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Pure Momentum
(90576475)

Created by: FredPenney FredPenney
Started: 11/2014
Stocks
Last trade: 12 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.

0.7%
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
118
Num Trades
43.2%
Win Trades
1.4 : 1
Profit Factor
63.6%
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%(4.2%)                                          +3.4%

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

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Long
Short
Both
Win
Loss
Both
Show More details Show Fewer details
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
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 n/a $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
7/29/16 12:15 SPY SPDR S&P 500 LONG 343 251.68 12/28/18 11:40 259.81 1.46%
Trade id #104890372
Max drawdown($1,552)
Time5/23/18 9:01
Quant open48
Worst price204.81
Drawdown as % of equity-1.46%
$2,783
Includes Typical Broker Commissions trade costs of $6.86
10/12/18 14:40 MOO VANECK VECTORS AGRIBUSINESS ET LONG 154 63.45 12/7 14:33 61.16 0.47%
Trade id #120330659
Max drawdown($491)
Time11/20/18 15:08
Quant open154
Worst price60.26
Drawdown as % of equity-0.47%
($355)
Includes Typical Broker Commissions trade costs of $3.08
10/22/18 9:30 QQQ POWERSHARES QQQ LONG 57 174.06 11/23 10:00 163.86 0.78%
Trade id #120466161
Max drawdown($796)
Time10/29/18 15:45
Quant open57
Worst price160.09
Drawdown as % of equity-0.78%
($583)
Includes Typical Broker Commissions trade costs of $1.14
4/13/18 9:30 XLE ENERGY SELECT SECTOR SPDR LONG 586 73.77 11/12 9:30 71.62 1.89%
Trade id #117499272
Max drawdown($1,913)
Time10/26/18 10:09
Quant open228
Worst price65.38
Drawdown as % of equity-1.89%
($1,273)
Includes Typical Broker Commissions trade costs of $11.72
10/5/18 12:54 DBC INVESCO DB COMMODITY INDEX LONG 165 18.38 10/22 9:30 17.69 0.12%
Trade id #120209441
Max drawdown($125)
Time10/18/18 9:38
Quant open165
Worst price17.62
Drawdown as % of equity-0.12%
($117)
Includes Typical Broker Commissions trade costs of $3.30
3/29/18 13:06 MOO VANECK VECTORS AGRIBUSINESS ET LONG 285 62.23 9/21 9:30 63.55 0.24%
Trade id #117302019
Max drawdown($246)
Time4/4/18 9:31
Quant open136
Worst price59.73
Drawdown as % of equity-0.24%
$370
Includes Typical Broker Commissions trade costs of $5.70
5/4/18 13:38 QQQ POWERSHARES QQQ LONG 167 172.27 9/21 9:30 183.20 0.29%
Trade id #117803438
Max drawdown($304)
Time6/28/18 8:38
Quant open127
Worst price168.87
Drawdown as % of equity-0.29%
$1,822
Includes Typical Broker Commissions trade costs of $3.34
7/23/18 9:30 TLT ISHARES 20+ YEAR TREASURY BOND LONG 56 119.92 8/24 12:03 121.63 0.1%
Trade id #119059324
Max drawdown($103)
Time8/1/18 9:40
Quant open56
Worst price118.07
Drawdown as % of equity-0.10%
$95
Includes Typical Broker Commissions trade costs of $1.12
3/23/18 13:07 DBC INVESCO DB COMMODITY INDEX LONG 1,227 16.96 8/17 12:53 16.98 0.19%
Trade id #117210760
Max drawdown($199)
Time7/18/18 10:31
Quant open583
Worst price16.62
Drawdown as % of equity-0.19%
$1
Includes Typical Broker Commissions trade costs of $17.16
7/23/18 9:30 RSX VANECK VECTORS RUSSIA ETF LONG 152 21.18 8/17 12:53 19.57 0.24%
Trade id #119059340
Max drawdown($259)
Time8/15/18 11:20
Quant open152
Worst price19.47
Drawdown as % of equity-0.24%
($248)
Includes Typical Broker Commissions trade costs of $3.04
4/6/18 12:50 EPP ISHARES MSCI PACIFIC EX-JAPAN LONG 339 47.46 7/16 9:30 46.52 0.52%
Trade id #117407383
Max drawdown($545)
Time6/19/18 9:31
Quant open272
Worst price45.45
Drawdown as % of equity-0.52%
($324)
Includes Typical Broker Commissions trade costs of $6.78
6/8/18 14:08 GLD SPDR GOLD SHARES LONG 27 123.07 7/16 9:30 117.51 0.15%
Trade id #118340358
Max drawdown($160)
Time7/13/18 8:01
Quant open27
Worst price117.11
Drawdown as % of equity-0.15%
($151)
Includes Typical Broker Commissions trade costs of $0.54

Statistics

  • Strategy began
    11/3/2014
  • Suggested Minimum Cap
    $15,000
  • Strategy Age (days)
    1660.55
  • Age
    55 months ago
  • What it trades
    Stocks
  • # Trades
    118
  • # Profitable
    51
  • % Profitable
    43.20%
  • Avg trade duration
    93.0 days
  • Max peak-to-valley drawdown
    30.99%
  • drawdown period
    May 22, 2015 - Jan 20, 2016
  • Annual Return (Compounded)
    0.7%
  • Avg win
    $789.49
  • Avg loss
    $732.90
  • Model Account Values (Raw)
  • Cash
    $53,591
  • Margin Used
    $0
  • Buying Power
    $54,072
  • Ratios
  • W:L ratio
    1.37:1
  • Sharpe Ratio
    -0.07
  • Sortino Ratio
    -0.09
  • Calmar Ratio
    0.035
  • CORRELATION STATISTICS
  • Correlation to SP500
    0.53840
  • Return Statistics
  • Ann Return (w trading costs)
    0.7%
  • Ann Return (Compnd, No Fees)
    1.1%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    61.50%
  • Chance of 20% account loss
    19.00%
  • 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)
    769
  • C2 Score
    71.9
  • 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
    $742
  • Avg Win
    $812
  • # Winners
    51
  • # Losers
    67
  • % Winners
    43.2%
  • Frequency
  • Avg Position Time (mins)
    133867.00
  • Avg Position Time (hrs)
    2231.11
  • Avg Trade Length
    93.0 days
  • Last Trade Ago
    4
  • Leverage
  • Daily leverage (average)
    1.14
  • Daily leverage (max)
    1.55
  • Unknown
  • Alpha
    -0.01
  • Beta
    0.41
  • Treynor Index
    -0.01
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.00349
  • SD
    0.14061
  • Sharpe ratio (Glass type estimate)
    0.02480
  • Sharpe ratio (Hedges UMVUE)
    0.02444
  • df
    52.00000
  • t
    0.05212
  • p
    0.47932
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.90792
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.95733
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.90818
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.95706
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.03112
  • Upside Potential Ratio
    1.56679
  • Upside part of mean
    0.17555
  • Downside part of mean
    -0.17206
  • Upside SD
    0.08274
  • Downside SD
    0.11204
  • N nonnegative terms
    33.00000
  • N negative terms
    20.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    53.00000
  • Mean of predictor
    0.06526
  • Mean of criterion
    0.00349
  • SD of predictor
    0.12035
  • SD of criterion
    0.14061
  • Covariance
    0.01259
  • r
    0.74376
  • b (slope, estimate of beta)
    0.86894
  • a (intercept, estimate of alpha)
    -0.05322
  • Mean Square Error
    0.00901
  • DF error
    51.00000
  • t(b)
    7.94604
  • p(b)
    0.00000
  • t(a)
    -1.16398
  • p(a)
    0.87508
  • Lowerbound of 95% confidence interval for beta
    0.64940
  • Upperbound of 95% confidence interval for beta
    1.08848
  • Lowerbound of 95% confidence interval for alpha
    -0.14500
  • Upperbound of 95% confidence interval for alpha
    0.03857
  • Treynor index (mean / b)
    0.00401
  • Jensen alpha (a)
    -0.05322
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.00646
  • SD
    0.14345
  • Sharpe ratio (Glass type estimate)
    -0.04505
  • Sharpe ratio (Hedges UMVUE)
    -0.04440
  • df
    52.00000
  • t
    -0.09467
  • p
    0.53753
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.97751
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.88780
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.97705
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.88825
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.05517
  • Upside Potential Ratio
    1.46724
  • Upside part of mean
    0.17185
  • Downside part of mean
    -0.17831
  • Upside SD
    0.08047
  • Downside SD
    0.11712
  • N nonnegative terms
    33.00000
  • N negative terms
    20.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    53.00000
  • Mean of predictor
    0.05775
  • Mean of criterion
    -0.00646
  • SD of predictor
    0.12179
  • SD of criterion
    0.14345
  • Covariance
    0.01312
  • r
    0.75092
  • b (slope, estimate of beta)
    0.88448
  • a (intercept, estimate of alpha)
    -0.05754
  • Mean Square Error
    0.00915
  • DF error
    51.00000
  • t(b)
    8.12030
  • p(b)
    0.00000
  • t(a)
    -1.25225
  • p(a)
    0.89190
  • Lowerbound of 95% confidence interval for beta
    0.66581
  • Upperbound of 95% confidence interval for beta
    1.10315
  • Lowerbound of 95% confidence interval for alpha
    -0.14979
  • Upperbound of 95% confidence interval for alpha
    0.03471
  • Treynor index (mean / b)
    -0.00731
  • Jensen alpha (a)
    -0.05754
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.06635
  • Expected Shortfall on VaR
    0.08226
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02706
  • Expected Shortfall on VaR
    0.05783
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    53.00000
  • Minimum
    0.87725
  • Quartile 1
    0.98730
  • Median
    1.00960
  • Quartile 3
    1.02327
  • Maximum
    1.08206
  • Mean of quarter 1
    0.94932
  • Mean of quarter 2
    1.00337
  • Mean of quarter 3
    1.01797
  • Mean of quarter 4
    1.04391
  • Inter Quartile Range
    0.03597
  • Number outliers low
    5.00000
  • Percentage of outliers low
    0.09434
  • Mean of outliers low
    0.91004
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.01887
  • Mean of outliers high
    1.08206
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.29351
  • VaR(95%) (moments method)
    0.04383
  • Expected Shortfall (moments method)
    0.07850
  • Extreme Value Index (regression method)
    0.04907
  • VaR(95%) (regression method)
    0.06309
  • Expected Shortfall (regression method)
    0.09661
  • 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)
    0.02249
  • Compounded annual return (geometric extrapolation)
    0.02168
  • Calmar ratio (compounded annual return / max draw down)
    0.08192
  • Compounded annual return / average of 25% largest draw downs
    0.08192
  • Compounded annual return / Expected Shortfall lognormal
    0.26352
  • 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
    -0.01187
  • SD
    0.10631
  • Sharpe ratio (Glass type estimate)
    -0.11164
  • Sharpe ratio (Hedges UMVUE)
    -0.11157
  • df
    1168.00000
  • t
    -0.23583
  • p
    0.50345
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.03953
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.81625
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.03946
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.81632
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.14485
  • Upside Potential Ratio
    6.96456
  • Upside part of mean
    0.57066
  • Downside part of mean
    -0.58252
  • Upside SD
    0.06767
  • Downside SD
    0.08194
  • N nonnegative terms
    616.00000
  • N negative terms
    553.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1169.00000
  • Mean of predictor
    0.05995
  • Mean of criterion
    -0.01187
  • SD of predictor
    0.13652
  • SD of criterion
    0.10631
  • Covariance
    0.00775
  • r
    0.53428
  • b (slope, estimate of beta)
    0.41604
  • a (intercept, estimate of alpha)
    -0.03700
  • Mean Square Error
    0.00808
  • DF error
    1167.00000
  • t(b)
    21.59170
  • p(b)
    0.17683
  • t(a)
    -0.86459
  • p(a)
    0.51611
  • Lowerbound of 95% confidence interval for beta
    0.37824
  • Upperbound of 95% confidence interval for beta
    0.45385
  • Lowerbound of 95% confidence interval for alpha
    -0.12035
  • Upperbound of 95% confidence interval for alpha
    0.04672
  • Treynor index (mean / b)
    -0.02853
  • Jensen alpha (a)
    -0.03681
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.01754
  • SD
    0.10667
  • Sharpe ratio (Glass type estimate)
    -0.16442
  • Sharpe ratio (Hedges UMVUE)
    -0.16432
  • df
    1168.00000
  • t
    -0.34731
  • p
    0.50508
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.09230
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.76351
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.09222
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.76358
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.21198
  • Upside Potential Ratio
    6.86908
  • Upside part of mean
    0.56832
  • Downside part of mean
    -0.58586
  • Upside SD
    0.06726
  • Downside SD
    0.08274
  • N nonnegative terms
    616.00000
  • N negative terms
    553.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1169.00000
  • Mean of predictor
    0.05061
  • Mean of criterion
    -0.01754
  • SD of predictor
    0.13675
  • SD of criterion
    0.10667
  • Covariance
    0.00783
  • r
    0.53700
  • b (slope, estimate of beta)
    0.41888
  • a (intercept, estimate of alpha)
    -0.03874
  • Mean Square Error
    0.00810
  • DF error
    1167.00000
  • t(b)
    21.74580
  • p(b)
    0.17536
  • t(a)
    -0.90874
  • p(a)
    0.51693
  • Lowerbound of 95% confidence interval for beta
    0.38109
  • Upperbound of 95% confidence interval for beta
    0.45668
  • Lowerbound of 95% confidence interval for alpha
    -0.12238
  • Upperbound of 95% confidence interval for alpha
    0.04490
  • Treynor index (mean / b)
    -0.04187
  • Jensen alpha (a)
    -0.03874
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01085
  • Expected Shortfall on VaR
    0.01356
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00489
  • Expected Shortfall on VaR
    0.01012
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    1169.00000
  • Minimum
    0.96167
  • Quartile 1
    0.99753
  • Median
    1.00036
  • Quartile 3
    1.00331
  • Maximum
    1.02903
  • Mean of quarter 1
    0.99222
  • Mean of quarter 2
    0.99913
  • Mean of quarter 3
    1.00169
  • Mean of quarter 4
    1.00723
  • Inter Quartile Range
    0.00577
  • Number outliers low
    54.00000
  • Percentage of outliers low
    0.04619
  • Mean of outliers low
    0.98173
  • Number of outliers high
    36.00000
  • Percentage of outliers high
    0.03080
  • Mean of outliers high
    1.01537
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.30246
  • VaR(95%) (moments method)
    0.00723
  • Expected Shortfall (moments method)
    0.01260
  • Extreme Value Index (regression method)
    0.17840
  • VaR(95%) (regression method)
    0.00710
  • Expected Shortfall (regression method)
    0.01112
  • 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)
    0.01061
  • Compounded annual return (geometric extrapolation)
    0.01042
  • Calmar ratio (compounded annual return / max draw down)
    0.03506
  • Compounded annual return / average of 25% largest draw downs
    0.07252
  • Compounded annual return / Expected Shortfall lognormal
    0.76834
  • 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
    -0.02713
  • SD
    0.09655
  • Sharpe ratio (Glass type estimate)
    -0.28100
  • Sharpe ratio (Hedges UMVUE)
    -0.27938
  • df
    130.00000
  • t
    -0.19870
  • p
    0.50871
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.05254
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.49150
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.05139
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.49264
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.38818
  • Upside Potential Ratio
    8.23411
  • Upside part of mean
    0.57549
  • Downside part of mean
    -0.60262
  • Upside SD
    0.06609
  • Downside SD
    0.06989
  • N nonnegative terms
    65.00000
  • N negative terms
    66.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.08272
  • Mean of criterion
    -0.02713
  • SD of predictor
    0.17208
  • SD of criterion
    0.09655
  • Covariance
    0.00800
  • r
    0.48124
  • b (slope, estimate of beta)
    0.27001
  • a (intercept, estimate of alpha)
    -0.04947
  • Mean Square Error
    0.00722
  • DF error
    129.00000
  • t(b)
    6.23536
  • p(b)
    0.20591
  • t(a)
    -0.41151
  • p(a)
    0.52304
  • Lowerbound of 95% confidence interval for beta
    0.18433
  • Upperbound of 95% confidence interval for beta
    0.35568
  • Lowerbound of 95% confidence interval for alpha
    -0.28729
  • Upperbound of 95% confidence interval for alpha
    0.18836
  • Treynor index (mean / b)
    -0.10048
  • Jensen alpha (a)
    -0.04947
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.03176
  • SD
    0.09660
  • Sharpe ratio (Glass type estimate)
    -0.32874
  • Sharpe ratio (Hedges UMVUE)
    -0.32684
  • df
    130.00000
  • t
    -0.23246
  • p
    0.51019
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.10024
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.44395
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.09893
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.44525
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.45189
  • Upside Potential Ratio
    8.15718
  • Upside part of mean
    0.57326
  • Downside part of mean
    -0.60502
  • Upside SD
    0.06577
  • Downside SD
    0.07028
  • N nonnegative terms
    65.00000
  • N negative terms
    66.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.06803
  • Mean of criterion
    -0.03176
  • SD of predictor
    0.17188
  • SD of criterion
    0.09660
  • Covariance
    0.00804
  • r
    0.48405
  • b (slope, estimate of beta)
    0.27205
  • a (intercept, estimate of alpha)
    -0.05027
  • Mean Square Error
    0.00720
  • DF error
    129.00000
  • t(b)
    6.28277
  • p(b)
    0.20434
  • t(a)
    -0.41873
  • p(a)
    0.52345
  • Lowerbound of 95% confidence interval for beta
    0.18638
  • Upperbound of 95% confidence interval for beta
    0.35773
  • Lowerbound of 95% confidence interval for alpha
    -0.28777
  • Upperbound of 95% confidence interval for alpha
    0.18724
  • Treynor index (mean / b)
    -0.11673
  • Jensen alpha (a)
    -0.05027
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00989
  • Expected Shortfall on VaR
    0.01235
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00536
  • Expected Shortfall on VaR
    0.00998
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.98016
  • Quartile 1
    0.99664
  • Median
    1.00010
  • Quartile 3
    1.00335
  • Maximum
    1.01474
  • Mean of quarter 1
    0.99262
  • Mean of quarter 2
    0.99846
  • Mean of quarter 3
    1.00163
  • Mean of quarter 4
    1.00735
  • Inter Quartile Range
    0.00671
  • Number outliers low
    3.00000
  • Percentage of outliers low
    0.02290
  • Mean of outliers low
    0.98356
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.00763
  • Mean of outliers high
    1.01474
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.00582
  • VaR(95%) (moments method)
    0.00714
  • Expected Shortfall (moments method)
    0.00950
  • Extreme Value Index (regression method)
    0.18634
  • VaR(95%) (regression method)
    0.00765
  • Expected Shortfall (regression method)
    0.01137
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    10.00000
  • Minimum
    0.00003
  • Quartile 1
    0.00205
  • Median
    0.00672
  • Quartile 3
    0.01832
  • Maximum
    0.07897
  • Mean of quarter 1
    0.00056
  • Mean of quarter 2
    0.00554
  • Mean of quarter 3
    0.00878
  • Mean of quarter 4
    0.05123
  • Inter Quartile Range
    0.01627
  • 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
    0.20000
  • Mean of outliers high
    0.06640
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -15.97480
  • VaR(95%) (moments method)
    0.04616
  • Expected Shortfall (moments method)
    0.04616
  • Extreme Value Index (regression method)
    -1.38869
  • VaR(95%) (regression method)
    0.09627
  • Expected Shortfall (regression method)
    0.10086
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.00385
  • Compounded annual return (geometric extrapolation)
    -0.00384
  • Calmar ratio (compounded annual return / max draw down)
    -0.04866
  • Compounded annual return / average of 25% largest draw downs
    -0.07501
  • Compounded annual return / Expected Shortfall lognormal
    -0.31110

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
$15,000
# Trades
118
# Profitable
51
% Profitable
43.2%
Net Dividends
Correlation S&P500
0.538
Sharpe Ratio
-0.07
Sortino Ratio
-0.09
Beta
0.41
Alpha
-0.01
Leverage
1.14 Average
1.55 Maximum

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 nominal 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

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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.