes Typical Broker Commissions trade costs of $4.02
12/22/16 10:02 @EMDH7 Mini Midcap 400 LONG 1 1673.70 1/11/17 18:00 1686.20 2.32%
Trade id #108133621
Max drawdown($1,810)
Time12/30/16 15:53
Quant open1
Worst price1655.60
Drawdown as % of equity-2.32%
$1,246
Includes Typical Broker Commissions trade costs of $4.02
12/29/16 11:02 @NQH7 E-MINI NASDAQ 100 STK IDX LONG 1 4910.50 1/6/17 7:05 4965.75 1.54%
Trade id #108247112
Max drawdown($1,210)
Time12/30/16 14:56
Quant open1
Worst price4850.00
Drawdown as % of equity-1.54%
$1,101
Includes Typical Broker Commissions trade costs of $4.02
12/22/16 11:47 @YMH7 MINI DOW LONG 1 19834 1/4/17 18:00 19865 1.1%
Trade id #108138180
Max drawdown($865)
Time12/30/16 14:58
Quant open1
Worst price19661
Drawdown as % of equity-1.10%
$151
Includes Typical Broker Commissions trade costs of $4.02
12/22/16 9:37 @NQH7 E-MINI NASDAQ 100 STK IDX LONG 1 4932.50 12/27 18:00 4962.50 0.39%
Trade id #108131376
Max drawdown($310)
Time12/22/16 11:51
Quant open1
Worst price4917.00
Drawdown as % of equity-0.39%
$596
Includes Typical Broker Commissions trade costs of $4.02
12/16/16 11:21 @NQH7 E-MINI NASDAQ 100 STK IDX LONG 1 4919.75 12/20 22:14 4958.50 0.39%
Trade id #108016476
Max drawdown($310)
Time12/16/16 15:45
Quant open1
Worst price4904.25
Drawdown as % of equity-0.39%
$771
Includes Typical Broker Commissions trade costs of $4.02
11/11/16 4:42 @NQZ6 E-MINI NASDAQ 100 STK IDX LONG 1 4701.50 11/16 20:51 4795.25 0.74%
Trade id #107122665
Max drawdown($575)
Time11/14/16 11:08
Quant open1
Worst price4672.75
Drawdown as % of equity-0.74%
$1,871
Includes Typical Broker Commissions trade costs of $4.02
9/30/16 2:54 @EMDZ6 Mini Midcap 400 LONG 1 1533.30 10/18 20:15 1523.50 3.99%
Trade id #106155350
Max drawdown($3,050)
Time10/13/16 10:03
Quant open1
Worst price1502.80
Drawdown as % of equity-3.99%
($984)
Includes Typical Broker Commissions trade costs of $4.02
9/23/16 10:38 @YMZ6 MINI DOW LONG 1 18250 10/10 16:40 18264 1.91%
Trade id #106046543
Max drawdown($1,455)
Time9/27/16 9:31
Quant open1
Worst price17959
Drawdown as % of equity-1.91%
$66
Includes Typical Broker Commissions trade costs of $4.02

Statistics

  • Strategy began
    3/8/2016
  • Starting Unit Size
    $50,000
  • Strategy Age (days)
    616.18
  • Age
    21 months ago
  • What it trades
    Futures
  • # Trades
    96
  • # Profitable
    66
  • % Profitable
    68.80%
  • Avg trade duration
    5.7 days
  • Max peak-to-valley drawdown
    24.67%
  • drawdown period
    April 21, 2016 - June 27, 2016
  • Annual Return (Compounded)
    39.1%
  • Avg win
    $1,010
  • Avg loss
    $881.67
  • Model Account Values (Raw)
  • Cash
    $90,266
  • Margin Used
    $0
  • Buying Power
    $90,266
  • Ratios
  • W:L ratio
    2.52:1
  • Sharpe Ratio
    1.954
  • Sortino Ratio
    3.14
  • Calmar Ratio
    2.598
  • CORRELATION STATISTICS
  • Correlation to SP500
    0.49400
  • Return Statistics
  • Ann Return (w trading costs)
    39.1%
  • Ann Return (Compnd, No Fees)
    41.6%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    21.50%
  • Chance of 20% account loss
    3.50%
  • Chance of 30% account loss
    n/a
  • Chance of 40% account loss
    n/a
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    322
  • Popularity (Last 6 weeks)
    698
  • C2 Score
    38.7
  • 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
    $882
  • Avg Win
    $1,011
  • # Winners
    66
  • # Losers
    30
  • % Winners
    68.8%
  • Frequency
  • Avg Position Time (mins)
    8250.20
  • Avg Position Time (hrs)
    137.50
  • Avg Trade Length
    5.7 days
  • Last Trade Ago
    151
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.40093
  • SD
    0.26341
  • Sharpe ratio (Glass type estimate)
    1.52210
  • Sharpe ratio (Hedges UMVUE)
    1.45378
  • df
    17.00000
  • t
    1.86419
  • p
    0.24535
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.17699
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.18084
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.21947
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.12702
  • Statistics related to Sortino ratio
  • Sortino ratio
    9.43809
  • Upside Potential Ratio
    10.75660
  • Upside part of mean
    0.45694
  • Downside part of mean
    -0.05601
  • Upside SD
    0.27770
  • Downside SD
    0.04248
  • N nonnegative terms
    12.00000
  • N negative terms
    6.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    18.00000
  • Mean of predictor
    0.12888
  • Mean of criterion
    0.40093
  • SD of predictor
    0.05246
  • SD of criterion
    0.26341
  • Covariance
    0.00371
  • r
    0.26848
  • b (slope, estimate of beta)
    1.34794
  • a (intercept, estimate of alpha)
    0.22721
  • Mean Square Error
    0.06841
  • DF error
    16.00000
  • t(b)
    1.11483
  • p(b)
    0.36576
  • t(a)
    0.85947
  • p(a)
    0.39496
  • Lowerbound of 95% confidence interval for beta
    -1.21524
  • Upperbound of 95% confidence interval for beta
    3.91112
  • Lowerbound of 95% confidence interval for alpha
    -0.33321
  • Upperbound of 95% confidence interval for alpha
    0.78763
  • Treynor index (mean / b)
    0.29744
  • Jensen alpha (a)
    0.22721
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.36592
  • SD
    0.23559
  • Sharpe ratio (Glass type estimate)
    1.55318
  • Sharpe ratio (Hedges UMVUE)
    1.48346
  • df
    17.00000
  • t
    1.90226
  • p
    0.24132
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.14940
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.21475
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.19272
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.15965
  • Statistics related to Sortino ratio
  • Sortino ratio
    8.46129
  • Upside Potential Ratio
    9.77478
  • Upside part of mean
    0.42272
  • Downside part of mean
    -0.05680
  • Upside SD
    0.24841
  • Downside SD
    0.04325
  • N nonnegative terms
    12.00000
  • N negative terms
    6.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    18.00000
  • Mean of predictor
    0.12664
  • Mean of criterion
    0.36592
  • SD of predictor
    0.05164
  • SD of criterion
    0.23559
  • Covariance
    0.00325
  • r
    0.26721
  • b (slope, estimate of beta)
    1.21914
  • a (intercept, estimate of alpha)
    0.21153
  • Mean Square Error
    0.05476
  • DF error
    16.00000
  • t(b)
    1.10919
  • p(b)
    0.36639
  • t(a)
    0.89484
  • p(a)
    0.39084
  • Lowerbound of 95% confidence interval for beta
    -1.11090
  • Upperbound of 95% confidence interval for beta
    3.54917
  • Lowerbound of 95% confidence interval for alpha
    -0.28960
  • Upperbound of 95% confidence interval for alpha
    0.71266
  • Treynor index (mean / b)
    0.30014
  • Jensen alpha (a)
    0.21153
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.07815
  • Expected Shortfall on VaR
    0.10370
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00788
  • Expected Shortfall on VaR
    0.01814
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    18.00000
  • Minimum
    0.95676
  • Quartile 1
    1.00034
  • Median
    1.01275
  • Quartile 3
    1.03850
  • Maximum
    1.29657
  • Mean of quarter 1
    0.98572
  • Mean of quarter 2
    1.00412
  • Mean of quarter 3
    1.02375
  • Mean of quarter 4
    1.12065
  • Inter Quartile Range
    0.03817
  • 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
    0.11111
  • Mean of outliers high
    1.21593
  • 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)
    -0.02964
  • VaR(95%) (regression method)
    0.03425
  • Expected Shortfall (regression method)
    0.05689
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    3.00000
  • Minimum
    0.00773
  • Quartile 1
    0.01408
  • Median
    0.02042
  • Quartile 3
    0.03183
  • Maximum
    0.04324
  • Mean of quarter 1
    0.00773
  • Mean of quarter 2
    0.02042
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.04324
  • Inter Quartile Range
    0.01775
  • 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)
    0.53688
  • Compounded annual return (geometric extrapolation)
    0.48264
  • Calmar ratio (compounded annual return / max draw down)
    11.16210
  • Compounded annual return / average of 25% largest draw downs
    11.16210
  • Compounded annual return / Expected Shortfall lognormal
    4.65439
  • 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
    0.36837
  • SD
    0.18816
  • Sharpe ratio (Glass type estimate)
    1.95779
  • Sharpe ratio (Hedges UMVUE)
    1.95419
  • df
    408.00000
  • t
    2.44611
  • p
    0.00743
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.38219
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.53105
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.37978
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.52860
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.14029
  • Upside Potential Ratio
    8.50410
  • Upside part of mean
    0.99758
  • Downside part of mean
    -0.62921
  • Upside SD
    0.14857
  • Downside SD
    0.11731
  • N nonnegative terms
    163.00000
  • N negative terms
    246.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    409.00000
  • Mean of predictor
    0.14597
  • Mean of criterion
    0.36837
  • SD of predictor
    0.09279
  • SD of criterion
    0.18816
  • Covariance
    0.00886
  • r
    0.50769
  • b (slope, estimate of beta)
    1.02948
  • a (intercept, estimate of alpha)
    0.21800
  • Mean Square Error
    0.02634
  • DF error
    407.00000
  • t(b)
    11.88840
  • p(b)
    -0.00000
  • t(a)
    1.67109
  • p(a)
    0.04774
  • Lowerbound of 95% confidence interval for beta
    0.85925
  • Upperbound of 95% confidence interval for beta
    1.19970
  • Lowerbound of 95% confidence interval for alpha
    -0.03847
  • Upperbound of 95% confidence interval for alpha
    0.47468
  • Treynor index (mean / b)
    0.35783
  • Jensen alpha (a)
    0.21810
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.35051
  • SD
    0.18757
  • Sharpe ratio (Glass type estimate)
    1.86875
  • Sharpe ratio (Hedges UMVUE)
    1.86531
  • df
    408.00000
  • t
    2.33487
  • p
    0.01002
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.29374
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.44159
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.29141
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.43922
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.93666
  • Upside Potential Ratio
    8.26668
  • Upside part of mean
    0.98669
  • Downside part of mean
    -0.63618
  • Upside SD
    0.14600
  • Downside SD
    0.11936
  • N nonnegative terms
    163.00000
  • N negative terms
    246.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    409.00000
  • Mean of predictor
    0.14161
  • Mean of criterion
    0.35051
  • SD of predictor
    0.09292
  • SD of criterion
    0.18757
  • Covariance
    0.00889
  • r
    0.51006
  • b (slope, estimate of beta)
    1.02962
  • a (intercept, estimate of alpha)
    0.20471
  • Mean Square Error
    0.02609
  • DF error
    407.00000
  • t(b)
    11.96320
  • p(b)
    -0.00000
  • t(a)
    1.57640
  • p(a)
    0.05785
  • Lowerbound of 95% confidence interval for beta
    0.86043
  • Upperbound of 95% confidence interval for beta
    1.19881
  • Lowerbound of 95% confidence interval for alpha
    -0.05057
  • Upperbound of 95% confidence interval for alpha
    0.45998
  • Treynor index (mean / b)
    0.34043
  • Jensen alpha (a)
    0.20471
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01757
  • Expected Shortfall on VaR
    0.02230
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00608
  • Expected Shortfall on VaR
    0.01322
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    409.00000
  • Minimum
    0.93578
  • Quartile 1
    0.99998
  • Median
    1.00000
  • Quartile 3
    1.00463
  • Maximum
    1.06916
  • Mean of quarter 1
    0.99071
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00118
  • Mean of quarter 4
    1.01426
  • Inter Quartile Range
    0.00465
  • Number outliers low
    52.00000
  • Percentage of outliers low
    0.12714
  • Mean of outliers low
    0.98350
  • Number of outliers high
    44.00000
  • Percentage of outliers high
    0.10758
  • Mean of outliers high
    1.02346
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.17818
  • VaR(95%) (moments method)
    0.00417
  • Expected Shortfall (moments method)
    0.00732
  • Extreme Value Index (regression method)
    0.07813
  • VaR(95%) (regression method)
    0.00883
  • Expected Shortfall (regression method)
    0.01526
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    24.00000
  • Minimum
    0.00004
  • Quartile 1
    0.00247
  • Median
    0.01144
  • Quartile 3
    0.02779
  • Maximum
    0.17704
  • Mean of quarter 1
    0.00143
  • Mean of quarter 2
    0.00710
  • Mean of quarter 3
    0.01839
  • Mean of quarter 4
    0.06560
  • Inter Quartile Range
    0.02531
  • 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
    0.04167
  • Mean of outliers high
    0.17704
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.56773
  • VaR(95%) (moments method)
    0.07488
  • Expected Shortfall (moments method)
    0.17800
  • Extreme Value Index (regression method)
    1.41604
  • VaR(95%) (regression method)
    0.08249
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.51588
  • Compounded annual return (geometric extrapolation)
    0.45997
  • Calmar ratio (compounded annual return / max draw down)
    2.59814
  • Compounded annual return / average of 25% largest draw downs
    7.01162
  • Compounded annual return / Expected Shortfall lognormal
    20.62410
  • 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
    0.05183
  • SD
    0.05214
  • Sharpe ratio (Glass type estimate)
    0.99391
  • Sharpe ratio (Hedges UMVUE)
    0.98817
  • df
    130.00000
  • t
    0.70280
  • p
    0.46924
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.78234
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.76654
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.78624
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.76257
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.56390
  • Upside Potential Ratio
    6.86598
  • Upside part of mean
    0.22753
  • Downside part of mean
    -0.17571
  • Upside SD
    0.04013
  • Downside SD
    0.03314
  • N nonnegative terms
    22.00000
  • N negative terms
    109.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.15341
  • Mean of criterion
    0.05183
  • SD of predictor
    0.07637
  • SD of criterion
    0.05214
  • Covariance
    0.00129
  • r
    0.32409
  • b (slope, estimate of beta)
    0.22127
  • a (intercept, estimate of alpha)
    0.01788
  • Mean Square Error
    0.00245
  • DF error
    129.00000
  • t(b)
    3.89090
  • p(b)
    0.29735
  • t(a)
    0.25336
  • p(a)
    0.48580
  • Lowerbound of 95% confidence interval for beta
    0.10876
  • Upperbound of 95% confidence interval for beta
    0.33379
  • Lowerbound of 95% confidence interval for alpha
    -0.12175
  • Upperbound of 95% confidence interval for alpha
    0.15751
  • Treynor index (mean / b)
    0.23422
  • Jensen alpha (a)
    0.01788
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.05047
  • SD
    0.05211
  • Sharpe ratio (Glass type estimate)
    0.96856
  • Sharpe ratio (Hedges UMVUE)
    0.96296
  • df
    130.00000
  • t
    0.68487
  • p
    0.47002
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.80756
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.74105
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.81132
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.73723
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.51649
  • Upside Potential Ratio
    6.81223
  • Upside part of mean
    0.22671
  • Downside part of mean
    -0.17624
  • Upside SD
    0.03996
  • Downside SD
    0.03328
  • N nonnegative terms
    22.00000
  • N negative terms
    109.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.15046
  • Mean of criterion
    0.05047
  • SD of predictor
    0.07644
  • SD of criterion
    0.05211
  • Covariance
    0.00129
  • r
    0.32421
  • b (slope, estimate of beta)
    0.22102
  • a (intercept, estimate of alpha)
    0.01722
  • Mean Square Error
    0.00245
  • DF error
    129.00000
  • t(b)
    3.89262
  • p(b)
    0.29728
  • t(a)
    0.24419
  • p(a)
    0.48632
  • Lowerbound of 95% confidence interval for beta
    0.10868
  • Upperbound of 95% confidence interval for beta
    0.33336
  • Lowerbound of 95% confidence interval for alpha
    -0.12227
  • Upperbound of 95% confidence interval for alpha
    0.15670
  • Treynor index (mean / b)
    0.22835
  • Jensen alpha (a)
    0.01722
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00509
  • Expected Shortfall on VaR
    0.00643
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00209
  • Expected Shortfall on VaR
    0.00440
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.98923
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.01157
  • Mean of quarter 1
    0.99769
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.00352
  • Inter Quartile Range
    0.00000
  • Number outliers low
    19.00000
  • Percentage of outliers low
    0.14504
  • Mean of outliers low
    0.99599
  • Number of outliers high
    23.00000
  • Percentage of outliers high
    0.17557
  • Mean of outliers high
    1.00505
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -1.48419
  • VaR(95%) (moments method)
    0.00156
  • Expected Shortfall (moments method)
    0.00181
  • Extreme Value Index (regression method)
    -0.53647
  • VaR(95%) (regression method)
    0.00375
  • Expected Shortfall (regression method)
    0.00550
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    8.00000
  • Minimum
    0.00043
  • Quartile 1
    0.00353
  • Median
    0.00964
  • Quartile 3
    0.01166
  • Maximum
    0.01758
  • Mean of quarter 1
    0.00185
  • Mean of quarter 2
    0.00616
  • Mean of quarter 3
    0.01079
  • Mean of quarter 4
    0.01560
  • Inter Quartile Range
    0.00813
  • 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)
    0.07993
  • Compounded annual return (geometric extrapolation)
    0.08153
  • Calmar ratio (compounded annual return / max draw down)
    4.63816
  • Compounded annual return / average of 25% largest draw downs
    5.22522
  • Compounded annual return / Expected Shortfall lognormal
    12.68700

Strategy Description

This system trades futures across the e-mini Nasdaq, the e-mini Midcap, the e-mini Dow and the Share Price Index (SPI) futures in Australia.

The system is primarily mean reverting in nature and looks to buy weakness or sell strength. This system does not use stop losses so individual trade losses can be severe when (yes when) we get caught long on a market that trends down. This is the risk of the system. We suggest trading 1 contract per $50,000 in your account. This is not a system for sub $50k accounts. If you are prepared to withstand the occasional very large loss there is a high probability of profit in most months and most years.

Holding periods for individual trades range from days to weeks with an average hold time of 1-2 days on the Australian SPI Futures and 6 days on the US stock indices. The US system is identical across the Nasdaq, Midcap and Dow mini futures, but different on the SPI futures in Australia.

Backtested performance can be supplied upon request. E-mail info@halifaxonline.co.nz

Summary Statistics

Strategy began
2016-03-08
Minimum Capital Required
$50,000
# Trades
96
# Profitable
66
% Profitable
68.8%
Correlation S&P500
0.494
Sharpe Ratio
1.954

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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