Alphergence - DayTrade Stocks
Hypothetical Monthly Returns (includes typical commissions and system fees)
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2011 | (0.1%) | (1.3%) | (3.2%) | +1.6% | (0.2%) | - | (0.3%) | (0.2%) | ||||
| 2012 | (0.2%) | (0.2%) | (0.2%) | (0.2%) | (0.2%) | (0.2%) | (0.2%) | (0.2%) | (0.2%) | (0.2%) | (0.2%) | (0.2%) |
| 2013 | (0.2%) | - | (0.3%) | (0.2%) | (0.2%) |
There is a substantial risk of loss when trading futures, forex, stocks, or options. Hide this
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| Instruments | Stocks |
|---|---|
| Strategies | Volatility trading, Arbitrage, Market timing |
| System started | 5/26/2011 (24 months ago) |
| System developer |
Variance LLC 
(Last login to C2: 5/22/13 17:11) C2 Score: 957  Vendor has created 8 other systems. Show |
| Status | This system is no longer supported. |
| Hypothetical Trading Results | |||||||||
|---|---|---|---|---|---|---|---|---|---|
| Opened ET | B/S | # | Symbol | Price | Closed | Price | Risk | P/L | |
| 8/26/11 15:05 | BUY | 300 | BRCM | BROADCOM CORP CL A | 33.82 | 8/26 16:00 |
33.88 | Low | $12 |
| 8/26/11 12:49 | BUY | 100 | AMZN | AMAZON.COM INC | 198.57 | 8/26 15:59 |
199.25 | Low | $66 |
| 8/26/11 11:00 | BUY | 150 | GMCR | GREEN MTN COFFEE ROASTER | 94.04 | 8/26 15:58 |
97.92 | Low | $579 |
| 8/26/11 14:37 | SELL | 1,000 | MU | MICRON TECHNOLOGY INC | 5.76 | 8/26 15:58 |
5.67 | Low | $70 |
| 8/26/11 15:37 | SELL | 250 | C | CITIGROUP INC | 29.71 | 8/26 15:57 |
29.80 | Low | ($28) |
| 8/26/11 14:17 | BUY | 600 | MRVL | MARVELL TECHNOLOGY GROUP | 12.90 | 8/26 15:55 |
12.86 | Low | ($36) |
| 8/26/11 11:03 | BUY | 600 | JPM | JPMORGAN CHASE & CO | 35.84 | 8/26 15:29 |
36.09 | n/a | $134 |
| 8/26/11 14:48 | SELL | 100 | GOOG | GOOGLE INC A | 527.07 | 8/26 15:17 |
525.08 | Low | $197 |
| 8/26/11 14:11 | BUY | 100 | AAPL | APPLE INC | 382.47 | 8/26 14:52 |
383.44 | Low | $95 |
| 8/25/11 13:48 | BUY | 2,000 | C | CITIGROUP INC | 29.75 | 8/26 14:49 |
29.88 | Low | $223 |
| 8/26/11 14:12 | BUY | 100 | GOOG | GOOGLE INC A | 528.30 | 8/26 14:48 |
527.07 | Low | ($125) |
| 8/26/11 11:25 | BUY | 1,000 | MU | MICRON TECHNOLOGY INC | 5.64 | 8/26 14:37 |
5.76 | Low | $100 |
| 8/23/11 15:57 | SELL | 2,400 | YHOO | YAHOO! INC | 13.00 | 8/26 14:19 |
12.89 | Low | $234 |
| 8/26/11 11:23 | BUY | 100 | GOOG | GOOGLE INC A | 527.33 | 8/26 12:01 |
529.25 | Low | $190 |
| 8/26/11 11:25 | BUY | 100 | AMZN | AMAZON.COM INC | 195.37 | 8/26 12:00 |
197.37 | Low | $198 |
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Statistics
Analytics| All Statistics Based on Hypothetical Results | |
|---|---|
| Trades | 1,108 |
| # Profitable | 538 (48.6%) |
| # months tracked | 25 |
| Profitable months | 1 (4.0%) |
| Avg trade duration | 4.1 hours |
| Annual return (compounded) | 2.2% |
| Average win | $120 |
| Average loss | $105 |
| Profit factor | 1.1:1 |
| Max peak-to-valley drawdown (historical) | 8.65% |
| drawdown period | June 28, 2011 to Aug 09, 2011 |
| Correlation w/ S&P | 0.041 |
| Sharpe ratio | 0.717 |
| Keep after worst-case slippage | -283.2% |
| Probabilities of future account loss | |
| Chance of 10% account loss | 0.0% |
| Chance of 20% account loss | 0.0% |
| Chance of 30% account loss | 0.0% |
| Chance of 50% account loss | 0.0% |
|---|---|
| Chance of 100% account loss | 0.0% |
| Average Profit to Drawdown (APD) | 0.00 |
| Average P/L per unit traded | $0.01 |
Reviews
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System Description
Day Trades Stocks
Q. What it trades?
A set of 12-15 individual US stocks. Most trades last from a few minutes to hours.
Q. Does it go Long only
NO, the system takes advantage from the short side as well. It will go long and short names. These are easy to borrow names, so locates for shorts will be readily available at your broker.
Q Can I manually trade this system?
NOT RECOMMENDED. It is highly desireable, due to the frequency of trading that this be AutoTraded.
Q. Do you have Stops and Targets?
YES. Each order is entered in a limit and after execution, clear targets and Stop orders are placed.
Q. There are so many trades. What about commissions?
Yes, there are several trades that are executed in the day. With today's low commissions (like IB), the transaction cost has already been taken into account in the performance displayed.
Q. What is the account size required?
Starting capital can be scaled based on the model start value, which is 100k. It does day trade into margin, but tends to close all/most all trades at the end of the day. The trade size per trade is about 10k per trade, per name.
Should you have any questions, please feel free to email me.
PLEASE NOTE: PAST PERFORMANCE IS NO GUARANTEE OF FUTURE RETURNS.
Q. What it trades?
A set of 12-15 individual US stocks. Most trades last from a few minutes to hours.
Q. Does it go Long only
NO, the system takes advantage from the short side as well. It will go long and short names. These are easy to borrow names, so locates for shorts will be readily available at your broker.
Q Can I manually trade this system?
NOT RECOMMENDED. It is highly desireable, due to the frequency of trading that this be AutoTraded.
Q. Do you have Stops and Targets?
YES. Each order is entered in a limit and after execution, clear targets and Stop orders are placed.
Q. There are so many trades. What about commissions?
Yes, there are several trades that are executed in the day. With today's low commissions (like IB), the transaction cost has already been taken into account in the performance displayed.
Q. What is the account size required?
Starting capital can be scaled based on the model start value, which is 100k. It does day trade into margin, but tends to close all/most all trades at the end of the day. The trade size per trade is about 10k per trade, per name.
Should you have any questions, please feel free to email me.
PLEASE NOTE: PAST PERFORMANCE IS NO GUARANTEE OF FUTURE RETURNS.
- This System Description text was submitted by the creator of this strategy. Collective2 verifies only trading signals and hypothetical trading results. We have not verified that this text above is an accurate system description. Remember there is a substantial risk of loss in trading. Past performance is not indicative of future results. Do not trade with money you cannot afford to lose.
