Collective2 Collective2
Featured Strategy QUANT AI Gold and Silver +38.3% Cumul. Return since Sep 23, 2025 Hypothetical

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These are hypothetical performance results that have certain inherent limitations. Learn more
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Short-Term Quant Equity
(64581361)

Created by: CAPSTRADING CAPSTRADING
Started: 09/2011
Stocks
Last trade: 4,360 days ago
Subscriptions not currently available.

Subscriptions not available

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

Subscription terms. You can subscribe to this system for free.

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.

3.2%
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.

(22.2%)
Max Drawdown
1857
Num Trades
74.5%
Win Trades
1.4 : 1
Profit Factor
13.5%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2011                                                        (5.7%)+8.5%+2.0%+0.7%+5.1%
2012+2.0%(0.3%)(2.9%)(4.8%)(9.5%)+9.8%+4.6%+1.5%+0.6%+0.7%+3.5%+3.1%+7.1%
2013+3.6%  -  (0.4%)+1.4%+3.7%+4.6%+0.5%+4.9%+0.6%+0.9%+3.4%(0.3%)+25.3%
2014(4.7%)(0.7%)+0.1%+11.7%+2.1%+4.7%(0.1%)  -    -    -    -    -  +12.8%
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.

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

Trading Record

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Long
Short
Both
Win
Loss
Both
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Opened Date/TimeSymbolDescriptionSideQuantAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
6/30/14 9:32 MXIM MAXIM INTEGRATED PRODUCTS LONG 512 34.03 7/2 9:30 34.01 0.12%
Trade id #88351268
Max drawdown($215)
Time6/30/14 9:34
Quant open512
Worst price33.61
Drawdown as % of equity-0.12%
 ($15)
Includes Typical Broker Commissions trade costs of $5.00
6/24/14 9:30 NVDA NVIDIA LONG 895 18.68 7/2 9:30 18.68 0.23%
Trade id #88251292
Max drawdown($402)
Time6/27/14 9:35
Quant open895
Worst price18.23
Drawdown as % of equity-0.23%
 ($5)
Includes Typical Broker Commissions trade costs of $5.00
6/30/14 9:31 CELG CELGENE LONG 200 86.13 7/2 9:30 88.88 0.05%
Trade id #88351261
Max drawdown($88)
Time6/30/14 9:33
Quant open200
Worst price85.69
Drawdown as % of equity-0.05%
 $546
Includes Typical Broker Commissions trade costs of $4.00
6/30/14 9:31 BBBY BED BATH & BEYOND INC LONG 301 57.42 7/1 9:31 57.55 0.05%
Trade id #88351199
Max drawdown($94)
Time6/30/14 13:36
Quant open301
Worst price57.10
Drawdown as % of equity-0.05%
 $33
Includes Typical Broker Commissions trade costs of $6.02
6/30/14 9:32 ORCL ORACLE CORP LONG 427 40.60 7/1 9:31 40.41 0.05%
Trade id #88351276
Max drawdown($81)
Time7/1/14 9:31
Quant open427
Worst price40.41
Drawdown as % of equity-0.05%
 ($90)
Includes Typical Broker Commissions trade costs of $8.54
6/24/14 9:30 DISCA DISCOVERY COMMUNICATIONS LONG 440 37.88 7/1 9:30 37.99 0.32%
Trade id #88251335
Max drawdown($558)
Time6/27/14 9:31
Quant open225
Worst price71.65
Drawdown as % of equity-0.32%
 $41
Includes Typical Broker Commissions trade costs of $8.80
6/30/14 9:31 BRCM BROADCOM CORP LONG 471 36.68 7/1 9:30 37.09 n/a $184
Includes Typical Broker Commissions trade costs of $9.42
6/30/14 10:30 WFM WHOLE FOODS MARKET LONG 448 38.57 7/1 9:30 38.80 0.02%
Trade id #88353519
Max drawdown($31)
Time6/30/14 14:59
Quant open448
Worst price38.50
Drawdown as % of equity-0.02%
 $94
Includes Typical Broker Commissions trade costs of $8.96
6/30/14 9:32 SPLS PIMCO US STOCKS PLUS ACTIVE BOND ETF LONG 1,610 10.80 7/1 9:30 10.89 0.05%
Trade id #88351287
Max drawdown($80)
Time6/30/14 9:37
Quant open1,610
Worst price10.75
Drawdown as % of equity-0.05%
 $140
Includes Typical Broker Commissions trade costs of $5.00
6/17/14 9:30 VRTX VERTEX LONG 250 66.97 6/30 9:30 93.77 0.48%
Trade id #88143337
Max drawdown($822)
Time6/19/14 13:45
Quant open250
Worst price63.68
Drawdown as % of equity-0.48%
 $6,695
Includes Typical Broker Commissions trade costs of $5.00
6/20/14 9:30 CERN CERNER LONG 322 52.34 6/30 9:30 51.27 0.21%
Trade id #88207986
Max drawdown($363)
Time6/27/14 15:20
Quant open322
Worst price51.21
Drawdown as % of equity-0.21%
 ($351)
Includes Typical Broker Commissions trade costs of $6.44
6/20/14 9:30 REGN REGENERON PHARMACEUTICALS LONG 56 297.00 6/30 9:30 277.29 0.88%
Trade id #88208005
Max drawdown($1,540)
Time6/27/14 10:00
Quant open56
Worst price269.50
Drawdown as % of equity-0.88%
 ($1,105)
Includes Typical Broker Commissions trade costs of $1.12
6/24/14 9:30 YHOO YAHOO! LONG 498 33.79 6/30 9:30 34.93 0.22%
Trade id #88251328
Max drawdown($383)
Time6/26/14 9:53
Quant open498
Worst price33.02
Drawdown as % of equity-0.22%
 $558
Includes Typical Broker Commissions trade costs of $9.96
6/16/14 9:31 EXPD EXPEDITORS INTERNATIONAL LONG 375 44.69 6/24 9:30 44.31 0.15%
Trade id #88121695
Max drawdown($255)
Time6/23/14 10:45
Quant open375
Worst price44.01
Drawdown as % of equity-0.15%
 ($151)
Includes Typical Broker Commissions trade costs of $7.50
6/19/14 9:30 ESRX EXPRESS SCRIPTS LONG 246 68.65 6/24 9:30 68.72 0.09%
Trade id #88187231
Max drawdown($152)
Time6/23/14 9:36
Quant open246
Worst price68.03
Drawdown as % of equity-0.09%
 $12
Includes Typical Broker Commissions trade costs of $4.92
6/20/14 9:30 ORCL ORACLE CORP LONG 422 40.26 6/24 9:30 40.99 0.08%
Trade id #88208002
Max drawdown($139)
Time6/20/14 10:47
Quant open422
Worst price39.93
Drawdown as % of equity-0.08%
 $300
Includes Typical Broker Commissions trade costs of $8.44
6/17/14 9:30 SBAC SBA COMMUNICATIONS LONG 172 97.82 6/20 9:30 98.68 0.12%
Trade id #88143281
Max drawdown($201)
Time6/18/14 14:07
Quant open172
Worst price96.65
Drawdown as % of equity-0.12%
 $145
Includes Typical Broker Commissions trade costs of $3.44
6/16/14 9:30 LBTYA LIBERTY GLOBAL PLC CLASS A ORD LONG 435 38.41 6/19 9:30 38.22 0.18%
Trade id #88121459
Max drawdown($305)
Time6/18/14 14:06
Quant open387
Worst price42.37
Drawdown as % of equity-0.18%
 ($94)
Includes Typical Broker Commissions trade costs of $8.70
6/18/14 9:30 ALXN ALEXION PHARMACEUTICALS LONG 104 159.86 6/19 9:30 160.91 0.14%
Trade id #88166327
Max drawdown($236)
Time6/18/14 14:01
Quant open104
Worst price157.59
Drawdown as % of equity-0.14%
 $107
Includes Typical Broker Commissions trade costs of $2.08
6/12/14 9:30 VOD VODAFONE GROUP PLC AMERICAN DE LONG 505 33.38 6/19 9:30 33.50 0.18%
Trade id #88073523
Max drawdown($308)
Time6/12/14 15:13
Quant open505
Worst price32.77
Drawdown as % of equity-0.18%
 $56
Includes Typical Broker Commissions trade costs of $5.00
6/10/14 9:30 AAPL APPLE LONG 180 94.73 6/18 9:30 92.27 0.41%
Trade id #88023798
Max drawdown($693)
Time6/13/14 15:30
Quant open180
Worst price90.88
Drawdown as % of equity-0.41%
 ($447)
Includes Typical Broker Commissions trade costs of $3.60
6/17/14 9:30 QCOM QUALCOMM LONG 214 78.43 6/18 9:30 79.68 0%
Trade id #88143308
Max drawdown($6)
Time6/17/14 9:33
Quant open214
Worst price78.40
Drawdown as % of equity-0.00%
 $264
Includes Typical Broker Commissions trade costs of $4.28
6/9/14 9:31 EBAY EBAY LONG 340 49.11 6/17 9:30 48.90 0.19%
Trade id #87999520
Max drawdown($329)
Time6/11/14 9:34
Quant open340
Worst price48.14
Drawdown as % of equity-0.19%
 ($78)
Includes Typical Broker Commissions trade costs of $6.80
6/11/14 9:30 QCOM QUALCOMM LONG 212 79.00 6/12 9:30 79.13 0.07%
Trade id #88050533
Max drawdown($118)
Time6/11/14 9:48
Quant open212
Worst price78.44
Drawdown as % of equity-0.07%
 $24
Includes Typical Broker Commissions trade costs of $4.24
6/10/14 9:30 WYNN WYNN RESORTS LONG 85 197.16 6/11 9:30 198.83 0.18%
Trade id #88023713
Max drawdown($311)
Time6/10/14 11:24
Quant open85
Worst price193.50
Drawdown as % of equity-0.18%
 $140
Includes Typical Broker Commissions trade costs of $1.70
6/10/14 9:30 GILD GILEAD SCIENCES LONG 213 79.28 6/11 9:30 79.36 0.07%
Trade id #88023782
Max drawdown($115)
Time6/10/14 10:05
Quant open213
Worst price78.74
Drawdown as % of equity-0.07%
 $13
Includes Typical Broker Commissions trade costs of $4.26
6/2/14 9:32 SPLS PIMCO US STOCKS PLUS ACTIVE BOND ETF LONG 1,501 11.32 6/10 9:30 11.16 0.41%
Trade id #87872982
Max drawdown($697)
Time6/4/14 10:03
Quant open1,501
Worst price10.86
Drawdown as % of equity-0.41%
 ($245)
Includes Typical Broker Commissions trade costs of $5.00
6/2/14 9:30 GOLD GOLD.COM INC LONG 229 73.56 6/3 9:30 72.90 0.09%
Trade id #87872612
Max drawdown($151)
Time6/3/14 9:30
Quant open0
Worst price72.90
Drawdown as % of equity-0.09%
 ($156)
Includes Typical Broker Commissions trade costs of $4.58
5/22/14 9:31 PCAR PACCAR LONG 268 62.07 5/23 9:30 62.57 0.01%
Trade id #87706711
Max drawdown($24)
Time5/22/14 9:35
Quant open268
Worst price61.98
Drawdown as % of equity-0.01%
 $129
Includes Typical Broker Commissions trade costs of $5.36
5/22/14 9:31 NTAP NETAPP LONG 491 34.83 5/23 9:30 36.34 n/a $731
Includes Typical Broker Commissions trade costs of $9.82

Statistics

  • Strategy began
    9/14/2011
  • Suggested Minimum Cap
    $100,000
  • Strategy Age (days)
    5381.89
  • Age
    179 months ago
  • What it trades
    Stocks
  • # Trades
    1857
  • # Profitable
    1384
  • % Profitable
    74.50%
  • Avg trade duration
    3.5 days
  • Max peak-to-valley drawdown
    22.16%
  • drawdown period
    Feb 23, 2012 - June 04, 2012
  • Annual Return (Compounded)
    3.2%
  • Avg win
    $199.27
  • Avg loss
    $422.60
  • Model Account Values (Raw)
  • Cash
    $178,091
  • Margin Used
    $0
  • Buying Power
    $178,091
  • Ratios
  • W:L ratio
    1.39:1
  • Sharpe Ratio
    0.17
  • Sortino Ratio
    0.27
  • Calmar Ratio
    0.738
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -464.06%
  • Correlation to SP500
    0.14990
  • Return Percent SP500 (cumu) during strategy life
    523.02%
  • Return Statistics
  • Ann Return (w trading costs)
    3.2%
  • Slump
  • Current Slump as Pcnt Equity
    0.20%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.81%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.032%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    4.0%
  • 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
    0
  • Popularity
  • Popularity (7 days, Percentile 1000 scale)
    0
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $423
  • Avg Win
    $199
  • Sum Trade PL (losers)
    $199,890.000
  • Age
  • Num Months filled monthly returns table
    178
  • Win / Loss
  • Sum Trade PL (winners)
    $275,790.000
  • # Winners
    1384
  • Num Months Winners
    24
  • Dividends
  • Dividends Received in Model Acct
    2225
  • Win / Loss
  • # Losers
    473
  • % Winners
    74.5%
  • Frequency
  • Avg Position Time (mins)
    5108.70
  • Avg Position Time (hrs)
    85.14
  • Avg Trade Length
    3.5 days
  • Last Trade Ago
    4360
  • Regression
  • Alpha
    0.00
  • Beta
    0.07
  • Treynor Index
    0.06
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.00
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    62.86
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    65.38
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    1.67
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.01
  • Avg(MAE) / Avg(PL) - All trades
    8.900
  • 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
    0.861
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.543
  • Hold-and-Hope Ratio
    0.112
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.10946
  • SD
    0.11158
  • Sharpe ratio (Glass type estimate)
    0.98097
  • Sharpe ratio (Hedges UMVUE)
    0.96675
  • df
    52.00000
  • t
    2.06159
  • p
    0.02213
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.02506
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.92786
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.01581
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.91769
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.97593
  • Upside Potential Ratio
    3.24307
  • Upside part of mean
    0.17965
  • Downside part of mean
    -0.07019
  • Upside SD
    0.10072
  • Downside SD
    0.05540
  • N nonnegative terms
    20.00000
  • N negative terms
    33.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    53.00000
  • Mean of predictor
    0.38435
  • Mean of criterion
    0.10946
  • SD of predictor
    0.24576
  • SD of criterion
    0.11158
  • Covariance
    0.00121
  • r
    0.04430
  • b (slope, estimate of beta)
    0.02012
  • a (intercept, estimate of alpha)
    0.10173
  • Mean Square Error
    0.01267
  • DF error
    51.00000
  • t(b)
    0.31671
  • p(b)
    0.37638
  • t(a)
    1.72827
  • p(a)
    0.04500
  • Lowerbound of 95% confidence interval for beta
    -0.10740
  • Upperbound of 95% confidence interval for beta
    0.14763
  • Lowerbound of 95% confidence interval for alpha
    -0.01644
  • Upperbound of 95% confidence interval for alpha
    0.21989
  • Treynor index (mean / b)
    5.44144
  • Jensen alpha (a)
    0.10173
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.10278
  • SD
    0.10984
  • Sharpe ratio (Glass type estimate)
    0.93565
  • Sharpe ratio (Hedges UMVUE)
    0.92209
  • df
    52.00000
  • t
    1.96634
  • p
    0.02730
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.01837
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.88105
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.02721
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.87139
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.80052
  • Upside Potential Ratio
    3.05531
  • Upside part of mean
    0.17440
  • Downside part of mean
    -0.07162
  • Upside SD
    0.09726
  • Downside SD
    0.05708
  • N nonnegative terms
    20.00000
  • N negative terms
    33.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    53.00000
  • Mean of predictor
    0.35110
  • Mean of criterion
    0.10278
  • SD of predictor
    0.22921
  • SD of criterion
    0.10984
  • Covariance
    0.00158
  • r
    0.06260
  • b (slope, estimate of beta)
    0.03000
  • a (intercept, estimate of alpha)
    0.09224
  • Mean Square Error
    0.01225
  • DF error
    51.00000
  • t(b)
    0.44793
  • p(b)
    0.32805
  • t(a)
    1.59911
  • p(a)
    0.05799
  • Lowerbound of 95% confidence interval for beta
    -0.10446
  • Upperbound of 95% confidence interval for beta
    0.16445
  • Lowerbound of 95% confidence interval for alpha
    -0.02356
  • Upperbound of 95% confidence interval for alpha
    0.20805
  • Treynor index (mean / b)
    3.42594
  • Jensen alpha (a)
    0.09224
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.04266
  • Expected Shortfall on VaR
    0.05519
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01521
  • Expected Shortfall on VaR
    0.03220
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    53.00000
  • Minimum
    0.92852
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.02870
  • Maximum
    1.09280
  • Mean of quarter 1
    0.98334
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00929
  • Mean of quarter 4
    1.05532
  • Inter Quartile Range
    0.02870
  • Number outliers low
    2.00000
  • Percentage of outliers low
    0.03774
  • Mean of outliers low
    0.93000
  • Number of outliers high
    4.00000
  • Percentage of outliers high
    0.07547
  • Mean of outliers high
    1.08365
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    1.46931
  • VaR(95%) (moments method)
    0.00739
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.19415
  • VaR(95%) (regression method)
    0.01397
  • Expected Shortfall (regression method)
    0.02913
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    7.00000
  • Minimum
    0.00002
  • Quartile 1
    0.00190
  • Median
    0.00441
  • Quartile 3
    0.02789
  • Maximum
    0.16033
  • Mean of quarter 1
    0.00043
  • Mean of quarter 2
    0.00368
  • Mean of quarter 3
    0.02262
  • Mean of quarter 4
    0.09675
  • Inter Quartile Range
    0.02599
  • 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
    0.14286
  • Mean of outliers high
    0.16033
  • 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)
    0.17683
  • Compounded annual return (geometric extrapolation)
    0.13961
  • Calmar ratio (compounded annual return / max draw down)
    0.87072
  • Compounded annual return / average of 25% largest draw downs
    1.44295
  • Compounded annual return / Expected Shortfall lognormal
    2.52946
  • 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
    0.10845
  • SD
    0.12465
  • Sharpe ratio (Glass type estimate)
    0.87003
  • Sharpe ratio (Hedges UMVUE)
    0.86947
  • df
    1175.00000
  • t
    1.84325
  • p
    0.46583
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.05592
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.79565
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.05631
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.79525
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.35131
  • Upside Potential Ratio
    6.03553
  • Upside part of mean
    0.48438
  • Downside part of mean
    -0.37593
  • Upside SD
    0.09554
  • Downside SD
    0.08025
  • N nonnegative terms
    343.00000
  • N negative terms
    833.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1176.00000
  • Mean of predictor
    0.42304
  • Mean of criterion
    0.10845
  • SD of predictor
    0.28511
  • SD of criterion
    0.12465
  • Covariance
    0.00520
  • r
    0.14627
  • b (slope, estimate of beta)
    0.06395
  • a (intercept, estimate of alpha)
    0.08100
  • Mean Square Error
    0.01522
  • DF error
    1174.00000
  • t(b)
    5.06617
  • p(b)
    0.42687
  • t(a)
    1.39205
  • p(a)
    0.47970
  • Lowerbound of 95% confidence interval for beta
    0.03918
  • Upperbound of 95% confidence interval for beta
    0.08871
  • Lowerbound of 95% confidence interval for alpha
    -0.03332
  • Upperbound of 95% confidence interval for alpha
    0.19612
  • Treynor index (mean / b)
    1.69588
  • Jensen alpha (a)
    0.08140
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.10068
  • SD
    0.12433
  • Sharpe ratio (Glass type estimate)
    0.80982
  • Sharpe ratio (Hedges UMVUE)
    0.80930
  • df
    1175.00000
  • t
    1.71569
  • p
    0.46819
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.11604
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.73535
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.11639
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.73499
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.23304
  • Upside Potential Ratio
    5.87684
  • Upside part of mean
    0.47986
  • Downside part of mean
    -0.37918
  • Upside SD
    0.09389
  • Downside SD
    0.08165
  • N nonnegative terms
    343.00000
  • N negative terms
    833.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1176.00000
  • Mean of predictor
    0.38169
  • Mean of criterion
    0.10068
  • SD of predictor
    0.28733
  • SD of criterion
    0.12433
  • Covariance
    0.00524
  • r
    0.14665
  • b (slope, estimate of beta)
    0.06345
  • a (intercept, estimate of alpha)
    0.07646
  • Mean Square Error
    0.01514
  • DF error
    1174.00000
  • t(b)
    5.07963
  • p(b)
    0.42668
  • t(a)
    1.31223
  • p(a)
    0.48086
  • Lowerbound of 95% confidence interval for beta
    0.03895
  • Upperbound of 95% confidence interval for beta
    0.08796
  • Lowerbound of 95% confidence interval for alpha
    -0.03786
  • Upperbound of 95% confidence interval for alpha
    0.19079
  • Treynor index (mean / b)
    1.58669
  • Jensen alpha (a)
    0.07646
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01218
  • Expected Shortfall on VaR
    0.01534
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00402
  • Expected Shortfall on VaR
    0.00881
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    1176.00000
  • Minimum
    0.93318
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00082
  • Maximum
    1.07177
  • Mean of quarter 1
    0.99456
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00007
  • Mean of quarter 4
    1.00745
  • Inter Quartile Range
    0.00082
  • Number outliers low
    190.00000
  • Percentage of outliers low
    0.16156
  • Mean of outliers low
    0.99177
  • Number of outliers high
    234.00000
  • Percentage of outliers high
    0.19898
  • Mean of outliers high
    1.00900
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.59956
  • VaR(95%) (moments method)
    0.00389
  • Expected Shortfall (moments method)
    0.01218
  • Extreme Value Index (regression method)
    0.27309
  • VaR(95%) (regression method)
    0.00563
  • Expected Shortfall (regression method)
    0.01167
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    47.00000
  • Minimum
    0.00038
  • Quartile 1
    0.00303
  • Median
    0.00747
  • Quartile 3
    0.02098
  • Maximum
    0.18599
  • Mean of quarter 1
    0.00141
  • Mean of quarter 2
    0.00460
  • Mean of quarter 3
    0.01217
  • Mean of quarter 4
    0.06041
  • Inter Quartile Range
    0.01795
  • 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
    0.08511
  • Mean of outliers high
    0.11588
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.48128
  • VaR(95%) (moments method)
    0.06524
  • Expected Shortfall (moments method)
    0.14001
  • Extreme Value Index (regression method)
    0.81870
  • VaR(95%) (regression method)
    0.06297
  • Expected Shortfall (regression method)
    0.30951
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.17400
  • Compounded annual return (geometric extrapolation)
    0.13722
  • Calmar ratio (compounded annual return / max draw down)
    0.73782
  • Compounded annual return / average of 25% largest draw downs
    2.27168
  • Compounded annual return / Expected Shortfall lognormal
    8.94749
  • 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
    1.04848
  • Mean of criterion
    -0.02791
  • SD of predictor
    0.47546
  • 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
    0.93375
  • Mean of criterion
    -0.02791
  • SD of predictor
    0.47768
  • 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)
    -6816700000000000.00000
  • p(a)
    1.00000
  • VAR (95 Confidence Intrvl)
    0.01200
  • 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)
    339374999999999981169306046038016.00000
  • 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?
    -468725000
  • Max Equity Drawdown (num days)
    102
  • 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

CAPS Trading is involved only in quantitative fundamental trading. We believe that alpha can only be made from trading fundamental dislocations based on solid fundamental insights in a 100% automated manner.

We realize that clear research must be done to establish the rationale behind the trade. This can be on any asset class or method, as long as it stands up to logic, empirical research and economic theory. Models undergo a rigorous backtesting process to ensure that they meet our criteria.


As a result, all of our systems have a high expected information ratio which we combine with sound money management techniques to enable us to achieve resilient long term compounded growth.


A single asset class is therefore traded upon a synthesis of key insights as it is the combination of these which yield the highest probability of producing positive returns into the future.


For more information on our investment philosophy and funds please visit http://www.capstrading.co.uk/Equity_Short_Term.html
Trade this strategy at Tradier

Summary Statistics

Strategy began
2011-09-14
Suggested Minimum Capital
$100,000
# Trades
1857
# Profitable
1384
% Profitable
74.5%
Net Dividends
$2,224
Correlation S&P500
0.150
Sharpe Ratio
0.17
Sortino Ratio
0.27
Beta
0.07
Alpha
0.00

Latest Activity

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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.