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These are hypothetical performance results that have certain inherent limitations. Learn more
Listing Edit Subscribers Broadcast AutoTrade Share System More...

Magic Mike

Started: 01/2024
Stocks
Last trade: 8 days ago
Trading style: Equity Pairs Trading / Relative Value

Subscriptions not available

No subscriptions are currently available for this strategy because the strategy manager has capped the maximum number of subscribers.

C2Star

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

You can read more about C2Star certification requirements here.

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

Trading Category: Equity
Pairs Trading / Relative Value
Category: Equity

Pairs Trading / Relative Value

Seeks to exploit differences in the price or rate of the same or similar securities. The relative value fund trades on gaps, rather than the price of a specific security alone
26.2%
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.

(19.4%)
Max Drawdown
314
Num Trades
52.5%
Win Trades
1.6 : 1
Profit Factor
60.9%
Win Months
Hypothetical Monthly Returns (includes system fee and Interactive Brokers commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2024(2.4%)+17.8%+11.6%(11.9%)+9.7%(0.4%)(0.7%)+1.7%+3.9%(0.3%)+10.0%(7.9%)+30.9%
2025+7.2%(4.8%)(4.7%)+0.8%+3.8%+6.2%+4.1%+0.9%+3.1%+0.6%(0.1%)      +17.6%

Model Account Details

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

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

System developer has asked us to delay this information by 168 hours.

Trading Record

This strategy has placed 174 trades in real-life brokerage accounts. The most recent trade in a real-money brokerage account occurred more than 346 days ago.

Show AutoTrade data Hide AutoTrade data
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Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQuantAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
10/20/25 9:30 IBIT ISHARES BITCOIN TRUST LONG 252 62.88 10/21 9:30 61.73 0.39%
Trade id #153207858
Max drawdown($302)
Time10/21/25 9:30
Quant open252
Worst price61.68
Drawdown as % of equity-0.39%
 ($293)
Includes Typical Broker Commissions trade costs of $2.52
10/15/25 11:51 GBTC GRAYSCALE BITCOIN TRUST (BTC) LONG 176 86.55 10/16 9:30 87.15 0.06%
Trade id #153170749
Max drawdown($42)
Time10/15/25 13:15
Quant open176
Worst price86.31
Drawdown as % of equity-0.06%
 $104
Includes Typical Broker Commissions trade costs of $2.00
10/15/25 9:30 IBIT ISHARES BITCOIN TRUST LONG 238 63.29 10/16 9:30 63.10 0.25%
Trade id #153167264
Max drawdown($190)
Time10/15/25 13:15
Quant open238
Worst price62.49
Drawdown as % of equity-0.25%
 ($48)
Includes Typical Broker Commissions trade costs of $2.38
10/14/25 9:30 SDS PROSHARES ULTRASHORT S&P500 LONG 1,674 14.87 10/15 11:44 14.48 0.95%
Trade id #153155610
Max drawdown($719)
Time10/15/25 9:30
Quant open1,674
Worst price14.44
Drawdown as % of equity-0.95%
 ($671)
Includes Typical Broker Commissions trade costs of $16.74
10/13/25 9:30 IBIT ISHARES BITCOIN TRUST LONG 230 64.96 10/14 9:30 62.91 0.66%
Trade id #153144762
Max drawdown($508)
Time10/14/25 9:30
Quant open230
Worst price62.75
Drawdown as % of equity-0.66%
 ($474)
Includes Typical Broker Commissions trade costs of $2.30
10/10/25 11:30 GBTC GRAYSCALE BITCOIN TRUST (BTC) LONG 166 93.30 10/13 9:30 89.72 0.79%
Trade id #153130428
Max drawdown($600)
Time10/13/25 9:30
Quant open166
Worst price89.68
Drawdown as % of equity-0.79%
 ($596)
Includes Typical Broker Commissions trade costs of $2.00
10/7/25 10:29 SPY SPDR S&P 500 LONG 19 671.28 10/8 9:30 670.25 0.09%
Trade id #153097527
Max drawdown($68)
Time10/7/25 11:51
Quant open19
Worst price667.67
Drawdown as % of equity-0.09%
 ($22)
Includes Typical Broker Commissions trade costs of $2.00
10/7/25 9:45 GBTC GRAYSCALE BITCOIN TRUST (BTC) LONG 161 96.91 10/8 9:30 96.04 0.47%
Trade id #153096948
Max drawdown($368)
Time10/7/25 14:28
Quant open161
Worst price94.62
Drawdown as % of equity-0.47%
 ($142)
Includes Typical Broker Commissions trade costs of $2.00
9/29/25 9:30 IBIT ISHARES BITCOIN TRUST LONG 470 67.21 10/7 9:30 70.79 0.02%
Trade id #153027953
Max drawdown($17)
Time9/29/25 9:34
Quant open245
Worst price63.65
Drawdown as % of equity-0.02%
 $1,675
Includes Typical Broker Commissions trade costs of $7.61
9/29/25 9:30 SDS PROSHARES ULTRASHORT S&P500 LONG 812 14.52 10/2 9:39 14.31 0.26%
Trade id #153027971
Max drawdown($203)
Time10/2/25 9:32
Quant open812
Worst price14.27
Drawdown as % of equity-0.26%
 ($179)
Includes Typical Broker Commissions trade costs of $8.12
9/26/25 9:30 SPY SPDR S&P 500 LONG 18 659.24 9/29 9:30 664.32 0.03%
Trade id #153012668
Max drawdown($24)
Time9/26/25 10:27
Quant open18
Worst price657.88
Drawdown as % of equity-0.03%
 $89
Includes Typical Broker Commissions trade costs of $2.00
9/22/25 9:30 SDS PROSHARES ULTRASHORT S&P500 LONG 819 14.76 9/24 11:08 14.56 0.29%
Trade id #152970521
Max drawdown($221)
Time9/24/25 9:30
Quant open819
Worst price14.49
Drawdown as % of equity-0.29%
 ($172)
Includes Typical Broker Commissions trade costs of $8.19
9/10/25 9:30 IBIT ISHARES BITCOIN TRUST LONG 709 65.62 9/23 9:30 64.79 0.95%
Trade id #152876964
Max drawdown($730)
Time9/22/25 0:00
Quant open470
Worst price64.07
Drawdown as % of equity-0.95%
 ($602)
Includes Typical Broker Commissions trade costs of $8.07
9/22/25 9:30 SPY SPDR S&P 500 LONG 19 662.22 9/23 9:30 666.72 n/a $84
Includes Typical Broker Commissions trade costs of $2.00
9/17/25 9:30 SPY SPDR S&P 500 LONG 19 660.09 9/18 9:30 661.81 0.14%
Trade id #152934055
Max drawdown($110)
Time9/17/25 14:54
Quant open19
Worst price654.30
Drawdown as % of equity-0.14%
 $31
Includes Typical Broker Commissions trade costs of $2.00
9/12/25 15:41 SPY SPDR S&P 500 LONG 19 657.02 9/16 9:30 661.47 n/a $83
Includes Typical Broker Commissions trade costs of $2.00
8/25/25 9:30 SDS PROSHARES ULTRASHORT S&P500 LONG 3,285 15.39 9/12 9:30 15.20 1%
Trade id #152700064
Max drawdown($757)
Time9/11/25 0:00
Quant open1,759
Worst price14.96
Drawdown as % of equity-1.00%
 ($682)
Includes Typical Broker Commissions trade costs of $32.85
9/10/25 9:30 SSO PROSHARES ULTRA S&P 500 LONG 114 107.93 9/11 9:30 108.09 0.15%
Trade id #152876936
Max drawdown($115)
Time9/10/25 15:21
Quant open114
Worst price106.92
Drawdown as % of equity-0.15%
 $16
Includes Typical Broker Commissions trade costs of $2.00
9/5/25 9:30 SSO PROSHARES ULTRA S&P 500 LONG 113 107.25 9/8 9:30 106.32 0.4%
Trade id #152834025
Max drawdown($299)
Time9/5/25 11:10
Quant open113
Worst price104.60
Drawdown as % of equity-0.40%
 ($107)
Includes Typical Broker Commissions trade costs of $2.00
9/2/25 9:30 SPY SPDR S&P 500 LONG 19 637.53 9/5 9:30 651.48 0.07%
Trade id #152803413
Max drawdown($49)
Time9/2/25 11:57
Quant open19
Worst price634.92
Drawdown as % of equity-0.07%
 $263
Includes Typical Broker Commissions trade costs of $2.00
8/27/25 9:30 IBIT ISHARES BITCOIN TRUST LONG 719 63.19 9/4 9:30 62.99 1.53%
Trade id #152722599
Max drawdown($1,150)
Time8/29/25 0:00
Quant open476
Worst price61.31
Drawdown as % of equity-1.53%
 ($149)
Includes Typical Broker Commissions trade costs of $7.19
8/29/25 9:30 SSO PROSHARES ULTRA S&P 500 LONG 113 106.08 9/3 9:30 104.45 0.57%
Trade id #152780959
Max drawdown($425)
Time9/2/25 0:00
Quant open113
Worst price102.31
Drawdown as % of equity-0.57%
 ($186)
Includes Typical Broker Commissions trade costs of $2.00
8/20/25 9:30 SPY SPDR S&P 500 LONG 24 639.25 8/29 9:30 647.47 0.2%
Trade id #152647465
Max drawdown($151)
Time8/20/25 10:54
Quant open24
Worst price632.95
Drawdown as % of equity-0.20%
 $195
Includes Typical Broker Commissions trade costs of $2.00
8/20/25 9:30 IBIT ISHARES BITCOIN TRUST LONG 466 64.36 8/25 9:30 63.62 0.5%
Trade id #152647389
Max drawdown($371)
Time8/22/25 0:00
Quant open466
Worst price63.56
Drawdown as % of equity-0.50%
 ($347)
Includes Typical Broker Commissions trade costs of $4.66
8/20/25 9:30 VWO VANGUARD FTSE EMERGING MARKETS LONG 68 51.35 8/25 9:30 52.10 0.03%
Trade id #152647374
Max drawdown($19)
Time8/20/25 10:53
Quant open68
Worst price51.07
Drawdown as % of equity-0.03%
 $49
Includes Typical Broker Commissions trade costs of $2.00
8/18/25 9:30 SPY SPDR S&P 500 LONG 23 642.93 8/19 9:42 643.30 0.03%
Trade id #152630613
Max drawdown($21)
Time8/19/25 9:33
Quant open23
Worst price641.99
Drawdown as % of equity-0.03%
 $7
Includes Typical Broker Commissions trade costs of $2.00
8/14/25 9:30 IBIT ISHARES BITCOIN TRUST LONG 436 67.21 8/19 9:30 66.53 0.51%
Trade id #152606058
Max drawdown($383)
Time8/18/25 0:00
Quant open218
Worst price65.45
Drawdown as % of equity-0.51%
 ($303)
Includes Typical Broker Commissions trade costs of $4.36

Statistics

  • Strategy began
    1/1/2024
  • Suggested Minimum Cap
    $15,000
  • Strategy Age (days)
    672.88
  • Age
    22 months ago
  • What it trades
    Stocks
  • # Trades
    314
  • # Profitable
    165
  • % Profitable
    52.50%
  • Avg trade duration
    14.3 days
  • Max peak-to-valley drawdown
    19.44%
  • drawdown period
    Dec 05, 2024 - April 07, 2025
  • Annual Return (Compounded)
    26.5%
  • Avg win
    $501.38
  • Avg loss
    $369.73
  • Model Account Values (Raw)
  • Cash
    $29,775
  • Margin Used
    $0
  • Buying Power
    $33,616
  • Ratios
  • W:L ratio
    1.56:1
  • Sharpe Ratio
    1.2
  • Sortino Ratio
    1.71
  • Calmar Ratio
    1.96
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    10.89%
  • Correlation to SP500
    0.48580
  • Return Percent SP500 (cumu) during strategy life
    43.65%
  • Return Statistics
  • Ann Return (w trading costs)
    26.5%
  • Slump
  • Current Slump as Pcnt Equity
    2.60%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.04%
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.265%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    30.6%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    21.50%
  • Chance of 20% account loss
    3.00%
  • Chance of 30% account loss
    n/a
  • Chance of 40% account loss
    n/a
  • Chance of 60% account loss (Monte Carlo)
    n/a
  • Chance of 70% account loss (Monte Carlo)
    n/a
  • Chance of 80% account loss (Monte Carlo)
    n/a
  • Chance of 90% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    777
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • Performance-weighted percentile
    360
  • Popularity (7 days, Percentile 1000 scale)
    453
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $370
  • Avg Win
    $517
  • Sum Trade PL (losers)
    $55,140.000
  • Age
  • Num Months filled monthly returns table
    23
  • Win / Loss
  • Sum Trade PL (winners)
    $85,303.000
  • # Winners
    165
  • Num Months Winners
    14
  • Dividends
  • Dividends Received in Model Acct
    1718
  • Win / Loss
  • # Losers
    149
  • % Winners
    52.5%
  • Frequency
  • Avg Position Time (mins)
    20565.20
  • Avg Position Time (hrs)
    342.75
  • Avg Trade Length
    14.3 days
  • Last Trade Ago
    1
  • Leverage
  • Daily leverage (average)
    1.39
  • Daily leverage (max)
    2.13
  • Regression
  • Alpha
    0.04
  • Beta
    0.48
  • Treynor Index
    0.13
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.01
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -0.81
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.01
  • Avg(MAE) / Avg(PL) - All trades
    4.666
  • MAE:Equity, losing trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, win trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, 95th Percentile Value for this strat
    0.01
  • Avg(MAE) / Avg(PL) - Winning trades
    0.350
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.558
  • Hold-and-Hope Ratio
    0.224
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.29179
  • SD
    0.23009
  • Sharpe ratio (Glass type estimate)
    1.26820
  • Sharpe ratio (Hedges UMVUE)
    1.21994
  • df
    20.00000
  • t
    1.67767
  • p
    0.32438
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.27872
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.78566
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.30913
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.74900
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.41677
  • Upside Potential Ratio
    3.91812
  • Upside part of mean
    0.47306
  • Downside part of mean
    -0.18127
  • Upside SD
    0.20721
  • Downside SD
    0.12074
  • N nonnegative terms
    15.00000
  • N negative terms
    6.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    21.00000
  • Mean of predictor
    0.18444
  • Mean of criterion
    0.29179
  • SD of predictor
    0.16495
  • SD of criterion
    0.23009
  • Covariance
    0.03170
  • r
    0.83524
  • b (slope, estimate of beta)
    1.16504
  • a (intercept, estimate of alpha)
    0.07691
  • Mean Square Error
    0.01685
  • DF error
    19.00000
  • t(b)
    6.62086
  • p(b)
    0.03913
  • t(a)
    0.74414
  • p(a)
    0.39338
  • Lowerbound of 95% confidence interval for beta
    0.79674
  • Upperbound of 95% confidence interval for beta
    1.53334
  • Lowerbound of 95% confidence interval for alpha
    -0.13941
  • Upperbound of 95% confidence interval for alpha
    0.29323
  • Treynor index (mean / b)
    0.25046
  • Jensen alpha (a)
    0.07691
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.26357
  • SD
    0.22534
  • Sharpe ratio (Glass type estimate)
    1.16962
  • Sharpe ratio (Hedges UMVUE)
    1.12511
  • df
    20.00000
  • t
    1.54726
  • p
    0.33652
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.36881
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.68065
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.39696
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.64718
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.08220
  • Upside Potential Ratio
    3.57213
  • Upside part of mean
    0.45216
  • Downside part of mean
    -0.18860
  • Upside SD
    0.19526
  • Downside SD
    0.12658
  • N nonnegative terms
    15.00000
  • N negative terms
    6.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    21.00000
  • Mean of predictor
    0.16969
  • Mean of criterion
    0.26357
  • SD of predictor
    0.16622
  • SD of criterion
    0.22534
  • Covariance
    0.03175
  • r
    0.84779
  • b (slope, estimate of beta)
    1.14938
  • a (intercept, estimate of alpha)
    0.06853
  • Mean Square Error
    0.01503
  • DF error
    19.00000
  • t(b)
    6.96818
  • p(b)
    0.03482
  • t(a)
    0.70783
  • p(a)
    0.39840
  • Lowerbound of 95% confidence interval for beta
    0.80414
  • Upperbound of 95% confidence interval for beta
    1.49461
  • Lowerbound of 95% confidence interval for alpha
    -0.13411
  • Upperbound of 95% confidence interval for alpha
    0.27118
  • Treynor index (mean / b)
    0.22931
  • Jensen alpha (a)
    0.06853
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.08152
  • Expected Shortfall on VaR
    0.10589
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02308
  • Expected Shortfall on VaR
    0.05260
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    21.00000
  • Minimum
    0.88650
  • Quartile 1
    0.99152
  • Median
    1.02990
  • Quartile 3
    1.06273
  • Maximum
    1.18162
  • Mean of quarter 1
    0.94946
  • Mean of quarter 2
    1.02004
  • Mean of quarter 3
    1.04390
  • Mean of quarter 4
    1.10862
  • Inter Quartile Range
    0.07121
  • 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
    0.04762
  • Mean of outliers high
    1.18162
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.30995
  • VaR(95%) (moments method)
    0.03661
  • Expected Shortfall (moments method)
    0.06956
  • Extreme Value Index (regression method)
    0.46563
  • VaR(95%) (regression method)
    0.06664
  • Expected Shortfall (regression method)
    0.15945
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    4.00000
  • Minimum
    0.00848
  • Quartile 1
    0.00925
  • Median
    0.04707
  • Quartile 3
    0.10112
  • Maximum
    0.15059
  • Mean of quarter 1
    0.00848
  • Mean of quarter 2
    0.00951
  • Mean of quarter 3
    0.08463
  • Mean of quarter 4
    0.15059
  • Inter Quartile Range
    0.09187
  • 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)
    0.38024
  • Compounded annual return (geometric extrapolation)
    0.33840
  • Calmar ratio (compounded annual return / max draw down)
    2.24719
  • Compounded annual return / average of 25% largest draw downs
    2.24719
  • Compounded annual return / Expected Shortfall lognormal
    3.19568
  • 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
    0.25466
  • SD
    0.15873
  • Sharpe ratio (Glass type estimate)
    1.60438
  • Sharpe ratio (Hedges UMVUE)
    1.60186
  • df
    478.00000
  • t
    2.16932
  • p
    0.01528
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.15048
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.05669
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.14877
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.05495
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.30878
  • Upside Potential Ratio
    9.69341
  • Upside part of mean
    1.06920
  • Downside part of mean
    -0.81454
  • Upside SD
    0.11499
  • Downside SD
    0.11030
  • N nonnegative terms
    272.00000
  • N negative terms
    207.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    479.00000
  • Mean of predictor
    0.18345
  • Mean of criterion
    0.25466
  • SD of predictor
    0.16276
  • SD of criterion
    0.15873
  • Covariance
    0.01207
  • r
    0.46722
  • b (slope, estimate of beta)
    0.45565
  • a (intercept, estimate of alpha)
    0.17100
  • Mean Square Error
    0.01974
  • DF error
    477.00000
  • t(b)
    11.54150
  • p(b)
    -0.00000
  • t(a)
    1.64254
  • p(a)
    0.05057
  • Lowerbound of 95% confidence interval for beta
    0.37808
  • Upperbound of 95% confidence interval for beta
    0.53323
  • Lowerbound of 95% confidence interval for alpha
    -0.03358
  • Upperbound of 95% confidence interval for alpha
    0.37573
  • Treynor index (mean / b)
    0.55890
  • Jensen alpha (a)
    0.17108
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.24192
  • SD
    0.15905
  • Sharpe ratio (Glass type estimate)
    1.52100
  • Sharpe ratio (Hedges UMVUE)
    1.51862
  • df
    478.00000
  • t
    2.05659
  • p
    0.02013
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.06750
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.97296
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.06588
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.97135
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.16667
  • Upside Potential Ratio
    9.51648
  • Upside part of mean
    1.06255
  • Downside part of mean
    -0.82064
  • Upside SD
    0.11402
  • Downside SD
    0.11165
  • N nonnegative terms
    272.00000
  • N negative terms
    207.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    479.00000
  • Mean of predictor
    0.17022
  • Mean of criterion
    0.24192
  • SD of predictor
    0.16217
  • SD of criterion
    0.15905
  • Covariance
    0.01217
  • r
    0.47170
  • b (slope, estimate of beta)
    0.46264
  • a (intercept, estimate of alpha)
    0.16317
  • Mean Square Error
    0.01971
  • DF error
    477.00000
  • t(b)
    11.68360
  • p(b)
    -0.00000
  • t(a)
    1.56817
  • p(a)
    0.05875
  • Lowerbound of 95% confidence interval for beta
    0.38483
  • Upperbound of 95% confidence interval for beta
    0.54045
  • Lowerbound of 95% confidence interval for alpha
    -0.04128
  • Upperbound of 95% confidence interval for alpha
    0.36762
  • Treynor index (mean / b)
    0.52291
  • Jensen alpha (a)
    0.16317
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01512
  • Expected Shortfall on VaR
    0.01915
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00647
  • Expected Shortfall on VaR
    0.01335
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    479.00000
  • Minimum
    0.94598
  • Quartile 1
    0.99606
  • Median
    1.00158
  • Quartile 3
    1.00653
  • Maximum
    1.03206
  • Mean of quarter 1
    0.98905
  • Mean of quarter 2
    0.99894
  • Mean of quarter 3
    1.00383
  • Mean of quarter 4
    1.01251
  • Inter Quartile Range
    0.01047
  • Number outliers low
    11.00000
  • Percentage of outliers low
    0.02296
  • Mean of outliers low
    0.97009
  • Number of outliers high
    10.00000
  • Percentage of outliers high
    0.02088
  • Mean of outliers high
    1.02645
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.22173
  • VaR(95%) (moments method)
    0.01039
  • Expected Shortfall (moments method)
    0.01653
  • Extreme Value Index (regression method)
    0.08472
  • VaR(95%) (regression method)
    0.01040
  • Expected Shortfall (regression method)
    0.01510
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    25.00000
  • Minimum
    0.00012
  • Quartile 1
    0.00612
  • Median
    0.01561
  • Quartile 3
    0.03129
  • Maximum
    0.15806
  • Mean of quarter 1
    0.00296
  • Mean of quarter 2
    0.01267
  • Mean of quarter 3
    0.02796
  • Mean of quarter 4
    0.08852
  • Inter Quartile Range
    0.02517
  • 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
    0.12000
  • Mean of outliers high
    0.13773
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.52728
  • VaR(95%) (moments method)
    0.09536
  • Expected Shortfall (moments method)
    0.22236
  • Extreme Value Index (regression method)
    1.33575
  • VaR(95%) (regression method)
    0.06374
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.34882
  • Compounded annual return (geometric extrapolation)
    0.30973
  • Calmar ratio (compounded annual return / max draw down)
    1.95967
  • Compounded annual return / average of 25% largest draw downs
    3.49909
  • Compounded annual return / Expected Shortfall lognormal
    16.17170
  • 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
    0.32553
  • SD
    0.10448
  • Sharpe ratio (Glass type estimate)
    3.11566
  • Sharpe ratio (Hedges UMVUE)
    3.09765
  • df
    130.00000
  • t
    2.20310
  • p
    0.40514
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.31237
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.90737
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.30039
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.89491
  • Statistics related to Sortino ratio
  • Sortino ratio
    4.97341
  • Upside Potential Ratio
    12.42360
  • Upside part of mean
    0.81318
  • Downside part of mean
    -0.48765
  • Upside SD
    0.08339
  • Downside SD
    0.06545
  • N nonnegative terms
    77.00000
  • N negative terms
    54.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.36426
  • Mean of criterion
    0.32553
  • SD of predictor
    0.11242
  • SD of criterion
    0.10448
  • Covariance
    0.00543
  • r
    0.46258
  • b (slope, estimate of beta)
    0.42994
  • a (intercept, estimate of alpha)
    0.16892
  • Mean Square Error
    0.00865
  • DF error
    129.00000
  • t(b)
    5.92600
  • p(b)
    0.21638
  • t(a)
    1.25934
  • p(a)
    0.42999
  • Lowerbound of 95% confidence interval for beta
    0.28639
  • Upperbound of 95% confidence interval for beta
    0.57348
  • Lowerbound of 95% confidence interval for alpha
    -0.09647
  • Upperbound of 95% confidence interval for alpha
    0.43432
  • Treynor index (mean / b)
    0.75717
  • Jensen alpha (a)
    0.16892
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.31989
  • SD
    0.10442
  • Sharpe ratio (Glass type estimate)
    3.06360
  • Sharpe ratio (Hedges UMVUE)
    3.04589
  • df
    130.00000
  • t
    2.16629
  • p
    0.40667
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.26116
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.85459
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.24946
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.84231
  • Statistics related to Sortino ratio
  • Sortino ratio
    4.85549
  • Upside Potential Ratio
    12.28930
  • Upside part of mean
    0.80965
  • Downside part of mean
    -0.48976
  • Upside SD
    0.08288
  • Downside SD
    0.06588
  • N nonnegative terms
    77.00000
  • N negative terms
    54.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.35772
  • Mean of criterion
    0.31989
  • SD of predictor
    0.11220
  • SD of criterion
    0.10442
  • Covariance
    0.00544
  • r
    0.46459
  • b (slope, estimate of beta)
    0.43235
  • a (intercept, estimate of alpha)
    0.16523
  • Mean Square Error
    0.00862
  • DF error
    129.00000
  • t(b)
    5.95879
  • p(b)
    0.21525
  • t(a)
    1.23480
  • p(a)
    0.43133
  • VAR (95 Confidence Intrvl)
    0.01500
  • Lowerbound of 95% confidence interval for beta
    0.28880
  • Upperbound of 95% confidence interval for beta
    0.57591
  • Lowerbound of 95% confidence interval for alpha
    -0.09952
  • Upperbound of 95% confidence interval for alpha
    0.42998
  • Treynor index (mean / b)
    0.73988
  • Jensen alpha (a)
    0.16523
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00935
  • Expected Shortfall on VaR
    0.01201
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00375
  • Expected Shortfall on VaR
    0.00778
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.97575
  • Quartile 1
    0.99771
  • Median
    1.00182
  • Quartile 3
    1.00501
  • Maximum
    1.02192
  • Mean of quarter 1
    0.99336
  • Mean of quarter 2
    0.99971
  • Mean of quarter 3
    1.00350
  • Mean of quarter 4
    1.00889
  • Inter Quartile Range
    0.00730
  • Number outliers low
    2.00000
  • Percentage of outliers low
    0.01527
  • Mean of outliers low
    0.98125
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.01527
  • Mean of outliers high
    1.02157
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.04875
  • VaR(95%) (moments method)
    0.00573
  • Expected Shortfall (moments method)
    0.00770
  • Extreme Value Index (regression method)
    -0.00150
  • VaR(95%) (regression method)
    0.00674
  • Expected Shortfall (regression method)
    0.00947
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    13.00000
  • Minimum
    0.00012
  • Quartile 1
    0.01029
  • Median
    0.01294
  • Quartile 3
    0.02166
  • Maximum
    0.03306
  • Mean of quarter 1
    0.00354
  • Mean of quarter 2
    0.01185
  • Mean of quarter 3
    0.01706
  • Mean of quarter 4
    0.02987
  • Inter Quartile Range
    0.01137
  • 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)
    -6.00444
  • VaR(95%) (moments method)
    0.02969
  • Expected Shortfall (moments method)
    0.02969
  • Extreme Value Index (regression method)
    -1.34794
  • VaR(95%) (regression method)
    0.03470
  • Last 4 Months - Pcnt Negative
    0.25%
  • Expected Shortfall (regression method)
    0.03549
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -375845000
  • Max Equity Drawdown (num days)
    123
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.37987
  • Compounded annual return (geometric extrapolation)
    0.41594
  • Calmar ratio (compounded annual return / max draw down)
    12.58290
  • Compounded annual return / average of 25% largest draw downs
    13.92540
  • Compounded annual return / Expected Shortfall lognormal
    34.63390

Strategy Description

Summary Statistics

Strategy began
2024-01-01
Suggested Minimum Capital
$15,000
# Trades
314
# Profitable
165
% Profitable
52.5%
Net Dividends
$1,717
Correlation S&P500
0.486
Sharpe Ratio
1.20
Sortino Ratio
1.71
Beta
0.48
Alpha
0.04
Leverage
1.39 Average
2.13 Maximum
Summary
Higher leverage = greater risk.

More information about leverage

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

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

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

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

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

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.