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Stellar--not supp. since 08.22.08

Created by:
John Skillern
John Skillern
Started: 02/2008
Stocks
Last trade: 2199 days ago
Followers: 0

Subscription terms. Subscriptions to this system cost $5.00 per month. You will be charged at the end of the term, but only if the Model Account on this web page has been profitable for the preceding month.

Try AutoTrade for free. We'll give you $100,000 in a Simulated Broker Account to AutoTrade Stellar--not supp. since 08.22.08.

Free AutoTrade
0.3%
23.2%
Max Drawdown
70
Num Trades
45.7%
Win Trades
1.1 : 1
Profit Factor
38.0%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2008       +0.9%+14.2%+4.3%(14%)(6.1%)+2.4%+0.2%(0.1%)(0.3%)(0.1%)(0.1%)(0.9%)
2009  -  +0.1%  -  (0.1%)+0.1%(0.3%)  -  (0.4%)+0.1%  -    -    -  (0.3%)
2010+0.1%  -  (0.1%)(0.1%)+0.2%  -  (0.1%)+0.1%  -  (0.2%)+0.1%+2.3%+2.3%
2011(0.1%)  -  +0.1%(0.1%)+0.2%(0.1%)  -  +0.2%  -    -    -  (0.1%)+0.1%
2012(0.3%)(0.1%)+0.1%  -  +0.3%(0.1%)  -  +0.2%+0.1%+0.1%+0.1%(0.1%)+0.1%
2013(0.3%)+0.1%  -  +0.1%+0.3%  -  +0.2%(0.1%)  -  (0.1%)(0.1%)  -  0.0
2014+0.2%+0.1%  -    -  +0.3%  -  (0.1%)+0.2%                        +0.7%

Model Account Details

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

Closed Trades

CSV
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Opened ETB/S#Symbol PriceClosedPriceDDP/L
8/22/08 9:30 BUY 138 ATVI ACTIVISION BLIZZARD INC 17.00 8/22 9:49 17.00 -0%
Trade id #34606247
Max drawdown($4)
Time8/22/08 9:43
Quant open69
Worst price33.94
Drawdown as % of equity-0.00%
($4)
Includes Typical Broker Commission and AutoTrade Fees trade costs of $2.76
8/21/08 15:36 BUY 100 DELL DELL INC 25.25 8/21 15:40 25.23 -0%
Trade id #34595119
Max drawdown($4)
Time8/21/08 15:40
Quant open100
Worst price25.21
Drawdown as % of equity-0.00%
($4)
Includes Typical Broker Commission and AutoTrade Fees trade costs of $2.00
8/21/08 15:27 BUY 1,429 AAPL APPLE INC 24.46 8/21 15:28 24.46 n/a ($38)
Includes Typical Broker Commission and AutoTrade Fees trade costs of $28.58
8/21/08 15:05 BUY 714 AAPL APPLE INC 24.43 8/21 15:11 24.37 0.06%
Trade id #34594655
Max drawdown($59)
Time8/21/08 15:09
Quant open100
Worst price173.91
Drawdown as % of equity-0.06%
($59)
Includes Typical Broker Commission and AutoTrade Fees trade costs of $14.28
8/21/08 13:00 SELL 7 AAPL APPLE INC 24.13 8/21 13:01 24.14 n/a ($2)
Includes Typical Broker Commission and AutoTrade Fees trade costs of $2.00
8/20/08 15:48 BUY 721 AAPL APPLE INC 24.35 8/21 12:59 24.13 0.2%
Trade id #34572547
Max drawdown($203)
Time8/21/08 11:10
Quant open101
Worst price171.89
Drawdown as % of equity-0.20%
($171)
Includes Typical Broker Commission and AutoTrade Fees trade costs of $15.35
7/23/08 10:36 BUY 600 JOYG JOY GLOBAL INC 66.38 7/25 9:32 67.12 0.4%
Trade id #33990142
Max drawdown($420)
Time7/24/08 11:56
Quant open600
Worst price65.68
Drawdown as % of equity-0.40%
$432
Includes Typical Broker Commission and AutoTrade Fees trade costs of $12.00
7/23/08 9:37 BUY 520 MICC MILLICOM INTL CELLULAR SA 74.48 7/25 9:32 73.90 0.32%
Trade id #33984986
Max drawdown($327)
Time7/25/08 9:31
Quant open520
Worst price73.85
Drawdown as % of equity-0.32%
($312)
Includes Typical Broker Commission and AutoTrade Fees trade costs of $10.40
7/21/08 11:45 BUY 85 GOOG GOOGLE INC A 472.15 7/23 9:30 482.14 0.56%
Trade id #33928911
Max drawdown($556)
Time7/22/08 9:33
Quant open85
Worst price465.60
Drawdown as % of equity-0.56%
$847
Includes Typical Broker Commission and AutoTrade Fees trade costs of $2.00
7/15/08 10:00 BUY 580 AMZN AMAZON.COM INC 63.96 7/17 9:33 71.20 0.6%
Trade id #33795975
Max drawdown($562)
Time7/15/08 10:28
Quant open580
Worst price62.99
Drawdown as % of equity-0.60%
$4,187
Includes Typical Broker Commission and AutoTrade Fees trade costs of $11.60
7/15/08 10:31 BUY 1,200 LAMR LAMAR ADVERTISING CO A 30.95 7/17 9:32 33.50 0.32%
Trade id #33797610
Max drawdown($300)
Time7/15/08 10:37
Quant open1,200
Worst price30.70
Drawdown as % of equity-0.32%
$3,036
Includes Typical Broker Commission and AutoTrade Fees trade costs of $24.00
7/14/08 9:30 BUY 985 INFY INFOSYS TECHNOLOGIES ADS 38.14 7/16 9:31 37.09 2.86%
Trade id #33759363
Max drawdown($2,669)
Time7/15/08 10:10
Quant open985
Worst price35.43
Drawdown as % of equity-2.86%
($1,054)
Includes Typical Broker Commission and AutoTrade Fees trade costs of $19.70
7/8/08 10:00 BUY 1,140 VRSN VERISIGN INC 32.97 7/10 9:33 33.61 0.46%
Trade id #33602482
Max drawdown($433)
Time7/8/08 10:07
Quant open1,140
Worst price32.59
Drawdown as % of equity-0.46%
$707
Includes Typical Broker Commission and AutoTrade Fees trade costs of $22.80
7/8/08 9:46 BUY 3,100 VMED VIRGIN MEDIA 12.10 7/10 9:33 11.78 2.77%
Trade id #33601584
Max drawdown($2,604)
Time7/9/08 10:49
Quant open3,100
Worst price11.26
Drawdown as % of equity-2.77%
($1,054)
Includes Typical Broker Commission and AutoTrade Fees trade costs of $62.00
7/3/08 12:27 BUY 2,065 MXIM MAXIM INTEGRATED PRODUCTS 19.08 7/8 9:33 17.85 3.04%
Trade id #33540224
Max drawdown($2,973)
Time7/7/08 14:53
Quant open2,065
Worst price17.64
Drawdown as % of equity-3.04%
($2,581)
Includes Typical Broker Commission and AutoTrade Fees trade costs of $41.30
7/3/08 9:47 BUY 590 FWLT FOSTER WHEELER AG 66.71 7/8 9:31 62.97 2.8%
Trade id #33534608
Max drawdown($2,743)
Time7/7/08 14:49
Quant open590
Worst price62.06
Drawdown as % of equity-2.80%
($2,219)
Includes Typical Broker Commission and AutoTrade Fees trade costs of $11.80
7/3/08 11:45 BUY 2,550 ATVI ACTIVISION BLIZZARD INC 15.44 7/8 9:30 15.68 0.12%
Trade id #33539085
Max drawdown($114)
Time7/3/08 13:17
Quant open1,275
Worst price30.79
Drawdown as % of equity-0.12%
$561
Includes Typical Broker Commission and AutoTrade Fees trade costs of $51.00
7/3/08 9:52 BUY 1,210 AKAM AKAMAI TECHNOLOGIES INC 32.56 7/8 9:30 32.46 1.29%
Trade id #33534584
Max drawdown($1,258)
Time7/7/08 13:01
Quant open1,210
Worst price31.52
Drawdown as % of equity-1.29%
($145)
Includes Typical Broker Commission and AutoTrade Fees trade costs of $24.20
6/30/08 9:33 BUY 1,770 DELL DELL INC 22.16 7/2 9:33 22.77 1.18%
Trade id #33440548
Max drawdown($1,168)
Time7/1/08 9:31
Quant open1,770
Worst price21.50
Drawdown as % of equity-1.18%
$1,036
Includes Typical Broker Commission and AutoTrade Fees trade costs of $35.40
6/30/08 9:41 BUY 1,655 WFMI WHOLE FOODS MARKET INC 23.79 7/2 9:33 23.67 1.31%
Trade id #33445358
Max drawdown($1,290)
Time6/30/08 9:56
Quant open1,655
Worst price23.01
Drawdown as % of equity-1.31%
($232)
Includes Typical Broker Commission and AutoTrade Fees trade costs of $33.10
6/30/08 9:33 BUY 490 WYNN WYNN RESORTS LTD 79.01 7/2 9:33 81.84 0.94%
Trade id #33440547
Max drawdown($926)
Time7/1/08 9:31
Quant open490
Worst price77.12
Drawdown as % of equity-0.94%
$1,377
Includes Typical Broker Commission and AutoTrade Fees trade costs of $9.80
6/27/08 11:26 BUY 1,570 XLNX XILINX INC 25.43 7/1 9:31 24.47 2.11%
Trade id #33401802
Max drawdown($2,088)
Time7/1/08 9:31
Quant open1,570
Worst price24.10
Drawdown as % of equity-2.11%
($1,538)
Includes Typical Broker Commission and AutoTrade Fees trade costs of $31.40
6/27/08 9:32 BUY 2,600 LINTA LIBERTY MEDIA INTRACTV A 15.33 7/1 9:30 14.55 2.05%
Trade id #33391311
Max drawdown($2,028)
Time6/30/08 10:05
Quant open2,600
Worst price14.69
Drawdown as % of equity-2.05%
($2,080)
Includes Typical Broker Commission and AutoTrade Fees trade costs of $52.00
6/24/08 9:47 BUY 2,055 CMCSA COMCAST CORP CL A 19.09 6/26 9:36 19.02 0.52%
Trade id #33228035
Max drawdown($534)
Time6/24/08 11:11
Quant open2,055
Worst price18.83
Drawdown as % of equity-0.52%
($175)
Includes Typical Broker Commission and AutoTrade Fees trade costs of $41.10
6/24/08 9:58 BUY 1,100 ADSK AUTODESK INC 35.76 6/26 9:36 35.26 0.64%
Trade id #33233617
Max drawdown($649)
Time6/26/08 9:34
Quant open1,100
Worst price35.17
Drawdown as % of equity-0.64%
($572)
Includes Typical Broker Commission and AutoTrade Fees trade costs of $22.00
6/19/08 9:34 BUY 1,790 JNPR JUNIPER NETWORKS INC 22.52 6/23 9:32 22.77 0.74%
Trade id #33018199
Max drawdown($751)
Time6/19/08 9:36
Quant open1,790
Worst price22.10
Drawdown as % of equity-0.74%
$412
Includes Typical Broker Commission and AutoTrade Fees trade costs of $35.80
6/19/08 9:34 BUY 1,280 PDCO PATTERSON COMPANIES INC 31.14 6/23 9:32 30.60 0.69%
Trade id #33018219
Max drawdown($716)
Time6/20/08 14:42
Quant open1,280
Worst price30.58
Drawdown as % of equity-0.69%
($717)
Includes Typical Broker Commission and AutoTrade Fees trade costs of $25.60
6/18/08 9:32 BUY 1,260 DISH DISH NETWORK CORP A 31.65 6/20 9:33 30.40 1.91%
Trade id #32974913
Max drawdown($1,940)
Time6/19/08 11:43
Quant open1,260
Worst price30.11
Drawdown as % of equity-1.91%
($1,600)
Includes Typical Broker Commission and AutoTrade Fees trade costs of $25.20
6/13/08 9:32 BUY 850 PCAR PACCAR INC 46.83 6/17 9:33 47.46 0.04%
Trade id #32855996
Max drawdown($39)
Time6/16/08 9:59
Quant open850
Worst price46.78
Drawdown as % of equity-0.04%
$519
Includes Typical Broker Commission and AutoTrade Fees trade costs of $17.00
6/13/08 9:32 BUY 1,480 WFMI WHOLE FOODS MARKET INC 26.82 6/17 9:33 27.58 0.16%
Trade id #32856027
Max drawdown($162)
Time6/13/08 9:47
Quant open1,480
Worst price26.71
Drawdown as % of equity-0.16%
$1,095
Includes Typical Broker Commission and AutoTrade Fees trade costs of $29.60

Statistics

  • Strategy began
    2/22/2008
  • Age
    79 months ago
  • What it trades
    Stocks
  • # Trades
    70
  • # Profitable
    32
  • % Profitable
    45.70%
  • Avg trade duration
    65.5 days
  • Max peak-to-valley drawdown
    23.19%
  • drawdown period
    May 01, 2008 - July 14, 2008
  • Annual return (compounded)
    0.6%
  • Avg win
    $1,749
  • Avg loss
    $1,421
  • W:L ratio
    1.12:1
  • GENERAL STATISTICS
  • Age
    2381
  • # Trades
    70
  • Avg Trade Length
    65.5
  • PROFIT
  • Profit Factor
    1.1
  • SORTINO STATISTICS
  • Sortino Ratio
    0.008
  • CALMAR STATISTICS
  • Calmar Ratio
    0.046
  • SHARPE STATISTICS
  • Sharpe Ratio
    0.005
  • Ann Return (w trading costs)
    0.3%
  • Ann Return (Compnd, No Fees)
    0.6%
  • Chance of 10% account loss
    50.00%
  • Chance of 20% account loss
    17.50%
  • Chance of 30% account loss
    n/a
  • Chance of 40% account loss
    n/a
  • Chance of 50% account loss
    n/a
  • PROFIT STATISTICS
  • APD
    0.02
  • DRAW DOWN STATISTICS
  • Max Drawdown
    23.2%
  • TOS STATISTICS
  • Trades Own System?
    0
  • TOS percent
    n/a
  • BILLING STATISTICS
  • Subscription Price
    $5
  • Billing Period (days)
    30
  • Trial Days
    0
  • WIN STATISTICS
  • Avg Win
    $1,749
  • Avg Loss
    $1,421
  • # Winners
    32
  • # Losers
    38
  • % Winners
    45.7%
  • TIME STATISTICS
  • Avg Position Time (mins)
    94366.70
  • Avg Position Time (hrs)
    1572.78
  • OWNER STATISTICS
  • Developer
    -

Strategy Description

Stellar is a long-only, script-driven EOD (End-of-Day) swing trading system that utilizes regression and money-flow analysis to identify price aberations in Naz/S&P-100 equities which historically precede short-term price increases with ~62% probability (based on a 10 year 1000+ trade backtest history). The system is comprised of two parallel, moderately-correlated algorithms which generate a combination of market and limit entry orders outside of market hours.

All positions are held for exactly 2 trading days. Profit targets and stoplosses are optional. C2 position sizes are 19.5% of available leveraged capital (2X margin) thus a hypothetical 100k account with 200k purchasing power could open a maximum of 5 positions at 39k each (assuming 5k total leeway allowance). Average exposure with margin is ~40%. Stellar can be easily scaled for a variety of account sizes with a recommended minimum of 1k per position.

Before subscribing please acknowledge that past performance (backtest and C2 out-of-sample) is not indicative of future performance and significant deviations from posted metrics (positive and negative) are not only possible but increasingly more likely with time. This system is intended to supplement other investment strategies.

More detailed information is forthcoming.



















About the results you see on this Web site

Past results are not necessarily indicative of future results.

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

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

Material assumptions and methods used when calculating results

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

  • Profits are reinvested. We assume profits (when there are profits) are reinvested in the trading strategy.
  • Starting investment. For any trading system on our Web site, we assume you will invest the amount that appears as the starting amount of that system's performance chart.
  • All fees are included. When calculating cumulative returns, we try to estimate and include all the fees a typical trader incurs when AutoTrading using AutoTrade technology. This includes the subscription cost of the strategy, plus any per-trade AutoTrade fees, plus estimated broker commissions if any.
  • "Max Drawdown" Calculation Method. We calculate the Max Drawdown statistic as follows. Our computer software looks at the equity chart of the system in question and finds the largest percentage amount that the equity chart ever declines from a local "peak" to a subsequent point in time (thus this is formally called "Maximum Peak to Valley Drawdown.") While this is useful information when evaluating trading systems, you should keep in mind that past performance does not guarantee future results. Therefore, future drawdowns may be larger than the historical maximum drawdowns you see here.

Trading is risky

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

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