Jan  Feb  Mar  Apr  May  Jun  Jul  Aug  Sep  Oct  Nov  Dec  YTD  

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%)    +18.1% 
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.
Started  $50,000  
Buy Power  $90,266  
Cash  $1  
Equity  $1  
Cumulative $  $40,265  
Total System Equity  $90,265  
Margined  $1  
Open P/L  $0  
Data has been delayed by 12 hours for nonsubscribers 
System developer has asked us to delay this information by 12 hours.
Trading Record
Statistics

Strategy began3/8/2016

Starting Unit Size$50,000

Strategy Age (days)564.62

Age19 months ago

What it tradesFutures

# Trades96

# Profitable66

% Profitable68.80%

Avg trade duration5.7 days

Max peaktovalley drawdown24.67%

drawdown periodApril 21, 2016  June 27, 2016

Annual Return (Compounded)43.5%

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 ratio2.52:1

Sharpe Ratio1.982

Sortino Ratio3.185

Calmar Ratio2.677
 CORRELATION STATISTICS

Correlation to SP5000.49400
 Return Statistics

Ann Return (w trading costs)43.5%

Ann Return (Compnd, No Fees)46.4%
 Risk of Ruin (MonteCarlo)

Chance of 10% account loss26.50%

Chance of 20% account loss5.50%

Chance of 30% account lossn/a

Chance of 40% account lossn/a

Chance of 50% account lossn/a
 Popularity

Popularity (Today)0

Popularity (Last 6 weeks)805

C2 Score51.9
 TradesOwnSystem Certification

Trades Own System?0

TOS percentn/a
 Subscription Price

Billing Period (days)30

Trial Days30
 Win / Loss

Avg Loss$882

Avg Win$1,011

# Winners66

# Losers30

% Winners68.8%
 Frequency

Avg Position Time (mins)8250.20

Avg Position Time (hrs)137.50

Avg Trade Length5.7 days

Last Trade Ago100
 Analysis based on MONTHLY values, full history
 RATIO STATISTICS
 Ratio statistics of excess return rates
 Statistics related to Sharpe ratio

Mean0.40093

SD0.26341

Sharpe ratio (Glass type estimate)1.52210

Sharpe ratio (Hedges UMVUE)1.45378

df17.00000

t1.86419

p0.24535

Lowerbound of 95% confidence interval for Sharpe Ratio0.17699

Upperbound of 95% confidence interval for Sharpe Ratio3.18084

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.21947

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation3.12702
 Statistics related to Sortino ratio

Sortino ratio9.43809

Upside Potential Ratio10.75660

Upside part of mean0.45694

Downside part of mean0.05601

Upside SD0.27770

Downside SD0.04248

N nonnegative terms12.00000

N negative terms6.00000
 Statistics related to linear regression on benchmark

N of observations18.00000

Mean of predictor0.12888

Mean of criterion0.40093

SD of predictor0.05246

SD of criterion0.26341

Covariance0.00371

r0.26848

b (slope, estimate of beta)1.34794

a (intercept, estimate of alpha)0.22721

Mean Square Error0.06841

DF error16.00000

t(b)1.11483

p(b)0.36576

t(a)0.85947

p(a)0.39496

Lowerbound of 95% confidence interval for beta1.21524

Upperbound of 95% confidence interval for beta3.91112

Lowerbound of 95% confidence interval for alpha0.33321

Upperbound of 95% confidence interval for alpha0.78763

Treynor index (mean / b)0.29744

Jensen alpha (a)0.22721
 Ratio statistics of excess log return rates
 Statistics related to Sharpe ratio

Mean0.36592

SD0.23559

Sharpe ratio (Glass type estimate)1.55318

Sharpe ratio (Hedges UMVUE)1.48346

df17.00000

t1.90226

p0.24132

Lowerbound of 95% confidence interval for Sharpe Ratio0.14940

Upperbound of 95% confidence interval for Sharpe Ratio3.21475

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.19272

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation3.15965
 Statistics related to Sortino ratio

Sortino ratio8.46129

Upside Potential Ratio9.77478

Upside part of mean0.42272

Downside part of mean0.05680

Upside SD0.24841

Downside SD0.04325

N nonnegative terms12.00000

N negative terms6.00000
 Statistics related to linear regression on benchmark

N of observations18.00000

Mean of predictor0.12664

Mean of criterion0.36592

SD of predictor0.05164

SD of criterion0.23559

Covariance0.00325

r0.26721

b (slope, estimate of beta)1.21914

a (intercept, estimate of alpha)0.21153

Mean Square Error0.05476

DF error16.00000

t(b)1.10919

p(b)0.36639

t(a)0.89484

p(a)0.39084

Lowerbound of 95% confidence interval for beta1.11090

Upperbound of 95% confidence interval for beta3.54917

Lowerbound of 95% confidence interval for alpha0.28960

Upperbound of 95% confidence interval for alpha0.71266

Treynor index (mean / b)0.30014

Jensen alpha (a)0.21153
 Risk estimates for a oneperiod unit investment (parametric)
 assuming log normal returns and losses (using central moments from Sharpe statistics)

VaR(95%)0.07815

Expected Shortfall on VaR0.10370
 assuming Pareto losses only (using partial moments from Sortino statistics)

VaR(95%)0.00788

Expected Shortfall on VaR0.01814
 ORDER STATISTICS
 Quartiles of return rates

Number of observations18.00000

Minimum0.95676

Quartile 11.00034

Median1.01275

Quartile 31.03850

Maximum1.29657

Mean of quarter 10.98572

Mean of quarter 21.00412

Mean of quarter 31.02375

Mean of quarter 41.12065

Inter Quartile Range0.03817

Number outliers low0.00000

Percentage of outliers low0.00000

Mean of outliers low0.00000

Number of outliers high2.00000

Percentage of outliers high0.11111

Mean of outliers high1.21593
 Risk estimates for a oneperiod 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 observations3.00000

Minimum0.00773

Quartile 10.01408

Median0.02042

Quartile 30.03183

Maximum0.04324

Mean of quarter 10.00773

Mean of quarter 20.02042

Mean of quarter 30.00000

Mean of quarter 40.04324

Inter Quartile Range0.01775

Number outliers low0.00000

Percentage of outliers low0.00000

Mean of outliers low0.00000

Number of outliers high0.00000

Percentage of outliers high0.00000

Mean of outliers high0.00000
 Risk estimates based on draw downs (based on Extreme Value T

Extreme Value Index (moments method)0.00000

VaR(95%) (moments method)0.00000

Expected Shortfall (moments method)0.00000

Extreme Value Index (regression method)0.00000

VaR(95%) (regression method)0.00000

Expected Shortfall (regression method)0.00000
 COMBINED STATISTICS

Annualized return (arithmetic extrapolation)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 downs11.16210

Compounded annual return / Expected Shortfall lognormal4.65439

0.00000

0.00000
 Analysis based on DAILY values, full history
 RATIO STATISTICS
 Ratio statistics of excess return rates
 Statistics related to Sharpe ratio

Mean0.37831

SD0.19047

Sharpe ratio (Glass type estimate)1.98620

Sharpe ratio (Hedges UMVUE)1.98246

df398.00000

t2.45109

p0.00734

Lowerbound of 95% confidence interval for Sharpe Ratio0.39080

Upperbound of 95% confidence interval for Sharpe Ratio3.57922

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.38827

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation3.57664
 Statistics related to Sortino ratio

Sortino ratio3.18530

Upside Potential Ratio8.61003

Upside part of mean1.02258

Downside part of mean0.64428

Upside SD0.15042

Downside SD0.11877

N nonnegative terms163.00000

N negative terms236.00000
 Statistics related to linear regression on benchmark

N of observations399.00000

Mean of predictor0.13038

Mean of criterion0.37831

SD of predictor0.09268

SD of criterion0.19047

Covariance0.00911

r0.51612

b (slope, estimate of beta)1.06064

a (intercept, estimate of alpha)0.24000

Mean Square Error0.02668

DF error397.00000

t(b)12.00620

p(b)0.00000

t(a)1.80649

p(a)0.03580

Lowerbound of 95% confidence interval for beta0.88696

Upperbound of 95% confidence interval for beta1.23431

Lowerbound of 95% confidence interval for alpha0.02119

Upperbound of 95% confidence interval for alpha0.50122

Treynor index (mean / b)0.35668

Jensen alpha (a)0.24002
 Ratio statistics of excess log return rates
 Statistics related to Sharpe ratio

Mean0.36000

SD0.18987

Sharpe ratio (Glass type estimate)1.89602

Sharpe ratio (Hedges UMVUE)1.89244

df398.00000

t2.33980

p0.00989

Lowerbound of 95% confidence interval for Sharpe Ratio0.30119

Upperbound of 95% confidence interval for Sharpe Ratio3.48855

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.29879

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation3.48610
 Statistics related to Sortino ratio

Sortino ratio2.97902

Upside Potential Ratio8.36966

Upside part of mean1.01142

Downside part of mean0.65142

Upside SD0.14782

Downside SD0.12084

N nonnegative terms163.00000

N negative terms236.00000
 Statistics related to linear regression on benchmark

N of observations399.00000

Mean of predictor0.12605

Mean of criterion0.36000

SD of predictor0.09282

SD of criterion0.18987

Covariance0.00914

r0.51837

b (slope, estimate of beta)1.06036

a (intercept, estimate of alpha)0.22634

Mean Square Error0.02643

DF error397.00000

t(b)12.07790

p(b)0.00000

t(a)1.71209

p(a)0.04383

Lowerbound of 95% confidence interval for beta0.88776

Upperbound of 95% confidence interval for beta1.23296

Lowerbound of 95% confidence interval for alpha0.03356

Upperbound of 95% confidence interval for alpha0.48624

Treynor index (mean / b)0.33950

Jensen alpha (a)0.22634
 Risk estimates for a oneperiod unit investment (parametric)
 assuming log normal returns and losses (using central moments from Sharpe statistics)

VaR(95%)0.01776

Expected Shortfall on VaR0.02255
 assuming Pareto losses only (using partial moments from Sortino statistics)

VaR(95%)0.00616

Expected Shortfall on VaR0.01339
 ORDER STATISTICS
 Quartiles of return rates

Number of observations399.00000

Minimum0.93578

Quartile 10.99998

Median1.00000

Quartile 31.00472

Maximum1.06916

Mean of quarter 10.99043

Mean of quarter 21.00000

Mean of quarter 31.00131

Mean of quarter 41.01445

Inter Quartile Range0.00474

Number outliers low50.00000

Percentage of outliers low0.12531

Mean of outliers low0.98312

Number of outliers high42.00000

Percentage of outliers high0.10526

Mean of outliers high1.02402
 Risk estimates for a oneperiod unit investment (based on Ex

Extreme Value Index (moments method)0.17818

VaR(95%) (moments method)0.00423

Expected Shortfall (moments method)0.00740

Extreme Value Index (regression method)0.07813

VaR(95%) (regression method)0.00898

Expected Shortfall (regression method)0.01542
 DRAW DOWN STATISTICS
 Quartiles of draw downs

Number of observations24.00000

Minimum0.00004

Quartile 10.00247

Median0.01144

Quartile 30.02779

Maximum0.17704

Mean of quarter 10.00143

Mean of quarter 20.00710

Mean of quarter 30.01839

Mean of quarter 40.06560

Inter Quartile Range0.02531

Number outliers low0.00000

Percentage of outliers low0.00000

Mean of outliers low0.00000

Number of outliers high1.00000

Percentage of outliers high0.04167

Mean of outliers high0.17704
 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)0.52881

Compounded annual return (geometric extrapolation)0.47389

Calmar ratio (compounded annual return / max draw down)2.67673

Compounded annual return / average of 25% largest draw downs7.22369

Compounded annual return / Expected Shortfall lognormal21.01100

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

Mean0.00021

SD0.09381

Sharpe ratio (Glass type estimate)0.00220

Sharpe ratio (Hedges UMVUE)0.00218

df130.00000

t0.00155

p0.50007

Lowerbound of 95% confidence interval for Sharpe Ratio2.77400

Upperbound of 95% confidence interval for Sharpe Ratio2.76961

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation2.77399

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation2.76962
 Statistics related to Sortino ratio

Sortino ratio0.00277

Upside Potential Ratio4.50663

Upside part of mean0.33483

Downside part of mean0.33504

Upside SD0.05668

Downside SD0.07430

N nonnegative terms29.00000

N negative terms102.00000
 Statistics related to linear regression on benchmark

N of observations131.00000

Mean of predictor0.08054

Mean of criterion0.00021

SD of predictor0.07473

SD of criterion0.09381

Covariance0.00237

r0.33756

b (slope, estimate of beta)0.42370

a (intercept, estimate of alpha)0.03433

Mean Square Error0.00786

DF error129.00000

t(b)4.07298

p(b)0.28926

t(a)0.27326

p(a)0.51531

Lowerbound of 95% confidence interval for beta0.21788

Upperbound of 95% confidence interval for beta0.62952

Lowerbound of 95% confidence interval for alpha0.28291

Upperbound of 95% confidence interval for alpha0.21425

Treynor index (mean / b)0.00049

Jensen alpha (a)0.03433
 Ratio statistics of excess log return rates
 Statistics related to Sharpe ratio

Mean0.00460

SD0.09431

Sharpe ratio (Glass type estimate)0.04881

Sharpe ratio (Hedges UMVUE)0.04853

df130.00000

t0.03451

p0.50151

Lowerbound of 95% confidence interval for Sharpe Ratio2.82062

Upperbound of 95% confidence interval for Sharpe Ratio2.72301

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation2.82034

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation2.72329
 Statistics related to Sortino ratio

Sortino ratio0.06121

Upside Potential Ratio4.43086

Upside part of mean0.33320

Downside part of mean0.33781

Upside SD0.05632

Downside SD0.07520

N nonnegative terms29.00000

N negative terms102.00000
 Statistics related to linear regression on benchmark

N of observations131.00000

Mean of predictor0.07774

Mean of criterion0.00460

SD of predictor0.07486

SD of criterion0.09431

Covariance0.00238

r0.33723

b (slope, estimate of beta)0.42487

a (intercept, estimate of alpha)0.03763

Mean Square Error0.00794

DF error129.00000

t(b)4.06849

p(b)0.28946

t(a)0.29795

p(a)0.51669

Lowerbound of 95% confidence interval for beta0.21825

Upperbound of 95% confidence interval for beta0.63148

Lowerbound of 95% confidence interval for alpha0.28754

Upperbound of 95% confidence interval for alpha0.21228

Treynor index (mean / b)0.01083

Jensen alpha (a)0.03763
 Risk estimates for a oneperiod unit investment (parametric)
 assuming log normal returns and losses (using central moments from Sharpe statistics)

VaR(95%)0.00956

Expected Shortfall on VaR0.01196
 assuming Pareto losses only (using partial moments from Sortino statistics)

VaR(95%)0.00381

Expected Shortfall on VaR0.00830
 ORDER STATISTICS
 Quartiles of return rates

Number of observations131.00000

Minimum0.96816

Quartile 11.00000

Median1.00000

Quartile 31.00000

Maximum1.02028

Mean of quarter 10.99525

Mean of quarter 21.00000

Mean of quarter 31.00000

Mean of quarter 41.00517

Inter Quartile Range0.00000

Number outliers low22.00000

Percentage of outliers low0.16794

Mean of outliers low0.99288

Number of outliers high30.00000

Percentage of outliers high0.22901

Mean of outliers high1.00568
 Risk estimates for a oneperiod unit investment (based on Ex

Extreme Value Index (moments method)0.06235

VaR(95%) (moments method)0.00159

Expected Shortfall (moments method)0.00258

Extreme Value Index (regression method)0.17910

VaR(95%) (regression method)0.00529

Expected Shortfall (regression method)0.01119
 DRAW DOWN STATISTICS
 Quartiles of draw downs

Number of observations4.00000

Minimum0.00327

Quartile 10.00908

Median0.01429

Quartile 30.02959

Maximum0.06561

Mean of quarter 10.00327

Mean of quarter 20.01101

Mean of quarter 30.01758

Mean of quarter 40.06561

Inter Quartile Range0.02051

Number outliers low0.00000

Percentage of outliers low0.00000

Mean of outliers low0.00000

Number of outliers high1.00000

Percentage of outliers high0.25000

Mean of outliers high0.06561
 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)0.02344

Compounded annual return (geometric extrapolation)0.02358

Calmar ratio (compounded annual return / max draw down)0.35934

Compounded annual return / average of 25% largest draw downs0.35934

Compounded annual return / Expected Shortfall lognormal1.97106
Strategy Description
This system trades futures across the emini Nasdaq, the emini Midcap, the emini 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 12 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. Email info@halifaxonline.co.nz
Summary Statistics
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 underor overcompensated 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 rescaled downward to make current goforward 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 pertrade 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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