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Summary

Strategy began 1/30/2013
Age 15 months ago
What it trades Stocks
# Trades 290
# Profitable 184
% Profitable 63.45%
Max peak-to-valley drawdown 13.82%
Annual Return (Compounded) -5.2%
Avg win $33.01
Avg loss $40.95
W:L ratio 1.40:1
more

System Creator

Yury Hurynovich
Yury Hurynovich

Strategy Description

MGM Intraday uses neural network among with a basic strategy to predict price moves. more
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDec
2013(0.3%)(1.2%)+2.3%(5.3%)(14.8%)(2.9%)(4%)+4.6%+7.9%(3.8%)+0.4%+12.9%
2014+2.0%+8.2%(6.7%)(2.4%)                                                

Model Account Details

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

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Closed Trades

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Opened ETB/S#Symbol PriceClosedPriceDDP/L
7/22/13 15:20 BUY 400 MGM MGM MIRAGE INC 16.16 7/22 15:48 16.16 0.08%
Trade id #82128998
Max drawdown($8)
Time7/22/13 15:23
Quant open400
Worst price16.14
Drawdown as % of equity-0.08%
($8)
Includes Typical Broker Commission and AutoTrade Fees trade costs of $8.00
7/22/13 11:30 SELL 400 MGM MGM MIRAGE INC 16.17 7/22 12:07 16.14 0.12%
Trade id #82114568
Max drawdown($12)
Time7/22/13 11:33
Quant open-400
Worst price16.20
Drawdown as % of equity-0.12%
$4
Includes Typical Broker Commission and AutoTrade Fees trade costs of $8.00
7/19/13 15:30 BUY 400 MGM MGM MIRAGE INC 16.13 7/19 15:40 16.14 0.04%
Trade id #82084126
Max drawdown($4)
Time7/19/13 15:38
Quant open400
Worst price16.12
Drawdown as % of equity-0.04%
($4)
Includes Typical Broker Commission and AutoTrade Fees trade costs of $8.00
7/19/13 14:20 BUY 400 MGM MGM MIRAGE INC 16.16 7/19 14:59 16.20 0.04%
Trade id #82082987
Max drawdown($4)
Time7/19/13 14:22
Quant open400
Worst price16.15
Drawdown as % of equity-0.04%
$8
Includes Typical Broker Commission and AutoTrade Fees trade costs of $8.00
7/19/13 11:30 BUY 400 MGM MGM MIRAGE INC 16.16 7/19 13:31 16.22 0.41%
Trade id #82079652
Max drawdown($40)
Time7/19/13 11:51
Quant open400
Worst price16.06
Drawdown as % of equity-0.41%
$16
Includes Typical Broker Commission and AutoTrade Fees trade costs of $8.00
7/16/13 15:30 SELL 400 MGM MGM MIRAGE INC 15.66 7/17 9:56 15.64 0.49%
Trade id #82023353
Max drawdown($48)
Time7/17/13 9:31
Quant open-400
Worst price15.78
Drawdown as % of equity-0.49%
$0
Includes Typical Broker Commission and AutoTrade Fees trade costs of $8.00
7/16/13 14:00 BUY 400 MGM MGM MIRAGE INC 15.64 7/16 14:35 15.68 n/a $8
Includes Typical Broker Commission and AutoTrade Fees trade costs of $8.00
7/16/13 13:30 SELL 200 MGM MGM MIRAGE INC 15.64 7/16 13:50 15.62 0.04%
Trade id #82021215
Max drawdown($4)
Time7/16/13 13:35
Quant open-200
Worst price15.66
Drawdown as % of equity-0.04%
$0
Includes Typical Broker Commission and AutoTrade Fees trade costs of $4.00
7/16/13 12:50 BUY 400 MGM MGM MIRAGE INC 15.70 7/16 13:30 15.64 0.24%
Trade id #82020404
Max drawdown($24)
Time7/16/13 13:18
Quant open400
Worst price15.64
Drawdown as % of equity-0.24%
($32)
Includes Typical Broker Commission and AutoTrade Fees trade costs of $8.00
7/16/13 12:31 SELL 400 MGM MGM MIRAGE INC 15.70 7/16 12:40 15.70 0%
Trade id #82020110
Max drawdown$0
Time7/16/13 12:33
Quant open-400
Worst price15.70
Drawdown as % of equity0.00%
($8)
Includes Typical Broker Commission and AutoTrade Fees trade costs of $8.00
7/16/13 12:10 BUY 200 MGM MGM MIRAGE INC 15.66 7/16 12:20 15.68 0.06%
Trade id #82019599
Max drawdown($6)
Time7/16/13 12:13
Quant open200
Worst price15.63
Drawdown as % of equity-0.06%
$0
Includes Typical Broker Commission and AutoTrade Fees trade costs of $4.00
7/16/13 12:00 SELL 200 MGM MGM MIRAGE INC 15.60 7/16 12:10 15.65 0.14%
Trade id #82019289
Max drawdown($13)
Time7/16/13 12:09
Quant open-200
Worst price15.67
Drawdown as % of equity-0.14%
($14)
Includes Typical Broker Commission and AutoTrade Fees trade costs of $4.00
7/16/13 10:50 BUY 200 MGM MGM MIRAGE INC 15.86 7/16 12:00 15.61 0.59%
Trade id #82017361
Max drawdown($58)
Time7/16/13 11:57
Quant open200
Worst price15.57
Drawdown as % of equity-0.59%
($55)
Includes Typical Broker Commission and AutoTrade Fees trade costs of $4.00
7/16/13 9:50 SELL 400 MGM MGM MIRAGE INC 15.65 7/16 10:50 15.86 0.93%
Trade id #82015438
Max drawdown($92)
Time7/16/13 10:41
Quant open-400
Worst price15.88
Drawdown as % of equity-0.93%
($92)
Includes Typical Broker Commission and AutoTrade Fees trade costs of $8.00
7/15/13 11:40 BUY 150 MGM MGM MIRAGE INC 15.66 7/15 12:41 15.74 0.06%
Trade id #81999018
Max drawdown($6)
Time7/15/13 11:45
Quant open150
Worst price15.62
Drawdown as % of equity-0.06%
$9
Includes Typical Broker Commission and AutoTrade Fees trade costs of $3.00
7/15/13 9:50 SELL 250 MGM MGM MIRAGE INC 15.40 7/15 11:40 15.66 0.75%
Trade id #81995964
Max drawdown($74)
Time7/15/13 11:10
Quant open-250
Worst price15.70
Drawdown as % of equity-0.75%
($70)
Includes Typical Broker Commission and AutoTrade Fees trade costs of $5.00
7/8/13 15:20 BUY 400 MGM MGM MIRAGE INC 15.65 7/9 9:30 15.74 0.47%
Trade id #81895726
Max drawdown($46)
Time7/8/13 15:54
Quant open400
Worst price15.54
Drawdown as % of equity-0.47%
$28
Includes Typical Broker Commission and AutoTrade Fees trade costs of $8.00
7/8/13 13:10 BUY 400 MGM MGM MIRAGE INC 15.66 7/8 13:30 15.69 0.12%
Trade id #81893501
Max drawdown($12)
Time7/8/13 13:18
Quant open400
Worst price15.63
Drawdown as % of equity-0.12%
$4
Includes Typical Broker Commission and AutoTrade Fees trade costs of $8.00
7/8/13 12:50 BUY 400 MGM MGM MIRAGE INC 15.70 7/8 12:58 15.72 0.08%
Trade id #81893025
Max drawdown($8)
Time7/8/13 12:52
Quant open400
Worst price15.68
Drawdown as % of equity-0.08%
$0
Includes Typical Broker Commission and AutoTrade Fees trade costs of $8.00
7/8/13 12:22 BUY 400 MGM MGM MIRAGE INC 15.74 7/8 12:43 15.76 0.08%
Trade id #81892491
Max drawdown($8)
Time7/8/13 12:26
Quant open400
Worst price15.72
Drawdown as % of equity-0.08%
$0
Includes Typical Broker Commission and AutoTrade Fees trade costs of $8.00
7/8/13 11:00 BUY 400 MGM MGM MIRAGE INC 15.76 7/8 11:51 15.77 0.24%
Trade id #81890552
Max drawdown($23)
Time7/8/13 11:25
Quant open400
Worst price15.70
Drawdown as % of equity-0.24%
($4)
Includes Typical Broker Commission and AutoTrade Fees trade costs of $8.00
7/5/13 11:00 BUY 400 MGM MGM MIRAGE INC 15.23 7/5 11:42 15.28 0.04%
Trade id #81868119
Max drawdown($4)
Time7/5/13 11:02
Quant open400
Worst price15.22
Drawdown as % of equity-0.04%
$12
Includes Typical Broker Commission and AutoTrade Fees trade costs of $8.00
7/3/13 10:51 SELL 550 MGM MGM MIRAGE INC 14.80 7/3 11:10 14.78 0.28%
Trade id #81833620
Max drawdown($27)
Time7/3/13 11:02
Quant open-550
Worst price14.85
Drawdown as % of equity-0.28%
$0
Includes Typical Broker Commission and AutoTrade Fees trade costs of $11.00
7/3/13 10:30 SELL 550 MGM MGM MIRAGE INC 14.76 7/3 10:33 14.75 n/a ($5)
Includes Typical Broker Commission and AutoTrade Fees trade costs of $11.00
7/3/13 10:10 SELL 550 MGM MGM MIRAGE INC 14.75 7/3 10:20 14.73 0.17%
Trade id #81832390
Max drawdown($16)
Time7/3/13 10:15
Quant open-550
Worst price14.78
Drawdown as % of equity-0.17%
($1)
Includes Typical Broker Commission and AutoTrade Fees trade costs of $11.00
7/2/13 11:00 BUY 400 MGM MGM MIRAGE INC 15.10 7/3 9:50 14.74 1.78%
Trade id #81811707
Max drawdown($176)
Time7/3/13 9:33
Quant open400
Worst price14.66
Drawdown as % of equity-1.78%
($152)
Includes Typical Broker Commission and AutoTrade Fees trade costs of $8.00
7/1/13 15:30 BUY 400 MGM MGM MIRAGE INC 15.13 7/1 15:52 15.13 0.12%
Trade id #81796485
Max drawdown($12)
Time7/1/13 15:32
Quant open400
Worst price15.10
Drawdown as % of equity-0.12%
($8)
Includes Typical Broker Commission and AutoTrade Fees trade costs of $8.00
7/1/13 13:50 BUY 400 MGM MGM MIRAGE INC 15.15 7/1 14:19 15.20 0.12%
Trade id #81794410
Max drawdown($12)
Time7/1/13 14:00
Quant open400
Worst price15.12
Drawdown as % of equity-0.12%
$10
Includes Typical Broker Commission and AutoTrade Fees trade costs of $8.00
7/1/13 11:30 BUY 400 MGM MGM MIRAGE INC 15.16 7/1 12:39 15.20 0.36%
Trade id #81791602
Max drawdown($36)
Time7/1/13 11:45
Quant open400
Worst price15.07
Drawdown as % of equity-0.36%
$8
Includes Typical Broker Commission and AutoTrade Fees trade costs of $8.00
7/1/13 11:00 BUY 400 MGM MGM MIRAGE INC 15.20 7/1 11:18 15.22 0.12%
Trade id #81790730
Max drawdown($12)
Time7/1/13 11:06
Quant open400
Worst price15.17
Drawdown as % of equity-0.12%
$0
Includes Typical Broker Commission and AutoTrade Fees trade costs of $8.00

Statistics

  • Strategy began
    1/30/2013
  • Age
    15 months ago
  • What it trades
    Stocks
  • # Trades
    290
  • # Profitable
    184
  • % Profitable
    63.45%
  • Avg trade duration
    1.2 days
  • Max peak-to-valley drawdown
    13.82%
  • drawdown period
    April 19, 2013 - June 11, 2013
  • Annual Return (Compounded)
    -5.2%
  • Avg win
    $33.01
  • Avg loss
    $40.95
  • W:L ratio
    1.40:1
  • GENERAL STATISTICS
  • Age
    444
  • # Trades
    290
  • Avg Trade Length
    1.2
  • PROFIT
  • Profit Factor
    1.4
  • Ann Return (Compnd, No Fees)
    14.0
  • Sharpe Ratio
    1.162
  • Chance of 10% account loss
    100.00%
  • Chance of 20% account loss
    n/a
  • Chance of 30% account loss
    n/a
  • Chance of 40% account loss
    n/a
  • Chance of 50% account loss
    n/a
  • APD
    0.14
  • DRAW DOWN STATISTICS
  • Max Drawdown
    13.8%
  • POPULARITY STATISTICS
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    347
  • TOS STATISTICS
  • Trades Own System?
    0
  • TOS percent
    n/a
  • BILLING STATISTICS
  • Subscription Price
    $20
  • Billing Period (days)
    30
  • Trial Days
    0
  • WIN STATISTICS
  • Avg Loss
    $41
  • Avg Win
    $33
  • # Winners
    184
  • # Losers
    106
  • % Winners
    63.5%
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.28769
  • SD
    0.22695
  • Sharpe ratio (Glass type estimate)
    1.26763
  • Sharpe ratio (Hedges UMVUE)
    1.16970
  • df
    10.00000
  • t
    1.21366
  • p
    0.12638
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.88070
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.35780
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.94063
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.28002
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.23668
  • Upside Potential Ratio
    3.47042
  • Upside part of mean
    0.44637
  • Downside part of mean
    -0.15869
  • Upside SD
    0.19281
  • Downside SD
    0.12862
  • N nonnegative terms
    7.00000
  • N negative terms
    4.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    11.00000
  • Mean of predictor
    0.24119
  • Mean of criterion
    0.28769
  • SD of predictor
    0.10437
  • SD of criterion
    0.22695
  • Covariance
    -0.00301
  • r
    -0.12710
  • b (slope, estimate of beta)
    -0.27638
  • a (intercept, estimate of alpha)
    0.35435
  • Mean Square Error
    0.05630
  • DF error
    9.00000
  • t(b)
    -0.38442
  • p(b)
    0.64520
  • t(a)
    1.17148
  • p(a)
    0.13574
  • Lowerbound of 95% confidence interval for beta
    -1.90280
  • Upperbound of 95% confidence interval for beta
    1.35003
  • Lowerbound of 95% confidence interval for alpha
    -0.32991
  • Upperbound of 95% confidence interval for alpha
    1.03860
  • Treynor index (mean / b)
    -1.04089
  • Jensen alpha (a)
    0.35435
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.26105
  • SD
    0.22686
  • Sharpe ratio (Glass type estimate)
    1.15072
  • Sharpe ratio (Hedges UMVUE)
    1.06182
  • df
    10.00000
  • t
    1.10173
  • p
    0.14819
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.98278
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.23069
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.03752
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.16116
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.90797
  • Upside Potential Ratio
    3.13241
  • Upside part of mean
    0.42859
  • Downside part of mean
    -0.16753
  • Upside SD
    0.18370
  • Downside SD
    0.13682
  • N nonnegative terms
    7.00000
  • N negative terms
    4.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    11.00000
  • Mean of predictor
    0.23377
  • Mean of criterion
    0.26105
  • SD of predictor
    0.10356
  • SD of criterion
    0.22686
  • Covariance
    -0.00318
  • r
    -0.13523
  • b (slope, estimate of beta)
    -0.29624
  • a (intercept, estimate of alpha)
    0.33031
  • Mean Square Error
    0.05614
  • DF error
    9.00000
  • t(b)
    -0.40944
  • p(b)
    0.65411
  • t(a)
    1.10194
  • p(a)
    0.14954
  • Lowerbound of 95% confidence interval for beta
    -1.93298
  • Upperbound of 95% confidence interval for beta
    1.34049
  • Lowerbound of 95% confidence interval for alpha
    -0.34778
  • Upperbound of 95% confidence interval for alpha
    1.00839
  • Treynor index (mean / b)
    -0.88122
  • Jensen alpha (a)
    0.33031
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.08237
  • Expected Shortfall on VaR
    0.10688
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02365
  • Expected Shortfall on VaR
    0.05453
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    11.00000
  • Minimum
    0.87933
  • Quartile 1
    0.99867
  • Median
    1.02230
  • Quartile 3
    1.06496
  • Maximum
    1.13172
  • Mean of quarter 1
    0.95242
  • Mean of quarter 2
    1.01153
  • Mean of quarter 3
    1.04532
  • Mean of quarter 4
    1.09679
  • Inter Quartile Range
    0.06630
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.09091
  • Mean of outliers low
    0.87933
  • 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)
    -0.98163
  • VaR(95%) (moments method)
    0.01595
  • Expected Shortfall (moments method)
    0.01841
  • Extreme Value Index (regression method)
    1.71161
  • VaR(95%) (regression method)
    0.13685
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    1.00000
  • Minimum
    0.12067
  • Quartile 1
    0.12067
  • Median
    0.12067
  • Quartile 3
    0.12067
  • Maximum
    0.12067
  • Mean of quarter 1
    0.00000
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.00000
  • Inter Quartile Range
    0.00000
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.30764
  • Compounded annual return (geometric extrapolation)
    0.31128
  • Calmar ratio (compounded annual return / max draw down)
    2.57960
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    2.91233
  • 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
    0.17039
  • SD
    0.13803
  • Sharpe ratio (Glass type estimate)
    1.23443
  • Sharpe ratio (Hedges UMVUE)
    1.23164
  • df
    331.00000
  • t
    1.21271
  • p
    0.11305
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.76372
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.23085
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.76564
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.22891
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.78159
  • Upside Potential Ratio
    8.60201
  • Upside part of mean
    0.82270
  • Downside part of mean
    -0.65231
  • Upside SD
    0.09966
  • Downside SD
    0.09564
  • N nonnegative terms
    152.00000
  • N negative terms
    180.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    332.00000
  • Mean of predictor
    0.22049
  • Mean of criterion
    0.17039
  • SD of predictor
    0.12456
  • SD of criterion
    0.13803
  • Covariance
    0.00410
  • r
    0.23842
  • b (slope, estimate of beta)
    0.26420
  • a (intercept, estimate of alpha)
    0.11214
  • Mean Square Error
    0.01802
  • DF error
    330.00000
  • t(b)
    4.45972
  • p(b)
    0.00001
  • t(a)
    0.81685
  • p(a)
    0.20730
  • Lowerbound of 95% confidence interval for beta
    0.14766
  • Upperbound of 95% confidence interval for beta
    0.38074
  • Lowerbound of 95% confidence interval for alpha
    -0.15792
  • Upperbound of 95% confidence interval for alpha
    0.38220
  • Treynor index (mean / b)
    0.64494
  • Jensen alpha (a)
    0.11214
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.16084
  • SD
    0.13812
  • Sharpe ratio (Glass type estimate)
    1.16455
  • Sharpe ratio (Hedges UMVUE)
    1.16191
  • df
    331.00000
  • t
    1.14405
  • p
    0.12671
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.83337
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.16071
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.83513
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.15894
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.66267
  • Upside Potential Ratio
    8.45354
  • Upside part of mean
    0.81778
  • Downside part of mean
    -0.65694
  • Upside SD
    0.09867
  • Downside SD
    0.09674
  • N nonnegative terms
    152.00000
  • N negative terms
    180.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    332.00000
  • Mean of predictor
    0.21267
  • Mean of criterion
    0.16084
  • SD of predictor
    0.12473
  • SD of criterion
    0.13812
  • Covariance
    0.00411
  • r
    0.23879
  • b (slope, estimate of beta)
    0.26441
  • a (intercept, estimate of alpha)
    0.10461
  • Mean Square Error
    0.01804
  • DF error
    330.00000
  • t(b)
    4.46709
  • p(b)
    0.00001
  • t(a)
    0.76187
  • p(a)
    0.22334
  • Lowerbound of 95% confidence interval for beta
    0.14797
  • Upperbound of 95% confidence interval for beta
    0.38085
  • Lowerbound of 95% confidence interval for alpha
    -0.16550
  • Upperbound of 95% confidence interval for alpha
    0.37472
  • Treynor index (mean / b)
    0.60831
  • Jensen alpha (a)
    0.10461
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01171
  • Expected Shortfall on VaR
    0.01478
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00450
  • Expected Shortfall on VaR
    0.00969
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    332.00000
  • Minimum
    0.96016
  • Quartile 1
    0.99848
  • Median
    1.00000
  • Quartile 3
    1.00296
  • Maximum
    1.03544
  • Mean of quarter 1
    0.99273
  • Mean of quarter 2
    0.99975
  • Mean of quarter 3
    1.00119
  • Mean of quarter 4
    1.00843
  • Inter Quartile Range
    0.00448
  • Number outliers low
    21.00000
  • Percentage of outliers low
    0.06325
  • Mean of outliers low
    0.98293
  • Number of outliers high
    21.00000
  • Percentage of outliers high
    0.06325
  • Mean of outliers high
    1.01687
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.61879
  • VaR(95%) (moments method)
    0.00658
  • Expected Shortfall (moments method)
    0.01962
  • Extreme Value Index (regression method)
    0.30972
  • VaR(95%) (regression method)
    0.00612
  • Expected Shortfall (regression method)
    0.01136
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    15.00000
  • Minimum
    0.00024
  • Quartile 1
    0.00201
  • Median
    0.00649
  • Quartile 3
    0.01788
  • Maximum
    0.13666
  • Mean of quarter 1
    0.00103
  • Mean of quarter 2
    0.00392
  • Mean of quarter 3
    0.01354
  • Mean of quarter 4
    0.07055
  • Inter Quartile Range
    0.01587
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.13333
  • Mean of outliers high
    0.11162
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -2.01289
  • VaR(95%) (moments method)
    0.05648
  • Expected Shortfall (moments method)
    0.05812
  • Extreme Value Index (regression method)
    -0.29134
  • VaR(95%) (regression method)
    0.12668
  • Expected Shortfall (regression method)
    0.16734
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.18568
  • Compounded annual return (geometric extrapolation)
    0.18625
  • Calmar ratio (compounded annual return / max draw down)
    1.36285
  • Compounded annual return / average of 25% largest draw downs
    2.63992
  • Compounded annual return / Expected Shortfall lognormal
    12.60220
  • 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
    0.34742
  • SD
    0.15587
  • Sharpe ratio (Glass type estimate)
    2.22897
  • Sharpe ratio (Hedges UMVUE)
    2.21918
  • df
    171.00000
  • t
    1.57612
  • p
    0.42400
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.55605
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.00766
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.56258
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.00095
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.43724
  • Upside Potential Ratio
    10.23890
  • Upside part of mean
    1.03491
  • Downside part of mean
    -0.68749
  • Upside SD
    0.11953
  • Downside SD
    0.10108
  • N nonnegative terms
    84.00000
  • N negative terms
    88.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    172.00000
  • Mean of predictor
    0.20382
  • Mean of criterion
    0.34742
  • SD of predictor
    0.12671
  • SD of criterion
    0.15587
  • Covariance
    0.00835
  • r
    0.42295
  • b (slope, estimate of beta)
    0.52026
  • a (intercept, estimate of alpha)
    0.24138
  • Mean Square Error
    0.02007
  • DF error
    170.00000
  • t(b)
    6.08580
  • p(b)
    0.28852
  • t(a)
    1.20041
  • p(a)
    0.45416
  • Lowerbound of 95% confidence interval for beta
    0.35151
  • Upperbound of 95% confidence interval for beta
    0.68902
  • Lowerbound of 95% confidence interval for alpha
    -0.15556
  • Upperbound of 95% confidence interval for alpha
    0.63833
  • Treynor index (mean / b)
    0.66778
  • Jensen alpha (a)
    0.24138
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.33518
  • SD
    0.15574
  • Sharpe ratio (Glass type estimate)
    2.15221
  • Sharpe ratio (Hedges UMVUE)
    2.14275
  • df
    171.00000
  • t
    1.52184
  • p
    0.42657
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.63203
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.93032
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.63834
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.92385
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.27607
  • Upside Potential Ratio
    10.04610
  • Upside part of mean
    1.02784
  • Downside part of mean
    -0.69266
  • Upside SD
    0.11820
  • Downside SD
    0.10231
  • N nonnegative terms
    84.00000
  • N negative terms
    88.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    172.00000
  • Mean of predictor
    0.19576
  • Mean of criterion
    0.33518
  • SD of predictor
    0.12682
  • SD of criterion
    0.15574
  • Covariance
    0.00841
  • r
    0.42567
  • b (slope, estimate of beta)
    0.52275
  • a (intercept, estimate of alpha)
    0.23285
  • Mean Square Error
    0.01998
  • DF error
    170.00000
  • t(b)
    6.13345
  • p(b)
    0.28717
  • t(a)
    1.16088
  • p(a)
    0.45566
  • Lowerbound of 95% confidence interval for beta
    0.35451
  • Upperbound of 95% confidence interval for beta
    0.69099
  • Lowerbound of 95% confidence interval for alpha
    -0.16310
  • Upperbound of 95% confidence interval for alpha
    0.62879
  • Treynor index (mean / b)
    0.64119
  • Jensen alpha (a)
    0.23285
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01276
  • Expected Shortfall on VaR
    0.01621
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00457
  • Expected Shortfall on VaR
    0.00990
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    172.00000
  • Minimum
    0.96016
  • Quartile 1
    0.99846
  • Median
    1.00000
  • Quartile 3
    1.00390
  • Maximum
    1.03544
  • Mean of quarter 1
    0.99227
  • Mean of quarter 2
    0.99979
  • Mean of quarter 3
    1.00180
  • Mean of quarter 4
    1.01029
  • Inter Quartile Range
    0.00544
  • Number outliers low
    10.00000
  • Percentage of outliers low
    0.05814
  • Mean of outliers low
    0.98124
  • Number of outliers high
    8.00000
  • Percentage of outliers high
    0.04651
  • Mean of outliers high
    1.02318
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.57316
  • VaR(95%) (moments method)
    0.00663
  • Expected Shortfall (moments method)
    0.01807
  • Extreme Value Index (regression method)
    0.33622
  • VaR(95%) (regression method)
    0.00761
  • Expected Shortfall (regression method)
    0.01498
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    13.00000
  • Minimum
    0.00024
  • Quartile 1
    0.00294
  • Median
    0.00506
  • Quartile 3
    0.02267
  • Maximum
    0.08659
  • Mean of quarter 1
    0.00147
  • Mean of quarter 2
    0.00396
  • Mean of quarter 3
    0.01567
  • Mean of quarter 4
    0.06008
  • Inter Quartile Range
    0.01974
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.15385
  • Mean of outliers high
    0.07008
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -2.80240
  • VaR(95%) (moments method)
    0.05069
  • Expected Shortfall (moments method)
    0.05097
  • Extreme Value Index (regression method)
    -0.34122
  • VaR(95%) (regression method)
    0.08452
  • Expected Shortfall (regression method)
    0.10388
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.37670
  • Compounded annual return (geometric extrapolation)
    0.41218
  • Calmar ratio (compounded annual return / max draw down)
    4.76025
  • Compounded annual return / average of 25% largest draw downs
    6.86024
  • Compounded annual return / Expected Shortfall lognormal
    25.43000

Strategy Description

MGM Intraday uses neural network among with a basic strategy to predict price moves. Generally speaking neural network is a computer model of a brain that can be trained for generalization tasks like prediction of market prices. I use several technical indicators along with my proprietary signals for neural network to analyze.

Please note that unlike most of the trading systems on Collective2, I don't use margin in MGM Intraday. That way all of my subscribers are able to replicate my results in their own trading account, whether it's a cash or margin account. In fact, I trade MGM Intraday in my own cash account held at an online discount broker.

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. For any trading system on our Web site, we assume you will invest the amount that appears as the starting amount of that system's performance chart.
  • 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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