Collective2 Collective2
For your consideration US Stock Momentum Rank on Leaderboard #3 Hypothetical

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Reversion II
(42480701)

Created by: RTDSystems RTDSystems
Started: 08/2009
Stocks
Last trade: 5,271 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. 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.

1.4%
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.

(31.1%)
Max Drawdown
574
Num Trades
69.0%
Win Trades
1.2 : 1
Profit Factor
11.3%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2009                                                 (1%)+0.2%+11.3%+0.7%+0.7%+11.8%
2010+2.2%+2.1%+1.2%+1.0%+17.3%+0.2%+0.2%(1.4%)+1.5%+2.1%+2.7%+3.3%+36.3%
2011+2.7%+2.0%+2.6%(1.2%)(5.9%)+0.2%+0.4%(16.1%)(3.3%)+2.0%+2.8%(2%)(16.3%)
2012(0.2%)(0.1%)  -    -    -    -    -    -    -    -    -    -  (0.2%)
2013  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2014  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2015  -    -    -    -    -    -    -    -    -  (0.2%)  -    -  (0.2%)
2016  -    -    -    -    -    -  +0.2%  -    -    -    -    -  +0.2%
2017  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2018  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2019  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2020  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2021  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2022  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2023  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2024  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2025  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2026  -    -    -    -    -    -                                      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 72 hours.

Trading Record

This strategy has placed 526 trades in real-life brokerage accounts. To see live brokerage data, select Show AutoTrade Data, and click on a Live AutoTrade Indicator symbol.

Show AutoTrade data Hide AutoTrade data
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Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQuantAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
1/5/12 9:46 PCS PGIM ETF TRUST PGIM CRP BND 0-5 YEAR ETF LONG 2,080 8.07 1/9 9:30 8.07 0.19%
Trade id #69495304
Max drawdown($269)
Time1/5/12 10:56
Quant open2,080
Worst price7.94
Drawdown as % of equity-0.19%
 ($1)
Includes Typical Broker Commissions trade costs of $5.00
12/21/11 15:24 VXX IPATH SERIES B S&P 500 VIX SHORT-TERM FUTURES ETN LONG 8 2188.64 12/23 9:31 2146.90 0.63%
Trade id #69186570
Max drawdown($900)
Time12/22/11 9:56
Quant open490
Worst price32.36
Drawdown as % of equity-0.63%
 ($334)
Includes Typical Broker Commissions trade costs of $0.16
12/14/11 10:51 LNG CHENIERE ENERGY LONG 2,066 8.37 12/16 9:31 8.39 0.75%
Trade id #68958150
Max drawdown($1,053)
Time12/15/11 10:17
Quant open2,066
Worst price7.86
Drawdown as % of equity-0.75%
 $37
Includes Typical Broker Commissions trade costs of $5.00
12/13/11 15:43 PDC PERPETUALS.COM LTD ADS LONG 1,726 9.89 12/15 9:31 9.36 0.98%
Trade id #68932443
Max drawdown($1,430)
Time12/14/11 15:09
Quant open1,726
Worst price9.06
Drawdown as % of equity-0.98%
 ($910)
Includes Typical Broker Commissions trade costs of $5.00
12/13/11 15:53 NUGT DIREXION DAILY GOLD MINERS INDEX BULL 2X ETF LONG 2 11383.10 12/15 9:31 10745.60 1.61%
Trade id #68932758
Max drawdown($2,356)
Time12/14/11 11:13
Quant open761
Worst price19.67
Drawdown as % of equity-1.61%
 ($1,275)
Includes Typical Broker Commissions trade costs of $0.04
12/13/11 15:17 MTW MANITOWOC LONG 8,624 2.01 12/15 9:31 1.90 1.25%
Trade id #68931237
Max drawdown($1,829)
Time12/14/11 11:38
Quant open1,811
Worst price8.55
Drawdown as % of equity-1.25%
 ($911)
Includes Typical Broker Commissions trade costs of $5.00
12/13/11 15:11 DGP POWERSHARES DB GOLD DOUBLE LON LONG 328 52.68 12/15 9:31 49.52 1.12%
Trade id #68930999
Max drawdown($1,646)
Time12/14/11 11:22
Quant open328
Worst price47.66
Drawdown as % of equity-1.12%
 ($1,043)
Includes Typical Broker Commissions trade costs of $6.56
12/13/11 15:52 ATI ALLEGHENY TECHNOLOGIES LONG 393 44.15 12/15 9:31 44.51 0.38%
Trade id #68932732
Max drawdown($554)
Time12/14/11 11:00
Quant open393
Worst price42.74
Drawdown as % of equity-0.38%
 $132
Includes Typical Broker Commissions trade costs of $7.86
12/13/11 15:44 DRN DIREXION DAILY REAL ESTATE BULL 3X ETF LONG 818 21.00 12/14 11:41 21.52 0.17%
Trade id #68932477
Max drawdown($253)
Time12/14/11 9:31
Quant open409
Worst price41.39
Drawdown as % of equity-0.17%
 $415
Includes Typical Broker Commissions trade costs of $5.00
12/12/11 10:35 SFL SFL CORP LTD LONG 1,703 10.15 12/13 9:46 10.38 0.46%
Trade id #68883818
Max drawdown($678)
Time12/12/11 13:33
Quant open1,703
Worst price9.75
Drawdown as % of equity-0.46%
 $393
Includes Typical Broker Commissions trade costs of $5.00
11/30/11 10:19 SFLY SHUTTERFLY LONG 619 28.74 12/2 9:31 28.69 0.92%
Trade id #68443714
Max drawdown($1,333)
Time12/1/11 9:34
Quant open619
Worst price26.59
Drawdown as % of equity-0.92%
 ($41)
Includes Typical Broker Commissions trade costs of $5.00
11/29/11 12:07 ERY DIREXION DAILY ENERGY BEAR 2X ETF LONG 223 80.27 12/1 9:31 68.65 1.78%
Trade id #68398365
Max drawdown($2,592)
Time12/1/11 9:31
Quant open0
Worst price11.44
Drawdown as % of equity-1.78%
 ($2,596)
Includes Typical Broker Commissions trade costs of $4.46
11/29/11 12:07 DUG PROSHARES ULTRASHORT ENERGY TRADING LONG 158 113.12 12/1 9:31 102.28 1.18%
Trade id #68398428
Max drawdown($1,782)
Time11/30/11 15:59
Quant open630
Worst price25.45
Drawdown as % of equity-1.18%
 ($1,716)
Includes Typical Broker Commissions trade costs of $3.16
11/23/11 14:16 BWS BROWN SHOE COMPANY LONG 2,389 7.57 11/25 9:55 7.75 0.13%
Trade id #68245509
Max drawdown($190)
Time11/25/11 9:31
Quant open2,389
Worst price7.49
Drawdown as % of equity-0.13%
 $425
Includes Typical Broker Commissions trade costs of $5.00
11/22/11 9:31 OSG OCTAVE SPECIALTY GROUP INC LONG 1,784 10.15 11/25 9:31 9.25 1.37%
Trade id #68189327
Max drawdown($2,086)
Time11/23/11 9:44
Quant open1,623
Worst price9.87
Drawdown as % of equity-1.37%
 ($1,611)
Includes Typical Broker Commissions trade costs of $5.00
11/22/11 10:51 GNK GENCO SHIPPING & TRADING LTD LONG 2,424 7.48 11/25 9:31 6.71 1.41%
Trade id #68196443
Max drawdown($2,133)
Time11/23/11 14:47
Quant open2,424
Worst price6.60
Drawdown as % of equity-1.41%
 ($1,880)
Includes Typical Broker Commissions trade costs of $5.00
11/21/11 14:57 MASI MASIMO LONG 1,021 18.00 11/22 13:39 18.45 0.04%
Trade id #68166272
Max drawdown($61)
Time11/21/11 16:00
Quant open1,021
Worst price17.94
Drawdown as % of equity-0.04%
 $458
Includes Typical Broker Commissions trade costs of $5.00
11/18/11 11:49 SFLY SHUTTERFLY LONG 541 33.93 11/22 9:31 32.77 0.98%
Trade id #68117537
Max drawdown($1,530)
Time11/21/11 9:32
Quant open541
Worst price31.10
Drawdown as % of equity-0.98%
 ($632)
Includes Typical Broker Commissions trade costs of $5.00
11/17/11 12:41 EDC DIREXION DAILY MSCI EMERGING MARKETS BULL 3X ETF LONG 174 106.08 11/21 9:31 97.36 1.08%
Trade id #68078671
Max drawdown($1,678)
Time11/21/11 9:31
Quant open230
Worst price73.06
Drawdown as % of equity-1.08%
 ($1,519)
Includes Typical Broker Commissions trade costs of $3.48
11/17/11 12:41 CENX CENTURY ALUMINUM LONG 1,878 9.74 11/21 9:31 9.15 0.72%
Trade id #68078668
Max drawdown($1,119)
Time11/21/11 9:31
Quant open1,878
Worst price9.14
Drawdown as % of equity-0.72%
 ($1,097)
Includes Typical Broker Commissions trade costs of $5.00
11/17/11 15:37 ANR ALPHA NATURAL RESOURCES LONG 787 22.69 11/18 9:35 23.25 0.09%
Trade id #68084706
Max drawdown($132)
Time11/17/11 15:42
Quant open787
Worst price22.52
Drawdown as % of equity-0.09%
 $435
Includes Typical Broker Commissions trade costs of $5.00
11/17/11 12:40 ACI ALBERTSONS COS INC LONG 122 148.00 11/18 9:34 152.33 0.06%
Trade id #68078625
Max drawdown($85)
Time11/17/11 15:41
Quant open1,222
Worst price14.73
Drawdown as % of equity-0.06%
 $526
Includes Typical Broker Commissions trade costs of $2.44
11/17/11 11:56 JEF JEFFERIES FINANCIAL GROUP INC LONG 1,890 9.68 11/18 9:31 10.05 0.22%
Trade id #68075567
Max drawdown($333)
Time11/17/11 12:41
Quant open1,890
Worst price9.50
Drawdown as % of equity-0.22%
 $700
Includes Typical Broker Commissions trade costs of $5.00
11/17/11 15:20 FAS DIREXION DAILY FINANCIAL BULL 3X ETF LONG 3,864 4.74 11/18 9:31 4.88 0.04%
Trade id #68084218
Max drawdown($61)
Time11/17/11 15:45
Quant open322
Worst price56.73
Drawdown as % of equity-0.04%
 $528
Includes Typical Broker Commissions trade costs of $5.00
11/15/11 9:50 MTOR MERITOR LONG 2,543 7.31 11/17 9:31 6.26 1.8%
Trade id #67996899
Max drawdown($2,797)
Time11/16/11 15:36
Quant open2,543
Worst price6.21
Drawdown as % of equity-1.80%
 ($2,671)
Includes Typical Broker Commissions trade costs of $5.00
11/15/11 10:02 CTRP CTRIP.COM INTERNATIONAL LONG 670 27.78 11/17 9:31 26.97 0.66%
Trade id #67997595
Max drawdown($1,030)
Time11/16/11 12:29
Quant open670
Worst price26.24
Drawdown as % of equity-0.66%
 ($545)
Includes Typical Broker Commissions trade costs of $5.00
11/10/11 15:22 EW EDWARDS LIFESCIENCES LONG 269 68.36 11/11 9:55 69.55 0.03%
Trade id #67838441
Max drawdown($48)
Time11/10/11 15:25
Quant open269
Worst price68.18
Drawdown as % of equity-0.03%
 $316
Includes Typical Broker Commissions trade costs of $5.38
11/10/11 12:07 AHT ASHFORD HOSPITALITY TRUST LONG 2,451 7.54 11/11 9:30 7.75 0.17%
Trade id #67830365
Max drawdown($269)
Time11/10/11 12:16
Quant open2,451
Worst price7.43
Drawdown as % of equity-0.17%
 $513
Includes Typical Broker Commissions trade costs of $5.00
11/10/11 13:45 CSC COMPUTER SCIENCES LONG 727 25.40 11/11 9:30 26.18 0.22%
Trade id #67834914
Max drawdown($348)
Time11/10/11 15:00
Quant open727
Worst price24.92
Drawdown as % of equity-0.22%
 $564
Includes Typical Broker Commissions trade costs of $5.00
11/9/11 13:45 JRCC JAMES RIVER COAL COMPANY LONG 2,111 8.64 11/11 9:30 8.46 0.56%
Trade id #67781737
Max drawdown($865)
Time11/10/11 14:59
Quant open2,111
Worst price8.23
Drawdown as % of equity-0.56%
 ($380)
Includes Typical Broker Commissions trade costs of $5.00

Statistics

  • Strategy began
    8/16/2009
  • Suggested Minimum Cap
    $15,000
  • Strategy Age (days)
    6146.02
  • Age
    205 months ago
  • What it trades
    Stocks
  • # Trades
    574
  • # Profitable
    396
  • % Profitable
    69.00%
  • Avg trade duration
    2.3 days
  • Max peak-to-valley drawdown
    31.06%
  • drawdown period
    May 18, 2011 - Sept 27, 2011
  • Annual Return (Compounded)
    1.4%
  • Avg win
    $553.87
  • Avg loss
    $1,001
  • Model Account Values (Raw)
  • Cash
    $142,917
  • Margin Used
    $0
  • Buying Power
    $142,917
  • Ratios
  • W:L ratio
    1.24:1
  • Sharpe Ratio
    -0.03
  • Sortino Ratio
    -0.04
  • Calmar Ratio
    -0.07
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -612.86%
  • Correlation to SP500
    0.12290
  • Return Percent SP500 (cumu) during strategy life
    640.12%
  • Return Statistics
  • Ann Return (w trading costs)
    1.4%
  • Slump
  • Current Slump as Pcnt Equity
    30.90%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.90%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.014%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    2.1%
  • 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
    n/a
  • Chance of 60% account loss (Monte Carlo)
    n/a
  • 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
    0.09%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    0
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • Popularity (7 days, Percentile 1000 scale)
    0
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $1,002
  • Avg Win
    $554
  • Sum Trade PL (losers)
    $178,311.000
  • Age
  • Num Months filled monthly returns table
    203
  • Win / Loss
  • Sum Trade PL (winners)
    $219,331.000
  • # Winners
    396
  • Num Months Winners
    33
  • Dividends
  • Dividends Received in Model Acct
    1904
  • Win / Loss
  • # Losers
    178
  • % Winners
    69.0%
  • Frequency
  • Avg Position Time (mins)
    3276.08
  • Avg Position Time (hrs)
    54.60
  • Avg Trade Length
    2.3 days
  • Last Trade Ago
    5271
  • Regression
  • Alpha
    -0.00
  • Beta
    0.06
  • Treynor Index
    -0.01
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.01
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    58.33
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    50.09
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    1.24
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.01
  • Avg(MAE) / Avg(PL) - All trades
    18.729
  • 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
    0.936
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.596
  • Hold-and-Hope Ratio
    0.053
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.03624
  • SD
    0.19614
  • Sharpe ratio (Glass type estimate)
    -0.18474
  • Sharpe ratio (Hedges UMVUE)
    -0.18286
  • df
    74.00000
  • t
    -0.46186
  • p
    0.67723
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.96869
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.60042
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.96740
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.60167
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.21266
  • Upside Potential Ratio
    0.59636
  • Upside part of mean
    0.10161
  • Downside part of mean
    -0.13785
  • Upside SD
    0.09505
  • Downside SD
    0.17039
  • N nonnegative terms
    18.00000
  • N negative terms
    57.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    75.00000
  • Mean of predictor
    0.26113
  • Mean of criterion
    -0.03624
  • SD of predictor
    0.22765
  • SD of criterion
    0.19614
  • Covariance
    0.01515
  • r
    0.33922
  • b (slope, estimate of beta)
    0.29226
  • a (intercept, estimate of alpha)
    -0.11256
  • Mean Square Error
    0.03451
  • DF error
    73.00000
  • t(b)
    3.08101
  • p(b)
    0.00145
  • t(a)
    -1.43698
  • p(a)
    0.92250
  • Lowerbound of 95% confidence interval for beta
    0.10321
  • Upperbound of 95% confidence interval for beta
    0.48132
  • Lowerbound of 95% confidence interval for alpha
    -0.26866
  • Upperbound of 95% confidence interval for alpha
    0.04355
  • Treynor index (mean / b)
    -0.12398
  • Jensen alpha (a)
    -0.11256
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.05942
  • SD
    0.22922
  • Sharpe ratio (Glass type estimate)
    -0.25925
  • Sharpe ratio (Hedges UMVUE)
    -0.25661
  • df
    74.00000
  • t
    -0.64812
  • p
    0.74055
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.04349
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.52671
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.04169
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.52846
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.28236
  • Upside Potential Ratio
    0.46221
  • Upside part of mean
    0.09727
  • Downside part of mean
    -0.15670
  • Upside SD
    0.08856
  • Downside SD
    0.21045
  • N nonnegative terms
    18.00000
  • N negative terms
    57.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    75.00000
  • Mean of predictor
    0.23281
  • Mean of criterion
    -0.05942
  • SD of predictor
    0.22638
  • SD of criterion
    0.22922
  • Covariance
    0.02193
  • r
    0.42261
  • b (slope, estimate of beta)
    0.42790
  • a (intercept, estimate of alpha)
    -0.15904
  • Mean Square Error
    0.04375
  • DF error
    73.00000
  • t(b)
    3.98408
  • p(b)
    0.00008
  • t(a)
    -1.82139
  • p(a)
    0.96368
  • Lowerbound of 95% confidence interval for beta
    0.21385
  • Upperbound of 95% confidence interval for beta
    0.64196
  • Lowerbound of 95% confidence interval for alpha
    -0.33307
  • Upperbound of 95% confidence interval for alpha
    0.01498
  • Treynor index (mean / b)
    -0.13887
  • Jensen alpha (a)
    -0.15904
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.10755
  • Expected Shortfall on VaR
    0.13163
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.03358
  • Expected Shortfall on VaR
    0.07499
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    75.00000
  • Minimum
    0.60978
  • Quartile 1
    0.99999
  • Median
    1.00000
  • Quartile 3
    1.00138
  • Maximum
    1.19448
  • Mean of quarter 1
    0.96149
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00008
  • Mean of quarter 4
    1.03571
  • Inter Quartile Range
    0.00139
  • Number outliers low
    8.00000
  • Percentage of outliers low
    0.10667
  • Mean of outliers low
    0.90891
  • Number of outliers high
    18.00000
  • Percentage of outliers high
    0.24000
  • Mean of outliers high
    1.03761
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    1.89261
  • VaR(95%) (moments method)
    0.00828
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    1.27906
  • VaR(95%) (regression method)
    0.02627
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    2.00000
  • Minimum
    0.18991
  • Quartile 1
    0.23999
  • Median
    0.29007
  • Quartile 3
    0.34014
  • Maximum
    0.39022
  • Mean of quarter 1
    0.18991
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.39022
  • Inter Quartile Range
    0.10016
  • 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)
    -0.02861
  • Compounded annual return (geometric extrapolation)
    -0.03103
  • Calmar ratio (compounded annual return / max draw down)
    -0.07951
  • Compounded annual return / average of 25% largest draw downs
    -0.07951
  • Compounded annual return / Expected Shortfall lognormal
    -0.23570
  • 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
    -0.01661
  • SD
    0.27061
  • Sharpe ratio (Glass type estimate)
    -0.06136
  • Sharpe ratio (Hedges UMVUE)
    -0.06133
  • df
    1656.00000
  • t
    -0.15432
  • p
    0.50190
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.84072
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.71800
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.84070
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.71803
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.07624
  • Upside Potential Ratio
    1.76367
  • Upside part of mean
    0.38414
  • Downside part of mean
    -0.40075
  • Upside SD
    0.16045
  • Downside SD
    0.21781
  • N nonnegative terms
    250.00000
  • N negative terms
    1407.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1657.00000
  • Mean of predictor
    0.28660
  • Mean of criterion
    -0.01661
  • SD of predictor
    0.28798
  • SD of criterion
    0.27061
  • Covariance
    0.01926
  • r
    0.24717
  • b (slope, estimate of beta)
    0.23226
  • a (intercept, estimate of alpha)
    -0.08300
  • Mean Square Error
    0.06880
  • DF error
    1655.00000
  • t(b)
    10.37730
  • p(b)
    0.34426
  • t(a)
    -0.79593
  • p(a)
    0.51245
  • Lowerbound of 95% confidence interval for beta
    0.18836
  • Upperbound of 95% confidence interval for beta
    0.27616
  • Lowerbound of 95% confidence interval for alpha
    -0.28813
  • Upperbound of 95% confidence interval for alpha
    0.12179
  • Treynor index (mean / b)
    -0.07149
  • Jensen alpha (a)
    -0.08317
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.05905
  • SD
    0.30497
  • Sharpe ratio (Glass type estimate)
    -0.19364
  • Sharpe ratio (Hedges UMVUE)
    -0.19355
  • df
    1656.00000
  • t
    -0.48696
  • p
    0.50598
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.97300
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.58575
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.97293
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.58584
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.22102
  • Upside Potential Ratio
    1.39481
  • Upside part of mean
    0.37268
  • Downside part of mean
    -0.43173
  • Upside SD
    0.14688
  • Downside SD
    0.26719
  • N nonnegative terms
    250.00000
  • N negative terms
    1407.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1657.00000
  • Mean of predictor
    0.24385
  • Mean of criterion
    -0.05905
  • SD of predictor
    0.29419
  • SD of criterion
    0.30497
  • Covariance
    0.02723
  • r
    0.30349
  • b (slope, estimate of beta)
    0.31461
  • a (intercept, estimate of alpha)
    -0.13577
  • Mean Square Error
    0.08449
  • DF error
    1655.00000
  • t(b)
    12.95760
  • p(b)
    0.30980
  • t(a)
    -1.17313
  • p(a)
    0.51835
  • Lowerbound of 95% confidence interval for beta
    0.26698
  • Upperbound of 95% confidence interval for beta
    0.36223
  • Lowerbound of 95% confidence interval for alpha
    -0.36277
  • Upperbound of 95% confidence interval for alpha
    0.09123
  • Treynor index (mean / b)
    -0.18770
  • Jensen alpha (a)
    -0.13577
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.03073
  • Expected Shortfall on VaR
    0.03831
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00478
  • Expected Shortfall on VaR
    0.01097
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    1657.00000
  • Minimum
    0.57032
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.30954
  • Mean of quarter 1
    0.99425
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.00593
  • Inter Quartile Range
    0.00000
  • Number outliers low
    215.00000
  • Percentage of outliers low
    0.12975
  • Mean of outliers low
    0.98890
  • Number of outliers high
    275.00000
  • Percentage of outliers high
    0.16596
  • Mean of outliers high
    1.00893
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    1.10253
  • VaR(95%) (moments method)
    0.00237
  • 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
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    5.00000
  • Minimum
    0.00166
  • Quartile 1
    0.00691
  • Median
    0.02725
  • Quartile 3
    0.27594
  • Maximum
    0.43713
  • Mean of quarter 1
    0.00429
  • Mean of quarter 2
    0.02725
  • Mean of quarter 3
    0.27594
  • Mean of quarter 4
    0.43713
  • Inter Quartile Range
    0.26903
  • 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)
    -0.02827
  • Compounded annual return (geometric extrapolation)
    -0.03067
  • Calmar ratio (compounded annual return / max draw down)
    -0.07015
  • Compounded annual return / average of 25% largest draw downs
    -0.07015
  • Compounded annual return / Expected Shortfall lognormal
    -0.80044
  • 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
    -0.02791
  • SD
    0.00000
  • Sharpe ratio (Glass type estimate)
    0.00000
  • Sharpe ratio (Hedges UMVUE)
    0.00000
  • df
    0.00000
  • t
    0.00000
  • p
    0.00000
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.00000
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.00000
  • Statistics related to Sortino ratio
  • Sortino ratio
    -16.18640
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    0.00000
  • Downside part of mean
    -0.02791
  • Upside SD
    0.00000
  • Downside SD
    0.00172
  • N nonnegative terms
    0.00000
  • N negative terms
    131.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    1.05557
  • Mean of criterion
    -0.02791
  • SD of predictor
    0.34004
  • SD of criterion
    0.00000
  • Covariance
    0.00000
  • r
    0.00000
  • b (slope, estimate of beta)
    0.00000
  • a (intercept, estimate of alpha)
    0.00000
  • Mean Square Error
    0.00000
  • DF error
    0.00000
  • t(b)
    0.00000
  • p(b)
    0.00000
  • t(a)
    0.00000
  • p(a)
    0.00000
  • Lowerbound of 95% confidence interval for beta
    0.00000
  • Upperbound of 95% confidence interval for beta
    0.00000
  • Lowerbound of 95% confidence interval for alpha
    0.00000
  • Upperbound of 95% confidence interval for alpha
    0.00000
  • Treynor index (mean / b)
    0.00000
  • Jensen alpha (a)
    0.00000
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.02791
  • SD
    0.00000
  • Sharpe ratio (Glass type estimate)
    -9748420000000000.00000
  • Sharpe ratio (Hedges UMVUE)
    -9692070000000000.00000
  • df
    130.00000
  • t
    -6893170000000000.00000
  • p
    1.00000
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -10870200000000000.00000
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -8513980000000000.00000
  • Statistics related to Sortino ratio
  • Sortino ratio
    -16.18640
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    0.00000
  • Downside part of mean
    -0.02791
  • Upside SD
    0.00000
  • Downside SD
    0.00172
  • N nonnegative terms
    0.00000
  • N negative terms
    131.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.99614
  • Mean of criterion
    -0.02791
  • SD of predictor
    0.34000
  • SD of criterion
    0.00000
  • Covariance
    -0.00000
  • r
    -0.00000
  • b (slope, estimate of beta)
    -0.00000
  • a (intercept, estimate of alpha)
    -0.02791
  • Mean Square Error
    0.00000
  • DF error
    129.00000
  • t(b)
    -0.00000
  • p(b)
    0.50000
  • t(a)
    -6755990000000000.00000
  • p(a)
    1.00000
  • VAR (95 Confidence Intrvl)
    0.03100
  • Lowerbound of 95% confidence interval for beta
    -0.00000
  • Upperbound of 95% confidence interval for beta
    0.00000
  • Lowerbound of 95% confidence interval for alpha
    -0.02791
  • Upperbound of 95% confidence interval for alpha
    -0.02791
  • Treynor index (mean / b)
    71221800000000005322584795119616.00000
  • Jensen alpha (a)
    -0.02791
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00011
  • Expected Shortfall on VaR
    0.00011
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00000
  • Expected Shortfall on VaR
    0.00000
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    1.00000
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.00000
  • Mean of quarter 1
    1.00000
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.00000
  • Inter Quartile Range
    0.00000
  • 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 for a one-period unit investment (based on Ex
  • 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
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    0.00000
  • Minimum
    0.00000
  • Quartile 1
    0.00000
  • Median
    0.00000
  • Quartile 3
    0.00000
  • Maximum
    0.00000
  • Mean of quarter 1
    0.00000
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.00000
  • Inter Quartile Range
    0.00000
  • 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
    n/a
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -380118000
  • Max Equity Drawdown (num days)
    132
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.00000
  • Compounded annual return (geometric extrapolation)
    0.00000
  • Calmar ratio (compounded annual return / max draw down)
    0.00000
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    0.00000

Strategy Description

Details:
- Trades stocks and ETFs.
- Long positions only (including inverse ETFs).
- Positions are held at least one night and a maximum of two days.
- Positions are opened with limit orders and closed either by limit or market orders.
- Margin of 2:1 may be used.
- Each position is 12% of the portfolio, with a maximum of 16 positions.
- No averaging down.

Orders are monitored using custom software and automatically sent to C2 when the security moves within a certain percentage of the target limit price. The process starts at 9:29 a.m. ET and stops at 4 p.m. ET. For this reason, auto-trading is recommended. The number of orders depends on the market conditions, more orders will be triggered when the market is weak. I trade this system in my own accounts.


Trade this strategy at Tradier

Summary Statistics

Strategy began
2009-08-16
Suggested Minimum Capital
$15,000
# Trades
574
# Profitable
396
% Profitable
69.0%
Net Dividends
$1,903
Correlation S&P500
0.123
Sharpe Ratio
-0.03
Sortino Ratio
-0.04
Beta
0.06
Alpha
-0.00

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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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.