Pure Momentum
(90576475)
Subscription terms. Subscriptions to this system cost $25.00 per month.
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 markedtomarket equity calculations.
All results are hypothetical.
Jan  Feb  Mar  Apr  May  Jun  Jul  Aug  Sep  Oct  Nov  Dec  YTD  

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%  +0.9%  (1.2%) 
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.
Started  $100,000  
Buy Power  $57,881  
Cash  $1  
Equity  $1  
Cumulative $  $7,047  
Includes dividends and cashsettled expirations:  $9,971  Itemized 
Total System Equity  $107,047  
Margined  $1  
Open P/L  $7,592  
Data has been delayed by 168 hours for nonsubscribers 
System developer has asked us to delay this information by 168 hours.
Trading Record
Statistics

Strategy began11/3/2014

Suggested Minimum Cap$15,000

Strategy Age (days)1352.65

Age45 months ago

What it tradesStocks

# Trades87

# Profitable36

% Profitable41.40%

Avg trade duration98.3 days

Max peaktovalley drawdown30.99%

drawdown periodMay 22, 2015  Jan 20, 2016

Annual Return (Compounded)1.4%

Avg win$974.50

Avg loss$827.22
 Model Account Values (Raw)

Cash$50,955

Margin Used$0

Buying Power$57,881
 Ratios

W:L ratio1.30:1

Sharpe Ratio0.033

Sortino Ratio0.043

Calmar Ratio0.063
 CORRELATION STATISTICS

Correlation to SP5000.53700
 Return Statistics

Ann Return (w trading costs)1.4%

Ann Return (Compnd, No Fees)1.8%
 Risk of Ruin (MonteCarlo)

Chance of 10% account loss46.50%

Chance of 20% account loss13.00%

Chance of 30% account loss1.00%

Chance of 40% account lossn/a

Chance of 50% account lossn/a
 Popularity

Popularity (Today)0

Popularity (Last 6 weeks)319

C2 Score45.7
 TradesOwnSystem Certification

Trades Own System?0

TOS percentn/a
 Subscription Price

Billing Period (days)30

Trial Days7
 Win / Loss

Avg Loss$829

Avg Win$1,094

# Winners36

# Losers51

% Winners41.4%
 Frequency

Avg Position Time (mins)141524.00

Avg Position Time (hrs)2358.74

Avg Trade Length98.3 days

Last Trade Ago2
 Analysis based on MONTHLY values, full history
 RATIO STATISTICS
 Ratio statistics of excess return rates
 Statistics related to Sharpe ratio

Mean0.00116

SD0.14327

Sharpe ratio (Glass type estimate)0.00813

Sharpe ratio (Hedges UMVUE)0.00798

df42.00000

t0.01538

p0.50610

Lowerbound of 95% confidence interval for Sharpe Ratio1.04348

Upperbound of 95% confidence interval for Sharpe Ratio1.02731

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation1.04337

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation1.02741
 Statistics related to Sortino ratio

Sortino ratio0.01020

Upside Potential Ratio1.49749

Upside part of mean0.17098

Downside part of mean0.17215

Upside SD0.08374

Downside SD0.11418

N nonnegative terms27.00000

N negative terms16.00000
 Statistics related to linear regression on benchmark

N of observations43.00000

Mean of predictor0.06106

Mean of criterion0.00116

SD of predictor0.10572

SD of criterion0.14327

Covariance0.01108

r0.73162

b (slope, estimate of beta)0.99146

a (intercept, estimate of alpha)0.06170

Mean Square Error0.00977

DF error41.00000

t(b)6.87199

p(b)0.00000

t(a)1.16503

p(a)0.87463

Lowerbound of 95% confidence interval for beta0.70009

Upperbound of 95% confidence interval for beta1.28283

Lowerbound of 95% confidence interval for alpha0.16865

Upperbound of 95% confidence interval for alpha0.04525

Treynor index (mean / b)0.00117

Jensen alpha (a)0.06170
 Ratio statistics of excess log return rates
 Statistics related to Sharpe ratio

Mean0.01145

SD0.14630

Sharpe ratio (Glass type estimate)0.07827

Sharpe ratio (Hedges UMVUE)0.07686

df42.00000

t0.14816

p0.55854

Lowerbound of 95% confidence interval for Sharpe Ratio1.11336

Upperbound of 95% confidence interval for Sharpe Ratio0.95769

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation1.11238

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation0.95866
 Statistics related to Sortino ratio

Sortino ratio0.09573

Upside Potential Ratio1.39804

Upside part of mean0.16722

Downside part of mean0.17867

Upside SD0.08130

Downside SD0.11961

N nonnegative terms27.00000

N negative terms16.00000
 Statistics related to linear regression on benchmark

N of observations43.00000

Mean of predictor0.05526

Mean of criterion0.01145

SD of predictor0.10672

SD of criterion0.14630

Covariance0.01156

r0.74069

b (slope, estimate of beta)1.01536

a (intercept, estimate of alpha)0.06756

Mean Square Error0.00990

DF error41.00000

t(b)7.05918

p(b)0.00000

t(a)1.27109

p(a)0.89457

Lowerbound of 95% confidence interval for beta0.72488

Upperbound of 95% confidence interval for beta1.30584

Lowerbound of 95% confidence interval for alpha0.17490

Upperbound of 95% confidence interval for alpha0.03978

Treynor index (mean / b)0.01128

Jensen alpha (a)0.06756
 Risk estimates for a oneperiod unit investment (parametric)
 assuming log normal returns and losses (using central moments from Sharpe statistics)

VaR(95%)0.06800

Expected Shortfall on VaR0.08419
 assuming Pareto losses only (using partial moments from Sortino statistics)

VaR(95%)0.02674

Expected Shortfall on VaR0.05769
 ORDER STATISTICS
 Quartiles of return rates

Number of observations43.00000

Minimum0.87725

Quartile 10.98890

Median1.00884

Quartile 31.02174

Maximum1.08206

Mean of quarter 10.94781

Mean of quarter 21.00297

Mean of quarter 31.01638

Mean of quarter 41.04305

Inter Quartile Range0.03283

Number outliers low4.00000

Percentage of outliers low0.09302

Mean of outliers low0.90641

Number of outliers high2.00000

Percentage of outliers high0.04651

Mean of outliers high1.07808
 Risk estimates for a oneperiod unit investment (based on Ex

Extreme Value Index (moments method)0.20034

VaR(95%) (moments method)0.04202

Expected Shortfall (moments method)0.06940

Extreme Value Index (regression method)0.03583

VaR(95%) (regression method)0.07313

Expected Shortfall (regression method)0.10814
 DRAW DOWN STATISTICS
 Quartiles of draw downs

Number of observations3.00000

Minimum0.05542

Quartile 10.08338

Median0.11134

Quartile 30.18797

Maximum0.26460

Mean of quarter 10.05542

Mean of quarter 20.11134

Mean of quarter 30.00000

Mean of quarter 40.26460

Inter Quartile Range0.10459

Number outliers low0.00000

Percentage of outliers low0.00000

Mean of outliers low0.00000

Number of outliers high0.00000

Percentage of outliers high0.00000

Mean of outliers high0.00000
 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)0.01695

Compounded annual return (geometric extrapolation)0.01659

Calmar ratio (compounded annual return / max draw down)0.06271

Compounded annual return / average of 25% largest draw downs0.06271

Compounded annual return / Expected Shortfall lognormal0.19708

0.00000

0.00000
 Analysis based on DAILY values, full history
 RATIO STATISTICS
 Ratio statistics of excess return rates
 Statistics related to Sharpe ratio

Mean0.00357

SD0.10855

Sharpe ratio (Glass type estimate)0.03291

Sharpe ratio (Hedges UMVUE)0.03288

df951.00000

t0.06273

p0.52500

Lowerbound of 95% confidence interval for Sharpe Ratio1.06112

Upperbound of 95% confidence interval for Sharpe Ratio0.99530

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation1.06109

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation0.99533
 Statistics related to Sortino ratio

Sortino ratio0.04264

Upside Potential Ratio6.86689

Upside part of mean0.57528

Downside part of mean0.57885

Upside SD0.06893

Downside SD0.08378

N nonnegative terms507.00000

N negative terms445.00000
 Statistics related to linear regression on benchmark

N of observations952.00000

Mean of predictor0.07170

Mean of criterion0.00357

SD of predictor0.13019

SD of criterion0.10855

Covariance0.00765

r0.54106

b (slope, estimate of beta)0.45110

a (intercept, estimate of alpha)0.03600

Mean Square Error0.00834

DF error950.00000

t(b)19.82970

p(b)0.00000

t(a)0.74910

p(a)0.77301

Lowerbound of 95% confidence interval for beta0.40646

Upperbound of 95% confidence interval for beta0.49574

Lowerbound of 95% confidence interval for alpha0.13000

Upperbound of 95% confidence interval for alpha0.05817

Treynor index (mean / b)0.00792

Jensen alpha (a)0.03591
 Ratio statistics of excess log return rates
 Statistics related to Sharpe ratio

Mean0.00948

SD0.10894

Sharpe ratio (Glass type estimate)0.08706

Sharpe ratio (Hedges UMVUE)0.08699

df951.00000

t0.16596

p0.56589

Lowerbound of 95% confidence interval for Sharpe Ratio1.11528

Upperbound of 95% confidence interval for Sharpe Ratio0.94115

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation1.11521

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation0.94122
 Statistics related to Sortino ratio

Sortino ratio0.11207

Upside Potential Ratio6.76868

Upside part of mean0.57286

Downside part of mean0.58234

Upside SD0.06851

Downside SD0.08463

N nonnegative terms507.00000

N negative terms445.00000
 Statistics related to linear regression on benchmark

N of observations952.00000

Mean of predictor0.06319

Mean of criterion0.00948

SD of predictor0.13046

SD of criterion0.10894

Covariance0.00773

r0.54396

b (slope, estimate of beta)0.45423

a (intercept, estimate of alpha)0.03819

Mean Square Error0.00837

DF error950.00000

t(b)19.98070

p(b)0.00000

t(a)0.79554

p(a)0.78675

Lowerbound of 95% confidence interval for beta0.40962

Upperbound of 95% confidence interval for beta0.49884

Lowerbound of 95% confidence interval for alpha0.13239

Upperbound of 95% confidence interval for alpha0.05602

Treynor index (mean / b)0.02088

Jensen alpha (a)0.03819
 Risk estimates for a oneperiod unit investment (parametric)
 assuming log normal returns and losses (using central moments from Sharpe statistics)

VaR(95%)0.01105

Expected Shortfall on VaR0.01382
 assuming Pareto losses only (using partial moments from Sortino statistics)

VaR(95%)0.00481

Expected Shortfall on VaR0.01008
 ORDER STATISTICS
 Quartiles of return rates

Number of observations952.00000

Minimum0.96167

Quartile 10.99773

Median1.00036

Quartile 31.00331

Maximum1.02903

Mean of quarter 10.99218

Mean of quarter 20.99921

Mean of quarter 31.00165

Mean of quarter 41.00733

Inter Quartile Range0.00558

Number outliers low47.00000

Percentage of outliers low0.04937

Mean of outliers low0.98146

Number of outliers high32.00000

Percentage of outliers high0.03361

Mean of outliers high1.01553
 Risk estimates for a oneperiod unit investment (based on Ex

Extreme Value Index (moments method)0.36108

VaR(95%) (moments method)0.00719

Expected Shortfall (moments method)0.01351

Extreme Value Index (regression method)0.23568

VaR(95%) (regression method)0.00662

Expected Shortfall (regression method)0.01087
 DRAW DOWN STATISTICS
 Quartiles of draw downs

Number of observations16.00000

Minimum0.00010

Quartile 10.00165

Median0.00288

Quartile 30.01828

Maximum0.29724

Mean of quarter 10.00086

Mean of quarter 20.00221

Mean of quarter 30.00602

Mean of quarter 40.13723

Inter Quartile Range0.01663

Number outliers low0.00000

Percentage of outliers low0.00000

Mean of outliers low0.00000

Number of outliers high3.00000

Percentage of outliers high0.18750

Mean of outliers high0.16866
 Risk estimates based on draw downs (based on Extreme Value T

Extreme Value Index (moments method)0.58308

VaR(95%) (moments method)0.11866

Expected Shortfall (moments method)0.14268

Extreme Value Index (regression method)0.48281

VaR(95%) (regression method)0.23609

Expected Shortfall (regression method)0.57855
 COMBINED STATISTICS

Annualized return (arithmetic extrapolation)0.01905

Compounded annual return (geometric extrapolation)0.01859

Calmar ratio (compounded annual return / max draw down)0.06255

Compounded annual return / average of 25% largest draw downs0.13549

Compounded annual return / Expected Shortfall lognormal1.34542

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

Mean0.15581

SD0.14621

Sharpe ratio (Glass type estimate)1.06562

Sharpe ratio (Hedges UMVUE)1.05947

df130.00000

t0.75351

p0.53297

Lowerbound of 95% confidence interval for Sharpe Ratio3.83840

Upperbound of 95% confidence interval for Sharpe Ratio1.71114

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation3.83426

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation1.71533
 Statistics related to Sortino ratio

Sortino ratio1.30760

Upside Potential Ratio6.56343

Upside part of mean0.78208

Downside part of mean0.93789

Upside SD0.08432

Downside SD0.11916

N nonnegative terms69.00000

N negative terms62.00000
 Statistics related to linear regression on benchmark

N of observations131.00000

Mean of predictor0.00932

Mean of criterion0.15581

SD of predictor0.16442

SD of criterion0.14621

Covariance0.01541

r0.64096

b (slope, estimate of beta)0.56997

a (intercept, estimate of alpha)0.16112

Mean Square Error0.01269

DF error129.00000

t(b)9.48427

p(b)0.12193

t(a)1.01123

p(a)0.55638

Lowerbound of 95% confidence interval for beta0.45107

Upperbound of 95% confidence interval for beta0.68887

Lowerbound of 95% confidence interval for alpha0.47637

Upperbound of 95% confidence interval for alpha0.15412

Treynor index (mean / b)0.27336

Jensen alpha (a)0.16112
 Ratio statistics of excess log return rates
 Statistics related to Sharpe ratio

Mean0.16652

SD0.14696

Sharpe ratio (Glass type estimate)1.13313

Sharpe ratio (Hedges UMVUE)1.12658

df130.00000

t0.80125

p0.53505

Lowerbound of 95% confidence interval for Sharpe Ratio3.90619

Upperbound of 95% confidence interval for Sharpe Ratio1.64415

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation3.90177

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation1.64860
 Statistics related to Sortino ratio

Sortino ratio1.38253

Upside Potential Ratio6.46315

Upside part of mean0.77847

Downside part of mean0.94499

Upside SD0.08384

Downside SD0.12045

N nonnegative terms69.00000

N negative terms62.00000
 Statistics related to linear regression on benchmark

N of observations131.00000

Mean of predictor0.00418

Mean of criterion0.16652

SD of predictor0.16526

SD of criterion0.14696

Covariance0.01565

r0.64425

b (slope, estimate of beta)0.57290

a (intercept, estimate of alpha)0.16413

Mean Square Error0.01273

DF error129.00000

t(b)9.56740

p(b)0.12033

t(a)1.02858

p(a)0.55734

Lowerbound of 95% confidence interval for beta0.45443

Upperbound of 95% confidence interval for beta0.69138

Lowerbound of 95% confidence interval for alpha0.47983

Upperbound of 95% confidence interval for alpha0.15158

Treynor index (mean / b)0.29067

Jensen alpha (a)0.16413
 Risk estimates for a oneperiod unit investment (parametric)
 assuming log normal returns and losses (using central moments from Sharpe statistics)

VaR(95%)0.01545

Expected Shortfall on VaR0.01917
 assuming Pareto losses only (using partial moments from Sortino statistics)

VaR(95%)0.00796

Expected Shortfall on VaR0.01574
 ORDER STATISTICS
 Quartiles of return rates

Number of observations131.00000

Minimum0.96541

Quartile 10.99535

Median1.00026

Quartile 31.00508

Maximum1.01804

Mean of quarter 10.98760

Mean of quarter 20.99842

Mean of quarter 31.00264

Mean of quarter 41.00949

Inter Quartile Range0.00973

Number outliers low5.00000

Percentage of outliers low0.03817

Mean of outliers low0.97341

Number of outliers high0.00000

Percentage of outliers high0.00000

Mean of outliers high0.00000
 Risk estimates for a oneperiod unit investment (based on Ex

Extreme Value Index (moments method)0.16780

VaR(95%) (moments method)0.01214

Expected Shortfall (moments method)0.01828

Extreme Value Index (regression method)0.29065

VaR(95%) (regression method)0.01171

Expected Shortfall (regression method)0.01423
 DRAW DOWN STATISTICS
 Quartiles of draw downs

Number of observations3.00000

Minimum0.00010

Quartile 10.00136

Median0.00262

Quartile 30.06823

Maximum0.13385

Mean of quarter 10.00010

Mean of quarter 20.00262

Mean of quarter 30.00000

Mean of quarter 40.13385

Inter Quartile Range0.06687

Number outliers low0.00000

Percentage of outliers low0.00000

Mean of outliers low0.00000

Number of outliers high0.00000

Percentage of outliers high0.00000

Mean of outliers high0.00000
 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)0.13392

Compounded annual return (geometric extrapolation)0.12944

Calmar ratio (compounded annual return / max draw down)0.96706

Compounded annual return / average of 25% largest draw downs0.96706

Compounded annual return / Expected Shortfall lognormal6.75164
Strategy Description
Summary Statistics
Latest Activity
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 underor overcompensated 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 rescaled downward to make current goforward 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 pertrade 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.