Collective2 Collective2
Featured Strategy Income Trades Followed by live capital $27,600 Hypothetical

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woowy 2007/3
(24312543)

Created by: wmwwebinc_woowy wmwwebinc_woowy
Started: 01/2007
Stocks
Last trade: 5,950 days ago
Subscriptions not currently available.

Subscriptions not available

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

Subscription terms. Subscriptions to this system cost $99.00 per month.

C2Star

C2Star is a certification program for trading strategies. In order to become "C2Star Certified," a strategy must apply tight risk controls, and must exhibit excellent performance characteristics, including low drawdowns.

You can read more about C2Star certification requirements here.

Note that: all trading strategies are risky, and C2Star Certification does not imply that a strategy is low risk.

7.2%
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.

(67.8%)
Max Drawdown
242
Num Trades
53.3%
Win Trades
1.4 : 1
Profit Factor
46.6%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2007+33.5%+4.7%+45.9%+26.8%(19.3%)+63.0%(27.4%)(13.8%)+11.1%(18%)+28.0%(26.3%)+83.2%
2008(5%)(4.7%)+25.4%(7.7%)(8.8%)+25.3%(9.9%)(1.5%)+9.4%+1.0%+3.7%+0.7%+22.6%
2009(5.1%)(3.1%)+2.6%(4.8%)+2.6%+3.3%(3.6%)+7.6%+1.9%+36.7%(0.4%)+0.4%+37.5%
2010+0.1%  -  (0.5%)  -  (0.6%)(0.4%)(0.9%)+0.5%+7.1%(4.6%)(0.3%)+3.1%+3.1%
2011+2.0%+0.4%+4.4%+13.0%(4.7%)(2%)+1.1%(0.2%)(0.1%)(1.8%)+1.1%+0.4%+13.3%
2012+2.1%(4.5%)(1.3%)(0.1%)(2.6%)+0.9%(0.9%)+0.2%+0.5%(1.1%)(0.5%)+0.6%(6.8%)
2013+0.9%(1.2%)+0.2%(0.6%)+0.4%(0.6%)+0.5%+0.3%(1%)  -  (2.2%)(2.1%)(5.5%)
2014(1.9%)+0.9%+3.1%+0.6%+0.9%(0.3%)(1.1%)(6.1%)+2.9%+0.6%(1.8%)+0.2%(2.2%)
2015+1.0%(0.6%)+1.1%(1%)(0.6%)+0.9%+1.0%+0.9%(0.3%)(0.6%)  -  (4.2%)(2.5%)
2016+2.1%(0.2%)+1.1%(0.8%)+1.3%(0.9%)+1.0%  -  (0.2%)+0.4%(0.5%)(0.2%)+3.2%
2017+1.4%(0.4%)+0.2%+0.8%+0.2%  -  +0.9%(1.1%)+1.9%+0.3%+1.1%  -  +5.5%
2018+2.0%(1.8%)+1.1%(0.3%)  -  (0.1%)(0.8%)+0.6%(1.2%)(1%)+0.9%+1.3%+0.7%
2019+0.7%(0.5%)(0.2%)  -  (0.3%)  -  (0.3%)+0.4%(0.1%)+0.2%(0.8%)(0.9%)
2020+0.8%(1.2%)(0.3%)+0.7%(0.4%)(0.6%)+0.5%+0.6%(0.4%)+0.1%(0.1%)+0.2%(0.3%)
2021+3.4%+3.7%+1.3%(2.5%)+1.6%+1.5%(1%)+0.9%(0.2%)+0.4%  -  (1.8%)+7.3%
2022(0.3%)+0.8%  -  (1.7%)(1%)(1%)+1.3%  -  (1.9%)(0.4%)(0.4%)(1.3%)(5.8%)
2023+2.1%(0.6%)(1%)(0.1%)+1.3%+1.1%+1.3%(0.2%)(1.2%)(1.3%)+0.5%+0.9%+2.7%
2024(1.6%)(0.3%)(0.3%)(0.3%)+0.3%                                          (2.1%)

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
12/12/07 9:34 ABM ABM INDUSTRIES LONG 4,900 20.88 2/4/08 10:46 19.88 5.25%
Trade id #29586260
Max drawdown($13,475)
Time1/22/08 9:36
Quant open4,900
Worst price18.13
Drawdown as % of equity-5.25%
 ($4,905)
Includes Typical Broker Commissions trade costs of $5.00
1/9/08 9:31 CFC SHORT 18,200 5.80 1/9 15:40 5.06 n/a $13,463
Includes Typical Broker Commissions trade costs of $5.00
1/8/08 9:32 JNPR JUNIPER NETWORKS LONG 3,200 30.92 1/8 15:40 30.91 0.52%
Trade id #29993950
Max drawdown($1,184)
Time1/8/08 9:38
Quant open3,200
Worst price30.55
Drawdown as % of equity-0.52%
 ($37)
Includes Typical Broker Commissions trade costs of $5.00
1/4/08 9:31 AXTI AXT SHORT 16,900 5.90 1/4 15:40 6.01 2.51%
Trade id #29945860
Max drawdown($5,746)
Time1/4/08 15:08
Quant open-16,900
Worst price6.24
Drawdown as % of equity-2.51%
 ($1,864)
Includes Typical Broker Commissions trade costs of $5.00
1/3/08 9:34 CFC SHORT 11,100 9.02 1/3 15:40 8.84 0.55%
Trade id #29926214
Max drawdown($1,221)
Time1/3/08 10:10
Quant open-11,100
Worst price9.13
Drawdown as % of equity-0.55%
 $1,993
Includes Typical Broker Commissions trade costs of $5.00
1/2/08 9:32 CNW CON-WAY LONG 2,400 41.40 1/2 15:42 41.69 0.89%
Trade id #29905468
Max drawdown($1,944)
Time1/2/08 10:06
Quant open2,400
Worst price40.59
Drawdown as % of equity-0.89%
 $691
Includes Typical Broker Commissions trade costs of $5.00
12/31/07 9:33 MBI MBIA SHORT 5,300 18.74 12/31 15:40 18.68 1.8%
Trade id #29882925
Max drawdown($3,922)
Time12/31/07 13:29
Quant open-5,300
Worst price19.48
Drawdown as % of equity-1.80%
 $313
Includes Typical Broker Commissions trade costs of $5.00
12/28/07 9:31 CBK CHRISTOPHER & BANKS LONG 7,700 12.15 12/28 15:40 11.19 4.84%
Trade id #29838944
Max drawdown($10,703)
Time12/28/07 10:12
Quant open7,700
Worst price10.76
Drawdown as % of equity-4.84%
 ($7,397)
Includes Typical Broker Commissions trade costs of $5.00
12/27/07 9:32 SCON SUPERCONDUCTOR TECHNOLOGIES IN LONG 90 1134.94 12/27 15:40 1082.70 2.05%
Trade id #29782347
Max drawdown($4,702)
Time12/27/07 15:31
Quant open16,200
Worst price6.01
Drawdown as % of equity-2.05%
 ($4,704)
Includes Typical Broker Commissions trade costs of $1.80
12/24/07 9:39 CFC SHORT 11,400 8.72 12/24 15:40 8.94 1.29%
Trade id #29765173
Max drawdown($3,078)
Time12/24/07 9:42
Quant open-11,400
Worst price8.99
Drawdown as % of equity-1.29%
 ($2,513)
Includes Typical Broker Commissions trade costs of $5.00
12/21/07 9:35 OSTK OVERSTOCK.COM LONG 6,100 16.53 12/21 15:41 15.66 2.18%
Trade id #29746939
Max drawdown($5,307)
Time12/21/07 15:41
Quant open6,100
Worst price15.66
Drawdown as % of equity-2.18%
 ($5,312)
Includes Typical Broker Commissions trade costs of $5.00
12/20/07 9:34 SCON SUPERCONDUCTOR TECHNOLOGIES IN LONG 86 1176.38 12/20 15:40 1120.53 2.1%
Trade id #29730621
Max drawdown($5,115)
Time12/20/07 15:05
Quant open15,500
Worst price6.20
Drawdown as % of equity-2.10%
 ($4,805)
Includes Typical Broker Commissions trade costs of $1.72
12/19/07 9:31 EMKR EMCORE SHORT 1,775 57.00 12/19 15:40 56.00 n/a $1,770
Includes Typical Broker Commissions trade costs of $5.00
12/18/07 9:33 SCON SUPERCONDUCTOR TECHNOLOGIES IN LONG 74 1349.33 12/18 15:40 1136.74 6.86%
Trade id #29689988
Max drawdown($16,891)
Time12/18/07 14:52
Quant open13,300
Worst price6.22
Drawdown as % of equity-6.86%
 ($15,732)
Includes Typical Broker Commissions trade costs of $1.48
12/17/07 9:34 RIGL RIGEL PHARMACEUTICALS SHORT 3,600 25.53 12/17 15:40 23.89 0.84%
Trade id #29669827
Max drawdown($2,160)
Time12/17/07 10:18
Quant open-3,600
Worst price26.13
Drawdown as % of equity-0.84%
 $5,899
Includes Typical Broker Commissions trade costs of $5.00
12/14/07 9:34 DNDN DENDREON SHORT 14,300 6.92 12/14 15:41 7.42 2.85%
Trade id #29626146
Max drawdown($7,150)
Time12/14/07 11:10
Quant open-14,300
Worst price7.38
Drawdown as % of equity-2.85%
 ($7,155)
Includes Typical Broker Commissions trade costs of $5.00
12/13/07 9:33 CFC SHORT 9,400 10.08 12/13 15:40 10.10 0.86%
Trade id #29605317
Max drawdown($2,256)
Time12/13/07 9:40
Quant open-9,400
Worst price10.32
Drawdown as % of equity-0.86%
 ($193)
Includes Typical Broker Commissions trade costs of $5.00
12/11/07 9:34 LDK LDK SOLAR COMPANY SHORT 1,700 59.42 12/11 15:40 57.39 2.84%
Trade id #29565296
Max drawdown($7,276)
Time12/11/07 14:07
Quant open-1,700
Worst price63.70
Drawdown as % of equity-2.84%
 $3,446
Includes Typical Broker Commissions trade costs of $5.00
12/10/07 9:34 SQNM SEQUENOM LONG 11,600 8.51 12/10 15:40 8.41 0.73%
Trade id #29546360
Max drawdown($1,856)
Time12/10/07 13:25
Quant open11,600
Worst price8.35
Drawdown as % of equity-0.73%
 ($1,165)
Includes Typical Broker Commissions trade costs of $5.00
12/7/07 9:34 RIMM LONG 962 105.38 12/7 15:40 103.63 0.88%
Trade id #29527719
Max drawdown($2,270)
Time12/7/07 14:24
Quant open962
Worst price103.02
Drawdown as % of equity-0.88%
 ($1,689)
Includes Typical Broker Commissions trade costs of $5.00
12/6/07 9:36 CFC SHORT 9,500 10.90 12/6 15:40 12.44 5.88%
Trade id #29509421
Max drawdown($15,295)
Time12/6/07 15:39
Quant open-9,500
Worst price12.51
Drawdown as % of equity-5.88%
 ($14,635)
Includes Typical Broker Commissions trade costs of $5.00
12/5/07 9:42 FBC FLAGSTAR BANCORP LONG 17 6140.00 12/5 15:40 6420.00 0.37%
Trade id #29490946
Max drawdown($990)
Time12/5/07 10:36
Quant open16,500
Worst price6.08
Drawdown as % of equity-0.37%
 $4,760
Includes Typical Broker Commissions trade costs of $0.34
12/4/07 9:32 CFC SHORT 9,300 10.37 12/4 15:40 10.06 0.34%
Trade id #29473253
Max drawdown($930)
Time12/4/07 10:32
Quant open-9,300
Worst price10.47
Drawdown as % of equity-0.34%
 $2,878
Includes Typical Broker Commissions trade costs of $5.00
12/3/07 9:36 ICOC LONG 9,200 11.16 12/3 15:40 10.45 2.78%
Trade id #29457671
Max drawdown($7,452)
Time12/3/07 14:58
Quant open9,200
Worst price10.35
Drawdown as % of equity-2.78%
 ($6,537)
Includes Typical Broker Commissions trade costs of $5.00
11/28/07 9:33 CLDN CELLADON CORPORATION COMMON ST LONG 14,100 7.13 11/28 15:40 7.82 0.09%
Trade id #29394654
Max drawdown($282)
Time11/28/07 9:35
Quant open14,100
Worst price7.11
Drawdown as % of equity-0.09%
 $9,724
Includes Typical Broker Commissions trade costs of $5.00
11/27/07 9:33 CFC SHORT 11,500 8.85 11/27 15:41 8.86 1.35%
Trade id #29373310
Max drawdown($4,025)
Time11/27/07 11:40
Quant open-11,500
Worst price9.20
Drawdown as % of equity-1.35%
 ($120)
Includes Typical Broker Commissions trade costs of $5.00
11/26/07 9:34 WCG WELLCARE HEALTH PLANS SHORT 2,500 39.09 11/26 15:40 37.28 0.39%
Trade id #29353006
Max drawdown($1,075)
Time11/26/07 9:39
Quant open-2,500
Worst price39.52
Drawdown as % of equity-0.39%
 $4,520
Includes Typical Broker Commissions trade costs of $5.00
11/23/07 9:31 SGMO SANGAMO THERAPEUTICS INC. COMMON STOCK LONG 7,900 12.50 11/23 15:40 12.43 0.73%
Trade id #29298653
Max drawdown($1,975)
Time11/23/07 9:34
Quant open7,900
Worst price12.25
Drawdown as % of equity-0.73%
 ($558)
Includes Typical Broker Commissions trade costs of $5.00
10/24/07 9:32 CFC SHORT 19,600 14.70 11/21 15:40 12.56 6.64%
Trade id #28762038
Max drawdown($17,622)
Time10/26/07 15:01
Quant open-6,600
Worst price17.51
Drawdown as % of equity-6.64%
 $41,967
Includes Typical Broker Commissions trade costs of $15.00
11/20/07 9:31 DDS DILLARDS LONG 6,000 16.84 11/20 15:40 17.28 0.28%
Trade id #29249155
Max drawdown($720)
Time11/20/07 14:34
Quant open6,000
Worst price16.72
Drawdown as % of equity-0.28%
 $2,635
Includes Typical Broker Commissions trade costs of $5.00
Next

Statistics

  • Strategy began
    1/6/2007
  • Suggested Minimum Cap
    $100,000
  • Strategy Age (days)
    6342.52
  • Age
    211 months ago
  • What it trades
    Stocks, Options
  • # Trades
    242
  • # Profitable
    129
  • % Profitable
    53.30%
  • Avg trade duration
    76.7 days
  • Max peak-to-valley drawdown
    67.83%
  • drawdown period
    June 29, 2007 - July 19, 2007
  • Annual Return (Compounded)
    7.2%
  • Avg win
    $6,988
  • Avg loss
    $5,562
  • Model Account Values (Raw)
  • Cash
    $408,063
  • Margin Used
    $309,090
  • Buying Power
    $12,213
  • Ratios
  • W:L ratio
    1.43:1
  • Sharpe Ratio
    0.27
  • Sortino Ratio
    0.43
  • Calmar Ratio
    0.101
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -42.58%
  • Correlation to SP500
    -0.03830
  • Return Percent SP500 (cumu) during strategy life
    276.20%
  • Return Statistics
  • Ann Return (w trading costs)
    7.2%
  • Slump
  • Current Slump as Pcnt Equity
    18.10%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.75%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.072%
  • Instruments
  • Percent Trades Options
    0.21%
  • Percent Trades Stocks
    0.79%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    7.9%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    100.00%
  • Chance of 20% account loss
    100.00%
  • Chance of 30% account loss
    100.00%
  • Chance of 40% account loss
    100.00%
  • Chance of 60% account loss (Monte Carlo)
    100.00%
  • Chance of 70% account loss (Monte Carlo)
    n/a
  • Chance of 80% account loss (Monte Carlo)
    n/a
  • Chance of 90% account loss (Monte Carlo)
    n/a
  • Chance of 100% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    100.00%
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    0
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Popularity
  • Popularity (7 days, Percentile 1000 scale)
    0
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $5,563
  • Avg Win
    $6,989
  • Sum Trade PL (losers)
    $628,587.000
  • Age
  • Num Months filled monthly returns table
    209
  • Win / Loss
  • Sum Trade PL (winners)
    $901,529.000
  • # Winners
    129
  • Num Months Winners
    104
  • Dividends
  • Dividends Received in Model Acct
    -640
  • Win / Loss
  • # Losers
    113
  • % Winners
    53.3%
  • Frequency
  • Avg Position Time (mins)
    110478.00
  • Avg Position Time (hrs)
    1841.30
  • Avg Trade Length
    76.7 days
  • Last Trade Ago
    5948
  • Regression
  • Alpha
    0.02
  • Beta
    -0.05
  • Treynor Index
    -0.44
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.04
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    74.13
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    67.01
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -0.01
  • MAE:Equity, average, winning trades
    0.03
  • MAE:Equity, average, losing trades
    0.05
  • Avg(MAE) / Avg(PL) - All trades
    16.870
  • MAE:Equity, losing trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, win trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, 95th Percentile Value for this strat
    0.02
  • Avg(MAE) / Avg(PL) - Winning trades
    0.909
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.570
  • Hold-and-Hope Ratio
    0.065
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.17144
  • SD
    0.47686
  • Sharpe ratio (Glass type estimate)
    0.35951
  • Sharpe ratio (Hedges UMVUE)
    0.35590
  • df
    75.00000
  • t
    0.90474
  • p
    0.18425
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.42261
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.13926
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.42499
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.13679
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.64791
  • Upside Potential Ratio
    1.67484
  • Upside part of mean
    0.44316
  • Downside part of mean
    -0.27172
  • Upside SD
    0.39604
  • Downside SD
    0.26460
  • N nonnegative terms
    41.00000
  • N negative terms
    35.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    76.00000
  • Mean of predictor
    0.21167
  • Mean of criterion
    0.17144
  • SD of predictor
    0.27778
  • SD of criterion
    0.47686
  • Covariance
    -0.00358
  • r
    -0.02702
  • b (slope, estimate of beta)
    -0.04638
  • a (intercept, estimate of alpha)
    0.18125
  • Mean Square Error
    0.23030
  • DF error
    74.00000
  • t(b)
    -0.23250
  • p(b)
    0.59160
  • t(a)
    0.92802
  • p(a)
    0.17821
  • Lowerbound of 95% confidence interval for beta
    -0.44387
  • Upperbound of 95% confidence interval for beta
    0.35111
  • Lowerbound of 95% confidence interval for alpha
    -0.20791
  • Upperbound of 95% confidence interval for alpha
    0.57042
  • Treynor index (mean / b)
    -3.69633
  • Jensen alpha (a)
    0.18125
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.06421
  • SD
    0.46911
  • Sharpe ratio (Glass type estimate)
    0.13687
  • Sharpe ratio (Hedges UMVUE)
    0.13550
  • df
    75.00000
  • t
    0.34445
  • p
    0.36574
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.64270
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.91554
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.64362
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.91461
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.18704
  • Upside Potential Ratio
    1.12252
  • Upside part of mean
    0.38533
  • Downside part of mean
    -0.32113
  • Upside SD
    0.31571
  • Downside SD
    0.34327
  • N nonnegative terms
    41.00000
  • N negative terms
    35.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    76.00000
  • Mean of predictor
    0.17209
  • Mean of criterion
    0.06421
  • SD of predictor
    0.27890
  • SD of criterion
    0.46911
  • Covariance
    -0.00044
  • r
    -0.00336
  • b (slope, estimate of beta)
    -0.00565
  • a (intercept, estimate of alpha)
    0.06518
  • Mean Square Error
    0.22304
  • DF error
    74.00000
  • t(b)
    -0.02889
  • p(b)
    0.51148
  • t(a)
    0.34187
  • p(a)
    0.36671
  • Lowerbound of 95% confidence interval for beta
    -0.39525
  • Upperbound of 95% confidence interval for beta
    0.38395
  • Lowerbound of 95% confidence interval for alpha
    -0.31470
  • Upperbound of 95% confidence interval for alpha
    0.44506
  • Treynor index (mean / b)
    -11.36710
  • Jensen alpha (a)
    0.06518
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.19539
  • Expected Shortfall on VaR
    0.23872
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.04745
  • Expected Shortfall on VaR
    0.10920
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    76.00000
  • Minimum
    0.52156
  • Quartile 1
    0.98901
  • Median
    1.00382
  • Quartile 3
    1.02660
  • Maximum
    1.71693
  • Mean of quarter 1
    0.91480
  • Mean of quarter 2
    0.99504
  • Mean of quarter 3
    1.01214
  • Mean of quarter 4
    1.13516
  • Inter Quartile Range
    0.03760
  • Number outliers low
    4.00000
  • Percentage of outliers low
    0.05263
  • Mean of outliers low
    0.72187
  • Number of outliers high
    6.00000
  • Percentage of outliers high
    0.07895
  • Mean of outliers high
    1.31903
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.86640
  • VaR(95%) (moments method)
    0.06536
  • Expected Shortfall (moments method)
    0.53852
  • Extreme Value Index (regression method)
    0.85210
  • VaR(95%) (regression method)
    0.05612
  • Expected Shortfall (regression method)
    0.40300
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    7.00000
  • Minimum
    0.00493
  • Quartile 1
    0.02072
  • Median
    0.13648
  • Quartile 3
    0.29893
  • Maximum
    0.47844
  • Mean of quarter 1
    0.01236
  • Mean of quarter 2
    0.07906
  • Mean of quarter 3
    0.19751
  • Mean of quarter 4
    0.43940
  • Inter Quartile Range
    0.27821
  • 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)
    0.07923
  • Compounded annual return (geometric extrapolation)
    0.06631
  • Calmar ratio (compounded annual return / max draw down)
    0.13860
  • Compounded annual return / average of 25% largest draw downs
    0.15092
  • Compounded annual return / Expected Shortfall lognormal
    0.27779
  • 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
    0.29077
  • SD
    0.64912
  • Sharpe ratio (Glass type estimate)
    0.44795
  • Sharpe ratio (Hedges UMVUE)
    0.44775
  • df
    1659.00000
  • t
    1.12754
  • p
    0.48239
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.33091
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.22670
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.33105
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.22655
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.64489
  • Upside Potential Ratio
    5.04128
  • Upside part of mean
    2.27307
  • Downside part of mean
    -1.98229
  • Upside SD
    0.46704
  • Downside SD
    0.45089
  • N nonnegative terms
    874.00000
  • N negative terms
    786.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1660.00000
  • Mean of predictor
    0.36556
  • Mean of criterion
    0.29077
  • SD of predictor
    0.59512
  • SD of criterion
    0.64912
  • Covariance
    -0.00852
  • r
    -0.02207
  • b (slope, estimate of beta)
    -0.02407
  • a (intercept, estimate of alpha)
    0.30000
  • Mean Square Error
    0.42141
  • DF error
    1658.00000
  • t(b)
    -0.89878
  • p(b)
    0.51103
  • t(a)
    1.16076
  • p(a)
    0.48575
  • Lowerbound of 95% confidence interval for beta
    -0.07660
  • Upperbound of 95% confidence interval for beta
    0.02846
  • Lowerbound of 95% confidence interval for alpha
    -0.20663
  • Upperbound of 95% confidence interval for alpha
    0.80578
  • Treynor index (mean / b)
    -12.08040
  • Jensen alpha (a)
    0.29957
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.06002
  • SD
    0.70430
  • Sharpe ratio (Glass type estimate)
    0.08523
  • Sharpe ratio (Hedges UMVUE)
    0.08519
  • df
    1659.00000
  • t
    0.21452
  • p
    0.49665
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.69343
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.86389
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.69347
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.86385
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.10789
  • Upside Potential Ratio
    3.90929
  • Upside part of mean
    2.17499
  • Downside part of mean
    -2.11497
  • Upside SD
    0.43152
  • Downside SD
    0.55636
  • N nonnegative terms
    874.00000
  • N negative terms
    786.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1660.00000
  • Mean of predictor
    0.19139
  • Mean of criterion
    0.06002
  • SD of predictor
    0.59026
  • SD of criterion
    0.70430
  • Covariance
    -0.00340
  • r
    -0.00818
  • b (slope, estimate of beta)
    -0.00976
  • a (intercept, estimate of alpha)
    0.06189
  • Mean Square Error
    0.49630
  • DF error
    1658.00000
  • t(b)
    -0.33310
  • p(b)
    0.50409
  • t(a)
    0.22110
  • p(a)
    0.49728
  • Lowerbound of 95% confidence interval for beta
    -0.06724
  • Upperbound of 95% confidence interval for beta
    0.04771
  • Lowerbound of 95% confidence interval for alpha
    -0.48717
  • Upperbound of 95% confidence interval for alpha
    0.61096
  • Treynor index (mean / b)
    -6.14951
  • Jensen alpha (a)
    0.06189
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.06886
  • Expected Shortfall on VaR
    0.08551
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01610
  • Expected Shortfall on VaR
    0.03739
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    1660.00000
  • Minimum
    0.38984
  • Quartile 1
    0.99596
  • Median
    1.00002
  • Quartile 3
    1.00433
  • Maximum
    1.33132
  • Mean of quarter 1
    0.97125
  • Mean of quarter 2
    0.99849
  • Mean of quarter 3
    1.00169
  • Mean of quarter 4
    1.03301
  • Inter Quartile Range
    0.00837
  • Number outliers low
    175.00000
  • Percentage of outliers low
    0.10542
  • Mean of outliers low
    0.94322
  • Number of outliers high
    184.00000
  • Percentage of outliers high
    0.11084
  • Mean of outliers high
    1.06354
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.94348
  • VaR(95%) (moments method)
    0.02464
  • Expected Shortfall (moments method)
    0.46532
  • Extreme Value Index (regression method)
    0.51608
  • VaR(95%) (regression method)
    0.02105
  • Expected Shortfall (regression method)
    0.05321
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    17.00000
  • Minimum
    0.00010
  • Quartile 1
    0.01002
  • Median
    0.03873
  • Quartile 3
    0.16516
  • Maximum
    0.61016
  • Mean of quarter 1
    0.00355
  • Mean of quarter 2
    0.02155
  • Mean of quarter 3
    0.10035
  • Mean of quarter 4
    0.40181
  • Inter Quartile Range
    0.15514
  • 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
    0.11765
  • Mean of outliers high
    0.60506
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.37408
  • VaR(95%) (moments method)
    0.42144
  • Expected Shortfall (moments method)
    0.76974
  • Extreme Value Index (regression method)
    -1.26106
  • VaR(95%) (regression method)
    0.33215
  • Expected Shortfall (regression method)
    0.34426
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.07303
  • Compounded annual return (geometric extrapolation)
    0.06186
  • Calmar ratio (compounded annual return / max draw down)
    0.10139
  • Compounded annual return / average of 25% largest draw downs
    0.15396
  • Compounded annual return / Expected Shortfall lognormal
    0.72342
  • 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
    0.05467
  • SD
    0.20059
  • Sharpe ratio (Glass type estimate)
    0.27255
  • Sharpe ratio (Hedges UMVUE)
    0.27098
  • df
    130.00000
  • t
    0.19272
  • p
    0.49155
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.49994
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.04408
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.50102
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.04298
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.41035
  • Upside Potential Ratio
    6.50010
  • Upside part of mean
    0.86603
  • Downside part of mean
    -0.81136
  • Upside SD
    0.14896
  • Downside SD
    0.13323
  • N nonnegative terms
    71.00000
  • N negative terms
    60.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    1.51903
  • Mean of criterion
    0.05467
  • SD of predictor
    0.61159
  • SD of criterion
    0.20059
  • Covariance
    0.02167
  • r
    0.17662
  • b (slope, estimate of beta)
    0.05793
  • a (intercept, estimate of alpha)
    -0.03333
  • Mean Square Error
    0.03928
  • DF error
    129.00000
  • t(b)
    2.03809
  • p(b)
    0.38815
  • t(a)
    -0.11751
  • p(a)
    0.50659
  • Lowerbound of 95% confidence interval for beta
    0.00169
  • Upperbound of 95% confidence interval for beta
    0.11417
  • Lowerbound of 95% confidence interval for alpha
    -0.59445
  • Upperbound of 95% confidence interval for alpha
    0.52780
  • Treynor index (mean / b)
    0.94376
  • Jensen alpha (a)
    -0.03333
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.03481
  • SD
    0.19985
  • Sharpe ratio (Glass type estimate)
    0.17417
  • Sharpe ratio (Hedges UMVUE)
    0.17316
  • df
    130.00000
  • t
    0.12316
  • p
    0.49460
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.59796
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.94582
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.59872
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.94505
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.25593
  • Upside Potential Ratio
    6.28874
  • Upside part of mean
    0.85529
  • Downside part of mean
    -0.82048
  • Upside SD
    0.14540
  • Downside SD
    0.13600
  • N nonnegative terms
    71.00000
  • N negative terms
    60.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    1.32338
  • Mean of criterion
    0.03481
  • SD of predictor
    0.62791
  • SD of criterion
    0.19985
  • Covariance
    0.02327
  • r
    0.18546
  • b (slope, estimate of beta)
    0.05903
  • a (intercept, estimate of alpha)
    -0.04331
  • Mean Square Error
    0.03886
  • DF error
    129.00000
  • t(b)
    2.14360
  • p(b)
    0.38261
  • t(a)
    -0.15402
  • p(a)
    0.50863
  • VAR (95 Confidence Intrvl)
    0.06900
  • Lowerbound of 95% confidence interval for beta
    0.00455
  • Upperbound of 95% confidence interval for beta
    0.11351
  • Lowerbound of 95% confidence interval for alpha
    -0.59961
  • Upperbound of 95% confidence interval for alpha
    0.51300
  • Treynor index (mean / b)
    0.58969
  • Jensen alpha (a)
    -0.04331
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01997
  • Expected Shortfall on VaR
    0.02501
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00657
  • Expected Shortfall on VaR
    0.01438
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.93764
  • Quartile 1
    0.99694
  • Median
    1.00007
  • Quartile 3
    1.00261
  • Maximum
    1.07487
  • Mean of quarter 1
    0.98891
  • Mean of quarter 2
    0.99879
  • Mean of quarter 3
    1.00106
  • Mean of quarter 4
    1.01209
  • Inter Quartile Range
    0.00566
  • Number outliers low
    10.00000
  • Percentage of outliers low
    0.07634
  • Mean of outliers low
    0.97578
  • Number of outliers high
    12.00000
  • Percentage of outliers high
    0.09160
  • Mean of outliers high
    1.02309
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.71436
  • VaR(95%) (moments method)
    0.01188
  • Expected Shortfall (moments method)
    0.04357
  • Extreme Value Index (regression method)
    0.74969
  • VaR(95%) (regression method)
    0.01052
  • Expected Shortfall (regression method)
    0.04141
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    3.00000
  • Minimum
    0.01627
  • Quartile 1
    0.02497
  • Median
    0.03367
  • Quartile 3
    0.07224
  • Maximum
    0.11081
  • Mean of quarter 1
    0.01627
  • Mean of quarter 2
    0.03367
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.11081
  • Inter Quartile Range
    0.04727
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Last 4 Months - Pcnt Negative
    0.75%
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -346896000
  • Max Equity Drawdown (num days)
    20
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.03511
  • Compounded annual return (geometric extrapolation)
    0.03542
  • Calmar ratio (compounded annual return / max draw down)
    0.31966
  • Compounded annual return / average of 25% largest draw downs
    0.31966
  • Compounded annual return / Expected Shortfall lognormal
    1.41646

Strategy Description

Day-Trading System Choose long or short trade positions depending on current market conditions for each trading day (approx 60% long positions and 40% short positions).
System trade one stocks per day. Stock price greater than $5 and volume greater than $100K and price volume greater than $1M.
Trades are published each trading day 10 minutes before market open and 20 minutes before close of market.
Back testing for system shows constant 30-45% gain per month in year 2006. Maximum weekly drawdown is less than 10%.
System cannot be back tested for years prior to 2006, because all entry data for system is unavailable.
Stop-losses are not set, but if you wish to do so, you can set stop-losses at 5% or more, but last performance shows that system has better results without any stop losses.
Trade this strategy at Interactive Brokers

Summary Statistics

Strategy began
2007-01-06
Suggested Minimum Capital
$100,000
# Trades
242
# Profitable
129
% Profitable
53.3%
Net Dividends
($639)
Correlation S&P500
-0.038
Sharpe Ratio
0.27
Sortino Ratio
0.43
Beta
-0.05
Alpha
0.02

Latest Activity

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Most values on this page (including the Strategy Equity Chart, above) have been adjusted by estimated trading commissions and subscription costs.

Some advanced users find it useful to see "raw" Model Account values. These numbers do not include any commissions, fees, subscription costs, or dividend actions.

Strategy developers can "archive" strategies at any time. This means the strategy Model Account is reset to its initial level and the trade list cleared. However, all archived track records are permanently preserved for evaluation by potential subscribers.

About the results you see on this Web site

Past results are not necessarily indicative of future results.

These results are based on simulated or hypothetical performance results that have certain inherent limitations. Unlike the results shown in an actual performance record, these results do not represent actual trading. Also, because these trades have not actually been executed, these results may have under-or over-compensated for the impact, if any, of certain market factors, such as lack of liquidity. Simulated or hypothetical trading programs in general are also subject to the fact that they are designed with the benefit of hindsight. No representation is being made that any account will or is likely to achieve profits or losses similar to these being shown.

In addition, hypothetical trading does not involve financial risk, and no hypothetical trading record can completely account for the impact of financial risk in actual trading. For example, the ability to withstand losses or to adhere to a particular trading program in spite of trading losses are material points which can also adversely affect actual trading results. There are numerous other factors related to the markets in general or to the implementation of any specific trading program, which cannot be fully accounted for in the preparation of hypothetical performance results and all of which can adversely affect actual trading results.

Material assumptions and methods used when calculating results

The following are material assumptions used when calculating any hypothetical monthly results that appear on our web site.

  • Profits are reinvested. We assume profits (when there are profits) are reinvested in the trading strategy.
  • Starting investment size. For any trading strategy on our site, hypothetical results are based on the assumption that you invested the starting amount shown on the strategy's performance chart. In some cases, nominal dollar amounts on the equity chart have been re-scaled downward to make current go-forward trading sizes more manageable. In these cases, it may not have been possible to trade the strategy historically at the equity levels shown on the chart, and a higher minimum capital was required in the past.
  • All fees are included. When calculating cumulative returns, we try to estimate and include all the fees a typical trader incurs when AutoTrading using AutoTrade technology. This includes the subscription cost of the strategy, plus any per-trade AutoTrade fees, plus estimated broker commissions if any.
  • "Max Drawdown" Calculation Method. We calculate the Max Drawdown statistic as follows. Our computer software looks at the equity chart of the system in question and finds the largest percentage amount that the equity chart ever declines from a local "peak" to a subsequent point in time (thus this is formally called "Maximum Peak to Valley Drawdown.") While this is useful information when evaluating trading systems, you should keep in mind that past performance does not guarantee future results. Therefore, future drawdowns may be larger than the historical maximum drawdowns you see here.

Trading is risky

There is a substantial risk of loss in futures and forex trading. Online trading of stocks and options is extremely risky. Assume you will lose money. Don't trade with money you cannot afford to lose.

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