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For your consideration PortfolioX +17.8% Annual Return (Compounded) since Feb 16, 2025 Hypothetical

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RTS SPY
(66710242)

Created by: BlackwoodVentureCa BlackwoodVentureCa
Started: 10/2011
Stocks
Last trade: 4,629 days ago

Subscriptions not available

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

Subscription terms. Subscriptions to this system cost $65.00 per month.

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.

-0.2%
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.

(22.0%)
Max Drawdown
157
Num Trades
47.1%
Win Trades
1.2 : 1
Profit Factor
6.2%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2011                                                               +5.4%(1.6%)(0.1%)+3.6%
2012+0.8%+1.4%+1.2%(1.5%)(0.7%)+0.5%+3.2%(2.3%)(3%)+4.5%(0.4%)(2.2%)+1.2%
2013(4.1%)  -  (5.7%)+4.2%(3.5%)(5.2%)+6.1%+1.9%(1.4%)+1.5%  -    -  (6.7%)
2014  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2015  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2016  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2017  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2018  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2019  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2020  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2021  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2022  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2023  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2024  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2025  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2026  -    -    -    -    -    -                                      0.0

Model Account Details

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

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

Trading Record

This strategy has placed 38 trades in real-life brokerage accounts. The most recent trade in a real-money brokerage account occurred more than 5161 days ago.

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Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQuantAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
10/10/13 9:53 SPY SPDR S&P 500 LONG 276 167.87 10/10 15:14 169.22 0.28%
Trade id #83428297
Max drawdown($77)
Time10/10/13 11:09
Quant open276
Worst price167.59
Drawdown as % of equity-0.28%
 $367
Includes Typical Broker Commissions trade costs of $5.52
10/7/13 15:38 SPY SPDR S&P 500 SHORT 276 167.83 10/8 12:45 166.29 0.04%
Trade id #83340295
Max drawdown($11)
Time10/7/13 15:43
Quant open-276
Worst price167.87
Drawdown as % of equity-0.04%
 $419
Includes Typical Broker Commissions trade costs of $5.52
10/4/13 14:50 SPY SPDR S&P 500 LONG 274 168.97 10/7 9:30 167.45 1.52%
Trade id #83311306
Max drawdown($416)
Time10/7/13 9:30
Quant open0
Worst price167.45
Drawdown as % of equity-1.52%
 ($421)
Includes Typical Broker Commissions trade costs of $5.48
9/20/13 15:34 SPY SPDR S&P 500 SHORT 171 170.62 9/24 15:47 169.59 0.19%
Trade id #83072208
Max drawdown($51)
Time9/20/13 15:43
Quant open-171
Worst price170.92
Drawdown as % of equity-0.19%
 $173
Includes Typical Broker Commissions trade costs of $3.42
9/6/13 10:01 SPY SPDR S&P 500 SHORT 280 164.97 9/6 11:03 166.43 1.5%
Trade id #82874165
Max drawdown($409)
Time9/6/13 11:03
Quant open0
Worst price166.43
Drawdown as % of equity-1.50%
 ($415)
Includes Typical Broker Commissions trade costs of $5.60
9/4/13 10:26 SPY SPDR S&P 500 LONG 280 165.30 9/5 14:50 166.13 0.13%
Trade id #82837056
Max drawdown($36)
Time9/4/13 10:33
Quant open280
Worst price165.17
Drawdown as % of equity-0.13%
 $226
Includes Typical Broker Commissions trade costs of $5.60
9/3/13 11:30 SPY SPDR S&P 500 SHORT 262 164.43 9/4 10:26 165.30 0.83%
Trade id #82818981
Max drawdown($228)
Time9/4/13 10:26
Quant open0
Worst price165.30
Drawdown as % of equity-0.83%
 ($233)
Includes Typical Broker Commissions trade costs of $5.24
8/26/13 15:15 SPY SPDR S&P 500 SHORT 248 166.37 8/27 11:25 164.61 0.11%
Trade id #82706308
Max drawdown($29)
Time8/26/13 15:17
Quant open-248
Worst price166.49
Drawdown as % of equity-0.11%
 $431
Includes Typical Broker Commissions trade costs of $4.96
8/23/13 15:45 SPY SPDR S&P 500 LONG 233 166.67 8/23 16:00 166.02 0.56%
Trade id #82685786
Max drawdown($152)
Time8/23/13 16:00
Quant open0
Worst price166.02
Drawdown as % of equity-0.56%
 ($157)
Includes Typical Broker Commissions trade costs of $4.66
8/14/13 10:41 SPY SPDR S&P 500 SHORT 273 169.10 8/15 9:59 166.60 0.17%
Trade id #82523387
Max drawdown($46)
Time8/14/13 12:32
Quant open-273
Worst price169.27
Drawdown as % of equity-0.17%
 $678
Includes Typical Broker Commissions trade costs of $5.46
8/13/13 14:01 SPY SPDR S&P 500 LONG 273 169.70 8/14 10:41 169.10 0.62%
Trade id #82504623
Max drawdown($164)
Time8/14/13 10:41
Quant open0
Worst price169.10
Drawdown as % of equity-0.62%
 ($169)
Includes Typical Broker Commissions trade costs of $5.46
8/13/13 13:11 SPY SPDR S&P 500 LONG 544 169.66 8/13 13:33 169.78 0.1%
Trade id #82502625
Max drawdown($27)
Time8/13/13 13:13
Quant open544
Worst price169.61
Drawdown as % of equity-0.10%
 $57
Includes Typical Broker Commissions trade costs of $7.94
8/7/13 9:52 SPY SPDR S&P 500 SHORT 274 169.21 8/13 13:11 169.92 0.99%
Trade id #82402133
Max drawdown($264)
Time8/8/13 9:37
Quant open-273
Worst price170.18
Drawdown as % of equity-0.99%
 ($199)
Includes Typical Broker Commissions trade costs of $5.48
8/6/13 11:25 SPY SPDR S&P 500 LONG 273 169.66 8/7 9:32 169.07 0.6%
Trade id #82382119
Max drawdown($161)
Time8/7/13 9:32
Quant open0
Worst price169.07
Drawdown as % of equity-0.60%
 ($166)
Includes Typical Broker Commissions trade costs of $5.46
8/1/13 11:45 SPY SPDR S&P 500 LONG 272 170.31 8/2 14:45 170.64 0.26%
Trade id #82313485
Max drawdown($70)
Time8/2/13 9:50
Quant open272
Worst price170.05
Drawdown as % of equity-0.26%
 $85
Includes Typical Broker Commissions trade costs of $5.44
7/30/13 13:42 SPY SPDR S&P 500 SHORT 275 168.24 7/31 10:26 169.36 1.14%
Trade id #82261068
Max drawdown($308)
Time7/31/13 10:26
Quant open0
Worst price169.36
Drawdown as % of equity-1.14%
 ($314)
Includes Typical Broker Commissions trade costs of $5.50
7/29/13 13:18 SPY SPDR S&P 500 LONG 275 168.57 7/30 13:42 168.23 0.35%
Trade id #82237731
Max drawdown($94)
Time7/30/13 13:42
Quant open0
Worst price168.23
Drawdown as % of equity-0.35%
 ($100)
Includes Typical Broker Commissions trade costs of $5.50
7/26/13 10:36 SPY SPDR S&P 500 SHORT 254 168.01 7/26 15:59 169.15 1.07%
Trade id #82209441
Max drawdown($290)
Time7/26/13 15:59
Quant open0
Worst price169.15
Drawdown as % of equity-1.07%
 ($295)
Includes Typical Broker Commissions trade costs of $5.08
7/24/13 14:07 SPY SPDR S&P 500 LONG 182 168.51 7/26 10:36 168.01 0.38%
Trade id #82170731
Max drawdown($103)
Time7/25/13 11:40
Quant open182
Worst price167.94
Drawdown as % of equity-0.38%
 ($95)
Includes Typical Broker Commissions trade costs of $3.64
7/24/13 10:54 SPY SPDR S&P 500 SHORT 182 168.98 7/24 11:30 169.08 0.07%
Trade id #82165836
Max drawdown($18)
Time7/24/13 11:30
Quant open0
Worst price169.08
Drawdown as % of equity-0.07%
 ($22)
Includes Typical Broker Commissions trade costs of $3.64
5/30/13 10:54 SPY SPDR S&P 500 LONG 278 166.07 7/16 10:56 167.87 11.47%
Trade id #81181628
Max drawdown($2,874)
Time6/24/13 12:21
Quant open278
Worst price155.73
Drawdown as % of equity-11.47%
 $494
Includes Typical Broker Commissions trade costs of $5.56
5/29/13 9:45 SPY SPDR S&P 500 SHORT 280 165.02 5/29 12:01 165.20 0.72%
Trade id #81153184
Max drawdown($196)
Time5/29/13 10:03
Quant open-280
Worst price165.72
Drawdown as % of equity-0.72%
 ($56)
Includes Typical Broker Commissions trade costs of $5.60
5/28/13 11:19 SPY SPDR S&P 500 LONG 277 167.23 5/28 14:54 165.29 1.95%
Trade id #81129376
Max drawdown($537)
Time5/28/13 14:54
Quant open0
Worst price165.29
Drawdown as % of equity-1.95%
 ($543)
Includes Typical Broker Commissions trade costs of $5.54
5/22/13 15:22 SPY SPDR S&P 500 SHORT 194 165.67 5/23 12:11 165.72 0.22%
Trade id #81038202
Max drawdown($62)
Time5/22/13 16:01
Quant open-194
Worst price165.99
Drawdown as % of equity-0.22%
 ($14)
Includes Typical Broker Commissions trade costs of $3.88
5/2/13 9:45 SPY SPDR S&P 500 LONG 291 158.82 5/2 15:16 159.74 0.11%
Trade id #80651083
Max drawdown($28)
Time5/2/13 9:55
Quant open291
Worst price158.72
Drawdown as % of equity-0.11%
 $262
Includes Typical Broker Commissions trade costs of $5.82
4/22/13 14:30 SPY SPDR S&P 500 LONG 296 156.35 4/23 13:09 156.73 0.25%
Trade id #80403406
Max drawdown($68)
Time4/22/13 15:57
Quant open296
Worst price156.12
Drawdown as % of equity-0.25%
 $106
Includes Typical Broker Commissions trade costs of $5.92
4/17/13 9:45 SPY SPDR S&P 500 SHORT 297 155.83 4/17 13:49 155.23 0.46%
Trade id #80295430
Max drawdown($124)
Time4/17/13 9:51
Quant open-297
Worst price156.25
Drawdown as % of equity-0.46%
 $172
Includes Typical Broker Commissions trade costs of $5.94
4/16/13 15:58 SPY SPDR S&P 500 LONG 294 157.46 4/17 9:30 156.29 1.26%
Trade id #80279674
Max drawdown($344)
Time4/17/13 9:30
Quant open0
Worst price156.29
Drawdown as % of equity-1.26%
 ($350)
Includes Typical Broker Commissions trade costs of $5.88
4/15/13 12:15 SPY SPDR S&P 500 SHORT 294 157.25 4/15 14:46 156.61 0%
Trade id #80241200
Max drawdown$0
Time4/15/13 12:21
Quant open-294
Worst price157.25
Drawdown as % of equity0.00%
 $182
Includes Typical Broker Commissions trade costs of $5.88
4/8/13 15:14 SPY SPDR S&P 500 LONG 297 155.80 4/9 14:24 157.11 0.6%
Trade id #80119734
Max drawdown($162)
Time4/8/13 15:53
Quant open297
Worst price155.25
Drawdown as % of equity-0.60%
 $383
Includes Typical Broker Commissions trade costs of $5.94

Statistics

  • Strategy began
    10/12/2011
  • Suggested Minimum Cap
    $25,000
  • Strategy Age (days)
    5353.79
  • Age
    179 months ago
  • What it trades
    Stocks
  • # Trades
    157
  • # Profitable
    74
  • % Profitable
    47.10%
  • Avg trade duration
    1.2 days
  • Max peak-to-valley drawdown
    21.97%
  • drawdown period
    April 19, 2012 - June 24, 2013
  • Annual Return (Compounded)
    -0.1%
  • Avg win
    $261.39
  • Avg loss
    $203.37
  • Model Account Values (Raw)
  • Cash
    $27,700
  • Margin Used
    $0
  • Buying Power
    $27,700
  • Ratios
  • W:L ratio
    1.16:1
  • Sharpe Ratio
    -0.46
  • Sortino Ratio
    -0.65
  • Calmar Ratio
    0.158
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -513.92%
  • Correlation to SP500
    0.04690
  • Return Percent SP500 (cumu) during strategy life
    515.57%
  • Return Statistics
  • Ann Return (w trading costs)
    -0.1%
  • Slump
  • Current Slump as Pcnt Equity
    12.70%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.96%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    -0.002%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    0.7%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    100.00%
  • Chance of 20% account loss
    100.00%
  • 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
  • Chance of 100% 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)
    0
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Popularity
  • Popularity (7 days, Percentile 1000 scale)
    0
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $203
  • Avg Win
    $261
  • Sum Trade PL (losers)
    $16,880.000
  • Age
  • Num Months filled monthly returns table
    177
  • Win / Loss
  • Sum Trade PL (winners)
    $19,343.000
  • # Winners
    74
  • Num Months Winners
    12
  • Dividends
  • Dividends Received in Model Acct
    233
  • Win / Loss
  • # Losers
    83
  • % Winners
    47.1%
  • Frequency
  • Avg Position Time (mins)
    1686.90
  • Avg Position Time (hrs)
    28.11
  • Avg Trade Length
    1.2 days
  • Last Trade Ago
    4625
  • Regression
  • Alpha
    -0.01
  • Beta
    0.01
  • Treynor Index
    -0.53
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.01
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    29.16
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    28.99
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -0.42
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.01
  • Avg(MAE) / Avg(PL) - All trades
    12.547
  • 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
    0.419
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.107
  • Hold-and-Hope Ratio
    0.080
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.00121
  • SD
    0.07261
  • Sharpe ratio (Glass type estimate)
    -0.01670
  • Sharpe ratio (Hedges UMVUE)
    -0.01645
  • df
    50.00000
  • t
    -0.03444
  • p
    0.51367
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.96737
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.93409
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.96718
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.93428
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.02529
  • Upside Potential Ratio
    1.67520
  • Upside part of mean
    0.08033
  • Downside part of mean
    -0.08155
  • Upside SD
    0.05357
  • Downside SD
    0.04795
  • N nonnegative terms
    12.00000
  • N negative terms
    39.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    51.00000
  • Mean of predictor
    0.40442
  • Mean of criterion
    -0.00121
  • SD of predictor
    0.26399
  • SD of criterion
    0.07261
  • Covariance
    0.00009
  • r
    0.00483
  • b (slope, estimate of beta)
    0.00133
  • a (intercept, estimate of alpha)
    -0.00175
  • Mean Square Error
    0.00538
  • DF error
    49.00000
  • t(b)
    0.03381
  • p(b)
    0.48658
  • t(a)
    -0.04491
  • p(a)
    0.51782
  • Lowerbound of 95% confidence interval for beta
    -0.07764
  • Upperbound of 95% confidence interval for beta
    0.08029
  • Lowerbound of 95% confidence interval for alpha
    -0.08006
  • Upperbound of 95% confidence interval for alpha
    0.07656
  • Treynor index (mean / b)
    -0.91308
  • Jensen alpha (a)
    -0.00175
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.00378
  • SD
    0.07230
  • Sharpe ratio (Glass type estimate)
    -0.05222
  • Sharpe ratio (Hedges UMVUE)
    -0.05144
  • df
    50.00000
  • t
    -0.10766
  • p
    0.54265
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.00277
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.89878
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.00221
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.89934
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.07739
  • Upside Potential Ratio
    1.61418
  • Upside part of mean
    0.07876
  • Downside part of mean
    -0.08253
  • Upside SD
    0.05240
  • Downside SD
    0.04879
  • N nonnegative terms
    12.00000
  • N negative terms
    39.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    51.00000
  • Mean of predictor
    0.36623
  • Mean of criterion
    -0.00378
  • SD of predictor
    0.24823
  • SD of criterion
    0.07230
  • Covariance
    0.00018
  • r
    0.00983
  • b (slope, estimate of beta)
    0.00286
  • a (intercept, estimate of alpha)
    -0.00482
  • Mean Square Error
    0.00533
  • DF error
    49.00000
  • t(b)
    0.06883
  • p(b)
    0.47270
  • t(a)
    -0.12511
  • p(a)
    0.54953
  • Lowerbound of 95% confidence interval for beta
    -0.08075
  • Upperbound of 95% confidence interval for beta
    0.08648
  • Lowerbound of 95% confidence interval for alpha
    -0.08232
  • Upperbound of 95% confidence interval for alpha
    0.07267
  • Treynor index (mean / b)
    -1.31854
  • Jensen alpha (a)
    -0.00482
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.03405
  • Expected Shortfall on VaR
    0.04241
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02015
  • Expected Shortfall on VaR
    0.03739
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    51.00000
  • Minimum
    0.95104
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.05331
  • Mean of quarter 1
    0.98033
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.02841
  • Inter Quartile Range
    0.00000
  • Number outliers low
    11.00000
  • Percentage of outliers low
    0.21569
  • Mean of outliers low
    0.97675
  • Number of outliers high
    12.00000
  • Percentage of outliers high
    0.23529
  • Mean of outliers high
    1.03078
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    -0.79193
  • VaR(95%) (regression method)
    0.02370
  • Expected Shortfall (regression method)
    0.02814
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    5.00000
  • Minimum
    0.00747
  • Quartile 1
    0.01365
  • Median
    0.02082
  • Quartile 3
    0.03881
  • Maximum
    0.10439
  • Mean of quarter 1
    0.01056
  • Mean of quarter 2
    0.02082
  • Mean of quarter 3
    0.03881
  • Mean of quarter 4
    0.10439
  • Inter Quartile Range
    0.02516
  • 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
    0.20000
  • Mean of outliers high
    0.10439
  • 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)
    0.02541
  • Compounded annual return (geometric extrapolation)
    0.02442
  • Calmar ratio (compounded annual return / max draw down)
    0.23398
  • Compounded annual return / average of 25% largest draw downs
    0.23398
  • Compounded annual return / Expected Shortfall lognormal
    0.57589
  • 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
    -0.00227
  • SD
    0.06205
  • Sharpe ratio (Glass type estimate)
    -0.03654
  • Sharpe ratio (Hedges UMVUE)
    -0.03651
  • df
    1132.00000
  • t
    -0.07598
  • p
    0.50113
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.97904
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.90597
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.97902
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.90599
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.05197
  • Upside Potential Ratio
    4.31277
  • Upside part of mean
    0.18812
  • Downside part of mean
    -0.19039
  • Upside SD
    0.04409
  • Downside SD
    0.04362
  • N nonnegative terms
    142.00000
  • N negative terms
    991.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1133.00000
  • Mean of predictor
    0.43023
  • Mean of criterion
    -0.00227
  • SD of predictor
    0.27726
  • SD of criterion
    0.06205
  • Covariance
    0.00091
  • r
    0.05314
  • b (slope, estimate of beta)
    0.01189
  • a (intercept, estimate of alpha)
    -0.00700
  • Mean Square Error
    0.00384
  • DF error
    1131.00000
  • t(b)
    1.78963
  • p(b)
    0.46619
  • t(a)
    -0.24657
  • p(a)
    0.50467
  • Lowerbound of 95% confidence interval for beta
    -0.00115
  • Upperbound of 95% confidence interval for beta
    0.02493
  • Lowerbound of 95% confidence interval for alpha
    -0.06614
  • Upperbound of 95% confidence interval for alpha
    0.05137
  • Treynor index (mean / b)
    -0.19063
  • Jensen alpha (a)
    -0.00738
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.00419
  • SD
    0.06208
  • Sharpe ratio (Glass type estimate)
    -0.06751
  • Sharpe ratio (Hedges UMVUE)
    -0.06747
  • df
    1132.00000
  • t
    -0.14040
  • p
    0.50209
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.01002
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.87500
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.00998
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.87504
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.09527
  • Upside Potential Ratio
    4.25377
  • Upside part of mean
    0.18714
  • Downside part of mean
    -0.19133
  • Upside SD
    0.04376
  • Downside SD
    0.04399
  • N nonnegative terms
    142.00000
  • N negative terms
    991.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1133.00000
  • Mean of predictor
    0.39092
  • Mean of criterion
    -0.00419
  • SD of predictor
    0.28043
  • SD of criterion
    0.06208
  • Covariance
    0.00091
  • r
    0.05246
  • b (slope, estimate of beta)
    0.01161
  • a (intercept, estimate of alpha)
    -0.00873
  • Mean Square Error
    0.00385
  • DF error
    1131.00000
  • t(b)
    1.76678
  • p(b)
    0.46662
  • t(a)
    -0.29167
  • p(a)
    0.50552
  • Lowerbound of 95% confidence interval for beta
    -0.00128
  • Upperbound of 95% confidence interval for beta
    0.02451
  • Lowerbound of 95% confidence interval for alpha
    -0.06747
  • Upperbound of 95% confidence interval for alpha
    0.05000
  • Treynor index (mean / b)
    -0.36088
  • Jensen alpha (a)
    -0.00873
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00630
  • Expected Shortfall on VaR
    0.00789
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00233
  • Expected Shortfall on VaR
    0.00505
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    1133.00000
  • Minimum
    0.96902
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.02678
  • Mean of quarter 1
    0.99747
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.00293
  • Inter Quartile Range
    0.00000
  • Number outliers low
    131.00000
  • Percentage of outliers low
    0.11562
  • Mean of outliers low
    0.99452
  • Number of outliers high
    146.00000
  • Percentage of outliers high
    0.12886
  • Mean of outliers high
    1.00568
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.17494
  • VaR(95%) (moments method)
    0.00205
  • Expected Shortfall (moments method)
    0.00412
  • Extreme Value Index (regression method)
    0.03093
  • VaR(95%) (regression method)
    0.00315
  • Expected Shortfall (regression method)
    0.00649
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    8.00000
  • Minimum
    0.00660
  • Quartile 1
    0.01293
  • Median
    0.02756
  • Quartile 3
    0.04868
  • Maximum
    0.15231
  • Mean of quarter 1
    0.00869
  • Mean of quarter 2
    0.01404
  • Mean of quarter 3
    0.04413
  • Mean of quarter 4
    0.10216
  • Inter Quartile Range
    0.03575
  • 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
    0.12500
  • Mean of outliers high
    0.15231
  • 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)
    0.02497
  • Compounded annual return (geometric extrapolation)
    0.02400
  • Calmar ratio (compounded annual return / max draw down)
    0.15756
  • Compounded annual return / average of 25% largest draw downs
    0.23491
  • Compounded annual return / Expected Shortfall lognormal
    3.03982
  • 0.00000
  • 0.00000
  • Analysis based on DAILY values, last 6 months only
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.02791
  • SD
    0.00000
  • Sharpe ratio (Glass type estimate)
    0.00000
  • Sharpe ratio (Hedges UMVUE)
    0.00000
  • df
    0.00000
  • t
    0.00000
  • p
    0.00000
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.00000
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.00000
  • Statistics related to Sortino ratio
  • Sortino ratio
    -16.18640
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    0.00000
  • Downside part of mean
    -0.02791
  • Upside SD
    0.00000
  • Downside SD
    0.00172
  • N nonnegative terms
    0.00000
  • N negative terms
    131.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    1.05650
  • Mean of criterion
    -0.02791
  • SD of predictor
    0.49216
  • SD of criterion
    0.00000
  • Covariance
    0.00000
  • r
    0.00000
  • b (slope, estimate of beta)
    0.00000
  • a (intercept, estimate of alpha)
    0.00000
  • Mean Square Error
    0.00000
  • DF error
    0.00000
  • t(b)
    0.00000
  • p(b)
    0.00000
  • t(a)
    0.00000
  • p(a)
    0.00000
  • Lowerbound of 95% confidence interval for beta
    0.00000
  • Upperbound of 95% confidence interval for beta
    0.00000
  • Lowerbound of 95% confidence interval for alpha
    0.00000
  • Upperbound of 95% confidence interval for alpha
    0.00000
  • Treynor index (mean / b)
    0.00000
  • Jensen alpha (a)
    0.00000
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.02791
  • SD
    0.00000
  • Sharpe ratio (Glass type estimate)
    -9748420000000000.00000
  • Sharpe ratio (Hedges UMVUE)
    -9692070000000000.00000
  • df
    130.00000
  • t
    -6893170000000000.00000
  • p
    1.00000
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -10870200000000000.00000
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -8513980000000000.00000
  • Statistics related to Sortino ratio
  • Sortino ratio
    -16.18640
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    0.00000
  • Downside part of mean
    -0.02791
  • Upside SD
    0.00000
  • Downside SD
    0.00172
  • N nonnegative terms
    0.00000
  • N negative terms
    131.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.93363
  • Mean of criterion
    -0.02791
  • SD of predictor
    0.49464
  • SD of criterion
    0.00000
  • Covariance
    0.00000
  • r
    0.00000
  • b (slope, estimate of beta)
    0.00000
  • a (intercept, estimate of alpha)
    -0.02791
  • Mean Square Error
    0.00000
  • DF error
    129.00000
  • t(b)
    0.00000
  • p(b)
    0.50000
  • t(a)
    -6820040000000000.00000
  • p(a)
    1.00000
  • VAR (95 Confidence Intrvl)
    0.00600
  • Lowerbound of 95% confidence interval for beta
    -0.00000
  • Upperbound of 95% confidence interval for beta
    0.00000
  • Lowerbound of 95% confidence interval for alpha
    -0.02791
  • Upperbound of 95% confidence interval for alpha
    -0.02791
  • Treynor index (mean / b)
    -118509000000000003198398660345856.00000
  • Jensen alpha (a)
    -0.02791
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00011
  • Expected Shortfall on VaR
    0.00011
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00000
  • Expected Shortfall on VaR
    0.00000
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    1.00000
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.00000
  • Mean of quarter 1
    1.00000
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.00000
  • Inter Quartile Range
    0.00000
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    0.00000
  • Minimum
    0.00000
  • Quartile 1
    0.00000
  • Median
    0.00000
  • Quartile 3
    0.00000
  • Maximum
    0.00000
  • Mean of quarter 1
    0.00000
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.00000
  • Inter Quartile Range
    0.00000
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Last 4 Months - Pcnt Negative
    n/a
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -457564000
  • Max Equity Drawdown (num days)
    431
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.00000
  • Compounded annual return (geometric extrapolation)
    0.00000
  • Calmar ratio (compounded annual return / max draw down)
    0.00000
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    0.00000

Strategy Description

www.RuleTradingSystems.com
(RTS) key staff members combine a knowledge base of over 30 years from within the financial markets with solid international exposure, through which it has created market expertise identifying innovative and systematic solid trading algorithms.

After years of development and market-vibration studies RTS has created alternative cutting-edge strategies in different major indices, providing a systematic approach to trading & a competitive edge on a highly sophisticated financial environment, targeting a low volume system.

RTS provides a quantitative systematic-trading algorithm, implementing artificial intelligence to decision making and a logic focused on risk management with no specific market bias, generating long / short trading signals for the SPY ETF, implementing a cutting-edge innovative algorithm trend filter analyzing different time frames instead of Stochastics RSI, MACD or any other over used conventional indicator.

Each trade is generally kept overnight and the holding period could be from one to several days, by following RTS trading signals, the anxiety of tick by tick screen watching is removed, receiving a disciplined and consistent approach that is free of any long winded explanation. Transparency, ease of use and profitability with low volatility trading are their goals updating weekly their performance page.

RTS considers System Trading the only valid approach to trading, as it is reasonably safe to say that most professional traders will trade using a rule based trading system of some sort (automated or manual). A system, from this perspective, can be any strategy ranging from simple entry and exit criteria, money management rules, the use of stop losses to protect positions or lock-in profits, to the more complex use of mathematical algorithms. A system provides a consistent and logical approach to trading. Whether simple or complex, a trading system will be effective only when implemented consistently, preventing emotional decision-making that ultimately will always hurts the portfolio when trading without a systematic plan (Trading System), automated or not.

Signal frequency and over-trading are a concern at RTS, as such, their algorithms are designed to generate - under normal circumstances - between 2 and 15 signals per month; please note that even with these low frequency some trades could be reversed or closed the same day, therefore the account used to trade RTS
Trade this strategy at Tradier

Summary Statistics

Strategy began
2011-10-12
Suggested Minimum Capital
$25,000
# Trades
157
# Profitable
74
% Profitable
47.1%
Net Dividends
$233
Correlation S&P500
0.047
Sharpe Ratio
-0.46
Sortino Ratio
-0.65
Beta
0.01
Alpha
-0.01

Latest Activity

subscribed on started simulation

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.