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4Trend only ETF
(22906062)

Created by: Timing Timing
Started: 10/2006
Stocks
Last trade: 3 days ago
Trading style: Equity Trend-following

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 $20.00 per month.

Trading Category: Equity
Trend-following
Category: Equity

Trend-following

Tries to take advantage of long, medium or short-term moves that seem to play out in various markets. Typically, trend-following analysis is backward looking; that is, it attempts to recognize and profit from already-established trends.
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.

(12.4%)
Max Drawdown
1225
Num Trades
37.8%
Win Trades
1.9 : 1
Profit Factor
50.3%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2006                                                               +2.3%+3.6%+1.1%+7.2%
2007+1.3%(0.9%)(0.8%)+3.8%+3.9%(0.9%)(0.3%)(2.7%)+1.9%+5.5%(6.5%)(1.8%)+2.1%
2008(1.8%)  -    -  (0.6%)+1.5%(1.6%)(0.7%)  -  +0.3%  -  (0.1%)+0.1%(3%)
2009  -  (0.1%)(0.4%)+3.0%+6.1%(1.7%)+7.3%+1.4%+5.9%(1.8%)+2.4%+0.6%+24.7%
2010(5.2%)(0.4%)+1.3%+1.6%(5%)  -  (0.2%)(0.5%)+2.7%+2.2%(1.4%)+4.8%(0.5%)
2011(0.5%)+1.9%(0.5%)+1.1%(1.6%)(0.3%)(0.7%)(0.8%)  -    -  (1.7%)+0.1%(3.1%)
2012+1.9%+2.7%(0.4%)(1.2%)(4.4%)+0.7%+0.5%(0.4%)+0.7%(0.1%)(0.5%)+2.7%+2.0%
2013+4.0%(0.4%)+1.8%+3.3%(3.4%)(1.4%)+0.6%(0.6%)+0.8%+1.4%+0.4%+0.5%+7.0%
2014(1.8%)+1.1%+0.3%+1.0%+1.2%+0.6%(0.9%)+1.5%(3.4%)(0.3%)+0.3%(0.4%)(1%)
2015+1.1%+1.0%(0.4%)+0.2%(0.7%)(2.5%)+0.7%(2.5%)(1%)+0.4%(0.7%)(0.7%)(5.1%)
2016(1.1%)+0.1%+3.3%  -  (1.1%)+2.9%+3.4%(0.8%)+1.1%(3%)(1.5%)+0.6%+3.7%
2017+3.5%+1.9%+0.9%+1.4%(2.2%)(2.5%)+2.5%+0.9%+0.9%+1.1%+0.3%+0.7%+9.7%
2018+4.6%(4.1%)(0.3%)+0.1%+0.4%(0.5%)+0.6%+1.1%(0.1%)(3%)+0.4%(0.7%)(1.8%)

Model Account Details

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

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

Trading Record

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Long
Short
Both
Win
Loss
Both
Show More details Show Fewer details
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
12/4/18 9:30 INTC INTEL LONG 31 49.52 12/10 9:30 46.28 0.04%
Trade id #121329960
Max drawdown($107)
Time12/10/18 7:27
Quant open31
Worst price46.05
Drawdown as % of equity-0.04%
($101)
Includes Typical Broker Commissions trade costs of $0.62
11/30/18 9:30 CHTR CHARTER COMMUNICATIONS LONG 4 331.28 12/10 9:30 316.34 0.02%
Trade id #121270112
Max drawdown($75)
Time12/7/18 14:12
Quant open4
Worst price312.32
Drawdown as % of equity-0.02%
($60)
Includes Typical Broker Commissions trade costs of $0.08
4/6/17 9:30 V VISA LONG 21 89.00 11/26/18 9:30 134.60 n/a $958
Includes Typical Broker Commissions trade costs of $0.42
11/6/17 9:30 COST COSTCO WHOLESALE LONG 7 165.80 11/23/18 9:30 218.10 n/a $366
Includes Typical Broker Commissions trade costs of $0.14
11/20/17 9:31 NKE NIKE LONG 23 58.63 11/21/18 9:30 71.99 n/a $307
Includes Typical Broker Commissions trade costs of $0.46
7/26/18 9:31 JNK SPDR BARCLAYS HIGH YIELD BOND LONG 337 35.85 11/15 10:36 34.65 0.14%
Trade id #119133957
Max drawdown($434)
Time11/15/18 10:36
Quant open337
Worst price34.56
Drawdown as % of equity-0.14%
($411)
Includes Typical Broker Commissions trade costs of $6.74
5/7/18 9:31 AAPL APPLE LONG 8 185.18 11/13 9:30 191.63 n/a $52
Includes Typical Broker Commissions trade costs of $0.16
7/27/18 9:30 QCOM QUALCOMM LONG 14 63.22 11/9 9:30 57.78 0.03%
Trade id #119155615
Max drawdown($80)
Time11/9/18 8:43
Quant open14
Worst price57.48
Drawdown as % of equity-0.03%
($76)
Includes Typical Broker Commissions trade costs of $0.28
4/6/17 9:30 BA BOEING LONG 8 177.56 10/30/18 9:30 330.35 n/a $1,222
Includes Typical Broker Commissions trade costs of $0.16
7/16/18 9:30 MDLZ MONDELEZ INTERNATIONAL LONG 28 42.86 10/29 9:30 40.42 0.03%
Trade id #118951109
Max drawdown($86)
Time10/26/18 15:14
Quant open28
Worst price39.76
Drawdown as % of equity-0.03%
($69)
Includes Typical Broker Commissions trade costs of $0.56
9/5/18 9:30 CHTR CHARTER COMMUNICATIONS LONG 4 312.33 10/29 9:30 299.13 0.04%
Trade id #119728505
Max drawdown($111)
Time10/26/18 10:09
Quant open4
Worst price284.35
Drawdown as % of equity-0.04%
($53)
Includes Typical Broker Commissions trade costs of $0.08
6/29/18 10:53 REGN REGENERON PHARMACEUTICALS LONG 3 347.20 10/26 9:30 329.99 0.02%
Trade id #118712632
Max drawdown($60)
Time10/26/18 8:41
Quant open3
Worst price327.00
Drawdown as % of equity-0.02%
($52)
Includes Typical Broker Commissions trade costs of $0.06
9/21/18 9:30 VIAB VIACOM INC CLASS B LONG 38 31.88 10/26 9:30 29.22 0.04%
Trade id #119966992
Max drawdown($109)
Time10/26/18 8:39
Quant open38
Worst price29.00
Drawdown as % of equity-0.04%
($102)
Includes Typical Broker Commissions trade costs of $0.76
4/6/17 9:31 MSFT MICROSOFT LONG 29 65.60 10/25/18 9:31 106.55 n/a $1,187
Includes Typical Broker Commissions trade costs of $0.58
4/6/17 9:30 CSX CSX LONG 33 55.01 10/25/18 9:30 66.15 n/a $367
Includes Typical Broker Commissions trade costs of $0.66
4/6/17 9:30 AMZN AMAZON.COM LONG 1 913.80 10/25/18 9:30 1703.34 n/a $790
Includes Typical Broker Commissions trade costs of $0.02
4/6/17 9:31 NFLX NETFLIX LONG 10 210.43 10/25/18 9:30 307.12 n/a $967
Includes Typical Broker Commissions trade costs of $0.20
5/11/18 9:31 XOM EXXON MOBIL LONG 19 81.18 10/25 9:30 78.49 0.02%
Trade id #117893070
Max drawdown($70)
Time10/25/18 4:01
Quant open19
Worst price77.48
Drawdown as % of equity-0.02%
($51)
Includes Typical Broker Commissions trade costs of $0.38
4/6/17 9:31 NVDA NVIDIA LONG 27 191.14 10/24/18 9:30 219.51 n/a $765
Includes Typical Broker Commissions trade costs of $0.54
7/13/18 9:30 GILD GILEAD SCIENCES LONG 14 77.40 10/24 9:30 71.23 0.03%
Trade id #118912541
Max drawdown($93)
Time10/23/18 10:19
Quant open14
Worst price70.70
Drawdown as % of equity-0.03%
($86)
Includes Typical Broker Commissions trade costs of $0.28
4/6/17 9:30 ATVI ACTIVISION BLIZZARD LONG 12 49.19 10/24/18 9:30 69.13 n/a $239
Includes Typical Broker Commissions trade costs of $0.24
6/7/18 9:30 BIIB BIOGEN INC. COMMON STOCK LONG 4 304.33 10/23 9:30 315.00 n/a $43
Includes Typical Broker Commissions trade costs of $0.08
7/18/18 9:30 UTX UNITED TECHNOLOGIES LONG 12 131.01 10/19 9:30 128.49 0.01%
Trade id #118991355
Max drawdown($40)
Time10/12/18 12:43
Quant open12
Worst price127.62
Drawdown as % of equity-0.01%
($30)
Includes Typical Broker Commissions trade costs of $0.24
10/9/18 9:30 GE GENERAL ELECTRIC LONG 111 13.71 10/15 9:30 12.25 0.06%
Trade id #120250898
Max drawdown($177)
Time10/15/18 6:09
Quant open111
Worst price12.11
Drawdown as % of equity-0.06%
($164)
Includes Typical Broker Commissions trade costs of $2.22
7/24/18 9:30 JPM JPMORGAN CHASE LONG 14 113.55 10/15 9:30 107.20 0.04%
Trade id #119088605
Max drawdown($111)
Time10/12/18 14:50
Quant open14
Worst price105.60
Drawdown as % of equity-0.04%
($89)
Includes Typical Broker Commissions trade costs of $0.28
9/7/17 9:30 HD HOME DEPOT LONG 10 158.17 10/12/18 9:30 192.75 n/a $346
Includes Typical Broker Commissions trade costs of $0.20
9/19/18 9:31 CAT CATERPILLAR LONG 11 149.76 10/12 9:30 144.02 0.04%
Trade id #119926784
Max drawdown($109)
Time10/11/18 14:47
Quant open11
Worst price139.84
Drawdown as % of equity-0.04%
($63)
Includes Typical Broker Commissions trade costs of $0.22
10/10/18 9:30 CVX CHEVRON LONG 13 127.23 10/12 9:30 119.53 0.04%
Trade id #120271968
Max drawdown($125)
Time10/11/18 14:47
Quant open13
Worst price117.54
Drawdown as % of equity-0.04%
($100)
Includes Typical Broker Commissions trade costs of $0.26
8/1/18 10:14 CMCSA COMCAST LONG 33 35.90 10/12 9:30 34.05 0.03%
Trade id #119225530
Max drawdown($78)
Time10/11/18 14:47
Quant open33
Worst price33.51
Drawdown as % of equity-0.03%
($62)
Includes Typical Broker Commissions trade costs of $0.66
9/27/18 9:31 ALXN ALEXION PHARMACEUTICALS LONG 6 135.30 10/12 9:30 122.57 0.03%
Trade id #120062680
Max drawdown($102)
Time10/11/18 14:47
Quant open6
Worst price118.25
Drawdown as % of equity-0.03%
($76)
Includes Typical Broker Commissions trade costs of $0.12

Statistics

  • Strategy began
    10/4/2006
  • Suggested Minimum Cap
    $45,000
  • Strategy Age (days)
    4455.69
  • Age
    149 months ago
  • What it trades
    Stocks
  • # Trades
    1225
  • # Profitable
    463
  • % Profitable
    37.80%
  • Avg trade duration
    40.6 days
  • Max peak-to-valley drawdown
    12.35%
  • drawdown period
    Oct 19, 2009 - Aug 25, 2010
  • Annual Return (Compounded)
    3.2%
  • Avg win
    $489.13
  • Avg loss
    $220.34
  • Model Account Values (Raw)
  • Cash
    $279,086
  • Margin Used
    $0
  • Buying Power
    $282,698
  • Ratios
  • W:L ratio
    1.86:1
  • Sharpe Ratio
    0.075
  • Sortino Ratio
    0.105
  • Calmar Ratio
    0.242
  • CORRELATION STATISTICS
  • Correlation to SP500
    0.33000
  • Return Statistics
  • Ann Return (w trading costs)
    3.2%
  • Ann Return (Compnd, No Fees)
    3.4%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    36.00%
  • Chance of 20% account loss
    7.00%
  • Chance of 30% account loss
    n/a
  • Chance of 40% account loss
    n/a
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    800
  • C2 Score
    91.2
  • Trades-Own-System Certification
  • Trades Own System?
    0
  • TOS percent
    n/a
  • Subscription Price
  • Billing Period (days)
    30
  • Trial Days
    30
  • Win / Loss
  • Avg Loss
    $220
  • Avg Win
    $489
  • # Winners
    463
  • # Losers
    762
  • % Winners
    37.8%
  • Frequency
  • Avg Position Time (mins)
    152945.00
  • Avg Position Time (hrs)
    2549.08
  • Avg Trade Length
    106.2 days
  • Last Trade Ago
    3
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.00483
  • SD
    0.08623
  • Sharpe ratio (Glass type estimate)
    0.05605
  • Sharpe ratio (Hedges UMVUE)
    0.05575
  • df
    139.00000
  • t
    0.19146
  • p
    0.48966
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.51790
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.62981
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.51811
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.62960
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.07899
  • Upside Potential Ratio
    1.70004
  • Upside part of mean
    0.10404
  • Downside part of mean
    -0.09920
  • Upside SD
    0.06033
  • Downside SD
    0.06120
  • N nonnegative terms
    67.00000
  • N negative terms
    73.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    140.00000
  • Mean of predictor
    0.03890
  • Mean of criterion
    0.00483
  • SD of predictor
    0.16079
  • SD of criterion
    0.08623
  • Covariance
    0.00752
  • r
    0.54212
  • b (slope, estimate of beta)
    0.29075
  • a (intercept, estimate of alpha)
    -0.00648
  • Mean Square Error
    0.00529
  • DF error
    138.00000
  • t(b)
    7.57872
  • p(b)
    0.22894
  • t(a)
    -0.30345
  • p(a)
    0.51291
  • Lowerbound of 95% confidence interval for beta
    0.21489
  • Upperbound of 95% confidence interval for beta
    0.36661
  • Lowerbound of 95% confidence interval for alpha
    -0.04868
  • Upperbound of 95% confidence interval for alpha
    0.03573
  • Treynor index (mean / b)
    0.01662
  • Jensen alpha (a)
    -0.00648
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.00113
  • SD
    0.08640
  • Sharpe ratio (Glass type estimate)
    0.01306
  • Sharpe ratio (Hedges UMVUE)
    0.01299
  • df
    139.00000
  • t
    0.04461
  • p
    0.49759
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.56076
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.58688
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.56083
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.58681
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.01794
  • Upside Potential Ratio
    1.62207
  • Upside part of mean
    0.10204
  • Downside part of mean
    -0.10091
  • Upside SD
    0.05877
  • Downside SD
    0.06291
  • N nonnegative terms
    67.00000
  • N negative terms
    73.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    140.00000
  • Mean of predictor
    0.02562
  • Mean of criterion
    0.00113
  • SD of predictor
    0.16405
  • SD of criterion
    0.08640
  • Covariance
    0.00760
  • r
    0.53625
  • b (slope, estimate of beta)
    0.28242
  • a (intercept, estimate of alpha)
    -0.00611
  • Mean Square Error
    0.00536
  • DF error
    138.00000
  • t(b)
    7.46340
  • p(b)
    0.23187
  • t(a)
    -0.28479
  • p(a)
    0.51212
  • Lowerbound of 95% confidence interval for beta
    0.20760
  • Upperbound of 95% confidence interval for beta
    0.35724
  • Lowerbound of 95% confidence interval for alpha
    -0.04852
  • Upperbound of 95% confidence interval for alpha
    0.03630
  • Treynor index (mean / b)
    0.00400
  • Jensen alpha (a)
    -0.00611
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.04010
  • Expected Shortfall on VaR
    0.05001
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01948
  • Expected Shortfall on VaR
    0.03870
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    140.00000
  • Minimum
    0.90449
  • Quartile 1
    0.99418
  • Median
    1.00110
  • Quartile 3
    1.01375
  • Maximum
    1.08919
  • Mean of quarter 1
    0.97394
  • Mean of quarter 2
    0.99773
  • Mean of quarter 3
    1.00727
  • Mean of quarter 4
    1.03199
  • Inter Quartile Range
    0.01957
  • Number outliers low
    9.00000
  • Percentage of outliers low
    0.06429
  • Mean of outliers low
    0.94622
  • Number of outliers high
    9.00000
  • Percentage of outliers high
    0.06429
  • Mean of outliers high
    1.05712
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.12171
  • VaR(95%) (moments method)
    0.01885
  • Expected Shortfall (moments method)
    0.02909
  • Extreme Value Index (regression method)
    0.04779
  • VaR(95%) (regression method)
    0.02794
  • Expected Shortfall (regression method)
    0.04294
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    12.00000
  • Minimum
    0.00220
  • Quartile 1
    0.02733
  • Median
    0.04508
  • Quartile 3
    0.07331
  • Maximum
    0.10946
  • Mean of quarter 1
    0.00578
  • Mean of quarter 2
    0.03880
  • Mean of quarter 3
    0.05404
  • Mean of quarter 4
    0.09779
  • Inter Quartile Range
    0.04598
  • 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)
    -0.81734
  • VaR(95%) (moments method)
    0.10531
  • Expected Shortfall (moments method)
    0.10954
  • Extreme Value Index (regression method)
    0.66211
  • VaR(95%) (regression method)
    0.10891
  • Expected Shortfall (regression method)
    0.16845
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.03456
  • Compounded annual return (geometric extrapolation)
    0.02946
  • Calmar ratio (compounded annual return / max draw down)
    0.26914
  • Compounded annual return / average of 25% largest draw downs
    0.30128
  • Compounded annual return / Expected Shortfall lognormal
    0.58905
  • 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
    0.01028
  • SD
    0.13753
  • Sharpe ratio (Glass type estimate)
    0.07474
  • Sharpe ratio (Hedges UMVUE)
    0.07472
  • df
    3074.00000
  • t
    0.25605
  • p
    0.39897
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.49737
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.64685
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.49739
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.64683
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.10451
  • Upside Potential Ratio
    5.31028
  • Upside part of mean
    0.52226
  • Downside part of mean
    -0.51199
  • Upside SD
    0.09610
  • Downside SD
    0.09835
  • N nonnegative terms
    1484.00000
  • N negative terms
    1591.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    3075.00000
  • Mean of predictor
    0.10384
  • Mean of criterion
    0.01028
  • SD of predictor
    0.40384
  • SD of criterion
    0.13753
  • Covariance
    0.02135
  • r
    0.38437
  • b (slope, estimate of beta)
    0.13090
  • a (intercept, estimate of alpha)
    -0.00300
  • Mean Square Error
    0.01612
  • DF error
    3073.00000
  • t(b)
    23.08050
  • p(b)
    -0.00000
  • t(a)
    -0.08939
  • p(a)
    0.53561
  • Lowerbound of 95% confidence interval for beta
    0.11978
  • Upperbound of 95% confidence interval for beta
    0.14202
  • Lowerbound of 95% confidence interval for alpha
    -0.07600
  • Upperbound of 95% confidence interval for alpha
    0.06937
  • Treynor index (mean / b)
    0.07852
  • Jensen alpha (a)
    -0.00331
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.00080
  • SD
    0.13778
  • Sharpe ratio (Glass type estimate)
    0.00584
  • Sharpe ratio (Hedges UMVUE)
    0.00584
  • df
    3074.00000
  • t
    0.02000
  • p
    0.49202
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.56627
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.57794
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.56627
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.57794
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.00800
  • Upside Potential Ratio
    5.14840
  • Upside part of mean
    0.51772
  • Downside part of mean
    -0.51691
  • Upside SD
    0.09415
  • Downside SD
    0.10056
  • N nonnegative terms
    1484.00000
  • N negative terms
    1591.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    3075.00000
  • Mean of predictor
    0.02394
  • Mean of criterion
    0.00080
  • SD of predictor
    0.39879
  • SD of criterion
    0.13778
  • Covariance
    0.02138
  • r
    0.38915
  • b (slope, estimate of beta)
    0.13445
  • a (intercept, estimate of alpha)
    -0.00241
  • Mean Square Error
    0.01611
  • DF error
    3073.00000
  • t(b)
    23.41870
  • p(b)
    -0.00000
  • t(a)
    -0.06517
  • p(a)
    0.52598
  • Lowerbound of 95% confidence interval for beta
    0.12319
  • Upperbound of 95% confidence interval for beta
    0.14571
  • Lowerbound of 95% confidence interval for alpha
    -0.07506
  • Upperbound of 95% confidence interval for alpha
    0.07024
  • Treynor index (mean / b)
    0.00598
  • Jensen alpha (a)
    -0.00241
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01390
  • Expected Shortfall on VaR
    0.01740
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00446
  • Expected Shortfall on VaR
    0.00996
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    3075.00000
  • Minimum
    0.89511
  • Quartile 1
    0.99868
  • Median
    1.00000
  • Quartile 3
    1.00188
  • Maximum
    1.09675
  • Mean of quarter 1
    0.99281
  • Mean of quarter 2
    0.99959
  • Mean of quarter 3
    1.00084
  • Mean of quarter 4
    1.00734
  • Inter Quartile Range
    0.00321
  • Number outliers low
    249.00000
  • Percentage of outliers low
    0.08098
  • Mean of outliers low
    0.98416
  • Number of outliers high
    239.00000
  • Percentage of outliers high
    0.07772
  • Mean of outliers high
    1.01572
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.72457
  • VaR(95%) (moments method)
    0.00633
  • Expected Shortfall (moments method)
    0.02542
  • 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
    37.00000
  • Minimum
    0.00038
  • Quartile 1
    0.00572
  • Median
    0.01738
  • Quartile 3
    0.06021
  • Maximum
    0.12051
  • Mean of quarter 1
    0.00264
  • Mean of quarter 2
    0.01237
  • Mean of quarter 3
    0.04429
  • Mean of quarter 4
    0.09099
  • Inter Quartile Range
    0.05449
  • 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)
    -0.09575
  • VaR(95%) (moments method)
    0.09675
  • Expected Shortfall (moments method)
    0.11627
  • Extreme Value Index (regression method)
    -0.74245
  • VaR(95%) (regression method)
    0.08529
  • Expected Shortfall (regression method)
    0.08969
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.03414
  • Compounded annual return (geometric extrapolation)
    0.02913
  • Calmar ratio (compounded annual return / max draw down)
    0.24170
  • Compounded annual return / average of 25% largest draw downs
    0.32013
  • Compounded annual return / Expected Shortfall lognormal
    1.67434
  • 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
    -0.08860
  • SD
    0.03070
  • Sharpe ratio (Glass type estimate)
    -2.88642
  • Sharpe ratio (Hedges UMVUE)
    -2.86973
  • df
    130.00000
  • t
    -2.04100
  • p
    0.58810
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -5.67487
  • Upperbound of 95% confidence interval for Sharpe Ratio
    -0.08714
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -5.66340
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.07606
  • Statistics related to Sortino ratio
  • Sortino ratio
    -3.30617
  • Upside Potential Ratio
    5.06394
  • Upside part of mean
    0.13571
  • Downside part of mean
    -0.22431
  • Upside SD
    0.01571
  • Downside SD
    0.02680
  • N nonnegative terms
    58.00000
  • N negative terms
    73.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.15229
  • Mean of criterion
    -0.08860
  • SD of predictor
    0.15041
  • SD of criterion
    0.03070
  • Covariance
    0.00258
  • r
    0.55902
  • b (slope, estimate of beta)
    0.11409
  • a (intercept, estimate of alpha)
    -0.07123
  • Mean Square Error
    0.00065
  • DF error
    129.00000
  • t(b)
    7.65757
  • p(b)
    0.16364
  • t(a)
    -1.96733
  • p(a)
    0.60812
  • Lowerbound of 95% confidence interval for beta
    0.08461
  • Upperbound of 95% confidence interval for beta
    0.14357
  • Lowerbound of 95% confidence interval for alpha
    -0.14286
  • Upperbound of 95% confidence interval for alpha
    0.00041
  • Treynor index (mean / b)
    -0.77659
  • Jensen alpha (a)
    -0.07123
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.08908
  • SD
    0.03074
  • Sharpe ratio (Glass type estimate)
    -2.89728
  • Sharpe ratio (Hedges UMVUE)
    -2.88054
  • df
    130.00000
  • t
    -2.04869
  • p
    0.58842
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -5.68590
  • Upperbound of 95% confidence interval for Sharpe Ratio
    -0.09784
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -5.67437
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.08670
  • Statistics related to Sortino ratio
  • Sortino ratio
    -3.31494
  • Upside Potential Ratio
    5.04521
  • Upside part of mean
    0.13557
  • Downside part of mean
    -0.22465
  • Upside SD
    0.01569
  • Downside SD
    0.02687
  • N nonnegative terms
    58.00000
  • N negative terms
    73.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.16362
  • Mean of criterion
    -0.08908
  • SD of predictor
    0.15108
  • SD of criterion
    0.03074
  • Covariance
    0.00260
  • r
    0.55876
  • b (slope, estimate of beta)
    0.11371
  • a (intercept, estimate of alpha)
    -0.07047
  • Mean Square Error
    0.00066
  • DF error
    129.00000
  • t(b)
    7.65227
  • p(b)
    0.16378
  • t(a)
    -1.94244
  • p(a)
    0.60681
  • Lowerbound of 95% confidence interval for beta
    0.08431
  • Upperbound of 95% confidence interval for beta
    0.14311
  • Lowerbound of 95% confidence interval for alpha
    -0.14225
  • Upperbound of 95% confidence interval for alpha
    0.00131
  • Treynor index (mean / b)
    -0.78337
  • Jensen alpha (a)
    -0.07047
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00346
  • Expected Shortfall on VaR
    0.00425
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00212
  • Expected Shortfall on VaR
    0.00396
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.98966
  • Quartile 1
    0.99882
  • Median
    0.99986
  • Quartile 3
    1.00089
  • Maximum
    1.00345
  • Mean of quarter 1
    0.99745
  • Mean of quarter 2
    0.99938
  • Mean of quarter 3
    1.00039
  • Mean of quarter 4
    1.00187
  • Inter Quartile Range
    0.00207
  • Number outliers low
    4.00000
  • Percentage of outliers low
    0.03053
  • Mean of outliers low
    0.99345
  • 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)
    0.33764
  • VaR(95%) (moments method)
    0.00275
  • Expected Shortfall (moments method)
    0.00468
  • Extreme Value Index (regression method)
    0.31361
  • VaR(95%) (regression method)
    0.00236
  • Expected Shortfall (regression method)
    0.00370
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    2.00000
  • Minimum
    0.01600
  • Quartile 1
    0.02022
  • Median
    0.02445
  • Quartile 3
    0.02868
  • Maximum
    0.03291
  • Mean of quarter 1
    0.01600
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.03291
  • Inter Quartile Range
    0.00846
  • 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)
    -0.06024
  • Compounded annual return (geometric extrapolation)
    -0.05934
  • Calmar ratio (compounded annual return / max draw down)
    -1.80309
  • Compounded annual return / average of 25% largest draw downs
    -1.80309
  • Compounded annual return / Expected Shortfall lognormal
    -13.96590

Strategy Description

4Trend approach is systematic and trend following (long only). Trade only US STOCK and ETF.
All the order are before the open and at the market.
Orders delayed until 2/3 days not change the results, this demonstrates the robustness of the trading system.
We control the risk, therefore the amounts invested on the single instrument are according to the volatility of this and the instruments already in portfolio.



rgranero@4timing.it
info@4timing.it
or see:

www.4timing.it



























Summary Statistics

Strategy began
2006-10-04
Suggested Minimum Capital
$45,000
# Trades
1225
# Profitable
463
% Profitable
37.8%
Net Dividends
Correlation S&P500
0.330
Sharpe Ratio
0.075

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.

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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.
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  • "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

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