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Stock Selection
(104874116)

Created by: Trader7 Trader7
Started: 07/2016
Stocks
Last trade: 15 days ago
Trading style: Equity Momentum

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 $59.00 per month.

Trading Category: Equity
Momentum
Category: Equity

Momentum

Aims to capitalize on the continuance of existing trends in the market. Trader takes a long position in an asset in an upward trend, and short-sells a security that has been in a downward trend. While similar to Trend-following, tends to be more forward-looking (predicting oncoming trend), while Momentum is more backward-looking (observing already-established price direction).
8.8%
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.

(42.3%)
Max Drawdown
240
Num Trades
56.7%
Win Trades
1.3 : 1
Profit Factor
56.2%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2016                                          (0.2%)(2.9%)+6.3%+3.4%+0.5%+3.2%+10.4%
2017+2.9%(3.5%)(1.8%)(3.3%)+4.3%(1.6%)+5.3%+3.9%(2.6%)+5.5%(5.3%)+2.7%+5.9%
2018(1.7%)+7.0%(0.8%)+1.0%+9.3%+6.5%+0.4%+4.2%(0.4%)(11.2%)(3%)(21.2%)(13.3%)
2019+16.6%+5.2%                                                            +22.6%

Model Account Details

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

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

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

Trading Record

This strategy has placed 298 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
12/4/18 9:30 FOSL FOSSIL GROUP INC. COMMON STOC LONG 135 20.73 1/31/19 9:30 17.29 2.71%
Trade id #121329930
Max drawdown($747)
Time1/2/19 9:34
Quant open135
Worst price15.19
Drawdown as % of equity-2.71%
($467)
Includes Typical Broker Commissions trade costs of $2.70
12/4/18 9:32 LLY ELI LILLY LONG 24 118.65 1/31/19 9:30 116.94 0.72%
Trade id #121330076
Max drawdown($204)
Time1/7/19 8:01
Quant open24
Worst price110.11
Drawdown as % of equity-0.72%
($41)
Includes Typical Broker Commissions trade costs of $0.48
12/4/18 9:30 MOS MOSAIC LONG 76 36.58 1/31/19 9:30 31.61 2.26%
Trade id #121329973
Max drawdown($622)
Time1/3/19 15:54
Quant open76
Worst price28.39
Drawdown as % of equity-2.26%
($380)
Includes Typical Broker Commissions trade costs of $1.52
12/4/18 9:30 RHT RED HAT LONG 16 178.29 1/31/19 9:30 176.22 0.29%
Trade id #121329924
Max drawdown($81)
Time1/2/19 17:14
Quant open16
Worst price173.22
Drawdown as % of equity-0.29%
($33)
Includes Typical Broker Commissions trade costs of $0.32
12/4/18 9:30 CMG CHIPOTLE MEXICAN GRILL LONG 6 474.00 1/31/19 9:30 532.80 1.09%
Trade id #121329992
Max drawdown($300)
Time1/2/19 9:42
Quant open6
Worst price423.98
Drawdown as % of equity-1.09%
$353
Includes Typical Broker Commissions trade costs of $0.12
12/4/18 9:30 FOX TWENTY-FIRST CENTURY FOX INC. LONG 56 49.33 1/31/19 9:30 48.80 0.5%
Trade id #121329952
Max drawdown($138)
Time1/3/19 11:10
Quant open56
Worst price46.85
Drawdown as % of equity-0.50%
($31)
Includes Typical Broker Commissions trade costs of $1.12
12/4/18 9:30 THC TENET HEALTHCARE LONG 108 26.72 1/31/19 9:30 21.96 3.89%
Trade id #121329934
Max drawdown($1,074)
Time1/2/19 9:45
Quant open108
Worst price16.77
Drawdown as % of equity-3.89%
($516)
Includes Typical Broker Commissions trade costs of $2.16
12/4/18 9:30 DISCA DISCOVERY COMMUNICATIONS LONG 100 28.57 1/31/19 9:30 27.38 1.62%
Trade id #121329980
Max drawdown($446)
Time1/2/19 9:36
Quant open100
Worst price24.11
Drawdown as % of equity-1.62%
($121)
Includes Typical Broker Commissions trade costs of $2.00
12/4/18 9:30 AES AES LONG 180 15.61 1/31/19 9:30 16.16 1.05%
Trade id #121329976
Max drawdown($295)
Time1/3/19 10:55
Quant open180
Worst price13.97
Drawdown as % of equity-1.05%
$95
Includes Typical Broker Commissions trade costs of $3.60
12/4/18 9:30 UA UNDERARMOUR CLASS C LONG 125 22.50 1/31/19 9:30 19.06 3.03%
Trade id #121329950
Max drawdown($847)
Time1/3/19 10:14
Quant open125
Worst price15.72
Drawdown as % of equity-3.03%
($433)
Includes Typical Broker Commissions trade costs of $2.50
12/4/18 9:30 UAL UNITED CONTINENTAL LONG 29 95.03 1/31/19 9:30 87.56 1.68%
Trade id #121329982
Max drawdown($511)
Time1/10/19 9:48
Quant open29
Worst price77.39
Drawdown as % of equity-1.68%
($218)
Includes Typical Broker Commissions trade costs of $0.58
12/4/18 9:30 DISCK DISCOVERY COMMUNICATIONS LONG 108 26.04 1/31/19 9:30 25.47 1.38%
Trade id #121329942
Max drawdown($381)
Time1/2/19 9:33
Quant open108
Worst price22.51
Drawdown as % of equity-1.38%
($64)
Includes Typical Broker Commissions trade costs of $2.16
12/4/18 9:30 HCA HCA HEALTHCARE INC LONG 19 146.10 1/31/19 9:30 138.89 1.83%
Trade id #121329926
Max drawdown($512)
Time1/3/19 10:45
Quant open19
Worst price119.12
Drawdown as % of equity-1.83%
($137)
Includes Typical Broker Commissions trade costs of $0.38
12/20/18 9:30 CI CIGNA LONG 7 0.00 1/31/19 9:30 199.48 n/a $1,396
Includes Typical Broker Commissions trade costs of $0.14
12/4/18 9:30 VEEV VEEVA SYSTEMS INC LONG 29 97.99 1/31/19 9:30 108.37 1.61%
Trade id #121329944
Max drawdown($451)
Time1/3/19 10:40
Quant open29
Worst price82.41
Drawdown as % of equity-1.61%
$300
Includes Typical Broker Commissions trade costs of $0.58
12/4/18 9:30 MRK MERCK LONG 35 79.30 1/31/19 9:30 73.15 0.8%
Trade id #121329910
Max drawdown($253)
Time1/28/19 11:01
Quant open35
Worst price72.05
Drawdown as % of equity-0.80%
($216)
Includes Typical Broker Commissions trade costs of $0.70
12/4/18 9:30 EW EDWARDS LIFESCIENCES LONG 18 163.50 1/31/19 9:30 168.23 1.46%
Trade id #121329915
Max drawdown($407)
Time1/3/19 10:45
Quant open18
Worst price140.86
Drawdown as % of equity-1.46%
$85
Includes Typical Broker Commissions trade costs of $0.36
12/4/18 9:30 AAP ADVANCE AUTO PARTS LONG 16 180.12 1/31/19 9:30 158.40 1.52%
Trade id #121329981
Max drawdown($481)
Time1/28/19 9:31
Quant open16
Worst price150.05
Drawdown as % of equity-1.52%
($348)
Includes Typical Broker Commissions trade costs of $0.32
12/4/18 9:30 ORLY O'REILLY AUTOMOTIVE LONG 8 346.53 1/31/19 9:30 346.91 0.45%
Trade id #121329884
Max drawdown($133)
Time1/8/19 10:36
Quant open8
Worst price329.86
Drawdown as % of equity-0.45%
$3
Includes Typical Broker Commissions trade costs of $0.16
12/4/18 9:30 MKC MCCORMICK LONG 18 151.62 12/20 12:36 140.26 0.81%
Trade id #121329971
Max drawdown($231)
Time12/20/18 9:52
Quant open18
Worst price138.75
Drawdown as % of equity-0.81%
($204)
Includes Typical Broker Commissions trade costs of $0.36
12/4/18 9:30 XLNX XILINX LONG 28 93.92 12/20 12:36 82.74 1.14%
Trade id #121329990
Max drawdown($324)
Time12/20/18 12:20
Quant open28
Worst price82.34
Drawdown as % of equity-1.14%
($314)
Includes Typical Broker Commissions trade costs of $0.56
12/4/18 9:30 ESRX EXPRESS SCRIPTS LONG 28 100.64 12/20 9:30 0.00 n/a ($2,819)
Includes Typical Broker Commissions trade costs of $0.56
12/4/18 9:30 TRIP TRIPADVISOR LONG 40 64.34 12/14 15:45 60.56 0.55%
Trade id #121329956
Max drawdown($174)
Time12/10/18 11:20
Quant open40
Worst price59.99
Drawdown as % of equity-0.55%
($152)
Includes Typical Broker Commissions trade costs of $0.80
12/4/18 9:30 TQQQ PROSHARES ULTRAPRO QQQ LONG 40 52.55 12/14 15:44 42.79 1.34%
Trade id #121329921
Max drawdown($429)
Time12/10/18 11:25
Quant open40
Worst price41.82
Drawdown as % of equity-1.34%
($391)
Includes Typical Broker Commissions trade costs of $0.80
11/1/18 9:30 HCA HCA HEALTHCARE INC LONG 15 135.13 12/3 9:32 145.69 0.07%
Trade id #120664522
Max drawdown($24)
Time11/20/18 9:32
Quant open15
Worst price133.48
Drawdown as % of equity-0.07%
$158
Includes Typical Broker Commissions trade costs of $0.30
11/1/18 9:30 FOSL FOSSIL GROUP INC. COMMON STOC LONG 95 21.76 12/3 9:31 19.74 1.19%
Trade id #120664500
Max drawdown($392)
Time11/28/18 11:02
Quant open95
Worst price17.63
Drawdown as % of equity-1.19%
($194)
Includes Typical Broker Commissions trade costs of $1.90
11/1/18 9:30 AAP ADVANCE AUTO PARTS LONG 13 159.96 12/3 9:31 178.97 n/a $247
Includes Typical Broker Commissions trade costs of $0.26
11/1/18 9:31 ENDP ENDO INTERNATIONAL PLC ORDINAR LONG 122 17.13 12/3 9:31 11.87 2.19%
Trade id #120664560
Max drawdown($719)
Time11/28/18 10:26
Quant open122
Worst price11.23
Drawdown as % of equity-2.19%
($644)
Includes Typical Broker Commissions trade costs of $2.44
11/1/18 9:31 VEEV VEEVA SYSTEMS INC LONG 23 91.64 12/3 9:31 99.17 0.84%
Trade id #120664540
Max drawdown($276)
Time11/20/18 9:31
Quant open23
Worst price79.61
Drawdown as % of equity-0.84%
$173
Includes Typical Broker Commissions trade costs of $0.46
11/1/18 9:30 RHT RED HAT LONG 12 171.20 12/3 9:31 179.01 n/a $94
Includes Typical Broker Commissions trade costs of $0.24

Statistics

  • Strategy began
    7/28/2016
  • Suggested Minimum Cap
    $15,000
  • Strategy Age (days)
    935.68
  • Age
    31 months ago
  • What it trades
    Stocks
  • # Trades
    240
  • # Profitable
    136
  • % Profitable
    56.70%
  • Avg trade duration
    29.6 days
  • Max peak-to-valley drawdown
    42.32%
  • drawdown period
    Aug 22, 2018 - Dec 24, 2018
  • Annual Return (Compounded)
    8.8%
  • Avg win
    $295.71
  • Avg loss
    $323.97
  • Model Account Values (Raw)
  • Cash
    $4,461
  • Margin Used
    $0
  • Buying Power
    $6,035
  • Ratios
  • W:L ratio
    1.31:1
  • Sharpe Ratio
    0.528
  • Sortino Ratio
    0.731
  • Calmar Ratio
    0.346
  • CORRELATION STATISTICS
  • Correlation to SP500
    0.49300
  • Return Statistics
  • Ann Return (w trading costs)
    8.8%
  • Ann Return (Compnd, No Fees)
    12.0%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    61.00%
  • Chance of 20% account loss
    28.50%
  • Chance of 30% account loss
    7.50%
  • Chance of 40% account loss
    1.00%
  • Chance of 50% account loss
    0.50%
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    488
  • C2 Score
    46.4
  • Trades-Own-System Certification
  • Trades Own System?
    0
  • TOS percent
    n/a
  • Subscription Price
  • Billing Period (days)
    30
  • Trial Days
    0
  • Win / Loss
  • Avg Loss
    $324
  • Avg Win
    $296
  • # Winners
    136
  • # Losers
    104
  • % Winners
    56.7%
  • Frequency
  • Avg Position Time (mins)
    42666.00
  • Avg Position Time (hrs)
    711.10
  • Avg Trade Length
    29.6 days
  • Last Trade Ago
    15
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.09214
  • SD
    0.18708
  • Sharpe ratio (Glass type estimate)
    0.49252
  • Sharpe ratio (Hedges UMVUE)
    0.47919
  • df
    28.00000
  • t
    0.76565
  • p
    0.22515
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.77910
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.75551
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.78783
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.74620
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.72858
  • Upside Potential Ratio
    2.44329
  • Upside part of mean
    0.30899
  • Downside part of mean
    -0.21685
  • Upside SD
    0.13604
  • Downside SD
    0.12646
  • N nonnegative terms
    17.00000
  • N negative terms
    12.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    29.00000
  • Mean of predictor
    0.07283
  • Mean of criterion
    0.09214
  • SD of predictor
    0.10363
  • SD of criterion
    0.18708
  • Covariance
    0.00829
  • r
    0.42770
  • b (slope, estimate of beta)
    0.77213
  • a (intercept, estimate of alpha)
    0.03590
  • Mean Square Error
    0.02966
  • DF error
    27.00000
  • t(b)
    2.45864
  • p(b)
    0.01032
  • t(a)
    0.31741
  • p(a)
    0.37669
  • Lowerbound of 95% confidence interval for beta
    0.12776
  • Upperbound of 95% confidence interval for beta
    1.41650
  • Lowerbound of 95% confidence interval for alpha
    -0.19619
  • Upperbound of 95% confidence interval for alpha
    0.26799
  • Treynor index (mean / b)
    0.11933
  • Jensen alpha (a)
    0.03590
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.07461
  • SD
    0.18866
  • Sharpe ratio (Glass type estimate)
    0.39546
  • Sharpe ratio (Hedges UMVUE)
    0.38476
  • df
    28.00000
  • t
    0.61477
  • p
    0.27183
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.87302
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.65698
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.88004
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.64956
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.56216
  • Upside Potential Ratio
    2.25642
  • Upside part of mean
    0.29947
  • Downside part of mean
    -0.22486
  • Upside SD
    0.13121
  • Downside SD
    0.13272
  • N nonnegative terms
    17.00000
  • N negative terms
    12.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    29.00000
  • Mean of predictor
    0.06732
  • Mean of criterion
    0.07461
  • SD of predictor
    0.10315
  • SD of criterion
    0.18866
  • Covariance
    0.00855
  • r
    0.43926
  • b (slope, estimate of beta)
    0.80341
  • a (intercept, estimate of alpha)
    0.02052
  • Mean Square Error
    0.02979
  • DF error
    27.00000
  • t(b)
    2.54069
  • p(b)
    0.00856
  • t(a)
    0.18153
  • p(a)
    0.42865
  • Lowerbound of 95% confidence interval for beta
    0.15459
  • Upperbound of 95% confidence interval for beta
    1.45224
  • Lowerbound of 95% confidence interval for alpha
    -0.21144
  • Upperbound of 95% confidence interval for alpha
    0.25248
  • Treynor index (mean / b)
    0.09287
  • Jensen alpha (a)
    0.02052
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.07999
  • Expected Shortfall on VaR
    0.10050
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.03691
  • Expected Shortfall on VaR
    0.07380
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    29.00000
  • Minimum
    0.86730
  • Quartile 1
    0.97713
  • Median
    1.02284
  • Quartile 3
    1.04630
  • Maximum
    1.10225
  • Mean of quarter 1
    0.94194
  • Mean of quarter 2
    1.00065
  • Mean of quarter 3
    1.03380
  • Mean of quarter 4
    1.07336
  • Inter Quartile Range
    0.06917
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.03448
  • Mean of outliers low
    0.86730
  • 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)
    -0.22267
  • VaR(95%) (moments method)
    0.05599
  • Expected Shortfall (moments method)
    0.07036
  • Extreme Value Index (regression method)
    0.39049
  • VaR(95%) (regression method)
    0.06639
  • Expected Shortfall (regression method)
    0.12450
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    6.00000
  • Minimum
    0.00140
  • Quartile 1
    0.02059
  • Median
    0.03170
  • Quartile 3
    0.08812
  • Maximum
    0.26285
  • Mean of quarter 1
    0.01048
  • Mean of quarter 2
    0.02365
  • Mean of quarter 3
    0.03975
  • Mean of quarter 4
    0.18355
  • Inter Quartile Range
    0.06753
  • 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
    0.16667
  • Mean of outliers high
    0.26285
  • 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)
    0.11633
  • Compounded annual return (geometric extrapolation)
    0.10795
  • Calmar ratio (compounded annual return / max draw down)
    0.41071
  • Compounded annual return / average of 25% largest draw downs
    0.58816
  • Compounded annual return / Expected Shortfall lognormal
    1.07414
  • 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
    0.11497
  • SD
    0.21769
  • Sharpe ratio (Glass type estimate)
    0.52815
  • Sharpe ratio (Hedges UMVUE)
    0.52753
  • df
    641.00000
  • t
    0.82675
  • p
    0.20434
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.72446
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.78036
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.72488
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.77994
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.73118
  • Upside Potential Ratio
    8.28296
  • Upside part of mean
    1.30243
  • Downside part of mean
    -1.18746
  • Upside SD
    0.15047
  • Downside SD
    0.15724
  • N nonnegative terms
    330.00000
  • N negative terms
    312.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    642.00000
  • Mean of predictor
    0.08080
  • Mean of criterion
    0.11497
  • SD of predictor
    0.12837
  • SD of criterion
    0.21769
  • Covariance
    0.01400
  • r
    0.50115
  • b (slope, estimate of beta)
    0.84988
  • a (intercept, estimate of alpha)
    0.04600
  • Mean Square Error
    0.03554
  • DF error
    640.00000
  • t(b)
    14.65080
  • p(b)
    0.00000
  • t(a)
    0.38419
  • p(a)
    0.35048
  • Lowerbound of 95% confidence interval for beta
    0.73597
  • Upperbound of 95% confidence interval for beta
    0.96379
  • Lowerbound of 95% confidence interval for alpha
    -0.19037
  • Upperbound of 95% confidence interval for alpha
    0.28298
  • Treynor index (mean / b)
    0.13528
  • Jensen alpha (a)
    0.04631
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.09120
  • SD
    0.21829
  • Sharpe ratio (Glass type estimate)
    0.41781
  • Sharpe ratio (Hedges UMVUE)
    0.41732
  • df
    641.00000
  • t
    0.65403
  • p
    0.25666
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.83462
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.66995
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.83496
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.66961
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.57095
  • Upside Potential Ratio
    8.08305
  • Upside part of mean
    1.29116
  • Downside part of mean
    -1.19996
  • Upside SD
    0.14863
  • Downside SD
    0.15974
  • N nonnegative terms
    330.00000
  • N negative terms
    312.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    642.00000
  • Mean of predictor
    0.07253
  • Mean of criterion
    0.09120
  • SD of predictor
    0.12861
  • SD of criterion
    0.21829
  • Covariance
    0.01411
  • r
    0.50271
  • b (slope, estimate of beta)
    0.85324
  • a (intercept, estimate of alpha)
    0.02932
  • Mean Square Error
    0.03566
  • DF error
    640.00000
  • t(b)
    14.71180
  • p(b)
    0.00000
  • t(a)
    0.24285
  • p(a)
    0.40410
  • Lowerbound of 95% confidence interval for beta
    0.73935
  • Upperbound of 95% confidence interval for beta
    0.96713
  • Lowerbound of 95% confidence interval for alpha
    -0.20773
  • Upperbound of 95% confidence interval for alpha
    0.26636
  • Treynor index (mean / b)
    0.10689
  • Jensen alpha (a)
    0.02932
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02160
  • Expected Shortfall on VaR
    0.02708
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01021
  • Expected Shortfall on VaR
    0.02051
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    642.00000
  • Minimum
    0.93633
  • Quartile 1
    0.99425
  • Median
    1.00033
  • Quartile 3
    1.00795
  • Maximum
    1.05505
  • Mean of quarter 1
    0.98407
  • Mean of quarter 2
    0.99806
  • Mean of quarter 3
    1.00380
  • Mean of quarter 4
    1.01626
  • Inter Quartile Range
    0.01370
  • Number outliers low
    21.00000
  • Percentage of outliers low
    0.03271
  • Mean of outliers low
    0.96194
  • Number of outliers high
    12.00000
  • Percentage of outliers high
    0.01869
  • Mean of outliers high
    1.03854
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.20986
  • VaR(95%) (moments method)
    0.01513
  • Expected Shortfall (moments method)
    0.02381
  • Extreme Value Index (regression method)
    0.03190
  • VaR(95%) (regression method)
    0.01558
  • Expected Shortfall (regression method)
    0.02204
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    35.00000
  • Minimum
    0.00050
  • Quartile 1
    0.00394
  • Median
    0.01609
  • Quartile 3
    0.03995
  • Maximum
    0.36565
  • Mean of quarter 1
    0.00184
  • Mean of quarter 2
    0.01066
  • Mean of quarter 3
    0.02387
  • Mean of quarter 4
    0.12231
  • Inter Quartile Range
    0.03601
  • 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
    0.11429
  • Mean of outliers high
    0.20791
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.58037
  • VaR(95%) (moments method)
    0.13384
  • Expected Shortfall (moments method)
    0.34971
  • Extreme Value Index (regression method)
    0.75519
  • VaR(95%) (regression method)
    0.13187
  • Expected Shortfall (regression method)
    0.52439
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.13831
  • Compounded annual return (geometric extrapolation)
    0.12649
  • Calmar ratio (compounded annual return / max draw down)
    0.34594
  • Compounded annual return / average of 25% largest draw downs
    1.03418
  • Compounded annual return / Expected Shortfall lognormal
    4.67055
  • 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
    -0.27528
  • SD
    0.26330
  • Sharpe ratio (Glass type estimate)
    -1.04550
  • Sharpe ratio (Hedges UMVUE)
    -1.03945
  • df
    130.00000
  • t
    -0.73928
  • p
    0.53235
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.81828
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.73116
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.81414
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.73523
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.30794
  • Upside Potential Ratio
    6.59914
  • Upside part of mean
    1.38892
  • Downside part of mean
    -1.66421
  • Upside SD
    0.15745
  • Downside SD
    0.21047
  • N nonnegative terms
    70.00000
  • N negative terms
    61.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.05619
  • Mean of criterion
    -0.27528
  • SD of predictor
    0.19090
  • SD of criterion
    0.26330
  • Covariance
    0.03428
  • r
    0.68202
  • b (slope, estimate of beta)
    0.94067
  • a (intercept, estimate of alpha)
    -0.22243
  • Mean Square Error
    0.03737
  • DF error
    129.00000
  • t(b)
    10.59190
  • p(b)
    0.10233
  • t(a)
    -0.81350
  • p(a)
    0.54544
  • Lowerbound of 95% confidence interval for beta
    0.76496
  • Upperbound of 95% confidence interval for beta
    1.11638
  • Lowerbound of 95% confidence interval for alpha
    -0.76341
  • Upperbound of 95% confidence interval for alpha
    0.31855
  • Treynor index (mean / b)
    -0.29265
  • Jensen alpha (a)
    -0.22243
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.31018
  • SD
    0.26537
  • Sharpe ratio (Glass type estimate)
    -1.16886
  • Sharpe ratio (Hedges UMVUE)
    -1.16210
  • df
    130.00000
  • t
    -0.82651
  • p
    0.53615
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.94213
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.60876
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.93751
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.61330
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.44573
  • Upside Potential Ratio
    6.41619
  • Upside part of mean
    1.37657
  • Downside part of mean
    -1.68675
  • Upside SD
    0.15563
  • Downside SD
    0.21455
  • N nonnegative terms
    70.00000
  • N negative terms
    61.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.07427
  • Mean of criterion
    -0.31018
  • SD of predictor
    0.19089
  • SD of criterion
    0.26537
  • Covariance
    0.03450
  • r
    0.68109
  • b (slope, estimate of beta)
    0.94680
  • a (intercept, estimate of alpha)
    -0.23986
  • Mean Square Error
    0.03805
  • DF error
    129.00000
  • t(b)
    10.56490
  • p(b)
    0.10277
  • t(a)
    -0.86928
  • p(a)
    0.54853
  • Lowerbound of 95% confidence interval for beta
    0.76949
  • Upperbound of 95% confidence interval for beta
    1.12411
  • Lowerbound of 95% confidence interval for alpha
    -0.78579
  • Upperbound of 95% confidence interval for alpha
    0.30607
  • Treynor index (mean / b)
    -0.32760
  • Jensen alpha (a)
    -0.23986
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02776
  • Expected Shortfall on VaR
    0.03438
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01399
  • Expected Shortfall on VaR
    0.02765
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.93633
  • Quartile 1
    0.99151
  • Median
    1.00067
  • Quartile 3
    1.00882
  • Maximum
    1.03804
  • Mean of quarter 1
    0.97798
  • Mean of quarter 2
    0.99707
  • Mean of quarter 3
    1.00396
  • Mean of quarter 4
    1.01736
  • Inter Quartile Range
    0.01731
  • Number outliers low
    5.00000
  • Percentage of outliers low
    0.03817
  • Mean of outliers low
    0.95292
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.01527
  • Mean of outliers high
    1.03754
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.10701
  • VaR(95%) (moments method)
    0.02132
  • Expected Shortfall (moments method)
    0.03054
  • Extreme Value Index (regression method)
    0.22671
  • VaR(95%) (regression method)
    0.01995
  • Expected Shortfall (regression method)
    0.03016
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    2.00000
  • Minimum
    0.00204
  • Quartile 1
    0.09294
  • Median
    0.18384
  • Quartile 3
    0.27475
  • Maximum
    0.36565
  • Mean of quarter 1
    0.00204
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.36565
  • Inter Quartile Range
    0.18180
  • 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)
    -0.26326
  • Compounded annual return (geometric extrapolation)
    -0.24593
  • Calmar ratio (compounded annual return / max draw down)
    -0.67258
  • Compounded annual return / average of 25% largest draw downs
    -0.67258
  • Compounded annual return / Expected Shortfall lognormal
    -7.15378

Strategy Description

Execution is manual, but decision making is automated.

Summary Statistics

Strategy began
2016-07-28
Suggested Minimum Capital
$15,000
# Trades
240
# Profitable
136
% Profitable
56.7%
Net Dividends
Correlation S&P500
0.493
Sharpe Ratio
0.528

Latest Activity

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subscribed on started simulation #SUBSCRIBEDDATE#

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.