Welcome to Collective2

Follow these tips for a better experience

Ok, let's start

Close
Add to Watch List Create new Watch List
Add
Enter a name for your Watch List.
Watch List name must be less than 60 characters.
You have reached the maximum number of custom Watch Lists.
You have reached the maximum number of strategies in this Watch List.
Strategy added to Watch List. Go to Watch List

Sim is unavailable for this strategy, because you've recently "Simmed" it.

These are hypothetical performance results that have certain inherent limitations. Learn more

Pure Momentum
(90576475)

Created by: FredPenney FredPenney
Started: 11/2014
Stocks
Last trade: 19 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 $25.00 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.

1.0%
Annual Return (Compounded)

Rate of Return Calculations

Overview

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

How Annualized (Compounded) Rate of Return is calculated

= ((Ending_equity / Starting_equity) ^ (1 / age_in_years)) - 1

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

All results are hypothetical.

(31.0%)
Max Drawdown
133
Num Trades
46.6%
Win Trades
1.4 : 1
Profit Factor
64.9%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2014                                                                      +1.8%+1.3%+3.1%
2015+5.5%(4.2%)(0.1%)+4.6%+1.0%(4.6%)  -  (12.1%)+0.9%(0.4%)(1.7%)(2%)(13.4%)
2016(7.5%)+3.0%+2.2%+0.7%(1.8%)+2.2%+0.2%(1.3%)+0.1%(2.1%)+1.3%+1.1%(2.5%)
2017+1.0%+1.2%+1.9%+1.2%+1.8%  -  +3.0%+0.8%+1.2%+3.2%+3.0%+2.3%+22.4%
2018+6.7%(7%)(2.5%)(0.9%)+1.2%+0.9%+2.0%+2.1%+0.2%(6.5%)+3.1%(5.1%)(6.5%)
2019+3.6%(1.5%)+3.3%+2.3%(4.4%)+1.3%+0.6%                              +5.1%

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.

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
5/24/19 10:36 GLD SPDR GOLD SHARES LONG 52 121.88 6/6 9:45 125.85 0.02%
Trade id #123812262
Max drawdown($25)
Time5/30/19 6:38
Quant open35
Worst price120.44
Drawdown as % of equity-0.02%
$205
Includes Typical Broker Commissions trade costs of $1.04
5/24/19 10:26 TLT ISHARES 20+ YEAR TREASURY BOND LONG 32 129.45 6/6 9:44 131.02 0%
Trade id #123811935
Max drawdown($0)
Time5/24/19 10:28
Quant open17
Worst price127.42
Drawdown as % of equity-0.00%
$49
Includes Typical Broker Commissions trade costs of $0.64
4/17/19 12:06 FM ISHARES MSCI FRONTIER 100 LONG 166 28.76 6/6 9:44 29.06 0.16%
Trade id #123346121
Max drawdown($165)
Time5/13/19 13:31
Quant open166
Worst price27.76
Drawdown as % of equity-0.16%
$47
Includes Typical Broker Commissions trade costs of $3.32
4/8/19 10:29 EPP ISHARES MSCI PACIFIC EX-JAPAN LONG 184 46.68 6/6 9:43 45.67 0.31%
Trade id #123239424
Max drawdown($316)
Time5/13/19 13:12
Quant open162
Worst price44.84
Drawdown as % of equity-0.31%
($189)
Includes Typical Broker Commissions trade costs of $3.68
2/11/19 12:15 IYR ISHARES DOW JONES US REAL ESTA LONG 536 85.45 6/6 9:43 87.07 0.36%
Trade id #122459317
Max drawdown($394)
Time4/22/19 12:15
Quant open283
Worst price84.06
Drawdown as % of equity-0.36%
$853
Includes Typical Broker Commissions trade costs of $10.72
5/10/19 10:18 LQD ISHARES IBOXX $ INVEST GRADE C LONG 28 118.79 5/31 15:06 120.74 0%
Trade id #123617466
Max drawdown($2)
Time5/10/19 11:56
Quant open28
Worst price118.71
Drawdown as % of equity-0.00%
$54
Includes Typical Broker Commissions trade costs of $0.56
2/21/19 13:15 QLD PROSHARES ULTRA QQQ LONG 199 87.83 5/31 15:05 88.70 0.24%
Trade id #122626341
Max drawdown($256)
Time5/31/19 9:53
Quant open57
Worst price83.33
Drawdown as % of equity-0.24%
$170
Includes Typical Broker Commissions trade costs of $3.98
4/8/19 10:28 UWM PROSHARES ULTRA RUSSELL2000 LONG 196 69.72 5/31 15:05 65.51 0.79%
Trade id #123239384
Max drawdown($825)
Time5/31/19 15:05
Quant open150
Worst price60.49
Drawdown as % of equity-0.79%
($829)
Includes Typical Broker Commissions trade costs of $3.92
4/8/19 10:22 SSO PROSHARES ULTRA S&P500 LONG 109 123.13 5/31 15:04 116.98 0.67%
Trade id #123239254
Max drawdown($695)
Time5/13/19 18:02
Quant open83
Worst price114.75
Drawdown as % of equity-0.67%
($672)
Includes Typical Broker Commissions trade costs of $2.18
1/11/19 11:05 EEM ISHARES MSCI EMERGING MARKETS LONG 820 42.32 5/24 10:35 41.75 0.58%
Trade id #121921750
Max drawdown($604)
Time5/23/19 9:46
Quant open235
Worst price39.75
Drawdown as % of equity-0.58%
($489)
Includes Typical Broker Commissions trade costs of $16.40
5/24/19 10:23 EFA ISHARES MSCI EAFE INDEX SHORT 4 64.68 5/24 10:34 64.67 0%
Trade id #123811853
Max drawdown($0)
Time5/24/19 10:25
Quant open-4
Worst price64.70
Drawdown as % of equity-0.00%
$0
Includes Typical Broker Commissions trade costs of $0.08
3/8/19 11:29 EFA ISHARES MSCI EAFE INDEX LONG 448 64.39 5/24 10:23 65.19 0.04%
Trade id #122837186
Max drawdown($41)
Time5/13/19 12:59
Quant open62
Worst price63.71
Drawdown as % of equity-0.04%
$350
Includes Typical Broker Commissions trade costs of $8.96
4/8/19 10:28 GSG ISHARES S&P GSCI COMMODITY-IND LONG 556 16.66 5/10 10:13 16.23 0.23%
Trade id #123239410
Max drawdown($242)
Time5/10/19 10:13
Quant open347
Worst price15.99
Drawdown as % of equity-0.23%
($253)
Includes Typical Broker Commissions trade costs of $11.12
4/8/19 10:29 LQD ISHARES IBOXX $ INVEST GRADE C LONG 41 118.40 4/26 12:22 119.13 0%
Trade id #123239420
Max drawdown($1)
Time4/22/19 12:20
Quant open21
Worst price118.34
Drawdown as % of equity-0.00%
$29
Includes Typical Broker Commissions trade costs of $0.82
4/8/19 10:23 TLT ISHARES 20+ YEAR TREASURY BOND LONG 58 123.69 4/26 12:22 123.28 0.06%
Trade id #123239281
Max drawdown($70)
Time4/17/19 8:53
Quant open39
Worst price121.88
Drawdown as % of equity-0.06%
($25)
Includes Typical Broker Commissions trade costs of $1.16
1/4/19 12:29 GDXJ VANECK VECTORS JUNIOR GOLD MIN LONG 594 31.51 4/17 12:07 31.78 0.66%
Trade id #121789978
Max drawdown($664)
Time1/18/19 15:24
Quant open388
Worst price29.25
Drawdown as % of equity-0.66%
$147
Includes Typical Broker Commissions trade costs of $11.88
3/22/19 11:27 MOO VANECK VECTORS AGRIBUSINESS ET LONG 153 62.44 4/17 12:04 63.57 0.04%
Trade id #123033680
Max drawdown($46)
Time3/25/19 10:17
Quant open76
Worst price61.20
Drawdown as % of equity-0.04%
$170
Includes Typical Broker Commissions trade costs of $3.06
3/15/19 11:35 WOOD ISHARES GLOBAL TIMBER & FOREST LONG 149 63.73 4/8 10:14 65.77 0.27%
Trade id #122928236
Max drawdown($283)
Time3/25/19 10:04
Quant open149
Worst price61.83
Drawdown as % of equity-0.27%
$300
Includes Typical Broker Commissions trade costs of $2.98
1/11/19 11:07 SHY ISHARES BARCLAYS 1-3 YEAR TREA LONG 204 83.62 4/8 10:13 83.83 0.02%
Trade id #121921793
Max drawdown($20)
Time1/18/19 12:32
Quant open204
Worst price83.52
Drawdown as % of equity-0.02%
$38
Includes Typical Broker Commissions trade costs of $4.08
1/14/19 9:30 UST PROSHARES ULTRA 7-10 YEAR TREA LONG 279 55.64 4/8 10:13 57.11 0.09%
Trade id #121949795
Max drawdown($87)
Time3/1/19 16:01
Quant open230
Worst price55.26
Drawdown as % of equity-0.09%
$403
Includes Typical Broker Commissions trade costs of $5.58
3/22/19 11:28 UBT PROSHARES ULTRA 20+ YEAR TREAS LONG 65 80.83 4/8 10:11 79.30 0.1%
Trade id #123033796
Max drawdown($104)
Time4/3/19 13:29
Quant open58
Worst price79.15
Drawdown as % of equity-0.10%
($100)
Includes Typical Broker Commissions trade costs of $1.30
3/8/19 11:29 EPP ISHARES MSCI PACIFIC EX-JAPAN LONG 104 45.10 4/5 11:51 46.68 0.01%
Trade id #122837197
Max drawdown($8)
Time3/8/19 14:04
Quant open70
Worst price44.87
Drawdown as % of equity-0.01%
$162
Includes Typical Broker Commissions trade costs of $2.08
12/28/18 11:44 GLD SPDR GOLD SHARES LONG 51 120.90 3/22/19 11:26 123.90 0.01%
Trade id #121700440
Max drawdown($10)
Time12/28/18 11:44
Quant open51
Worst price120.69
Drawdown as % of equity-0.01%
$152
Includes Typical Broker Commissions trade costs of $1.02
1/14/19 9:30 UBT PROSHARES ULTRA 20+ YEAR TREAS LONG 245 75.80 3/22 11:20 77.78 0.51%
Trade id #121949741
Max drawdown($528)
Time3/1/19 15:50
Quant open211
Worst price73.30
Drawdown as % of equity-0.51%
$479
Includes Typical Broker Commissions trade costs of $4.90
1/24/19 10:19 RSX VANECK VECTORS RUSSIA ETF LONG 460 20.70 3/8 11:29 20.31 0.3%
Trade id #122156916
Max drawdown($315)
Time2/14/19 9:03
Quant open460
Worst price20.02
Drawdown as % of equity-0.30%
($190)
Includes Typical Broker Commissions trade costs of $9.20
6/8/18 14:16 XLV HEALTH CARE SELECT SECTOR SPDR LONG 336 90.05 2/15/19 9:30 87.60 2.21%
Trade id #118340565
Max drawdown($2,197)
Time12/24/18 13:52
Quant open222
Worst price80.15
Drawdown as % of equity-2.21%
($831)
Includes Typical Broker Commissions trade costs of $6.72
12/7/18 14:33 IEF ISHARES BARCLAYS 7-10 YEAR TRE LONG 238 102.86 2/11/19 12:13 104.13 0.13%
Trade id #121405140
Max drawdown($137)
Time12/12/18 16:33
Quant open160
Worst price101.87
Drawdown as % of equity-0.13%
$298
Includes Typical Broker Commissions trade costs of $4.76
12/7/18 14:33 TLT ISHARES 20+ YEAR TREASURY BOND LONG 177 120.14 2/1/19 12:10 120.87 0.11%
Trade id #121405136
Max drawdown($116)
Time1/18/19 12:17
Quant open155
Worst price119.39
Drawdown as % of equity-0.11%
$126
Includes Typical Broker Commissions trade costs of $3.54
10/12/18 14:41 RSX VANECK VECTORS RUSSIA ETF LONG 683 20.60 1/11/19 11:03 19.50 0.97%
Trade id #120330679
Max drawdown($974)
Time12/21/18 13:13
Quant open472
Worst price18.54
Drawdown as % of equity-0.97%
($765)
Includes Typical Broker Commissions trade costs of $13.66
7/16/18 9:30 IYR ISHARES DOW JONES US REAL ESTA LONG 466 80.09 1/11/19 11:03 76.33 2.16%
Trade id #118951202
Max drawdown($2,117)
Time12/26/18 10:55
Quant open244
Worst price71.41
Drawdown as % of equity-2.16%
($1,761)
Includes Typical Broker Commissions trade costs of $9.32

Statistics

  • Strategy began
    11/3/2014
  • Suggested Minimum Cap
    $35,000
  • Strategy Age (days)
    1719.35
  • Age
    57 months ago
  • What it trades
    Stocks
  • # Trades
    133
  • # Profitable
    62
  • % Profitable
    46.60%
  • Avg trade duration
    85.7 days
  • Max peak-to-valley drawdown
    30.99%
  • drawdown period
    May 22, 2015 - Jan 20, 2016
  • Annual Return (Compounded)
    1.0%
  • Avg win
    $684.31
  • Avg loss
    $715.99
  • Model Account Values (Raw)
  • Cash
    $46,355
  • Margin Used
    $0
  • Buying Power
    $48,859
  • Ratios
  • W:L ratio
    1.38:1
  • Sharpe Ratio
    -0.02
  • Sortino Ratio
    -0.03
  • Calmar Ratio
    0.053
  • CORRELATION STATISTICS
  • Correlation to SP500
    0.53250
  • Return Statistics
  • Ann Return (w trading costs)
    1.0%
  • Ann Return (Compnd, No Fees)
    1.5%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    58.00%
  • Chance of 20% account loss
    16.00%
  • Chance of 30% account loss
    2.00%
  • Chance of 40% account loss
    n/a
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    526
  • C2 Score
    63.4
  • Trades-Own-System Certification
  • Trades Own System?
    0
  • TOS percent
    n/a
  • Subscription Price
  • Billing Period (days)
    30
  • Trial Days
    7
  • Win / Loss
  • Avg Loss
    $716
  • Avg Win
    $712
  • # Winners
    62
  • # Losers
    71
  • % Winners
    46.6%
  • Frequency
  • Avg Position Time (mins)
    123333.00
  • Avg Position Time (hrs)
    2055.55
  • Avg Trade Length
    85.6 days
  • Last Trade Ago
    19
  • Leverage
  • Daily leverage (average)
    1.02
  • Daily leverage (max)
    1.55
  • Unknown
  • Alpha
    -0.01
  • Beta
    0.40
  • Treynor Index
    -0.00
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.00266
  • SD
    0.13987
  • Sharpe ratio (Glass type estimate)
    -0.01905
  • Sharpe ratio (Hedges UMVUE)
    -0.01879
  • df
    54.00000
  • t
    -0.04079
  • p
    0.51619
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.93449
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.89651
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.93429
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.89672
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.02379
  • Upside Potential Ratio
    1.54480
  • Upside part of mean
    0.17302
  • Downside part of mean
    -0.17569
  • Upside SD
    0.08164
  • Downside SD
    0.11200
  • N nonnegative terms
    34.00000
  • N negative terms
    21.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    55.00000
  • Mean of predictor
    0.06554
  • Mean of criterion
    -0.00266
  • SD of predictor
    0.11961
  • SD of criterion
    0.13987
  • Covariance
    0.01251
  • r
    0.74797
  • b (slope, estimate of beta)
    0.87465
  • a (intercept, estimate of alpha)
    -0.05999
  • Mean Square Error
    0.00878
  • DF error
    53.00000
  • t(b)
    8.20398
  • p(b)
    0.00000
  • t(a)
    -1.35338
  • p(a)
    0.90916
  • Lowerbound of 95% confidence interval for beta
    0.66082
  • Upperbound of 95% confidence interval for beta
    1.08849
  • Lowerbound of 95% confidence interval for alpha
    -0.14890
  • Upperbound of 95% confidence interval for alpha
    0.02892
  • Treynor index (mean / b)
    -0.00305
  • Jensen alpha (a)
    -0.05999
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.01250
  • SD
    0.14265
  • Sharpe ratio (Glass type estimate)
    -0.08764
  • Sharpe ratio (Hedges UMVUE)
    -0.08641
  • df
    54.00000
  • t
    -0.18762
  • p
    0.57406
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.00288
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.82841
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.00206
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.82923
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.10686
  • Upside Potential Ratio
    1.44817
  • Upside part of mean
    0.16941
  • Downside part of mean
    -0.18191
  • Upside SD
    0.07941
  • Downside SD
    0.11699
  • N nonnegative terms
    34.00000
  • N negative terms
    21.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    55.00000
  • Mean of predictor
    0.05812
  • Mean of criterion
    -0.01250
  • SD of predictor
    0.12098
  • SD of criterion
    0.14265
  • Covariance
    0.01303
  • r
    0.75485
  • b (slope, estimate of beta)
    0.89005
  • a (intercept, estimate of alpha)
    -0.06423
  • Mean Square Error
    0.00892
  • DF error
    53.00000
  • t(b)
    8.37843
  • p(b)
    -0.00000
  • t(a)
    -1.44197
  • p(a)
    0.92240
  • Lowerbound of 95% confidence interval for beta
    0.67698
  • Upperbound of 95% confidence interval for beta
    1.10313
  • Lowerbound of 95% confidence interval for alpha
    -0.15357
  • Upperbound of 95% confidence interval for alpha
    0.02511
  • Treynor index (mean / b)
    -0.01405
  • Jensen alpha (a)
    -0.06423
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.06646
  • Expected Shortfall on VaR
    0.08228
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02795
  • Expected Shortfall on VaR
    0.05907
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    55.00000
  • Minimum
    0.87725
  • Quartile 1
    0.98712
  • Median
    1.00960
  • Quartile 3
    1.02259
  • Maximum
    1.08206
  • Mean of quarter 1
    0.94716
  • Mean of quarter 2
    1.00222
  • Mean of quarter 3
    1.01772
  • Mean of quarter 4
    1.04243
  • Inter Quartile Range
    0.03547
  • Number outliers low
    5.00000
  • Percentage of outliers low
    0.09091
  • Mean of outliers low
    0.91004
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.01818
  • Mean of outliers high
    1.08206
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.24903
  • VaR(95%) (moments method)
    0.03981
  • Expected Shortfall (moments method)
    0.05110
  • Extreme Value Index (regression method)
    -0.17855
  • VaR(95%) (regression method)
    0.06765
  • Expected Shortfall (regression method)
    0.09250
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    3.00000
  • Minimum
    0.05542
  • Quartile 1
    0.09486
  • Median
    0.13430
  • Quartile 3
    0.19945
  • Maximum
    0.26460
  • Mean of quarter 1
    0.05542
  • Mean of quarter 2
    0.13430
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.26460
  • Inter Quartile Range
    0.10459
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.01596
  • Compounded annual return (geometric extrapolation)
    0.01552
  • Calmar ratio (compounded annual return / max draw down)
    0.05867
  • Compounded annual return / average of 25% largest draw downs
    0.05867
  • Compounded annual return / Expected Shortfall lognormal
    0.18868
  • 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
    -0.00677
  • SD
    0.10486
  • Sharpe ratio (Glass type estimate)
    -0.06452
  • Sharpe ratio (Hedges UMVUE)
    -0.06448
  • df
    1207.00000
  • t
    -0.13854
  • p
    0.50254
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.97730
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.84826
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.97726
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.84830
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.08379
  • Upside Potential Ratio
    6.98173
  • Upside part of mean
    0.56371
  • Downside part of mean
    -0.57048
  • Upside SD
    0.06684
  • Downside SD
    0.08074
  • N nonnegative terms
    643.00000
  • N negative terms
    565.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1208.00000
  • Mean of predictor
    0.06569
  • Mean of criterion
    -0.00677
  • SD of predictor
    0.13605
  • SD of criterion
    0.10486
  • Covariance
    0.00754
  • r
    0.52824
  • b (slope, estimate of beta)
    0.40714
  • a (intercept, estimate of alpha)
    -0.03400
  • Mean Square Error
    0.00793
  • DF error
    1206.00000
  • t(b)
    21.60460
  • p(b)
    0.23588
  • t(a)
    -0.80748
  • p(a)
    0.51162
  • Lowerbound of 95% confidence interval for beta
    0.37017
  • Upperbound of 95% confidence interval for beta
    0.44411
  • Lowerbound of 95% confidence interval for alpha
    -0.11493
  • Upperbound of 95% confidence interval for alpha
    0.04791
  • Treynor index (mean / b)
    -0.01662
  • Jensen alpha (a)
    -0.03351
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.01228
  • SD
    0.10522
  • Sharpe ratio (Glass type estimate)
    -0.11674
  • Sharpe ratio (Hedges UMVUE)
    -0.11667
  • df
    1207.00000
  • t
    -0.25067
  • p
    0.50459
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.02953
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.79605
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.02946
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.79612
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.15066
  • Upside Potential Ratio
    6.88653
  • Upside part of mean
    0.56144
  • Downside part of mean
    -0.57372
  • Upside SD
    0.06645
  • Downside SD
    0.08153
  • N nonnegative terms
    643.00000
  • N negative terms
    565.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1208.00000
  • Mean of predictor
    0.05641
  • Mean of criterion
    -0.01228
  • SD of predictor
    0.13628
  • SD of criterion
    0.10522
  • Covariance
    0.00761
  • r
    0.53091
  • b (slope, estimate of beta)
    0.40990
  • a (intercept, estimate of alpha)
    -0.03541
  • Mean Square Error
    0.00796
  • DF error
    1206.00000
  • t(b)
    21.75670
  • p(b)
    0.23454
  • t(a)
    -0.85204
  • p(a)
    0.51226
  • Lowerbound of 95% confidence interval for beta
    0.37293
  • Upperbound of 95% confidence interval for beta
    0.44686
  • Lowerbound of 95% confidence interval for alpha
    -0.11693
  • Upperbound of 95% confidence interval for alpha
    0.04612
  • Treynor index (mean / b)
    -0.02997
  • Jensen alpha (a)
    -0.03541
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01068
  • Expected Shortfall on VaR
    0.01336
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00475
  • Expected Shortfall on VaR
    0.00987
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    1208.00000
  • Minimum
    0.96167
  • Quartile 1
    0.99762
  • Median
    1.00039
  • Quartile 3
    1.00326
  • Maximum
    1.02903
  • Mean of quarter 1
    0.99236
  • Mean of quarter 2
    0.99917
  • Mean of quarter 3
    1.00167
  • Mean of quarter 4
    1.00713
  • Inter Quartile Range
    0.00563
  • Number outliers low
    54.00000
  • Percentage of outliers low
    0.04470
  • Mean of outliers low
    0.98173
  • Number of outliers high
    39.00000
  • Percentage of outliers high
    0.03228
  • Mean of outliers high
    1.01510
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.30832
  • VaR(95%) (moments method)
    0.00707
  • Expected Shortfall (moments method)
    0.01241
  • Extreme Value Index (regression method)
    0.18127
  • VaR(95%) (regression method)
    0.00693
  • Expected Shortfall (regression method)
    0.01091
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    16.00000
  • Minimum
    0.00010
  • Quartile 1
    0.00165
  • Median
    0.00288
  • Quartile 3
    0.01828
  • Maximum
    0.29724
  • Mean of quarter 1
    0.00086
  • Mean of quarter 2
    0.00221
  • Mean of quarter 3
    0.00602
  • Mean of quarter 4
    0.14371
  • Inter Quartile Range
    0.01663
  • 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
    0.18750
  • Mean of outliers high
    0.17731
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -0.76584
  • VaR(95%) (moments method)
    0.12285
  • Expected Shortfall (moments method)
    0.14264
  • Extreme Value Index (regression method)
    0.25896
  • VaR(95%) (regression method)
    0.24614
  • Expected Shortfall (regression method)
    0.46108
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.01620
  • Compounded annual return (geometric extrapolation)
    0.01575
  • Calmar ratio (compounded annual return / max draw down)
    0.05298
  • Compounded annual return / average of 25% largest draw downs
    0.10958
  • Compounded annual return / Expected Shortfall lognormal
    1.17850
  • 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
    0.08105
  • SD
    0.08242
  • Sharpe ratio (Glass type estimate)
    0.98342
  • Sharpe ratio (Hedges UMVUE)
    0.97774
  • df
    130.00000
  • t
    0.69538
  • p
    0.46956
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.79278
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.75599
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.79662
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.75209
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.41324
  • Upside Potential Ratio
    9.21646
  • Upside part of mean
    0.52859
  • Downside part of mean
    -0.44754
  • Upside SD
    0.05897
  • Downside SD
    0.05735
  • N nonnegative terms
    74.00000
  • N negative terms
    57.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.25217
  • Mean of criterion
    0.08105
  • SD of predictor
    0.11440
  • SD of criterion
    0.08242
  • Covariance
    0.00465
  • r
    0.49298
  • b (slope, estimate of beta)
    0.35516
  • a (intercept, estimate of alpha)
    -0.00851
  • Mean Square Error
    0.00518
  • DF error
    129.00000
  • t(b)
    6.43548
  • p(b)
    0.19938
  • t(a)
    -0.08279
  • p(a)
    0.50464
  • Lowerbound of 95% confidence interval for beta
    0.24597
  • Upperbound of 95% confidence interval for beta
    0.46435
  • Lowerbound of 95% confidence interval for alpha
    -0.21180
  • Upperbound of 95% confidence interval for alpha
    0.19479
  • Treynor index (mean / b)
    0.22822
  • Jensen alpha (a)
    -0.00851
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.07766
  • SD
    0.08247
  • Sharpe ratio (Glass type estimate)
    0.94173
  • Sharpe ratio (Hedges UMVUE)
    0.93628
  • df
    130.00000
  • t
    0.66590
  • p
    0.47085
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.83414
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.71408
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.83786
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.71042
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.34651
  • Upside Potential Ratio
    9.13405
  • Upside part of mean
    0.52681
  • Downside part of mean
    -0.44915
  • Upside SD
    0.05870
  • Downside SD
    0.05767
  • N nonnegative terms
    74.00000
  • N negative terms
    57.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.24552
  • Mean of criterion
    0.07766
  • SD of predictor
    0.11460
  • SD of criterion
    0.08247
  • Covariance
    0.00466
  • r
    0.49349
  • b (slope, estimate of beta)
    0.35513
  • a (intercept, estimate of alpha)
    -0.00953
  • Mean Square Error
    0.00518
  • DF error
    129.00000
  • t(b)
    6.44431
  • p(b)
    0.19910
  • t(a)
    -0.09278
  • p(a)
    0.50520
  • Lowerbound of 95% confidence interval for beta
    0.24610
  • Upperbound of 95% confidence interval for beta
    0.46416
  • Lowerbound of 95% confidence interval for alpha
    -0.21277
  • Upperbound of 95% confidence interval for alpha
    0.19371
  • Treynor index (mean / b)
    0.21868
  • Jensen alpha (a)
    -0.00953
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00805
  • Expected Shortfall on VaR
    0.01016
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00359
  • Expected Shortfall on VaR
    0.00723
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.98016
  • Quartile 1
    0.99763
  • Median
    1.00061
  • Quartile 3
    1.00278
  • Maximum
    1.01474
  • Mean of quarter 1
    0.99430
  • Mean of quarter 2
    0.99922
  • Mean of quarter 3
    1.00175
  • Mean of quarter 4
    1.00643
  • Inter Quartile Range
    0.00515
  • Number outliers low
    3.00000
  • Percentage of outliers low
    0.02290
  • Mean of outliers low
    0.98450
  • Number of outliers high
    5.00000
  • Percentage of outliers high
    0.03817
  • Mean of outliers high
    1.01239
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.28231
  • VaR(95%) (moments method)
    0.00589
  • Expected Shortfall (moments method)
    0.00968
  • Extreme Value Index (regression method)
    0.38995
  • VaR(95%) (regression method)
    0.00585
  • Expected Shortfall (regression method)
    0.01057
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    12.00000
  • Minimum
    0.00003
  • Quartile 1
    0.00211
  • Median
    0.00672
  • Quartile 3
    0.01020
  • Maximum
    0.05382
  • Mean of quarter 1
    0.00056
  • Mean of quarter 2
    0.00450
  • Mean of quarter 3
    0.00895
  • Mean of quarter 4
    0.03208
  • Inter Quartile Range
    0.00809
  • 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
    0.16667
  • Mean of outliers high
    0.04283
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -11.68190
  • VaR(95%) (moments method)
    0.02623
  • Expected Shortfall (moments method)
    0.02623
  • Extreme Value Index (regression method)
    -0.95380
  • VaR(95%) (regression method)
    0.06099
  • Expected Shortfall (regression method)
    0.06844
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.10840
  • Compounded annual return (geometric extrapolation)
    0.11134
  • Calmar ratio (compounded annual return / max draw down)
    2.06868
  • Compounded annual return / average of 25% largest draw downs
    3.47083
  • Compounded annual return / Expected Shortfall lognormal
    10.96000

Strategy Description

Momentum is the one anomaly of the markets that defies the efficient market hypothesis. It continues to persist even though its presence is well known. This trading system is based on published research spanning decades. Asset classes included are equities (North American and International), bonds, real estate and commodities.

Summary Statistics

Strategy began
2014-11-03
Suggested Minimum Capital
$35,000
# Trades
133
# Profitable
62
% Profitable
46.6%
Net Dividends
Correlation S&P500
0.532
Sharpe Ratio
-0.02
Sortino Ratio
-0.03
Beta
0.40
Alpha
-0.01
Leverage
1.02 Average
1.55 Maximum
Summary
Higher leverage = greater risk.

More information about leverage

Collective2 calculates the maximum leverage used by a strategy in each day. We then display the average of these measurements (i.e. the average daily maximum leverage) and the greatest of these measurements (maximum daily leverage).

Leverage is the ratio of total notional value controlled by a strategy divided by its Model Account equity. Generally higher leverage implies greater risk.

Example of calculation:
The Strategy buys 100 shares of stock at $12 per share.
The Model Account equity during that day is $5,000.
The leverage is: $1200 / $5,000 = 0.24

This is a useful measurement, but it should be considered in context. This measurement doesn't take into account important factors, such as when multiple positions are held that are inversely correlated. Nor does the measurement take into account the volatility of the instruments being held.

In addition, certain asset classes are inherently more leveraged than others. For example, futures contracts are highly leveraged. Forex positions are often even more leveraged than futures.

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.

Okay, gotcha.

Not available

This feature isn't available under your current Trade Leader Plan.

Want to see available plans and features?

Please hold...

Strategy is now visible

This strategy is now visible to the public. New subscribers will be able to follow it.

If you designate your strategy as Private, it will no longer be visible to the public.

No subscribers and simulations will be allowed. If you have subscribers, the strategy will still be visible to them.
If you have simulations, they will be stopped.

Continue to designate your strategy as Private?

Strategy is no longer visible

This strategy is no longer visible to anyone except current subscribers.

(Current subscribers will remain subscribed. You can see who is subscribed, and control their subscriptions, on your Subscriber Management screen.)

Finally, please note that you can restore public visibility at any time.

This strategy is no longer visible to the public. No subscribers will be allowed.

You can restore public visibility at any time.

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.