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Optimized Partners I (77330504)

Created by: BradPappas BradPappas
Started: 10/2012
Stocks
Last trade: 21 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 $60.00 per month.

34.5%
Annual Return (Compounded)
31.0%
Max Drawdown
364
Num Trades
46.2%
Win Trades
1.7 : 1
Profit Factor
60.7%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2012                                                               +0.4%+22.3%+3.0%+25.5%
2013+8.6%(2.3%)+5.0%+0.3%+13.6%(4.3%)+9.9%(11.4%)+10.6%+11.3%+11.3%+5.2%+70.5%
2014(3.4%)+13.3%+9.0%+4.9%(0.8%)+0.8%(4.3%)+4.6%(1.1%)+5.5%+7.6%+10.1%+54.6%
2015(3.1%)(1.7%)+8.4%(4.4%)+0.7%(2.5%)(3.7%)+1.6%(2.9%)(5.4%)(6.8%)(3.5%)(21.6%)
2016+1.4%+9.3%(2.5%)+11.7%(17.4%)+12.0%(3.5%)+9.3%(5%)(5.6%)+13.5%+9.8%+31.8%
2017+1.8%(1.9%)+0.4%+5.9%+7.5%                                          +14.1%

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 588 trades in real-life brokerage accounts.

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Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
3/7/17 12:14 AMD ADVANCED MICRO DEVICES INC. C LONG 400 13.26 5/2 10:05 11.04 2.3%
Trade id #110082805
Max drawdown($980)
Time5/2/17 9:51
Quant open400
Worst price10.81
Drawdown as % of equity-2.30%
($896)
Includes Typical Broker Commissions trade costs of $8.00
3/31/17 14:20 WNC WABASH NATIONAL LONG 200 20.61 4/19 11:18 19.22 0.84%
Trade id #110591408
Max drawdown($320)
Time4/18/17 12:17
Quant open200
Worst price19.01
Drawdown as % of equity-0.84%
($282)
Includes Typical Broker Commissions trade costs of $4.00
3/24/17 11:38 ANET ARISTA NETWORKS INC LONG 35 131.61 3/31 14:18 132.00 0.15%
Trade id #110423374
Max drawdown($55)
Time3/24/17 15:04
Quant open35
Worst price130.03
Drawdown as % of equity-0.15%
$13
Includes Typical Broker Commissions trade costs of $0.70
3/24/17 11:40 AMAT APPLIED MATERIALS LONG 120 39.15 3/31 14:18 38.67 0.27%
Trade id #110423436
Max drawdown($102)
Time3/27/17 9:50
Quant open120
Worst price38.30
Drawdown as % of equity-0.27%
($60)
Includes Typical Broker Commissions trade costs of $2.40
2/6/17 13:57 EXTR EXTREME NETWORKS LONG 1,300 5.59 3/30 11:03 7.55 n/a $2,543
Includes Typical Broker Commissions trade costs of $5.00
3/17/17 15:12 SRCL STERICYCLE LONG 60 84.30 3/24 11:36 82.18 0.52%
Trade id #110314173
Max drawdown($198)
Time3/22/17 9:31
Quant open60
Worst price81.00
Drawdown as % of equity-0.52%
($128)
Includes Typical Broker Commissions trade costs of $1.20
2/15/17 11:46 RBS ROYAL BANK OF SCOTLAND LONG 1,000 6.17 3/24 11:35 5.98 1.38%
Trade id #109564804
Max drawdown($530)
Time3/14/17 8:45
Quant open1,000
Worst price5.64
Drawdown as % of equity-1.38%
($195)
Includes Typical Broker Commissions trade costs of $5.00
1/19/17 11:56 STAY EXTENDED STAY AMERICA INC LONG 365 15.91 3/17 15:12 16.43 n/a $183
Includes Typical Broker Commissions trade costs of $7.30
1/19/17 11:55 CZZ COSAN LONG 750 8.36 3/13 11:42 8.08 1.57%
Trade id #108792339
Max drawdown($630)
Time2/24/17 17:42
Quant open750
Worst price7.52
Drawdown as % of equity-1.57%
($215)
Includes Typical Broker Commissions trade costs of $5.00
1/30/17 15:15 CRNT CERAGON NETWORKS LONG 1,850 3.72 3/13 11:42 3.40 2.59%
Trade id #109145999
Max drawdown($963)
Time3/9/17 11:19
Quant open1,850
Worst price3.20
Drawdown as % of equity-2.59%
($602)
Includes Typical Broker Commissions trade costs of $7.50
2/6/17 15:31 ATKR ATKORE INTL GROUP INC LONG 225 26.44 3/13 11:42 25.83 0.85%
Trade id #109319880
Max drawdown($315)
Time3/9/17 14:51
Quant open225
Worst price25.04
Drawdown as % of equity-0.85%
($142)
Includes Typical Broker Commissions trade costs of $4.50
2/21/17 12:26 VSLR VIVINT SOLAR INC LONG 1,200 3.35 3/7 12:11 3.00 1.14%
Trade id #109713894
Max drawdown($420)
Time3/7/17 10:49
Quant open1,200
Worst price3.00
Drawdown as % of equity-1.14%
($425)
Includes Typical Broker Commissions trade costs of $5.00
2/21/17 10:14 CSIQ CANADIAN SOLAR LONG 500 15.03 3/7 12:11 13.51 2.12%
Trade id #109708319
Max drawdown($785)
Time3/7/17 10:01
Quant open500
Worst price13.46
Drawdown as % of equity-2.12%
($770)
Includes Typical Broker Commissions trade costs of $10.00
1/24/17 10:38 BEL BELMOND LTD LONG 400 13.80 2/28 11:33 12.95 0.84%
Trade id #108979012
Max drawdown($340)
Time2/28/17 9:31
Quant open400
Worst price12.95
Drawdown as % of equity-0.84%
($348)
Includes Typical Broker Commissions trade costs of $8.00
1/26/17 13:44 CLNS COLONY NORTHSTAR INC LONG 400 14.12 2/15 11:46 14.13 0.41%
Trade id #109059917
Max drawdown($164)
Time1/31/17 9:35
Quant open400
Worst price13.71
Drawdown as % of equity-0.41%
($4)
Includes Typical Broker Commissions trade costs of $8.00
1/19/17 11:56 FSAM FIFTH STREET ASSET MANAGEMENT LONG 800 7.05 2/10 11:56 5.65 2.82%
Trade id #108792373
Max drawdown($1,120)
Time2/10/17 11:53
Quant open800
Worst price5.65
Drawdown as % of equity-2.82%
($1,125)
Includes Typical Broker Commissions trade costs of $5.00
1/19/17 12:28 AVGO BROADCOM LIMITED ORDINARY SHARES LONG 28 185.87 2/6 15:31 206.42 0.09%
Trade id #108801309
Max drawdown($33)
Time1/19/17 14:10
Quant open28
Worst price184.68
Drawdown as % of equity-0.09%
$574
Includes Typical Broker Commissions trade costs of $0.56
1/5/17 12:24 XME SPDR S&P METALS & MINING LONG 200 32.50 1/19 12:04 32.28 0.62%
Trade id #108383013
Max drawdown($241)
Time1/9/17 15:27
Quant open200
Worst price31.30
Drawdown as % of equity-0.62%
($48)
Includes Typical Broker Commissions trade costs of $4.00
1/12/17 10:09 TMF DIREXION DAILY 20+ YR TRSY BUL LONG 225 19.80 1/13 11:31 18.76 0.65%
Trade id #108585898
Max drawdown($252)
Time1/13/17 10:01
Quant open225
Worst price18.68
Drawdown as % of equity-0.65%
($239)
Includes Typical Broker Commissions trade costs of $4.50
12/29/16 12:25 TLT ISHARES 20+ YEAR TREASURY BOND LONG 52 118.98 1/9/17 11:40 121.71 0.13%
Trade id #108249399
Max drawdown($50)
Time1/3/17 8:37
Quant open52
Worst price118.00
Drawdown as % of equity-0.13%
$141
Includes Typical Broker Commissions trade costs of $1.04
11/9/16 11:19 FAS DIREXION DAILY FINANCIAL BULL LONG 400 30.99 12/9 12:44 41.91 0.07%
Trade id #107037773
Max drawdown($24)
Time11/9/16 11:21
Quant open400
Worst price30.93
Drawdown as % of equity-0.07%
$4,360
Includes Typical Broker Commissions trade costs of $8.00
11/4/16 13:28 TQQQ PROSHARES ULTRAPRO QQQ LONG 120 116.08 12/9 12:44 128.97 1.59%
Trade id #106934140
Max drawdown($535)
Time11/9/16 6:33
Quant open120
Worst price111.61
Drawdown as % of equity-1.59%
$1,545
Includes Typical Broker Commissions trade costs of $2.40
11/4/16 13:28 TECL DIREXION DAILY TECHNOLOGY BULL LONG 365 45.45 12/9 12:43 48.12 1.27%
Trade id #106934128
Max drawdown($432)
Time11/14/16 12:38
Quant open165
Worst price42.40
Drawdown as % of equity-1.27%
$967
Includes Typical Broker Commissions trade costs of $7.30
7/27/16 10:29 MU MICRON TECHNOLOGY LONG 413 14.48 10/27 12:25 17.56 n/a $1,266
Includes Typical Broker Commissions trade costs of $8.26
9/29/16 11:22 ELLI ELLIE MAE LONG 50 104.23 10/27 12:25 99.76 1.08%
Trade id #106142202
Max drawdown($353)
Time10/12/16 9:43
Quant open50
Worst price97.16
Drawdown as % of equity-1.08%
($225)
Includes Typical Broker Commissions trade costs of $1.00
9/2/16 12:01 BABA ALIBABA GROUP HOLDING LIMITED LONG 50 99.18 10/27 12:25 102.52 0.03%
Trade id #105611274
Max drawdown($9)
Time10/13/16 9:53
Quant open50
Worst price99.00
Drawdown as % of equity-0.03%
$166
Includes Typical Broker Commissions trade costs of $1.00
9/21/16 15:34 TQQQ PROSHARES ULTRAPRO QQQ LONG 39 127.13 10/17 11:40 123.12 0.9%
Trade id #106004686
Max drawdown($290)
Time10/13/16 10:04
Quant open39
Worst price119.67
Drawdown as % of equity-0.90%
($157)
Includes Typical Broker Commissions trade costs of $0.78
9/22/16 15:08 BITA BITAUTO HOLDINGS LONG 165 30.43 10/17 11:39 26.76 2.25%
Trade id #106031364
Max drawdown($727)
Time10/13/16 10:07
Quant open165
Worst price26.02
Drawdown as % of equity-2.25%
($609)
Includes Typical Broker Commissions trade costs of $3.30
10/5/16 11:07 MOMO MOMO INC. AMERICAN DEPOSITARY LONG 200 25.19 10/17 11:39 23.72 1.63%
Trade id #106247756
Max drawdown($528)
Time10/13/16 9:53
Quant open200
Worst price22.55
Drawdown as % of equity-1.63%
($298)
Includes Typical Broker Commissions trade costs of $4.00
9/7/16 10:43 FB FACEBOOK LONG 38 131.16 10/5 11:07 128.19 0.67%
Trade id #105681263
Max drawdown($222)
Time9/12/16 6:33
Quant open38
Worst price125.30
Drawdown as % of equity-0.67%
($114)
Includes Typical Broker Commissions trade costs of $0.76

Statistics

  • Strategy began
    10/25/2012
  • Starting Unit Size
    $5,000
  • Strategy Age (days)
    1670.4
  • Age
    56 months ago
  • What it trades
    Stocks
  • # Trades
    364
  • # Profitable
    168
  • % Profitable
    46.20%
  • Avg trade duration
    29.4 days
  • Max peak-to-valley drawdown
    30.98%
  • drawdown period
    April 15, 2015 - Dec 14, 2015
  • Annual Return (Compounded)
    34.5%
  • Avg win
    $500.18
  • Avg loss
    $260.30
  • Model Account Values (Raw)
  • Cash
    $11,300
  • Margin Used
    $0
  • Buying Power
    $18,385
  • Ratios
  • W:L ratio
    1.70:1
  • Sharpe Ratio
    1.603
  • Sortino Ratio
    2.498
  • Calmar Ratio
    1.54
  • CORRELATION STATISTICS
  • Correlation to SP500
    0.16000
  • Return Statistics
  • Ann Return (w trading costs)
    34.5%
  • Ann Return (Compnd, No Fees)
    38.5%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    31.00%
  • Chance of 20% account loss
    5.50%
  • Chance of 30% account loss
    3.00%
  • Chance of 40% account loss
    n/a
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    319
  • Popularity (Last 6 weeks)
    852
  • C2 Score
    94.8
  • Trades-Own-System Certification
  • Trades Own System?
    0
  • TOS percent
    n/a
  • Subscription Price
  • Billing Period (days)
    30
  • Trial Days
    0
  • Win / Loss
  • Avg Loss
    $260
  • Avg Win
    $500
  • # Winners
    168
  • # Losers
    196
  • % Winners
    46.1%
  • Frequency
  • Avg Position Time (mins)
    42264.40
  • Avg Position Time (hrs)
    704.41
  • Avg Trade Length
    29.4 days
  • Last Trade Ago
    20
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.33327
  • SD
    0.25310
  • Sharpe ratio (Glass type estimate)
    1.31675
  • Sharpe ratio (Hedges UMVUE)
    1.29803
  • df
    53.00000
  • t
    2.79324
  • p
    0.00362
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.35380
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.26814
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.34162
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.25443
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.78906
  • Upside Potential Ratio
    5.62599
  • Upside part of mean
    0.49484
  • Downside part of mean
    -0.16157
  • Upside SD
    0.25376
  • Downside SD
    0.08796
  • N nonnegative terms
    29.00000
  • N negative terms
    25.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    54.00000
  • Mean of predictor
    0.09201
  • Mean of criterion
    0.33327
  • SD of predictor
    0.09925
  • SD of criterion
    0.25310
  • Covariance
    0.00496
  • r
    0.19740
  • b (slope, estimate of beta)
    0.50341
  • a (intercept, estimate of alpha)
    0.28695
  • Mean Square Error
    0.06275
  • DF error
    52.00000
  • t(b)
    1.45206
  • p(b)
    0.07625
  • t(a)
    2.34599
  • p(a)
    0.01141
  • Lowerbound of 95% confidence interval for beta
    -0.19227
  • Upperbound of 95% confidence interval for beta
    1.19908
  • Lowerbound of 95% confidence interval for alpha
    0.04151
  • Upperbound of 95% confidence interval for alpha
    0.53240
  • Treynor index (mean / b)
    0.66203
  • Jensen alpha (a)
    0.28695
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.29975
  • SD
    0.23712
  • Sharpe ratio (Glass type estimate)
    1.26412
  • Sharpe ratio (Hedges UMVUE)
    1.24615
  • df
    53.00000
  • t
    2.68161
  • p
    0.00487
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.30392
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.21316
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.29225
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.20005
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.30156
  • Upside Potential Ratio
    5.12141
  • Upside part of mean
    0.46497
  • Downside part of mean
    -0.16522
  • Upside SD
    0.23330
  • Downside SD
    0.09079
  • N nonnegative terms
    29.00000
  • N negative terms
    25.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    54.00000
  • Mean of predictor
    0.08662
  • Mean of criterion
    0.29975
  • SD of predictor
    0.09955
  • SD of criterion
    0.23712
  • Covariance
    0.00456
  • r
    0.19337
  • b (slope, estimate of beta)
    0.46059
  • a (intercept, estimate of alpha)
    0.25985
  • Mean Square Error
    0.05516
  • DF error
    52.00000
  • t(b)
    1.42122
  • p(b)
    0.08061
  • t(a)
    2.27494
  • p(a)
    0.01353
  • Lowerbound of 95% confidence interval for beta
    -0.18973
  • Upperbound of 95% confidence interval for beta
    1.11091
  • Lowerbound of 95% confidence interval for alpha
    0.03065
  • Upperbound of 95% confidence interval for alpha
    0.48905
  • Treynor index (mean / b)
    0.65079
  • Jensen alpha (a)
    0.25985
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.08388
  • Expected Shortfall on VaR
    0.10943
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02981
  • Expected Shortfall on VaR
    0.05632
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    54.00000
  • Minimum
    0.89555
  • Quartile 1
    0.98491
  • Median
    1.01152
  • Quartile 3
    1.06118
  • Maximum
    1.28235
  • Mean of quarter 1
    0.95851
  • Mean of quarter 2
    0.99432
  • Mean of quarter 3
    1.03919
  • Mean of quarter 4
    1.12649
  • Inter Quartile Range
    0.07627
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.03704
  • Mean of outliers high
    1.26389
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.72477
  • VaR(95%) (moments method)
    0.03876
  • Expected Shortfall (moments method)
    0.04337
  • Extreme Value Index (regression method)
    -0.21814
  • VaR(95%) (regression method)
    0.03901
  • Expected Shortfall (regression method)
    0.04891
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    8.00000
  • Minimum
    0.00323
  • Quartile 1
    0.00840
  • Median
    0.04970
  • Quartile 3
    0.07575
  • Maximum
    0.21465
  • Mean of quarter 1
    0.00401
  • Mean of quarter 2
    0.02724
  • Mean of quarter 3
    0.06257
  • Mean of quarter 4
    0.15293
  • Inter Quartile Range
    0.06735
  • 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
    0.12500
  • Mean of outliers high
    0.21465
  • 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)
    0.74858
  • Compounded annual return (geometric extrapolation)
    0.38771
  • Calmar ratio (compounded annual return / max draw down)
    1.80620
  • Compounded annual return / average of 25% largest draw downs
    2.53525
  • Compounded annual return / Expected Shortfall lognormal
    3.54295
  • 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
    0.32471
  • SD
    0.20243
  • Sharpe ratio (Glass type estimate)
    1.60409
  • Sharpe ratio (Hedges UMVUE)
    1.60307
  • df
    1180.00000
  • t
    3.40566
  • p
    0.45067
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.67834
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.52918
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.67765
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.52848
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.49800
  • Upside Potential Ratio
    9.95330
  • Upside part of mean
    1.29382
  • Downside part of mean
    -0.96911
  • Upside SD
    0.15636
  • Downside SD
    0.12999
  • N nonnegative terms
    643.00000
  • N negative terms
    538.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1181.00000
  • Mean of predictor
    0.09696
  • Mean of criterion
    0.32471
  • SD of predictor
    0.12544
  • SD of criterion
    0.20243
  • Covariance
    0.00402
  • r
    0.15823
  • b (slope, estimate of beta)
    0.25534
  • a (intercept, estimate of alpha)
    0.30000
  • Mean Square Error
    0.03999
  • DF error
    1179.00000
  • t(b)
    5.50230
  • p(b)
    0.39969
  • t(a)
    3.18115
  • p(a)
    0.44135
  • Lowerbound of 95% confidence interval for beta
    0.16429
  • Upperbound of 95% confidence interval for beta
    0.34639
  • Lowerbound of 95% confidence interval for alpha
    0.11496
  • Upperbound of 95% confidence interval for alpha
    0.48495
  • Treynor index (mean / b)
    1.27169
  • Jensen alpha (a)
    0.29995
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.30410
  • SD
    0.20189
  • Sharpe ratio (Glass type estimate)
    1.50631
  • Sharpe ratio (Hedges UMVUE)
    1.50535
  • df
    1180.00000
  • t
    3.19807
  • p
    0.45365
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.58086
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.43116
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.58020
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.43050
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.30373
  • Upside Potential Ratio
    9.70983
  • Upside part of mean
    1.28173
  • Downside part of mean
    -0.97763
  • Upside SD
    0.15379
  • Downside SD
    0.13200
  • N nonnegative terms
    643.00000
  • N negative terms
    538.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1181.00000
  • Mean of predictor
    0.08907
  • Mean of criterion
    0.30410
  • SD of predictor
    0.12555
  • SD of criterion
    0.20189
  • Covariance
    0.00404
  • r
    0.15934
  • b (slope, estimate of beta)
    0.25621
  • a (intercept, estimate of alpha)
    0.28128
  • Mean Square Error
    0.03976
  • DF error
    1179.00000
  • t(b)
    5.54194
  • p(b)
    0.39899
  • t(a)
    2.99222
  • p(a)
    0.44480
  • Lowerbound of 95% confidence interval for beta
    0.16550
  • Upperbound of 95% confidence interval for beta
    0.34691
  • Lowerbound of 95% confidence interval for alpha
    0.09685
  • Upperbound of 95% confidence interval for alpha
    0.46571
  • Treynor index (mean / b)
    1.18693
  • Jensen alpha (a)
    0.28128
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01917
  • Expected Shortfall on VaR
    0.02426
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00798
  • Expected Shortfall on VaR
    0.01627
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    1181.00000
  • Minimum
    0.91301
  • Quartile 1
    0.99498
  • Median
    1.00101
  • Quartile 3
    1.00745
  • Maximum
    1.09747
  • Mean of quarter 1
    0.98705
  • Mean of quarter 2
    0.99848
  • Mean of quarter 3
    1.00390
  • Mean of quarter 4
    1.01600
  • Inter Quartile Range
    0.01248
  • Number outliers low
    29.00000
  • Percentage of outliers low
    0.02456
  • Mean of outliers low
    0.96573
  • Number of outliers high
    29.00000
  • Percentage of outliers high
    0.02456
  • Mean of outliers high
    1.03951
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.17311
  • VaR(95%) (moments method)
    0.01239
  • Expected Shortfall (moments method)
    0.01872
  • Extreme Value Index (regression method)
    0.15207
  • VaR(95%) (regression method)
    0.01189
  • Expected Shortfall (regression method)
    0.01756
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    44.00000
  • Minimum
    0.00001
  • Quartile 1
    0.00950
  • Median
    0.01995
  • Quartile 3
    0.04717
  • Maximum
    0.25577
  • Mean of quarter 1
    0.00446
  • Mean of quarter 2
    0.01428
  • Mean of quarter 3
    0.03083
  • Mean of quarter 4
    0.10736
  • Inter Quartile Range
    0.03767
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    3.00000
  • Percentage of outliers high
    0.06818
  • Mean of outliers high
    0.19899
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.35268
  • VaR(95%) (moments method)
    0.11673
  • Expected Shortfall (moments method)
    0.20420
  • Extreme Value Index (regression method)
    -0.03272
  • VaR(95%) (regression method)
    0.09666
  • Expected Shortfall (regression method)
    0.12422
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.76899
  • Compounded annual return (geometric extrapolation)
    0.39376
  • Calmar ratio (compounded annual return / max draw down)
    1.53954
  • Compounded annual return / average of 25% largest draw downs
    3.66777
  • Compounded annual return / Expected Shortfall lognormal
    16.23310
  • 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
    0.43027
  • SD
    0.18050
  • Sharpe ratio (Glass type estimate)
    2.38381
  • Sharpe ratio (Hedges UMVUE)
    2.37003
  • df
    130.00000
  • t
    1.68561
  • p
    0.42688
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.40759
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.16623
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.41670
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.15677
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.72245
  • Upside Potential Ratio
    11.01110
  • Upside part of mean
    1.27275
  • Downside part of mean
    -0.84248
  • Upside SD
    0.14027
  • Downside SD
    0.11559
  • N nonnegative terms
    72.00000
  • N negative terms
    59.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.16028
  • Mean of criterion
    0.43027
  • SD of predictor
    0.07192
  • SD of criterion
    0.18050
  • Covariance
    0.00702
  • r
    0.54112
  • b (slope, estimate of beta)
    1.35803
  • a (intercept, estimate of alpha)
    0.21261
  • Mean Square Error
    0.02322
  • DF error
    129.00000
  • t(b)
    7.30830
  • p(b)
    0.17316
  • t(a)
    0.97732
  • p(a)
    0.44549
  • Lowerbound of 95% confidence interval for beta
    0.99038
  • Upperbound of 95% confidence interval for beta
    1.72568
  • Lowerbound of 95% confidence interval for alpha
    -0.21780
  • Upperbound of 95% confidence interval for alpha
    0.64302
  • Treynor index (mean / b)
    0.31683
  • Jensen alpha (a)
    0.21261
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.41375
  • SD
    0.18033
  • Sharpe ratio (Glass type estimate)
    2.29434
  • Sharpe ratio (Hedges UMVUE)
    2.28107
  • df
    130.00000
  • t
    1.62234
  • p
    0.42956
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.49571
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.07577
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.50457
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.06671
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.54089
  • Upside Potential Ratio
    10.80820
  • Upside part of mean
    1.26291
  • Downside part of mean
    -0.84917
  • Upside SD
    0.13882
  • Downside SD
    0.11685
  • N nonnegative terms
    72.00000
  • N negative terms
    59.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.15765
  • Mean of criterion
    0.41375
  • SD of predictor
    0.07191
  • SD of criterion
    0.18033
  • Covariance
    0.00703
  • r
    0.54204
  • b (slope, estimate of beta)
    1.35929
  • a (intercept, estimate of alpha)
    0.19946
  • Mean Square Error
    0.02314
  • DF error
    129.00000
  • t(b)
    7.32592
  • p(b)
    0.17266
  • t(a)
    0.91863
  • p(a)
    0.44873
  • Lowerbound of 95% confidence interval for beta
    0.99218
  • Upperbound of 95% confidence interval for beta
    1.72639
  • Lowerbound of 95% confidence interval for alpha
    -0.23013
  • Upperbound of 95% confidence interval for alpha
    0.62904
  • Treynor index (mean / b)
    0.30439
  • Jensen alpha (a)
    0.19946
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01661
  • Expected Shortfall on VaR
    0.02117
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00687
  • Expected Shortfall on VaR
    0.01416
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.96450
  • Quartile 1
    0.99662
  • Median
    1.00065
  • Quartile 3
    1.00877
  • Maximum
    1.03560
  • Mean of quarter 1
    0.98803
  • Mean of quarter 2
    0.99948
  • Mean of quarter 3
    1.00425
  • Mean of quarter 4
    1.01531
  • Inter Quartile Range
    0.01215
  • Number outliers low
    4.00000
  • Percentage of outliers low
    0.03053
  • Mean of outliers low
    0.97183
  • Number of outliers high
    3.00000
  • Percentage of outliers high
    0.02290
  • Mean of outliers high
    1.03355
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.56580
  • VaR(95%) (moments method)
    0.00971
  • Expected Shortfall (moments method)
    0.01127
  • Extreme Value Index (regression method)
    0.03508
  • VaR(95%) (regression method)
    0.01268
  • Expected Shortfall (regression method)
    0.01882
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    8.00000
  • Minimum
    0.00001
  • Quartile 1
    0.01634
  • Median
    0.02362
  • Quartile 3
    0.04609
  • Maximum
    0.09802
  • Mean of quarter 1
    0.00419
  • Mean of quarter 2
    0.02106
  • Mean of quarter 3
    0.03429
  • Mean of quarter 4
    0.07449
  • Inter Quartile Range
    0.02975
  • 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
    0.12500
  • Mean of outliers high
    0.09802
  • 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)
    0.49422
  • Compounded annual return (geometric extrapolation)
    0.55528
  • Calmar ratio (compounded annual return / max draw down)
    5.66473
  • Compounded annual return / average of 25% largest draw downs
    7.45434
  • Compounded annual return / Expected Shortfall lognormal
    26.23450

Strategy Description

This is an intermediate termed strategy for aggressive investors whereby winners are held for months rather than weeks or days.

This portfolio will own no less than 5 positions and no more than 8. We try to keep an evenly weighted allocation.

Stocks are selected by a combination of quantitative values and moving average crossovers. Stocks are sold by the same measures.

Subscriptions will be limited to no more than five.



Summary Statistics

Strategy began
2012-10-25
Minimum Capital Required
$5,000
# Trades
364
# Profitable
168
% Profitable
46.2%
Net Dividends
Correlation S&P500
0.160
Sharpe Ratio
1.603

Latest Subscribers

#PERSONNAME#
subscribed on #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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