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Featured Strategy S2Prox0 Followed by live capital $167,000 Hypothetical

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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
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Pangolin Z
(79906597)

Created by: KevinMcGrath2 KevinMcGrath2
Started: 03/2013
Stocks
Last trade: 3,403 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.

20.3%
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.

-
Max Drawdown
464
Num Trades
67.5%
Win Trades
1.5 : 1
Profit Factor
13.6%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2013              +0.3%+8.5%+0.5%+3.3%+1.4%(2.2%)+2.8%+4.0%+4.8%+1.9%+28.0%
2014(0.5%)+0.6%+8.9%+3.4%+2.0%+2.9%(5.2%)+3.0%(6.5%)(7.2%)+5.4%+0.6%+6.2%
2015+0.1%  -    -    -    -    -    -    -    -    -    -    -  +0.1%
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.

Trading Record

This strategy has placed 748 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/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
12/17/14 9:49 AMT AMERICAN TOWER LONG 45 95.85 12/22 9:30 99.49 0.04%
Trade id #91377214
Max drawdown($12)
Time12/17/14 11:16
Quant open45
Worst price95.58
Drawdown as % of equity-0.04%
 $163
Includes Typical Broker Commissions trade costs of $0.90
12/17/14 9:33 ALXN ALEXION PHARMACEUTICALS LONG 10 177.73 12/22 9:30 188.09 0.05%
Trade id #91376479
Max drawdown($17)
Time12/17/14 9:35
Quant open10
Worst price176.01
Drawdown as % of equity-0.05%
 $104
Includes Typical Broker Commissions trade costs of $0.20
12/12/14 9:30 LM LEGG MASON LONG 50 51.76 12/19 9:30 52.46 0.34%
Trade id #91293613
Max drawdown($119)
Time12/15/14 11:56
Quant open50
Worst price49.37
Drawdown as % of equity-0.34%
 $34
Includes Typical Broker Commissions trade costs of $1.00
12/16/14 9:30 AAPL APPLE LONG 20 106.49 12/19 9:30 112.11 0.01%
Trade id #91350439
Max drawdown($3)
Time12/16/14 9:33
Quant open20
Worst price106.33
Drawdown as % of equity-0.01%
 $112
Includes Typical Broker Commissions trade costs of $0.40
12/16/14 9:30 NI NISOURCE LONG 85 39.23 12/18 15:56 41.51 0.1%
Trade id #91350499
Max drawdown($33)
Time12/16/14 10:11
Quant open85
Worst price38.84
Drawdown as % of equity-0.10%
 $192
Includes Typical Broker Commissions trade costs of $1.70
12/9/14 9:30 RHT RED HAT LONG 65 59.38 12/18 9:41 60.88 0.35%
Trade id #91217204
Max drawdown($121)
Time12/12/14 18:01
Quant open65
Worst price57.51
Drawdown as % of equity-0.35%
 $96
Includes Typical Broker Commissions trade costs of $1.30
12/15/14 11:24 EMC GLOBAL X EMERGING MARKETS GREAT CONSUMER ETF LONG 135 28.34 12/18 9:41 29.37 0.14%
Trade id #91327115
Max drawdown($49)
Time12/16/14 9:32
Quant open135
Worst price27.97
Drawdown as % of equity-0.14%
 $137
Includes Typical Broker Commissions trade costs of $2.70
12/15/14 10:07 ROP ROPER TECHNOLOGIES INC. LONG 25 149.89 12/18 9:31 153.85 0.13%
Trade id #91323640
Max drawdown($43)
Time12/17/14 11:18
Quant open25
Worst price148.15
Drawdown as % of equity-0.13%
 $99
Includes Typical Broker Commissions trade costs of $0.50
12/10/14 9:35 DPS DR PEPPER SNAPPLE GROUP LONG 60 71.31 12/18 9:30 71.08 0.33%
Trade id #91243295
Max drawdown($115)
Time12/16/14 9:36
Quant open60
Worst price69.39
Drawdown as % of equity-0.33%
 ($15)
Includes Typical Broker Commissions trade costs of $1.20
12/1/14 9:30 SWK STANLEY BLACK & DECKER LONG 60 94.18 12/18 9:30 95.27 0.28%
Trade id #91069665
Max drawdown($98)
Time12/16/14 9:31
Quant open60
Worst price92.54
Drawdown as % of equity-0.28%
 $64
Includes Typical Broker Commissions trade costs of $1.20
12/10/14 9:30 PAYX PAYCHEX LONG 130 46.63 12/18 9:30 47.36 0.21%
Trade id #91242850
Max drawdown($73)
Time12/12/14 16:03
Quant open130
Worst price46.07
Drawdown as % of equity-0.21%
 $91
Includes Typical Broker Commissions trade costs of $2.60
12/11/14 9:30 AA ALCOA LONG 145 15.56 12/16 14:36 14.51 0.44%
Trade id #91270092
Max drawdown($153)
Time12/16/14 14:36
Quant open0
Worst price14.51
Drawdown as % of equity-0.44%
 ($156)
Includes Typical Broker Commissions trade costs of $2.90
12/3/14 13:31 VRSN VERISIGN LONG 75 58.45 12/16 9:41 56.27 0.47%
Trade id #91126773
Max drawdown($164)
Time12/16/14 9:41
Quant open0
Worst price56.27
Drawdown as % of equity-0.47%
 ($166)
Includes Typical Broker Commissions trade costs of $1.50
12/10/14 9:30 KO COCA-COLA LONG 100 42.04 12/16 9:30 40.20 0.7%
Trade id #91242891
Max drawdown($244)
Time12/15/14 16:16
Quant open100
Worst price39.60
Drawdown as % of equity-0.70%
 ($186)
Includes Typical Broker Commissions trade costs of $2.00
12/10/14 9:30 JCI JOHNSON CONTROLS LONG 75 47.85 12/15 10:24 46.05 0.39%
Trade id #91242917
Max drawdown($135)
Time12/15/14 10:24
Quant open0
Worst price46.05
Drawdown as % of equity-0.39%
 ($137)
Includes Typical Broker Commissions trade costs of $1.50
12/9/14 9:30 MCO MOODY'S LONG 40 96.56 12/12 15:51 93.60 0.34%
Trade id #91217131
Max drawdown($118)
Time12/12/14 15:51
Quant open0
Worst price93.60
Drawdown as % of equity-0.34%
 ($119)
Includes Typical Broker Commissions trade costs of $0.80
12/9/14 9:30 CF CF INDUSTRIES HOLDINGS LONG 10 261.66 12/12 12:08 248.60 0.37%
Trade id #91217176
Max drawdown($131)
Time12/12/14 12:08
Quant open0
Worst price248.60
Drawdown as % of equity-0.37%
 ($131)
Includes Typical Broker Commissions trade costs of $0.20
12/11/14 14:47 ADBE ADOBE INC LONG 55 69.85 12/12 9:40 74.98 0.05%
Trade id #91278331
Max drawdown($19)
Time12/11/14 16:01
Quant open55
Worst price69.50
Drawdown as % of equity-0.05%
 $281
Includes Typical Broker Commissions trade costs of $1.10
12/8/14 14:02 ADS ALLIANCE DATA SYSTEMS LONG 15 277.64 12/11 9:37 281.28 0.23%
Trade id #91198981
Max drawdown($82)
Time12/9/14 12:23
Quant open15
Worst price272.15
Drawdown as % of equity-0.23%
 $55
Includes Typical Broker Commissions trade costs of $0.30
12/9/14 9:37 DNB DUN AND BRADSTREET HOLDINGS INC LONG 30 121.23 12/11 9:30 116.98 0.37%
Trade id #91217705
Max drawdown($128)
Time12/11/14 9:30
Quant open0
Worst price116.98
Drawdown as % of equity-0.37%
 ($129)
Includes Typical Broker Commissions trade costs of $0.60
12/5/14 9:30 GMCR KEURIG GREEN MOUNTAIN INC. CO LONG 15 134.38 12/10 11:12 139.92 0.21%
Trade id #91166755
Max drawdown($75)
Time12/9/14 10:17
Quant open15
Worst price129.36
Drawdown as % of equity-0.21%
 $83
Includes Typical Broker Commissions trade costs of $0.30
12/4/14 9:31 DTV DTE ENERGY CO UNITS LONG 85 85.95 12/9 9:40 84.02 0.46%
Trade id #91143835
Max drawdown($164)
Time12/9/14 9:40
Quant open0
Worst price84.02
Drawdown as % of equity-0.46%
 ($166)
Includes Typical Broker Commissions trade costs of $1.70
11/21/14 10:54 CRM SALESFORCE INC LONG 40 58.35 12/9 9:33 54.11 0.48%
Trade id #90933672
Max drawdown($170)
Time12/9/14 9:33
Quant open0
Worst price54.11
Drawdown as % of equity-0.48%
 ($171)
Includes Typical Broker Commissions trade costs of $0.80
11/26/14 9:30 HRL HORMEL FOODS LONG 65 51.32 12/8 11:11 53.40 n/a $134
Includes Typical Broker Commissions trade costs of $1.30
12/1/14 9:30 WMB WILLIAMS COMPANIES LONG 50 51.01 12/8 9:57 48.50 0.35%
Trade id #91069723
Max drawdown($126)
Time12/8/14 9:57
Quant open0
Worst price48.50
Drawdown as % of equity-0.35%
 ($127)
Includes Typical Broker Commissions trade costs of $1.00
12/2/14 9:30 ETFC E*TRADE FINANCIAL CORP LONG 120 22.23 12/5 9:30 23.52 0%
Trade id #91096743
Max drawdown($0)
Time12/2/14 9:55
Quant open120
Worst price22.22
Drawdown as % of equity-0.00%
 $153
Includes Typical Broker Commissions trade costs of $2.40
12/2/14 9:30 STI SOLIDION TECHNOLOGY INC. LONG 120 38.93 12/5 9:30 40.50 n/a $186
Includes Typical Broker Commissions trade costs of $2.40
11/17/14 9:30 PM PHILIP MORRIS LONG 55 86.34 12/3 9:30 87.13 0.12%
Trade id #90831486
Max drawdown($42)
Time11/20/14 12:56
Quant open55
Worst price85.57
Drawdown as % of equity-0.12%
 $43
Includes Typical Broker Commissions trade costs of $1.10
11/17/14 9:30 GILD GILEAD SCIENCES LONG 20 101.28 12/2 9:30 101.64 0.17%
Trade id #90831524
Max drawdown($58)
Time11/25/14 10:58
Quant open20
Worst price98.37
Drawdown as % of equity-0.17%
 $7
Includes Typical Broker Commissions trade costs of $0.40
11/25/14 9:32 JNJ JOHNSON & JOHNSON LONG 55 106.88 12/1 10:16 108.58 0.09%
Trade id #90982788
Max drawdown($31)
Time11/26/14 8:55
Quant open55
Worst price106.31
Drawdown as % of equity-0.09%
 $92
Includes Typical Broker Commissions trade costs of $1.10
Next

Statistics

  • Strategy began
    3/26/2013
  • Suggested Minimum Cap
    $25,000
  • Strategy Age (days)
    4037.98
  • Age
    135 months ago
  • What it trades
    Stocks
  • # Trades
    464
  • # Profitable
    313
  • % Profitable
    67.50%
  • Avg trade duration
    7.0 days
  • Max peak-to-valley drawdown
    %
  • drawdown period
    Dec , - Dec ,
  • Annual Return (Compounded)
    20.3%
  • Avg win
    $104.83
  • Avg loss
    $150.29
  • Model Account Values (Raw)
  • Cash
    $36,037
  • Margin Used
    $0
  • Buying Power
    $36,037
  • Ratios
  • W:L ratio
    1.49:1
  • Sharpe Ratio
    0.18
  • Sortino Ratio
    0.27
  • Calmar Ratio
    0.737
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    5.57%
  • Correlation to SP500
    0.16170
  • Return Percent SP500 (cumu) during strategy life
    223.70%
  • Return Statistics
  • Ann Return (w trading costs)
    20.3%
  • Slump
  • Current Slump as Pcnt Equity
    13.10%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.89%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.203%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    3.4%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    7.00%
  • Chance of 20% account loss
    0.50%
  • Chance of 30% account loss
    n/a
  • 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
  • Automation
  • Percentage Signals Automated
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    851
  • Popularity (Last 6 weeks)
    895
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $150
  • Avg Win
    $105
  • Sum Trade PL (losers)
    $22,694.000
  • Age
  • Num Months filled monthly returns table
    134
  • Win / Loss
  • Sum Trade PL (winners)
    $32,812.000
  • # Winners
    313
  • Num Months Winners
    19
  • Dividends
  • Dividends Received in Model Acct
    905
  • Win / Loss
  • # Losers
    151
  • % Winners
    67.5%
  • Frequency
  • Avg Position Time (mins)
    10118.70
  • Avg Position Time (hrs)
    168.64
  • Avg Trade Length
    7.0 days
  • Last Trade Ago
    3403
  • Regression
  • Alpha
    0.00
  • Beta
    0.05
  • Treynor Index
    0.06
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.00
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    43.53
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    47.13
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    0.33
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.01
  • Avg(MAE) / Avg(PL) - All trades
    6.141
  • 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
    0.00
  • Avg(MAE) / Avg(PL) - Winning trades
    0.672
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.309
  • Hold-and-Hope Ratio
    0.163
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.19959
  • SD
    0.13512
  • Sharpe ratio (Glass type estimate)
    1.47715
  • Sharpe ratio (Hedges UMVUE)
    1.42365
  • df
    21.00000
  • t
    2.00006
  • p
    0.25231
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.05292
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.97527
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.08656
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.93385
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.75164
  • Upside Potential Ratio
    4.42715
  • Upside part of mean
    0.32112
  • Downside part of mean
    -0.12153
  • Upside SD
    0.12444
  • Downside SD
    0.07253
  • N nonnegative terms
    15.00000
  • N negative terms
    7.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    22.00000
  • Mean of predictor
    0.14926
  • Mean of criterion
    0.19959
  • SD of predictor
    0.10379
  • SD of criterion
    0.13512
  • Covariance
    0.00843
  • r
    0.60129
  • b (slope, estimate of beta)
    0.78279
  • a (intercept, estimate of alpha)
    0.08275
  • Mean Square Error
    0.01224
  • DF error
    20.00000
  • t(b)
    3.36541
  • p(b)
    0.19935
  • t(a)
    0.93216
  • p(a)
    0.39797
  • Lowerbound of 95% confidence interval for beta
    0.29760
  • Upperbound of 95% confidence interval for beta
    1.26798
  • Lowerbound of 95% confidence interval for alpha
    -0.10243
  • Upperbound of 95% confidence interval for alpha
    0.26793
  • Treynor index (mean / b)
    0.25497
  • Jensen alpha (a)
    0.08275
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.18925
  • SD
    0.13421
  • Sharpe ratio (Glass type estimate)
    1.41009
  • Sharpe ratio (Hedges UMVUE)
    1.35902
  • df
    21.00000
  • t
    1.90927
  • p
    0.26134
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.11358
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.90302
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.14573
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.86377
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.54102
  • Upside Potential Ratio
    4.20804
  • Upside part of mean
    0.31340
  • Downside part of mean
    -0.12416
  • Upside SD
    0.12096
  • Downside SD
    0.07448
  • N nonnegative terms
    15.00000
  • N negative terms
    7.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    22.00000
  • Mean of predictor
    0.14320
  • Mean of criterion
    0.18925
  • SD of predictor
    0.10244
  • SD of criterion
    0.13421
  • Covariance
    0.00833
  • r
    0.60571
  • b (slope, estimate of beta)
    0.79353
  • a (intercept, estimate of alpha)
    0.07561
  • Mean Square Error
    0.01197
  • DF error
    20.00000
  • t(b)
    3.40440
  • p(b)
    0.19714
  • t(a)
    0.86473
  • p(a)
    0.40508
  • Lowerbound of 95% confidence interval for beta
    0.30731
  • Upperbound of 95% confidence interval for beta
    1.27975
  • Lowerbound of 95% confidence interval for alpha
    -0.10678
  • Upperbound of 95% confidence interval for alpha
    0.25800
  • Treynor index (mean / b)
    0.23849
  • Jensen alpha (a)
    0.07561
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.04682
  • Expected Shortfall on VaR
    0.06203
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01716
  • Expected Shortfall on VaR
    0.03642
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    22.00000
  • Minimum
    0.93207
  • Quartile 1
    0.98396
  • Median
    1.02546
  • Quartile 3
    1.03719
  • Maximum
    1.07607
  • Mean of quarter 1
    0.96548
  • Mean of quarter 2
    1.01510
  • Mean of quarter 3
    1.03220
  • Mean of quarter 4
    1.05912
  • Inter Quartile Range
    0.05323
  • 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)
    0.31963
  • VaR(95%) (moments method)
    0.03984
  • Expected Shortfall (moments method)
    0.06648
  • Extreme Value Index (regression method)
    0.85618
  • VaR(95%) (regression method)
    0.04443
  • Expected Shortfall (regression method)
    0.25160
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    4.00000
  • Minimum
    0.01809
  • Quartile 1
    0.01887
  • Median
    0.02564
  • Quartile 3
    0.05927
  • Maximum
    0.14064
  • Mean of quarter 1
    0.01809
  • Mean of quarter 2
    0.01913
  • Mean of quarter 3
    0.03214
  • Mean of quarter 4
    0.14064
  • Inter Quartile Range
    0.04040
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.25000
  • Mean of outliers high
    0.14064
  • 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)
    0.24044
  • Compounded annual return (geometric extrapolation)
    0.22043
  • Calmar ratio (compounded annual return / max draw down)
    1.56731
  • Compounded annual return / average of 25% largest draw downs
    1.56731
  • Compounded annual return / Expected Shortfall lognormal
    3.55324
  • 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
    0.19176
  • SD
    0.10883
  • Sharpe ratio (Glass type estimate)
    1.76202
  • Sharpe ratio (Hedges UMVUE)
    1.75995
  • df
    640.00000
  • t
    2.40525
  • p
    0.00822
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.32228
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.20039
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.32091
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.19900
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.63283
  • Upside Potential Ratio
    9.64694
  • Upside part of mean
    0.70264
  • Downside part of mean
    -0.51088
  • Upside SD
    0.08141
  • Downside SD
    0.07284
  • N nonnegative terms
    320.00000
  • N negative terms
    321.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    641.00000
  • Mean of predictor
    0.15044
  • Mean of criterion
    0.19176
  • SD of predictor
    0.11004
  • SD of criterion
    0.10883
  • Covariance
    0.00651
  • r
    0.54336
  • b (slope, estimate of beta)
    0.53740
  • a (intercept, estimate of alpha)
    0.06300
  • Mean Square Error
    0.00836
  • DF error
    639.00000
  • t(b)
    16.36110
  • p(b)
    -0.00000
  • t(a)
    1.65142
  • p(a)
    0.04957
  • Lowerbound of 95% confidence interval for beta
    0.47290
  • Upperbound of 95% confidence interval for beta
    0.60190
  • Lowerbound of 95% confidence interval for alpha
    -0.02097
  • Upperbound of 95% confidence interval for alpha
    0.24281
  • Treynor index (mean / b)
    0.35684
  • Jensen alpha (a)
    0.11092
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.18580
  • SD
    0.10878
  • Sharpe ratio (Glass type estimate)
    1.70797
  • Sharpe ratio (Hedges UMVUE)
    1.70597
  • df
    640.00000
  • t
    2.33147
  • p
    0.01002
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.26849
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.14621
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.26712
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.14482
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.53187
  • Upside Potential Ratio
    9.52989
  • Upside part of mean
    0.69934
  • Downside part of mean
    -0.51354
  • Upside SD
    0.08081
  • Downside SD
    0.07338
  • N nonnegative terms
    320.00000
  • N negative terms
    321.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    641.00000
  • Mean of predictor
    0.14435
  • Mean of criterion
    0.18580
  • SD of predictor
    0.11013
  • SD of criterion
    0.10878
  • Covariance
    0.00652
  • r
    0.54441
  • b (slope, estimate of beta)
    0.53776
  • a (intercept, estimate of alpha)
    0.10817
  • Mean Square Error
    0.00834
  • DF error
    639.00000
  • t(b)
    16.40640
  • p(b)
    -0.00000
  • t(a)
    1.61292
  • p(a)
    0.05363
  • Lowerbound of 95% confidence interval for beta
    0.47340
  • Upperbound of 95% confidence interval for beta
    0.60213
  • Lowerbound of 95% confidence interval for alpha
    -0.02352
  • Upperbound of 95% confidence interval for alpha
    0.23987
  • Treynor index (mean / b)
    0.34551
  • Jensen alpha (a)
    0.10817
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00907
  • Expected Shortfall on VaR
    0.01149
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00335
  • Expected Shortfall on VaR
    0.00723
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    641.00000
  • Minimum
    0.97162
  • Quartile 1
    0.99935
  • Median
    1.00000
  • Quartile 3
    1.00267
  • Maximum
    1.02835
  • Mean of quarter 1
    0.99422
  • Mean of quarter 2
    0.99992
  • Mean of quarter 3
    1.00112
  • Mean of quarter 4
    1.00712
  • Inter Quartile Range
    0.00332
  • Number outliers low
    61.00000
  • Percentage of outliers low
    0.09516
  • Mean of outliers low
    0.98893
  • Number of outliers high
    48.00000
  • Percentage of outliers high
    0.07488
  • Mean of outliers high
    1.01307
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.16212
  • VaR(95%) (moments method)
    0.00360
  • Expected Shortfall (moments method)
    0.00596
  • Extreme Value Index (regression method)
    -0.00234
  • VaR(95%) (regression method)
    0.00556
  • Expected Shortfall (regression method)
    0.00861
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    45.00000
  • Minimum
    0.00003
  • Quartile 1
    0.00065
  • Median
    0.00349
  • Quartile 3
    0.00920
  • Maximum
    0.14758
  • Mean of quarter 1
    0.00032
  • Mean of quarter 2
    0.00192
  • Mean of quarter 3
    0.00600
  • Mean of quarter 4
    0.04114
  • Inter Quartile Range
    0.00855
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    6.00000
  • Percentage of outliers high
    0.13333
  • Mean of outliers high
    0.06590
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.85297
  • VaR(95%) (moments method)
    0.04281
  • Expected Shortfall (moments method)
    0.30567
  • Extreme Value Index (regression method)
    1.47681
  • VaR(95%) (regression method)
    0.03328
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.23622
  • Compounded annual return (geometric extrapolation)
    0.21622
  • Calmar ratio (compounded annual return / max draw down)
    1.46511
  • Compounded annual return / average of 25% largest draw downs
    5.25560
  • Compounded annual return / Expected Shortfall lognormal
    18.81950
  • 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
    -0.16527
  • SD
    0.10098
  • Sharpe ratio (Glass type estimate)
    -1.63660
  • Sharpe ratio (Hedges UMVUE)
    -1.62942
  • df
    171.00000
  • t
    -1.15725
  • p
    0.55605
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -4.41151
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.14295
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -4.40660
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.14776
  • Statistics related to Sortino ratio
  • Sortino ratio
    -2.09760
  • Upside Potential Ratio
    6.02415
  • Upside part of mean
    0.47464
  • Downside part of mean
    -0.63991
  • Upside SD
    0.06332
  • Downside SD
    0.07879
  • N nonnegative terms
    70.00000
  • N negative terms
    102.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    172.00000
  • Mean of predictor
    0.11667
  • Mean of criterion
    -0.16527
  • SD of predictor
    0.11887
  • SD of criterion
    0.10098
  • Covariance
    0.00603
  • r
    0.50196
  • b (slope, estimate of beta)
    0.42643
  • a (intercept, estimate of alpha)
    -0.21502
  • Mean Square Error
    0.00767
  • DF error
    170.00000
  • t(b)
    7.56722
  • p(b)
    0.24902
  • t(a)
    -1.73328
  • p(a)
    0.56589
  • Lowerbound of 95% confidence interval for beta
    0.31519
  • Upperbound of 95% confidence interval for beta
    0.53767
  • Lowerbound of 95% confidence interval for alpha
    -0.45990
  • Upperbound of 95% confidence interval for alpha
    0.02986
  • Treynor index (mean / b)
    -0.38757
  • Jensen alpha (a)
    -0.21502
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.17038
  • SD
    0.10101
  • Sharpe ratio (Glass type estimate)
    -1.68666
  • Sharpe ratio (Hedges UMVUE)
    -1.67925
  • df
    171.00000
  • t
    -1.19265
  • p
    0.55774
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -4.46180
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.09333
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -4.45677
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.09826
  • Statistics related to Sortino ratio
  • Sortino ratio
    -2.14946
  • Upside Potential Ratio
    5.96284
  • Upside part of mean
    0.47265
  • Downside part of mean
    -0.64302
  • Upside SD
    0.06282
  • Downside SD
    0.07927
  • N nonnegative terms
    70.00000
  • N negative terms
    102.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    172.00000
  • Mean of predictor
    0.10962
  • Mean of criterion
    -0.17038
  • SD of predictor
    0.11887
  • SD of criterion
    0.10101
  • Covariance
    0.00603
  • r
    0.50238
  • b (slope, estimate of beta)
    0.42691
  • a (intercept, estimate of alpha)
    -0.21718
  • Mean Square Error
    0.00767
  • DF error
    170.00000
  • t(b)
    7.57565
  • p(b)
    0.24881
  • t(a)
    -1.75090
  • p(a)
    0.56655
  • VAR (95 Confidence Intrvl)
    0.00800
  • Lowerbound of 95% confidence interval for beta
    0.31567
  • Upperbound of 95% confidence interval for beta
    0.53815
  • Lowerbound of 95% confidence interval for alpha
    -0.46203
  • Upperbound of 95% confidence interval for alpha
    0.02768
  • Treynor index (mean / b)
    -0.39909
  • Jensen alpha (a)
    -0.21718
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00941
  • Expected Shortfall on VaR
    0.01166
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00473
  • Expected Shortfall on VaR
    0.00951
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    172.00000
  • Minimum
    0.98264
  • Quartile 1
    0.99829
  • Median
    1.00000
  • Quartile 3
    1.00157
  • Maximum
    1.02835
  • Mean of quarter 1
    0.99284
  • Mean of quarter 2
    0.99979
  • Mean of quarter 3
    1.00045
  • Mean of quarter 4
    1.00512
  • Inter Quartile Range
    0.00328
  • Number outliers low
    20.00000
  • Percentage of outliers low
    0.11628
  • Mean of outliers low
    0.98873
  • Number of outliers high
    8.00000
  • Percentage of outliers high
    0.04651
  • Mean of outliers high
    1.01212
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.04678
  • VaR(95%) (moments method)
    0.00525
  • Expected Shortfall (moments method)
    0.00766
  • Extreme Value Index (regression method)
    -0.42011
  • VaR(95%) (regression method)
    0.00755
  • Expected Shortfall (regression method)
    0.00934
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    2.00000
  • Minimum
    0.00008
  • Quartile 1
    0.03484
  • Median
    0.06960
  • Quartile 3
    0.10437
  • Maximum
    0.13913
  • Mean of quarter 1
    0.00008
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.13913
  • Inter Quartile Range
    0.06953
  • 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
  • Max Equity Drawdown (num days)
    106
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.15416
  • Compounded annual return (geometric extrapolation)
    -0.14822
  • Calmar ratio (compounded annual return / max draw down)
    -1.06532
  • Compounded annual return / average of 25% largest draw downs
    -1.06532
  • Compounded annual return / Expected Shortfall lognormal
    -12.71290

Strategy Description

The Pangolin Z system looks for an extended period of time where an S&P 500 stock has underperformed the ^SPX, and is now also showing signs of being oversold. Since this is designed to find short-term pullbacks in otherwise healthy stocks, the stock has to be currently trading above its 200-day moving average.

The system is long-only and trades only highly liquid stocks within the S&P 500. Signals are generated each night and positions are entered or closed at the open on the next trading session. The system is algorithm-driven and completely mechanical.
Trade this strategy at Interactive Brokers

Summary Statistics

Strategy began
2013-03-26
Suggested Minimum Capital
$25,000
# Trades
464
# Profitable
313
% Profitable
67.5%
Net Dividends
$905
Correlation S&P500
0.162
Sharpe Ratio
0.18
Sortino Ratio
0.27
Beta
0.05
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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