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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 Pair Trades
(81983273)

Created by: KevinMcGrath2 KevinMcGrath2
Started: 07/2013
Stocks
Last trade: 3,840 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. Subscriptions to this system cost $50.00 per month.

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.

-9.7%
Cumul. Return

Rate of Return Calculations

Overview

To comply with NFA regulations, we display Cumulative Rate of Return for strategies with a track record of less than one year. For strategies with longer track records, we display Annualized (Compounded) Rate of Return.

How Cumulative Rate of Return is calculated

= (Ending_equity - Starting_equity) / Starting_equity

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

All results are hypothetical.

-
Max Drawdown
66
Num Trades
57.6%
Win Trades
0.9 : 1
Profit Factor
0.8%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2013                                          (0.4%)+0.6%(3%)(0.3%)  -    -  (3.1%)
2014  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2015  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2016  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2017  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2018  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2019  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2020  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2021  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2022  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2023  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2024  -    -    -    -                                                  0.0

Model Account Details

A trading strategy on Collective2. Follow it in your broker account, or use a free simulated trading account.

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

System developer has asked us to delay this information by 168 hours.

Trading Record

Download CSV
Long
Short
Both
Win
Loss
Both
Show More details Show Fewer details
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
10/14/13 9:34 SFUN FANG HOLDINGS LTD LONG 500 10.17 10/15 9:56 10.38 0.12%
Trade id #83484992
Max drawdown($30)
Time10/14/13 9:49
Quant open100
Worst price50.57
Drawdown as % of equity-0.12%
 $93
Includes Typical Broker Commissions trade costs of $10.00
10/14/13 9:31 YOKU YOUKU TUDOU LONG 170 29.20 10/14 12:30 29.79 0.49%
Trade id #83484857
Max drawdown($117)
Time10/14/13 9:51
Quant open170
Worst price28.51
Drawdown as % of equity-0.49%
 $97
Includes Typical Broker Commissions trade costs of $3.40
10/14/13 9:31 CSIQ CANADIAN SOLAR LONG 250 19.48 10/14 11:10 19.88 0.14%
Trade id #83484782
Max drawdown($34)
Time10/14/13 9:48
Quant open250
Worst price19.34
Drawdown as % of equity-0.14%
 $95
Includes Typical Broker Commissions trade costs of $5.00
10/14/13 9:31 DUST DIREXION DAILY GOLD MINERS BEAR 2X LONG 115 41.72 10/14 10:09 42.61 0.15%
Trade id #83484786
Max drawdown($36)
Time10/14/13 9:34
Quant open115
Worst price41.40
Drawdown as % of equity-0.15%
 $100
Includes Typical Broker Commissions trade costs of $2.30
10/14/13 9:31 WLT WALTER ENERGY LONG 340 14.68 10/14 9:38 14.98 0.06%
Trade id #83484848
Max drawdown($13)
Time10/14/13 9:34
Quant open340
Worst price14.64
Drawdown as % of equity-0.06%
 $95
Includes Typical Broker Commissions trade costs of $6.80
10/7/13 9:31 YOKU YOUKU TUDOU LONG 160 30.64 10/11 15:53 29.58 3.35%
Trade id #83326425
Max drawdown($772)
Time10/9/13 10:18
Quant open160
Worst price25.81
Drawdown as % of equity-3.35%
 ($173)
Includes Typical Broker Commissions trade costs of $3.20
10/7/13 9:31 EGLE EAGLE BULK SHIPPING INC. COMMO LONG 33 147.00 10/11 15:53 137.00 2.85%
Trade id #83326415
Max drawdown($656)
Time10/9/13 11:32
Quant open650
Worst price6.34
Drawdown as % of equity-2.85%
 ($331)
Includes Typical Broker Commissions trade costs of $0.66
10/7/13 9:31 GNK GENCO SHIPPING & TRADING LTD LONG 1,400 3.46 10/11 15:53 3.20 3.04%
Trade id #83326411
Max drawdown($700)
Time10/9/13 9:59
Quant open1,400
Worst price2.96
Drawdown as % of equity-3.04%
 ($369)
Includes Typical Broker Commissions trade costs of $5.00
10/7/13 9:31 SFUN FANG HOLDINGS LTD LONG 500 9.94 10/10 13:09 10.27 2.25%
Trade id #83326513
Max drawdown($559)
Time10/8/13 14:12
Quant open100
Worst price44.11
Drawdown as % of equity-2.25%
 $157
Includes Typical Broker Commissions trade costs of $10.00
10/7/13 9:31 WLT WALTER ENERGY LONG 350 14.64 10/7 9:50 15.23 0.13%
Trade id #83326418
Max drawdown($31)
Time10/7/13 9:35
Quant open350
Worst price14.55
Drawdown as % of equity-0.13%
 $200
Includes Typical Broker Commissions trade costs of $7.00
9/6/13 12:41 NWE NORTHWESTERN SHORT 200 40.45 10/7 9:31 44.38 4.29%
Trade id #82878445
Max drawdown($1,080)
Time9/24/13 12:51
Quant open-200
Worst price45.85
Drawdown as % of equity-4.29%
 ($790)
Includes Typical Broker Commissions trade costs of $4.00
9/6/13 12:41 LNT ALLIANT ENERGY LONG 100 48.69 10/7 9:31 49.12 0.2%
Trade id #82878433
Max drawdown($51)
Time9/9/13 9:40
Quant open100
Worst price48.17
Drawdown as % of equity-0.20%
 $41
Includes Typical Broker Commissions trade costs of $2.00
9/9/13 9:36 WR WESTAR ENERGY LONG 100 29.95 10/7 9:31 29.98 0.06%
Trade id #82894470
Max drawdown($16)
Time9/9/13 9:40
Quant open100
Worst price29.79
Drawdown as % of equity-0.06%
 $1
Includes Typical Broker Commissions trade costs of $2.00
9/12/13 10:29 NKE NIKE SHORT 100 34.41 10/7 9:31 35.70 1.28%
Trade id #82953334
Max drawdown($321)
Time9/27/13 9:33
Quant open-50
Worst price75.25
Drawdown as % of equity-1.28%
 ($131)
Includes Typical Broker Commissions trade costs of $2.00
9/12/13 10:29 SHOO STEVEN MADDEN LONG 75 36.39 10/7 9:30 36.03 0.34%
Trade id #82953350
Max drawdown($83)
Time10/2/13 9:53
Quant open75
Worst price35.28
Drawdown as % of equity-0.34%
 ($29)
Includes Typical Broker Commissions trade costs of $1.50
9/13/13 12:56 WPC W. P. CAREY LONG 50 64.48 9/25 14:17 66.12 0.25%
Trade id #82974524
Max drawdown($64)
Time9/18/13 11:44
Quant open50
Worst price63.20
Drawdown as % of equity-0.25%
 $81
Includes Typical Broker Commissions trade costs of $1.00
9/13/13 12:57 OHI OMEGA HEALTHCARE SHORT 50 29.18 9/25 14:17 29.68 0.34%
Trade id #82974538
Max drawdown($86)
Time9/18/13 14:23
Quant open-50
Worst price30.91
Drawdown as % of equity-0.34%
 ($26)
Includes Typical Broker Commissions trade costs of $1.00
9/12/13 10:35 EEQ ENBRIDGE ENERGY LONG 111 25.54 9/18 13:01 25.51 0.11%
Trade id #82953533
Max drawdown($29)
Time9/17/13 12:59
Quant open100
Worst price28.25
Drawdown as % of equity-0.11%
 ($5)
Includes Typical Broker Commissions trade costs of $2.22
9/12/13 10:35 PVR PVR PARTNERS SHORT 100 23.85 9/18 13:00 22.91 0.27%
Trade id #82953538
Max drawdown($68)
Time9/13/13 10:00
Quant open-100
Worst price24.53
Drawdown as % of equity-0.27%
 $92
Includes Typical Broker Commissions trade costs of $2.00
9/4/13 10:31 AEP AMERICAN ELECTRIC POWER SHORT 100 41.91 9/12 10:18 42.28 0.43%
Trade id #82837247
Max drawdown($109)
Time9/6/13 11:27
Quant open-100
Worst price43.00
Drawdown as % of equity-0.43%
 ($39)
Includes Typical Broker Commissions trade costs of $2.00
9/4/13 10:30 PNW PINNACLE WEST CAPITAL LONG 100 52.56 9/12 10:18 53.47 0.21%
Trade id #82837219
Max drawdown($53)
Time9/11/13 11:07
Quant open100
Worst price52.03
Drawdown as % of equity-0.21%
 $89
Includes Typical Broker Commissions trade costs of $2.00
9/4/13 10:50 PKG PACKAGING CORP OF AMERICA LONG 100 52.87 9/10 9:55 55.37 0.08%
Trade id #82837769
Max drawdown($20)
Time9/6/13 10:05
Quant open100
Worst price52.67
Drawdown as % of equity-0.08%
 $248
Includes Typical Broker Commissions trade costs of $2.00
9/4/13 10:50 ADBE ADOBE INC SHORT 100 46.81 9/10 9:55 47.82 0.4%
Trade id #82837759
Max drawdown($101)
Time9/10/13 9:51
Quant open-100
Worst price47.82
Drawdown as % of equity-0.40%
 ($103)
Includes Typical Broker Commissions trade costs of $2.00
8/28/13 10:12 SSL SASOL SHORT 50 46.70 9/3 11:10 46.72 0.13%
Trade id #82743527
Max drawdown($32)
Time8/29/13 9:31
Quant open-50
Worst price47.35
Drawdown as % of equity-0.13%
 ($2)
Includes Typical Broker Commissions trade costs of $1.00
8/28/13 10:12 DOV DOVER CORP LONG 25 85.24 9/3 11:10 86.31 0.04%
Trade id #82743543
Max drawdown($11)
Time8/30/13 15:55
Quant open25
Worst price84.80
Drawdown as % of equity-0.04%
 $27
Includes Typical Broker Commissions trade costs of $0.50
8/30/13 15:18 RS RELIANCE INC SHORT 50 66.79 9/3 10:25 66.77 0.32%
Trade id #82786821
Max drawdown($81)
Time9/3/13 9:35
Quant open-50
Worst price68.41
Drawdown as % of equity-0.32%
 $0
Includes Typical Broker Commissions trade costs of $1.00
8/30/13 15:18 CMC COMMERCIAL METALS LONG 50 14.79 9/3 10:25 15.05 0.01%
Trade id #82786815
Max drawdown($2)
Time8/30/13 15:32
Quant open50
Worst price14.75
Drawdown as % of equity-0.01%
 $12
Includes Typical Broker Commissions trade costs of $1.00
8/28/13 10:13 MLM MARTIN MARIETTA SHORT 25 95.90 8/29 9:38 95.84 0.17%
Trade id #82743557
Max drawdown($43)
Time8/28/13 12:29
Quant open-25
Worst price97.63
Drawdown as % of equity-0.17%
 $2
Includes Typical Broker Commissions trade costs of $0.50
8/28/13 10:13 CRH CRH LONG 125 20.72 8/29 9:38 21.07 0.01%
Trade id #82743566
Max drawdown($3)
Time8/28/13 10:16
Quant open125
Worst price20.69
Drawdown as % of equity-0.01%
 $42
Includes Typical Broker Commissions trade costs of $2.50
8/27/13 10:29 CNQ CANADIAN NATURAL SHORT 60 30.61 8/28 10:35 30.81 0.05%
Trade id #82722210
Max drawdown($12)
Time8/27/13 11:19
Quant open-60
Worst price30.82
Drawdown as % of equity-0.05%
 ($13)
Includes Typical Broker Commissions trade costs of $1.20
Next

Statistics

  • Strategy began
    7/13/2013
  • Suggested Minimum Cap
    $25,000
  • Strategy Age (days)
    3928.33
  • Age
    131 months ago
  • What it trades
    Stocks
  • # Trades
    66
  • # Profitable
    38
  • % Profitable
    57.60%
  • Avg trade duration
    8.0 days
  • Max peak-to-valley drawdown
    %
  • drawdown period
    Dec , - Dec ,
  • Cumul. Return
    -2.7%
  • Avg win
    $73.32
  • Avg loss
    $105.43
  • Model Account Values (Raw)
  • Cash
    $24,733
  • Margin Used
    $0
  • Buying Power
    $24,733
  • Ratios
  • W:L ratio
    0.91:1
  • Sharpe Ratio
    -0.89
  • Sortino Ratio
    -1.2
  • Calmar Ratio
    -0.053
  • CORRELATION STATISTICS
  • Correlation to SP500
    0.03070
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -3.75%
  • Return Percent SP500 (cumu) during strategy life
    195.64%
  • Return Statistics
  • Ann Return (w trading costs)
    -9.7%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.98%
  • Instruments
  • Percent Trades Stocks
    1.00%
  • Slump
  • Current Slump as Pcnt Equity
    6.10%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    -0.027%
  • Instruments
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    -0.1%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    11.00%
  • Chance of 20% account loss
    n/a
  • 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
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Win
    $73
  • Avg Loss
    $105
  • Sum Trade PL (losers)
    $2,952.000
  • Sum Trade PL (winners)
    $2,786.000
  • # Winners
    38
  • Dividends
  • Dividends Received in Model Acct
    -102
  • Win / Loss
  • Num Months Winners
    1
  • Age
  • Num Months filled monthly returns table
    130
  • Win / Loss
  • # Losers
    28
  • % Winners
    57.6%
  • Frequency
  • Avg Position Time (mins)
    11466.30
  • Avg Position Time (hrs)
    191.10
  • Avg Trade Length
    8.0 days
  • Last Trade Ago
    3836
  • Regression
  • Alpha
    -0.01
  • Beta
    0.00
  • Treynor Index
    -1.57
  • Maximum Adverse Excursion (MAE)
  • MAE:PL (avg, all trades)
    0.73
  • MAE:Equity, average, all trades
    0.00
  • Avg(MAE) / Avg(PL) - All trades
    -35.303
  • MAE:Equity, losing trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, win trades only, 95th Percentile Value for this strat
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    77.73
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    89.63
  • MAE:Equity, 95th Percentile Value for this strat
    0.03
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL - worst single value for strategy
    -
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.01
  • MAE:PL (avg, losing trades)
    -
  • Avg(MAE) / Avg(PL) - Winning trades
    0.659
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.814
  • Hold-and-Hope Ratio
    -0.028
  • Analysis based on DAILY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to linear regression on benchmark
  • a (intercept, estimate of alpha)
    -0.03400
  • Analysis based on DAILY values, last 6 months only
  • Ratio statistics of excess log return rates
  • VAR (95 Confidence Intrvl)
    0.00400
  • DRAW DOWN STATISTICS
  • Risk estimates based on draw downs (based on Extreme Value T
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • Max Equity Drawdown (num days)
    7
  • Last 4 Months - Pcnt Negative
    n/a

Strategy Description

Pairs trading is a statistically-driven and market-neutral approach to mitigate risk by taking simultaneous long and short positions in two stocks that are within the same sector and are highly correlated. This happens when the relationship between the two stocks moves well outside of its normal (equilibrium) relationship. The system takes a short position in the overvalued stock and goes long in the undervalued stock.

Pangolin Pair Trades uses a set of stock pairs that have shown the following characteristics during the period 7/1/2008 through 7/1/2013:

1. A CAGR of 20% or more
2. A Max DD of less than 12%
3. A historical pair win percentage of 80% or greater.

All entries and exits are based entirely on statistical probabilities for mean-reversion and pair profitability.
Trade this strategy at Interactive Brokers

Summary Statistics

Strategy began
2013-07-13
Suggested Minimum Capital
$25,000
# Trades
66
# Profitable
38
% Profitable
57.6%
Net Dividends
($102)
Correlation S&P500
0.031
Sharpe Ratio
-0.89
Sortino Ratio
-1.20
Beta
0.00
Alpha
-0.01

Latest Activity

#PERSONNAME#
subscribed on started simulation #SUBSCRIBEDDATE#

Most values on this page (including the Strategy Equity Chart, above) have been adjusted by estimated trading commissions and subscription costs.

Some advanced users find it useful to see "raw" Model Account values. These numbers do not include any commissions, fees, subscription costs, or dividend actions.

Strategy developers can "archive" strategies at any time. This means the strategy Model Account is reset to its initial level and the trade list cleared. However, all archived track records are permanently preserved for evaluation by potential subscribers.

About the results you see on this Web site

Past results are not necessarily indicative of future results.

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

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

Material assumptions and methods used when calculating results

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

  • Profits are reinvested. We assume profits (when there are profits) are reinvested in the trading strategy.
  • Starting investment size. For any trading strategy on our site, hypothetical results are based on the assumption that you invested the starting amount shown on the strategy's performance chart. In some cases, nominal dollar amounts on the equity chart have been re-scaled downward to make current go-forward trading sizes more manageable. In these cases, it may not have been possible to trade the strategy historically at the equity levels shown on the chart, and a higher minimum capital was required in the past.
  • All fees are included. When calculating cumulative returns, we try to estimate and include all the fees a typical trader incurs when AutoTrading using AutoTrade technology. This includes the subscription cost of the strategy, plus any per-trade AutoTrade fees, plus estimated broker commissions if any.
  • "Max Drawdown" Calculation Method. We calculate the Max Drawdown statistic as follows. Our computer software looks at the equity chart of the system in question and finds the largest percentage amount that the equity chart ever declines from a local "peak" to a subsequent point in time (thus this is formally called "Maximum Peak to Valley Drawdown.") While this is useful information when evaluating trading systems, you should keep in mind that past performance does not guarantee future results. Therefore, future drawdowns may be larger than the historical maximum drawdowns you see here.

Trading is risky

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

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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.