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Halifax Index Trader USA (98852250)

Created by: AndrewGibbs3 AndrewGibbs3
Started: 12/2015
Futures
Last trade: 124 days ago

39.7%
Annual Return (Compounded)
44.5%
Max Drawdown
153
Num Trades
78.4%
Win Trades
2.3 : 1
Profit Factor
63.6%
Win Months
Hypothetical Monthly Returns (includes system fee and Interactive Brokers commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2015                                                                             +13.6%+13.6%
2016(12.8%)+15.1%+20.1%+2.7%+2.4%+0.9%+6.3%+1.5%+7.3%(1.9%)+1.1%(3.2%)+42.3%
2017+5.2%+3.4%+0.3%(0.2%)+2.8%  -    -    -    -                    +11.9%

Model Account Details

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

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System developer has asked us to delay this information by 12 hours.

Trading Record

This strategy has placed 25 trades in real-life brokerage accounts.

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Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
5/16/17 18:23 @ESM7 E-MINI S&P 500 LONG 1 2393.75 5/23 3:38 2395.00 1.4%
Trade id #111629115
Max drawdown($2,462)
Time5/18/17 5:58
Quant open1
Worst price2344.50
Drawdown as % of equity-1.40%
$59
Includes Typical Broker Commissions trade costs of $4.02
5/18/17 4:16 @TFSM7 Emini Russell 2000 LONG 2 1354.10 5/23 3:31 1377.10 0.57%
Trade id #111659068
Max drawdown($1,000)
Time5/18/17 5:58
Quant open2
Worst price1344.10
Drawdown as % of equity-0.57%
$2,292
Includes Typical Broker Commissions trade costs of $8.04
5/16/17 20:05 @NQM7 E-MINI NASDAQ 100 STK IDX LONG 1 5695.25 5/23 3:31 5706.25 1.64%
Trade id #111630236
Max drawdown($2,895)
Time5/18/17 5:58
Quant open1
Worst price5550.50
Drawdown as % of equity-1.64%
$216
Includes Typical Broker Commissions trade costs of $4.02
5/9/17 15:37 @ESM7 E-MINI S&P 500 LONG 1 2390.75 5/16 18:20 2394.75 0.33%
Trade id #111485333
Max drawdown($587)
Time5/11/17 10:25
Quant open1
Worst price2379.00
Drawdown as % of equity-0.33%
$196
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 18:20 5721.25 0.1%
Trade id #111543480
Max drawdown($185)
Time5/11/17 10:54
Quant open1
Worst price5636.25
Drawdown as % of equity-0.10%
$1,511
Includes Typical Broker Commissions trade costs of $4.02
5/9/17 15:33 @YMM7 MINI DOW LONG 1 20910 5/16 18:00 20926 0.42%
Trade id #111485149
Max drawdown($750)
Time5/11/17 10:04
Quant open1
Worst price20760
Drawdown as % of equity-0.42%
$76
Includes Typical Broker Commissions trade costs of $4.02
4/28/17 9:37 @TFSM7 Emini Russell 2000 LONG 2 1401.65 5/16 17:51 1393.20 1.44%
Trade id #111315621
Max drawdown($2,565)
Time5/11/17 10:32
Quant open2
Worst price1376.00
Drawdown as % of equity-1.44%
($853)
Includes Typical Broker Commissions trade costs of $8.04
4/28/17 9:34 @EMDM7 Mini Midcap 400 LONG 1 1743.90 5/10 0:23 1721.70 1.85%
Trade id #111315324
Max drawdown($3,300)
Time5/4/17 12:20
Quant open1
Worst price1710.90
Drawdown as % of equity-1.85%
($2,224)
Includes Typical Broker Commissions trade costs of $4.02
5/1/17 12:51 @YMM7 MINI DOW LONG 1 20838 5/9 1:50 20937 0.18%
Trade id #111346642
Max drawdown($315)
Time5/4/17 12:20
Quant open1
Worst price20775
Drawdown as % of equity-0.18%
$491
Includes Typical Broker Commissions trade costs of $4.02
4/28/17 11:16 @ESM7 E-MINI S&P 500 LONG 1 2380.25 5/9 1:47 2393.75 0.13%
Trade id #111319838
Max drawdown($237)
Time5/3/17 10:53
Quant open1
Worst price2375.50
Drawdown as % of equity-0.13%
$671
Includes Typical Broker Commissions trade costs of $4.02
4/28/17 11:44 @NQM7 E-MINI NASDAQ 100 STK IDX LONG 1 5573.50 5/1 18:21 5630.00 0.02%
Trade id #111320538
Max drawdown($35)
Time4/28/17 14:20
Quant open1
Worst price5571.75
Drawdown as % of equity-0.02%
$1,126
Includes Typical Broker Commissions trade costs of $4.02
3/19/17 20:21 @YMM7 MINI DOW LONG 1 20835 4/25 18:28 20933 1.48%
Trade id #110320985
Max drawdown($2,620)
Time4/19/17 15:46
Quant open1
Worst price20311
Drawdown as % of equity-1.48%
$486
Includes Typical Broker Commissions trade costs of $4.02
3/31/17 1:14 @ESM7 E-MINI S&P 500 LONG 1 2359.50 4/21 1:15 2353.25 1.04%
Trade id #110570906
Max drawdown($1,837)
Time4/16/17 18:01
Quant open1
Worst price2322.75
Drawdown as % of equity-1.04%
($317)
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 0.04%
Trade id #110571205
Max drawdown($80)
Time3/31/17 2:28
Quant open1
Worst price1711.80
Drawdown as % of equity-0.04%
$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 3.09%
Trade id #110328778
Max drawdown($5,290)
Time3/27/17 9:40
Quant open1
Worst price1670.80
Drawdown as % of equity-3.09%
($1,844)
Includes Typical Broker Commissions trade costs of $4.02
3/17/17 9:42 @TFSM7 Emini Russell 2000 LONG 1 1380.70 3/28 20:00 1366.10 1.41%
Trade id #110301747
Max drawdown($2,445)
Time3/22/17 13:16
Quant open1
Worst price1331.80
Drawdown as % of equity-1.41%
($734)
Includes Typical Broker Commissions trade costs of $4.02
3/17/17 11:02 @ESM7 E-MINI S&P 500 LONG 1 2374.75 3/28 19:20 2353.50 1.67%
Trade id #110305652
Max drawdown($2,850)
Time3/27/17 2:43
Quant open1
Worst price2317.75
Drawdown as % of equity-1.67%
($1,067)
Includes Typical Broker Commissions trade costs of $4.02
3/19/17 20:22 @NQM7 E-MINI NASDAQ 100 STK IDX LONG 1 5399.00 3/27 18:13 5385.50 0.97%
Trade id #110321013
Max drawdown($1,680)
Time3/21/17 22:31
Quant open1
Worst price5315.00
Drawdown as % of equity-0.97%
($274)
Includes Typical Broker Commissions trade costs of $4.02
3/12/17 19:42 @EMDM7 Mini Midcap 400 LONG 1 1705.90 3/16 2:39 1730.40 0.51%
Trade id #110185073
Max drawdown($920)
Time3/14/17 10:21
Quant open1
Worst price1696.70
Drawdown as % of equity-0.51%
$2,446
Includes Typical Broker Commissions trade costs of $4.02
3/12/17 19:43 @YMM7 MINI DOW LONG 1 20829 3/15 18:26 20899 0.24%
Trade id #110185139
Max drawdown($420)
Time3/14/17 10:46
Quant open1
Worst price20745
Drawdown as % of equity-0.24%
$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 0.14%
Trade id #110184919
Max drawdown($255)
Time3/14/17 10:46
Quant open1
Worst price5363.50
Drawdown as % of equity-0.14%
$856
Includes Typical Broker Commissions trade costs of $4.02
3/12/17 19:43 @ESM7 E-MINI S&P 500 LONG 1 2365.50 3/15 18:08 2380.25 0.3%
Trade id #110185110
Max drawdown($537)
Time3/14/17 10:46
Quant open1
Worst price2354.75
Drawdown as % of equity-0.30%
$734
Includes Typical Broker Commissions trade costs of $4.02
3/9/17 14:04 @YMH7 MINI DOW LONG 1 20815 3/12 19:43 20871 0.1%
Trade id #110142332
Max drawdown($170)
Time3/9/17 14:17
Quant open1
Worst price20781
Drawdown as % of equity-0.10%
$276
Includes Typical Broker Commissions trade costs of $4.02
3/9/17 14:04 @ESH7 E-MINI S&P 500 LONG 1 2358.25 3/12 19:43 2368.25 0.12%
Trade id #110142341
Max drawdown($212)
Time3/9/17 14:17
Quant open1
Worst price2354.00
Drawdown as % of equity-0.12%
$496
Includes Typical Broker Commissions trade costs of $4.02
2/23/17 10:45 @EMDH7 Mini Midcap 400 LONG 1 1731.10 3/12 19:42 1705.80 2%
Trade id #109786877
Max drawdown($3,540)
Time3/9/17 14:17
Quant open1
Worst price1695.70
Drawdown as % of equity-2.00%
($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 0.18%
Trade id #110133677
Max drawdown($315)
Time3/9/17 14:17
Quant open1
Worst price5335.50
Drawdown as % of equity-0.18%
$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 0.26%
Trade id #109809650
Max drawdown($445)
Time2/24/17 8:53
Quant open1
Worst price5299.00
Drawdown as % of equity-0.26%
$1,321
Includes Typical Broker Commissions trade costs of $4.02
2/28/17 12:21 @ESH7 E-MINI S&P 500 LONG 1 2361.50 3/1 18:00 2393.50 0.11%
Trade id #109912064
Max drawdown($200)
Time2/28/17 12:27
Quant open1
Worst price2357.50
Drawdown as % of equity-0.11%
$1,596
Includes Typical Broker Commissions trade costs of $4.02
2/28/17 12:26 @YMH7 MINI DOW LONG 1 20773 2/28 20:12 20838 n/a $321
Includes Typical Broker Commissions trade costs of $4.02
2/23/17 9:45 @TFSH7 Emini Russell 2000 LONG 1 1399.60 2/27 20:00 1404.20 0.57%
Trade id #109783909
Max drawdown($990)
Time2/24/17 9:08
Quant open1
Worst price1379.80
Drawdown as % of equity-0.57%
$226
Includes Typical Broker Commissions trade costs of $4.02

Statistics

  • Strategy began
    12/19/2015
  • Starting Unit Size
    $90,000
  • Strategy Age (days)
    644.44
  • Age
    21 months ago
  • What it trades
    Futures
  • # Trades
    153
  • # Profitable
    120
  • % Profitable
    78.40%
  • Avg trade duration
    7.0 days
  • Max peak-to-valley drawdown
    44.5%
  • drawdown period
    Dec 29, 2015 - Jan 20, 2016
  • Annual Return (Compounded)
    39.5%
  • Avg win
    $1,232
  • Avg loss
    $1,928
  • Model Account Values (Raw)
  • Cash
    $184,228
  • Margin Used
    $0
  • Buying Power
    $184,228
  • Ratios
  • W:L ratio
    2.32:1
  • Sharpe Ratio
    1.288
  • Sortino Ratio
    1.982
  • Calmar Ratio
    0.989
  • CORRELATION STATISTICS
  • Correlation to SP500
    0.56700
  • Return Statistics
  • Ann Return (w trading costs)
    39.5%
  • Ann Return (Compnd, No Fees)
    41.3%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    100.00%
  • Chance of 20% account loss
    100.00%
  • Chance of 30% account loss
    100.00%
  • Chance of 40% account loss
    100.00%
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    722
  • 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
    $1,928
  • Avg Win
    $1,232
  • # Winners
    120
  • # Losers
    33
  • % Winners
    78.4%
  • Frequency
  • Avg Position Time (mins)
    10095.70
  • Avg Position Time (hrs)
    168.26
  • Avg Trade Length
    7.0 days
  • Last Trade Ago
    124
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.38217
  • SD
    0.33432
  • Sharpe ratio (Glass type estimate)
    1.14314
  • Sharpe ratio (Hedges UMVUE)
    1.09731
  • df
    19.00000
  • t
    1.47578
  • p
    0.29940
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.43151
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.68952
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.46044
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.65506
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.52536
  • Upside Potential Ratio
    3.50043
  • Upside part of mean
    0.52973
  • Downside part of mean
    -0.14756
  • Upside SD
    0.30895
  • Downside SD
    0.15133
  • N nonnegative terms
    12.00000
  • N negative terms
    8.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    20.00000
  • Mean of predictor
    0.09308
  • Mean of criterion
    0.38217
  • SD of predictor
    0.08114
  • SD of criterion
    0.33432
  • Covariance
    0.01431
  • r
    0.52754
  • b (slope, estimate of beta)
    2.17351
  • a (intercept, estimate of alpha)
    0.17987
  • Mean Square Error
    0.08514
  • DF error
    18.00000
  • t(b)
    2.63460
  • p(b)
    0.23623
  • t(a)
    0.75350
  • p(a)
    0.41257
  • Lowerbound of 95% confidence interval for beta
    0.44028
  • Upperbound of 95% confidence interval for beta
    3.90675
  • Lowerbound of 95% confidence interval for alpha
    -0.32165
  • Upperbound of 95% confidence interval for alpha
    0.68138
  • Treynor index (mean / b)
    0.17583
  • Jensen alpha (a)
    0.17987
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.32737
  • SD
    0.31609
  • Sharpe ratio (Glass type estimate)
    1.03566
  • Sharpe ratio (Hedges UMVUE)
    0.99414
  • df
    19.00000
  • t
    1.33703
  • p
    0.31602
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.53028
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.57573
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.55659
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.54488
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.95450
  • Upside Potential Ratio
    2.91160
  • Upside part of mean
    0.48767
  • Downside part of mean
    -0.16031
  • Upside SD
    0.27531
  • Downside SD
    0.16749
  • N nonnegative terms
    12.00000
  • N negative terms
    8.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    20.00000
  • Mean of predictor
    0.08940
  • Mean of criterion
    0.32737
  • SD of predictor
    0.08104
  • SD of criterion
    0.31609
  • Covariance
    0.01499
  • r
    0.58501
  • b (slope, estimate of beta)
    2.28172
  • a (intercept, estimate of alpha)
    0.12337
  • Mean Square Error
    0.06937
  • DF error
    18.00000
  • t(b)
    3.06030
  • p(b)
    0.20750
  • t(a)
    0.57483
  • p(a)
    0.43287
  • Lowerbound of 95% confidence interval for beta
    0.71530
  • Upperbound of 95% confidence interval for beta
    3.84815
  • Lowerbound of 95% confidence interval for alpha
    -0.32754
  • Upperbound of 95% confidence interval for alpha
    0.57429
  • Treynor index (mean / b)
    0.14347
  • Jensen alpha (a)
    0.12337
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.11557
  • Expected Shortfall on VaR
    0.14817
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02318
  • Expected Shortfall on VaR
    0.05498
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    20.00000
  • Minimum
    0.80875
  • Quartile 1
    0.99914
  • Median
    1.00932
  • Quartile 3
    1.05492
  • Maximum
    1.32696
  • Mean of quarter 1
    0.95454
  • Mean of quarter 2
    1.00273
  • Mean of quarter 3
    1.03141
  • Mean of quarter 4
    1.14802
  • Inter Quartile Range
    0.05578
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.05000
  • Mean of outliers low
    0.80875
  • Number of outliers high
    3.00000
  • Percentage of outliers high
    0.15000
  • Mean of outliers high
    1.20664
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    1.49480
  • VaR(95%) (moments method)
    0.03106
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    2.66637
  • VaR(95%) (regression method)
    0.05799
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    4.00000
  • Minimum
    0.00771
  • Quartile 1
    0.00853
  • Median
    0.01417
  • Quartile 3
    0.06246
  • Maximum
    0.19126
  • Mean of quarter 1
    0.00771
  • Mean of quarter 2
    0.00880
  • Mean of quarter 3
    0.01953
  • Mean of quarter 4
    0.19126
  • Inter Quartile Range
    0.05394
  • 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
    0.25000
  • Mean of outliers high
    0.19126
  • 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)
    0.48469
  • Compounded annual return (geometric extrapolation)
    0.42657
  • Calmar ratio (compounded annual return / max draw down)
    2.23036
  • Compounded annual return / average of 25% largest draw downs
    2.23036
  • Compounded annual return / Expected Shortfall lognormal
    2.87884
  • 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
    0.35070
  • SD
    0.27186
  • Sharpe ratio (Glass type estimate)
    1.28998
  • Sharpe ratio (Hedges UMVUE)
    1.28784
  • df
    453.00000
  • t
    1.69808
  • p
    0.04509
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.20201
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.78057
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.20344
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.77912
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.98222
  • Upside Potential Ratio
    6.63957
  • Upside part of mean
    1.17468
  • Downside part of mean
    -0.82398
  • Upside SD
    0.20716
  • Downside SD
    0.17692
  • N nonnegative terms
    181.00000
  • N negative terms
    273.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    454.00000
  • Mean of predictor
    0.10146
  • Mean of criterion
    0.35070
  • SD of predictor
    0.11074
  • SD of criterion
    0.27186
  • Covariance
    0.01715
  • r
    0.56947
  • b (slope, estimate of beta)
    1.39799
  • a (intercept, estimate of alpha)
    0.20900
  • Mean Square Error
    0.05005
  • DF error
    452.00000
  • t(b)
    14.72870
  • p(b)
    0.00000
  • t(a)
    1.22690
  • p(a)
    0.11025
  • Lowerbound of 95% confidence interval for beta
    1.21146
  • Upperbound of 95% confidence interval for beta
    1.58452
  • Lowerbound of 95% confidence interval for alpha
    -0.12568
  • Upperbound of 95% confidence interval for alpha
    0.54339
  • Treynor index (mean / b)
    0.25086
  • Jensen alpha (a)
    0.20885
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.31380
  • SD
    0.27080
  • Sharpe ratio (Glass type estimate)
    1.15881
  • Sharpe ratio (Hedges UMVUE)
    1.15689
  • df
    453.00000
  • t
    1.52541
  • p
    0.06393
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.33265
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.64901
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.33394
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.64771
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.71776
  • Upside Potential Ratio
    6.31719
  • Upside part of mean
    1.15403
  • Downside part of mean
    -0.84023
  • Upside SD
    0.20043
  • Downside SD
    0.18268
  • N nonnegative terms
    181.00000
  • N negative terms
    273.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    454.00000
  • Mean of predictor
    0.09531
  • Mean of criterion
    0.31380
  • SD of predictor
    0.11087
  • SD of criterion
    0.27080
  • Covariance
    0.01714
  • r
    0.57085
  • b (slope, estimate of beta)
    1.39426
  • a (intercept, estimate of alpha)
    0.18091
  • Mean Square Error
    0.04954
  • DF error
    452.00000
  • t(b)
    14.78150
  • p(b)
    0.00000
  • t(a)
    1.06842
  • p(a)
    0.14295
  • Lowerbound of 95% confidence interval for beta
    1.20889
  • Upperbound of 95% confidence interval for beta
    1.57963
  • Lowerbound of 95% confidence interval for alpha
    -0.15185
  • Upperbound of 95% confidence interval for alpha
    0.51368
  • Treynor index (mean / b)
    0.22507
  • Jensen alpha (a)
    0.18091
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02598
  • Expected Shortfall on VaR
    0.03274
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00791
  • Expected Shortfall on VaR
    0.01766
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    454.00000
  • Minimum
    0.89290
  • Quartile 1
    0.99979
  • Median
    1.00000
  • Quartile 3
    1.00362
  • Maximum
    1.11839
  • Mean of quarter 1
    0.98773
  • Mean of quarter 2
    0.99999
  • Mean of quarter 3
    1.00111
  • Mean of quarter 4
    1.01693
  • Inter Quartile Range
    0.00383
  • Number outliers low
    52.00000
  • Percentage of outliers low
    0.11454
  • Mean of outliers low
    0.97606
  • Number of outliers high
    64.00000
  • Percentage of outliers high
    0.14097
  • Mean of outliers high
    1.02541
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.90486
  • VaR(95%) (moments method)
    0.00707
  • Expected Shortfall (moments method)
    0.08555
  • Extreme Value Index (regression method)
    0.54483
  • VaR(95%) (regression method)
    0.01047
  • Expected Shortfall (regression method)
    0.03090
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    25.00000
  • Minimum
    0.00025
  • Quartile 1
    0.00433
  • Median
    0.00869
  • Quartile 3
    0.02299
  • Maximum
    0.41205
  • Mean of quarter 1
    0.00240
  • Mean of quarter 2
    0.00672
  • Mean of quarter 3
    0.01843
  • Mean of quarter 4
    0.11919
  • Inter Quartile Range
    0.01865
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    4.00000
  • Percentage of outliers high
    0.16000
  • Mean of outliers high
    0.16403
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.83459
  • VaR(95%) (moments method)
    0.11025
  • Expected Shortfall (moments method)
    0.71343
  • Extreme Value Index (regression method)
    1.71779
  • VaR(95%) (regression method)
    0.12105
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.46619
  • Compounded annual return (geometric extrapolation)
    0.40735
  • Calmar ratio (compounded annual return / max draw down)
    0.98860
  • Compounded annual return / average of 25% largest draw downs
    3.41769
  • Compounded annual return / Expected Shortfall lognormal
    12.44050
  • 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
    -0.02191
  • SD
    0.08581
  • Sharpe ratio (Glass type estimate)
    -0.25535
  • Sharpe ratio (Hedges UMVUE)
    -0.25387
  • df
    130.00000
  • t
    -0.18056
  • p
    0.50792
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.02684
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.51712
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.02585
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.51811
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.32561
  • Upside Potential Ratio
    4.02353
  • Upside part of mean
    0.27075
  • Downside part of mean
    -0.29266
  • Upside SD
    0.05273
  • Downside SD
    0.06729
  • N nonnegative terms
    26.00000
  • N negative terms
    105.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.08054
  • Mean of criterion
    -0.02191
  • SD of predictor
    0.07473
  • SD of criterion
    0.08581
  • Covariance
    0.00214
  • r
    0.33417
  • b (slope, estimate of beta)
    0.38369
  • a (intercept, estimate of alpha)
    -0.05281
  • Mean Square Error
    0.00659
  • DF error
    129.00000
  • t(b)
    4.02701
  • p(b)
    0.29129
  • t(a)
    -0.45896
  • p(a)
    0.52570
  • Lowerbound of 95% confidence interval for beta
    0.19518
  • Upperbound of 95% confidence interval for beta
    0.57220
  • Lowerbound of 95% confidence interval for alpha
    -0.28049
  • Upperbound of 95% confidence interval for alpha
    0.17486
  • Treynor index (mean / b)
    -0.05711
  • Jensen alpha (a)
    -0.05281
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.02558
  • SD
    0.08619
  • Sharpe ratio (Glass type estimate)
    -0.29683
  • Sharpe ratio (Hedges UMVUE)
    -0.29511
  • df
    130.00000
  • t
    -0.20989
  • p
    0.50920
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.06838
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.47570
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.06715
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.47693
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.37581
  • Upside Potential Ratio
    3.95645
  • Upside part of mean
    0.26934
  • Downside part of mean
    -0.29493
  • Upside SD
    0.05235
  • Downside SD
    0.06808
  • N nonnegative terms
    26.00000
  • N negative terms
    105.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.07774
  • Mean of criterion
    -0.02558
  • SD of predictor
    0.07486
  • SD of criterion
    0.08619
  • Covariance
    0.00215
  • r
    0.33377
  • b (slope, estimate of beta)
    0.38431
  • a (intercept, estimate of alpha)
    -0.05546
  • Mean Square Error
    0.00665
  • DF error
    129.00000
  • t(b)
    4.02153
  • p(b)
    0.29153
  • t(a)
    -0.47982
  • p(a)
    0.52686
  • Lowerbound of 95% confidence interval for beta
    0.19524
  • Upperbound of 95% confidence interval for beta
    0.57338
  • Lowerbound of 95% confidence interval for alpha
    -0.28416
  • Upperbound of 95% confidence interval for alpha
    0.17323
  • Treynor index (mean / b)
    -0.06657
  • Jensen alpha (a)
    -0.05546
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00882
  • Expected Shortfall on VaR
    0.01102
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00339
  • Expected Shortfall on VaR
    0.00740
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.97162
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.02226
  • Mean of quarter 1
    0.99591
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.00419
  • Inter Quartile Range
    0.00000
  • Number outliers low
    20.00000
  • Percentage of outliers low
    0.15267
  • Mean of outliers low
    0.99324
  • Number of outliers high
    26.00000
  • Percentage of outliers high
    0.19847
  • Mean of outliers high
    1.00531
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.58277
  • VaR(95%) (moments method)
    0.00296
  • Expected Shortfall (moments method)
    0.00951
  • Extreme Value Index (regression method)
    0.32131
  • VaR(95%) (regression method)
    0.00490
  • Expected Shortfall (regression method)
    0.01166
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    1.00000
  • Minimum
    0.05948
  • Quartile 1
    0.05948
  • Median
    0.05948
  • Quartile 3
    0.05948
  • Maximum
    0.05948
  • 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)
    0.00232
  • Compounded annual return (geometric extrapolation)
    0.00233
  • Calmar ratio (compounded annual return / max draw down)
    0.03909
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    0.21106

Strategy Description

The Halifax Index Trader USA system trades the five main mini stock index futures contracts (the ES, EMD, NQ, TF and YM). Descriptive indicators for the stock index markets show that they tend to reverse from new lows and continue to new highs as their primary pattern. This system utilises two main setups, an oversold setup and a trend continuation setup with the system being long only. The system then looks to enter and exit the market using limit orders so no slippage. The benefits of this system are a very smooth closed trade equity curve, the high win rate and large average trade size, however at times the system will experience large individual trade losses across some or all markets causing quick, sharp drawdowns. As this system is prone to large trade losses risk needs to be managed through diversification. No stop loss is utilised. Only 1 contract should be traded on each of the five markets with the maximum intraday historical drawdown being $47,990 in the highly volatile market of 2008 (or 50% of the minimum recommended capital). We suggest investors only trade 1 contract (per market) per $100,000 USD. Backtested performance can be supplied upon request. Investors with smaller accounts should look for other variations of this system where we include a smaller sample of markets that require a smaller capital commitment.

Summary Statistics

Strategy began
2015-12-19
Minimum Capital Required
$90,000
# Trades
153
# Profitable
120
% Profitable
78.4%
Correlation S&P500
0.567
Sharpe Ratio
1.288

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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