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This strategy is no longer supported by its creator.
These are hypothetical performance results that have certain inherent limitations. Learn more

Longstoch-ST
(21862232)

Created by: JohnSkillern JohnSkillern
Started: 07/2006
Stocks
Last trade: 5,904 days ago

Subscriptions not available

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

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

C2Star

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

You can read more about C2Star certification requirements here.

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

4.6%

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 Cumulative Rate of Return is calculated

= (Ending_equity - Starting_equity) / Starting_equity

Remember that, following NFA requirements, strategy subscription costs and estimated commissions are included in marked-to-market equity calculations.

All results are hypothetical.

-
Max Drawdown
109
Num Trades
73.4%
Win Trades
1.3 : 1
Profit Factor
7.0%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2006                                          (0.7%)+5.0%+6.5%+4.3%+11.2%+3.0%+32.7%
2007+1.7%+4.7%+0.2%(4.8%)+1.0%+4.5%(5.8%)+2.0%+1.3%+9.4%(7%)+7.5%+13.9%
2008(10.4%)(10.6%)  -    -    -    -    -    -    -    -    -    -  (19.9%)
2009  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2010  -    -    -    -    -    -    -    -    -    -    -  +2.8%+2.8%
2011  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2012  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2013  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2014  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2015  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2016  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2017  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2018  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2019  -    -    -    -    -    -    -    -    -    -    -  0.0
2020  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2021  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2022  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2023  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2024  -    -    -    -                                                  0.0

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 48 hours.

Trading Record

This strategy has placed 16 trades in real-life brokerage accounts. The most recent trade in a real-money brokerage account occurred more than 6306 days ago.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
2/19/08 9:30 LVLT LEVEL 3 LONG 1,813 38.10 2/25 9:30 33.90 10.5%
Trade id #30690025
Max drawdown($13,056)
Time2/22/08 10:03
Quant open27,200
Worst price2.06
Drawdown as % of equity-10.50%
($7,620)
Includes Typical Broker Commissions trade costs of $5.00
2/13/08 9:30 SEPR LONG 2,810 25.60 2/25 9:30 22.72 7.21%
Trade id #30614620
Max drawdown($8,963)
Time2/22/08 10:34
Quant open2,810
Worst price22.41
Drawdown as % of equity-7.21%
($8,098)
Includes Typical Broker Commissions trade costs of $5.00
2/7/08 9:30 MSFT MICROSOFT LONG 2,480 28.34 2/8 10:04 28.95 0.77%
Trade id #30533031
Max drawdown($1,091)
Time2/7/08 15:49
Quant open2,480
Worst price27.90
Drawdown as % of equity-0.77%
$1,508
Includes Typical Broker Commissions trade costs of $5.00
12/28/07 9:30 LINTA LIBERTY INTERACTIVE LONG 4,025 19.49 1/25/08 9:30 15.27 18.5%
Trade id #29838905
Max drawdown($24,431)
Time1/22/08 9:31
Quant open4,025
Worst price13.42
Drawdown as % of equity-18.50%
($16,991)
Includes Typical Broker Commissions trade costs of $5.00
1/24/08 9:34 JNPR JUNIPER NETWORKS LONG 2,750 25.27 1/25 9:30 26.96 0.35%
Trade id #30261080
Max drawdown($467)
Time1/24/08 9:41
Quant open2,750
Worst price25.10
Drawdown as % of equity-0.35%
$4,643
Includes Typical Broker Commissions trade costs of $5.00
1/3/08 9:34 MCHP MICROCHIP TECHNOLOGY LONG 2,430 30.53 1/17 9:32 28.52 4.72%
Trade id #29926210
Max drawdown($6,488)
Time1/16/08 10:48
Quant open2,430
Worst price27.86
Drawdown as % of equity-4.72%
($4,889)
Includes Typical Broker Commissions trade costs of $5.00
12/28/07 9:30 MRVL MARVELL TECHNOLOGY LONG 5,710 13.78 12/31 12:35 14.06 1.06%
Trade id #29838886
Max drawdown($1,655)
Time12/28/07 10:16
Quant open5,710
Worst price13.49
Drawdown as % of equity-1.06%
$1,594
Includes Typical Broker Commissions trade costs of $5.00
12/21/07 9:35 CDNS CADENCE DESIGN SYSTEMS LONG 4,565 16.98 12/26 9:50 17.14 n/a $725
Includes Typical Broker Commissions trade costs of $5.00
12/20/07 9:34 PTEN PATTERSON-UTI ENERGY LONG 3,850 19.15 12/26 9:50 19.90 0.37%
Trade id #29730585
Max drawdown($539)
Time12/20/07 10:33
Quant open3,850
Worst price19.01
Drawdown as % of equity-0.37%
$2,883
Includes Typical Broker Commissions trade costs of $5.00
12/14/07 9:30 MICC Millicom International Cellular SA LONG 665 114.70 12/21 13:09 116.99 4.5%
Trade id #29625745
Max drawdown($6,783)
Time12/17/07 15:50
Quant open665
Worst price104.50
Drawdown as % of equity-4.50%
$1,518
Includes Typical Broker Commissions trade costs of $5.00
12/12/07 9:34 CMCSA COMCAST LONG 4,275 18.10 12/20 9:31 18.05 2.05%
Trade id #29586247
Max drawdown($3,120)
Time12/12/07 15:16
Quant open4,275
Worst price17.37
Drawdown as % of equity-2.05%
($219)
Includes Typical Broker Commissions trade costs of $5.00
12/6/07 9:30 RIMM LONG 730 100.10 12/7 9:39 105.38 0.63%
Trade id #29508782
Max drawdown($927)
Time12/6/07 9:33
Quant open730
Worst price98.83
Drawdown as % of equity-0.63%
$3,849
Includes Typical Broker Commissions trade costs of $5.00
12/4/07 9:30 WYNN WYNN RESORTS LONG 600 120.67 12/5 9:30 124.28 0.69%
Trade id #29472986
Max drawdown($1,002)
Time12/4/07 9:38
Quant open600
Worst price119.00
Drawdown as % of equity-0.69%
$2,161
Includes Typical Broker Commissions trade costs of $5.00
11/28/07 9:30 XLNX XILINX LONG 3,300 22.38 12/3 9:31 22.24 0.31%
Trade id #29394337
Max drawdown($451)
Time12/3/07 9:31
Quant open710
Worst price21.86
Drawdown as % of equity-0.31%
($459)
Includes Typical Broker Commissions trade costs of $7.50
11/20/07 9:30 IACI IAC/INTERACTIVECORP LONG 2,590 27.81 11/29 9:30 28.49 2.46%
Trade id #29249003
Max drawdown($3,470)
Time11/27/07 9:31
Quant open2,590
Worst price26.47
Drawdown as % of equity-2.46%
$1,756
Includes Typical Broker Commissions trade costs of $5.00
11/21/07 9:30 CTXS CITRIX SYSTEMS LONG 1,925 36.59 11/26 9:44 37.32 1.49%
Trade id #29272259
Max drawdown($2,136)
Time11/21/07 10:32
Quant open1,925
Worst price35.48
Drawdown as % of equity-1.49%
$1,400
Includes Typical Broker Commissions trade costs of $5.00
10/31/07 9:30 VMED Virgin Media, Inc. LONG 3,530 22.20 11/19 9:30 18.73 11.92%
Trade id #28850494
Max drawdown($16,767)
Time11/14/07 13:59
Quant open3,530
Worst price17.45
Drawdown as % of equity-11.92%
($12,254)
Includes Typical Broker Commissions trade costs of $5.00
11/5/07 9:33 CHRW CH ROBINSON WORLDWIDE LONG 1,620 47.33 11/19 9:30 46.33 2.66%
Trade id #28964037
Max drawdown($3,758)
Time11/12/07 15:51
Quant open1,620
Worst price45.01
Drawdown as % of equity-2.66%
($1,625)
Includes Typical Broker Commissions trade costs of $5.00
10/29/07 9:30 BEAS LONG 4,550 16.70 11/2 15:00 17.03 0.93%
Trade id #28822087
Max drawdown($1,410)
Time10/29/07 15:58
Quant open4,550
Worst price16.39
Drawdown as % of equity-0.93%
$1,497
Includes Typical Broker Commissions trade costs of $5.00
10/25/07 9:30 IACI IAC/INTERACTIVECORP LONG 2,775 27.67 10/30 14:56 28.22 1.54%
Trade id #28785053
Max drawdown($2,303)
Time10/26/07 10:47
Quant open2,775
Worst price26.84
Drawdown as % of equity-1.54%
$1,521
Includes Typical Broker Commissions trade costs of $5.00
10/24/07 9:31 EBAY EBAY LONG 2,120 36.02 10/26 14:35 36.74 1.43%
Trade id #28761971
Max drawdown($2,162)
Time10/24/07 11:20
Quant open2,120
Worst price35.00
Drawdown as % of equity-1.43%
$1,521
Includes Typical Broker Commissions trade costs of $5.00
10/17/07 9:30 INFY INFOSYS LONG 6,320 12.52 10/23 9:30 12.45 2.09%
Trade id #28643255
Max drawdown($3,128)
Time10/22/07 9:43
Quant open1,580
Worst price48.10
Drawdown as % of equity-2.09%
($466)
Includes Typical Broker Commissions trade costs of $5.00
10/22/07 9:31 WFMI Whole Foods Market, Inc. LONG 1,580 47.04 10/23 9:30 48.00 0.17%
Trade id #28703055
Max drawdown($252)
Time10/22/07 9:34
Quant open1,580
Worst price46.88
Drawdown as % of equity-0.17%
$1,512
Includes Typical Broker Commissions trade costs of $5.00
10/17/07 9:30 VMED Virgin Media, Inc. LONG 3,230 23.25 10/18 15:12 23.72 1.31%
Trade id #28643236
Max drawdown($1,970)
Time10/17/07 11:08
Quant open3,230
Worst price22.64
Drawdown as % of equity-1.31%
$1,513
Includes Typical Broker Commissions trade costs of $5.00
10/4/07 9:30 NTAP NETAPP LONG 2,820 26.05 10/5 11:56 26.57 1.25%
Trade id #28471547
Max drawdown($1,861)
Time10/4/07 13:26
Quant open2,820
Worst price25.39
Drawdown as % of equity-1.25%
$1,461
Includes Typical Broker Commissions trade costs of $5.00
9/27/07 9:30 SEPR LONG 2,650 27.75 10/3 9:30 27.80 1.31%
Trade id #28355284
Max drawdown($1,855)
Time9/28/07 10:47
Quant open2,650
Worst price27.05
Drawdown as % of equity-1.31%
$128
Includes Typical Broker Commissions trade costs of $5.00
9/26/07 9:30 AKAM AKAMAI TECHNOLOGIES LONG 2,435 30.18 10/2 15:03 30.78 4.18%
Trade id #28341791
Max drawdown($5,917)
Time9/28/07 9:35
Quant open2,435
Worst price27.75
Drawdown as % of equity-4.18%
$1,456
Includes Typical Broker Commissions trade costs of $5.00
9/12/07 9:30 VMED Virgin Media, Inc. LONG 3,125 22.88 9/18 14:15 23.33 1.8%
Trade id #28141782
Max drawdown($2,562)
Time9/14/07 9:31
Quant open3,125
Worst price22.06
Drawdown as % of equity-1.80%
$1,401
Includes Typical Broker Commissions trade costs of $5.00
9/13/07 9:30 MNST MONSTER BEVERAGE LONG 4,300 16.50 9/17 10:18 16.83 0.62%
Trade id #28161200
Max drawdown($881)
Time9/13/07 9:44
Quant open2,150
Worst price32.59
Drawdown as % of equity-0.62%
$1,414
Includes Typical Broker Commissions trade costs of $5.00
9/11/07 9:30 QCOM QUALCOMM LONG 1,930 37.01 9/12 9:00 38.01 0.25%
Trade id #28101168
Max drawdown($352)
Time9/11/07 9:44
Quant open1,930
Worst price36.83
Drawdown as % of equity-0.25%
$1,920
Includes Typical Broker Commissions trade costs of $5.00

Statistics

  • Strategy began
    7/7/2006
  • Suggested Minimum Cap
    $100,000
  • Strategy Age (days)
    6501.65
  • Age
    217 months ago
  • What it trades
    Stocks
  • # Trades
    109
  • # Profitable
    80
  • % Profitable
    73.40%
  • Avg trade duration
    5.3 days
  • Max peak-to-valley drawdown
    %
  • drawdown period
    Dec , - Dec ,
  • Annual return (compounded)
    1.5%
  • Avg win
    $1,614
  • Avg loss
    $3,519
  • Model Account Values (Raw)
  • Cash
    $130,465
  • Margin Used
    $0
  • Buying Power
    $130,465
  • Ratios
  • W:L ratio
    1.30:1
  • Sharpe Ratio
    -0.09
  • Sortino Ratio
    -0.13
  • Calmar Ratio
    0
  • CORRELATION STATISTICS
  • Correlation to SP500
    0.06390
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -2.95%
  • Return Percent SP500 (cumu) during strategy life
    300.77%
  • Return Statistics
  • Ann Return (w trading costs)
    4.6%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.92%
  • Instruments
  • Percent Trades Stocks
    1.00%
  • Slump
  • Current Slump as Pcnt Equity
    22.20%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Instruments
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    1.5%
  • Automation
  • Percentage Signals Automated
    n/a
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Win
    $1,615
  • Avg Loss
    $3,519
  • Sum Trade PL (losers)
    $102,059.000
  • Sum Trade PL (winners)
    $129,173.000
  • # Winners
    80
  • Dividends
  • Dividends Received in Model Acct
    3351
  • Win / Loss
  • Num Months Winners
    23
  • Age
  • Num Months filled monthly returns table
    214
  • Win / Loss
  • # Losers
    29
  • % Winners
    73.4%
  • Frequency
  • Avg Position Time (mins)
    7666.30
  • Avg Position Time (hrs)
    127.77
  • Avg Trade Length
    5.3 days
  • Last Trade Ago
    5904
  • Regression
  • Alpha
    -0.00
  • Beta
    0.02
  • Treynor Index
    -0.07
  • Maximum Adverse Excursion (MAE)
  • MAE:PL (avg, all trades)
    -0.20
  • MAE:Equity, average, all trades
    0.02
  • Avg(MAE) / Avg(PL) - All trades
    11.924
  • MAE:Equity, losing trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, win trades only, 95th Percentile Value for this strat
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    67.35
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    27.75
  • MAE:Equity, 95th Percentile Value for this strat
    0.08
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL - worst single value for strategy
    -
  • MAE:Equity, average, winning trades
    0.01
  • MAE:Equity, average, losing trades
    0.05
  • MAE:PL (avg, losing trades)
    -
  • Avg(MAE) / Avg(PL) - Winning trades
    0.757
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.668
  • Hold-and-Hope Ratio
    0.084
  • Analysis based on DAILY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to linear regression on benchmark
  • a (intercept, estimate of alpha)
    -0.02100
  • Analysis based on DAILY values, last 6 months only
  • Ratio statistics of excess log return rates
  • VAR (95 Confidence Intrvl)
    0.04600
  • DRAW DOWN STATISTICS
  • Risk estimates based on draw downs (based on Extreme Value T
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • Max Equity Drawdown (num days)
    60
  • Last 4 Months - Pcnt Negative
    n/a

Strategy Description


Longstoch-ST
is a remarkably easy to manage script-driven EOD swing trading system that has consistently outperformed its respective Index with a comparable standard deviation of quarterly returns, maintaining ~50% equity exposure while trading a maximum of 2 positions.


System Characteristics:


- trades short-term, oversold NASDAQ-100 stocks using a stochastic-based proprietary algorithm
- optimal risk vs reward is achieved by trading two positions max and maintaining 50% average market exposure
- deep liquidity stocks insure rapid large order fills and neutral slippage impact (C2 Realism Factor is conservative)
- allows for wide range of account sizes with effective position scaling to as low as 3K
- trade alerts are issued between 9PM-1AM EST prior to market open
- manual operation requires no more than 5 min. per day
- C2 results based on 1X leveraging, no margin
- average recovery rate 3X that of Index
- high CAGR, low GSD


Backtest Results:


5 1/2 year backtest results (as of 07.07.06) based on 10K of starting capital with a maximum of 2 simultaneous positions investing 50% equity each (assuming $16 round-trip commission, 2 units slippage, mixed lot orders, 4.75% cash rate):

2.14 sharpe ratio
75.4% annualized return (26% SD)
25.7% max drawdown
81.75% winning trades
50.32% exposure
70 avg. trades per year
3.36 avg. bars held


Disclaimer:


Please note that the above results represent annual benchmark performance assuming a normal luck coefficient. Since its Nov. 05 inception, Longstoch-ST has traded well within its 5 1/2 and 12 year annualized backtest return envelope. As with any trading product, however, strength and consistency of past performance in no way guarantees any level of future performance.

Feel free to contact me with any inquiries.










































Summary Statistics

Strategy began
2006-07-07
Suggested Minimum Capital
$100,000
# Trades
109
# Profitable
80
% Profitable
73.4%
Net Dividends
Correlation S&P500
0.064
Sharpe Ratio
-0.09
Sortino Ratio
-0.13
Beta
0.02
Alpha
-0.00

Latest Activity

#PERSONNAME#
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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No subscribers and simulations will be allowed. If you have subscribers, the strategy will still be visible to them.
If you have simulations, they will be stopped.

Continue to designate your strategy as Private?

Strategy is no longer visible

This strategy is no longer visible to anyone except current subscribers.

(Current subscribers will remain subscribed. You can see who is subscribed, and control their subscriptions, on your Subscriber Management screen.)

Finally, please note that you can restore public visibility at any time.

This strategy is no longer visible to the public. No subscribers will be allowed.

You can restore public visibility at any time.

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.