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%  +2.0%  +2.1%  +0.1%  +2.1% 
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.
Started  $100,000  
Buy Power  $60,277  
Cash  $1  
Equity  $1  
Cumulative $  $10,606  
Includes dividends and cashsettled expirations:  $10,285  Itemized 
Total System Equity  $110,606  
Margined  $1  
Open P/L  $9,718  
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)1419.55

Age47 months ago

What it tradesStocks

# Trades89

# Profitable39

% Profitable43.80%

Avg trade duration101.5 days

Max peaktovalley drawdown30.99%

drawdown periodMay 22, 2015  Jan 20, 2016

Annual Return (Compounded)2.2%

Avg win$974.08

Avg loss$844.48
 Model Account Values (Raw)

Cash$52,176

Margin Used$0

Buying Power$60,277
 Ratios

W:L ratio1.39:1

Sharpe Ratio0.037

Sortino Ratio0.048

Calmar Ratio0.089
 CORRELATION STATISTICS

Correlation to SP5000.54000
 Return Statistics

Ann Return (w trading costs)2.2%

Ann Return (Compnd, No Fees)2.6%
 Risk of Ruin (MonteCarlo)

Chance of 10% account loss41.00%

Chance of 20% account loss11.00%

Chance of 30% account loss0.50%

Chance of 40% account lossn/a

Chance of 50% account lossn/a
 Popularity

Popularity (Today)0

Popularity (Last 6 weeks)524

C2 Score78.6
 TradesOwnSystem Certification

Trades Own System?0

TOS percentn/a
 Subscription Price

Billing Period (days)30

Trial Days7
 Win / Loss

Avg Loss$844

Avg Win$1,091

# Winners39

# Losers50

% Winners43.8%
 Frequency

Avg Position Time (mins)146210.00

Avg Position Time (hrs)2436.84

Avg Trade Length101.5 days

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

Mean0.00847

SD0.14062

Sharpe ratio (Glass type estimate)0.06022

Sharpe ratio (Hedges UMVUE)0.05919

df44.00000

t0.11662

p0.45384

Lowerbound of 95% confidence interval for Sharpe Ratio0.95231

Upperbound of 95% confidence interval for Sharpe Ratio1.07208

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.95301

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation1.07139
 Statistics related to Sortino ratio

Sortino ratio0.07588

Upside Potential Ratio1.54968

Upside part of mean0.17297

Downside part of mean0.16450

Upside SD0.08297

Downside SD0.11161

N nonnegative terms29.00000

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

N of observations45.00000

Mean of predictor0.07474

Mean of criterion0.00847

SD of predictor0.10496

SD of criterion0.14062

Covariance0.01081

r0.73257

b (slope, estimate of beta)0.98143

a (intercept, estimate of alpha)0.06488

Mean Square Error0.00938

DF error43.00000

t(b)7.05721

p(b)0.00000

t(a)1.27048

p(a)0.89463

Lowerbound of 95% confidence interval for beta0.70098

Upperbound of 95% confidence interval for beta1.26189

Lowerbound of 95% confidence interval for alpha0.16788

Upperbound of 95% confidence interval for alpha0.03811

Treynor index (mean / b)0.00863

Jensen alpha (a)0.06488
 Ratio statistics of excess log return rates
 Statistics related to Sharpe ratio

Mean0.00147

SD0.14361

Sharpe ratio (Glass type estimate)0.01025

Sharpe ratio (Hedges UMVUE)0.01008

df44.00000

t0.01985

p0.50788

Lowerbound of 95% confidence interval for Sharpe Ratio1.02234

Upperbound of 95% confidence interval for Sharpe Ratio1.00191

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation1.02220

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation1.00205
 Statistics related to Sortino ratio

Sortino ratio0.01259

Upside Potential Ratio1.44761

Upside part of mean0.16926

Downside part of mean0.17073

Upside SD0.08059

Downside SD0.11692

N nonnegative terms29.00000

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

N of observations45.00000

Mean of predictor0.06892

Mean of criterion0.00147

SD of predictor0.10592

SD of criterion0.14361

Covariance0.01128

r0.74173

b (slope, estimate of beta)1.00569

a (intercept, estimate of alpha)0.07078

Mean Square Error0.00949

DF error43.00000

t(b)7.25191

p(b)0.00000

t(a)1.38207

p(a)0.91296

Lowerbound of 95% confidence interval for beta0.72601

Upperbound of 95% confidence interval for beta1.28536

Lowerbound of 95% confidence interval for alpha0.17406

Upperbound of 95% confidence interval for alpha0.03250

Treynor index (mean / b)0.00146

Jensen alpha (a)0.07078
 Risk estimates for a oneperiod unit investment (parametric)
 assuming log normal returns and losses (using central moments from Sharpe statistics)

VaR(95%)0.06603

Expected Shortfall on VaR0.08196
 assuming Pareto losses only (using partial moments from Sortino statistics)

VaR(95%)0.02464

Expected Shortfall on VaR0.05407
 ORDER STATISTICS
 Quartiles of return rates

Number of observations45.00000

Minimum0.87725

Quartile 10.99086

Median1.00960

Quartile 31.02191

Maximum1.08206

Mean of quarter 10.95140

Mean of quarter 21.00467

Mean of quarter 31.01745

Mean of quarter 41.04331

Inter Quartile Range0.03105

Number outliers low4.00000

Percentage of outliers low0.08889

Mean of outliers low0.90641

Number of outliers high2.00000

Percentage of outliers high0.04444

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

Extreme Value Index (moments method)0.08285

VaR(95%) (moments method)0.03203

Expected Shortfall (moments method)0.04882

Extreme Value Index (regression method)0.05268

VaR(95%) (regression method)0.07168

Expected Shortfall (regression method)0.10611
 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)0.02779

Compounded annual return (geometric extrapolation)0.02679

Calmar ratio (compounded annual return / max draw down)0.10124

Compounded annual return / average of 25% largest draw downs0.10124

Compounded annual return / Expected Shortfall lognormal0.32682

0.00000

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

Mean0.00398

SD0.10665

Sharpe ratio (Glass type estimate)0.03729

Sharpe ratio (Hedges UMVUE)0.03727

df998.00000

t0.07282

p0.47098

Lowerbound of 95% confidence interval for Sharpe Ratio0.96644

Upperbound of 95% confidence interval for Sharpe Ratio1.04102

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.96646

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation1.04099
 Statistics related to Sortino ratio

Sortino ratio0.04841

Upside Potential Ratio6.93109

Upside part of mean0.56951

Downside part of mean0.56554

Upside SD0.06791

Downside SD0.08217

N nonnegative terms533.00000

N negative terms466.00000
 Statistics related to linear regression on benchmark

N of observations999.00000

Mean of predictor0.07811

Mean of criterion0.00398

SD of predictor0.12800

SD of criterion0.10665

Covariance0.00744

r0.54473

b (slope, estimate of beta)0.45387

a (intercept, estimate of alpha)0.03100

Mean Square Error0.00801

DF error997.00000

t(b)20.51010

p(b)0.00000

t(a)0.68633

p(a)0.75367

Lowerbound of 95% confidence interval for beta0.41045

Upperbound of 95% confidence interval for beta0.49730

Lowerbound of 95% confidence interval for alpha0.12146

Upperbound of 95% confidence interval for alpha0.05852

Treynor index (mean / b)0.00876

Jensen alpha (a)0.03147
 Ratio statistics of excess log return rates
 Statistics related to Sharpe ratio

Mean0.00173

SD0.10703

Sharpe ratio (Glass type estimate)0.01617

Sharpe ratio (Hedges UMVUE)0.01616

df998.00000

t0.03158

p0.51259

Lowerbound of 95% confidence interval for Sharpe Ratio1.01990

Upperbound of 95% confidence interval for Sharpe Ratio0.98756

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation1.01989

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation0.98757
 Statistics related to Sortino ratio

Sortino ratio0.02085

Upside Potential Ratio6.83299

Upside part of mean0.56717

Downside part of mean0.56890

Upside SD0.06749

Downside SD0.08300

N nonnegative terms533.00000

N negative terms466.00000
 Statistics related to linear regression on benchmark

N of observations999.00000

Mean of predictor0.06988

Mean of criterion0.00173

SD of predictor0.12826

SD of criterion0.10703

Covariance0.00752

r0.54758

b (slope, estimate of beta)0.45696

a (intercept, estimate of alpha)0.03367

Mean Square Error0.00803

DF error997.00000

t(b)20.66330

p(b)0.00000

t(a)0.73323

p(a)0.76821

Lowerbound of 95% confidence interval for beta0.41356

Upperbound of 95% confidence interval for beta0.50036

Lowerbound of 95% confidence interval for alpha0.12376

Upperbound of 95% confidence interval for alpha0.05643

Treynor index (mean / b)0.00379

Jensen alpha (a)0.03367
 Risk estimates for a oneperiod unit investment (parametric)
 assuming log normal returns and losses (using central moments from Sharpe statistics)

VaR(95%)0.01082

Expected Shortfall on VaR0.01355
 assuming Pareto losses only (using partial moments from Sortino statistics)

VaR(95%)0.00469

Expected Shortfall on VaR0.00984
 ORDER STATISTICS
 Quartiles of return rates

Number of observations999.00000

Minimum0.96167

Quartile 10.99773

Median1.00037

Quartile 31.00329

Maximum1.02903

Mean of quarter 10.99236

Mean of quarter 20.99925

Mean of quarter 31.00169

Mean of quarter 41.00719

Inter Quartile Range0.00556

Number outliers low47.00000

Percentage of outliers low0.04705

Mean of outliers low0.98146

Number of outliers high33.00000

Percentage of outliers high0.03303

Mean of outliers high1.01541
 Risk estimates for a oneperiod unit investment (based on Ex

Extreme Value Index (moments method)0.38707

VaR(95%) (moments method)0.00718

Expected Shortfall (moments method)0.01387

Extreme Value Index (regression method)0.26330

VaR(95%) (regression method)0.00636

Expected Shortfall (regression method)0.01059
 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)0.02753

Compounded annual return (geometric extrapolation)0.02652

Calmar ratio (compounded annual return / max draw down)0.08923

Compounded annual return / average of 25% largest draw downs0.19327

Compounded annual return / Expected Shortfall lognormal1.95724

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

Mean0.05787

SD0.09022

Sharpe ratio (Glass type estimate)0.64143

Sharpe ratio (Hedges UMVUE)0.63772

df130.00000

t0.45356

p0.48013

Lowerbound of 95% confidence interval for Sharpe Ratio2.13268

Upperbound of 95% confidence interval for Sharpe Ratio3.41313

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation2.13517

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation3.41061
 Statistics related to Sortino ratio

Sortino ratio0.84120

Upside Potential Ratio8.26390

Upside part of mean0.56851

Downside part of mean0.51064

Upside SD0.05794

Downside SD0.06879

N nonnegative terms74.00000

N negative terms57.00000
 Statistics related to linear regression on benchmark

N of observations131.00000

Mean of predictor0.18442

Mean of criterion0.05787

SD of predictor0.11722

SD of criterion0.09022

Covariance0.00595

r0.56242

b (slope, estimate of beta)0.43285

a (intercept, estimate of alpha)0.02196

Mean Square Error0.00561

DF error129.00000

t(b)7.72555

p(b)0.16184

t(a)0.20637

p(a)0.51157

Lowerbound of 95% confidence interval for beta0.32200

Upperbound of 95% confidence interval for beta0.54371

Lowerbound of 95% confidence interval for alpha0.23249

Upperbound of 95% confidence interval for alpha0.18857

Treynor index (mean / b)0.13369

Jensen alpha (a)0.02196
 Ratio statistics of excess log return rates
 Statistics related to Sharpe ratio

Mean0.05381

SD0.09042

Sharpe ratio (Glass type estimate)0.59505

Sharpe ratio (Hedges UMVUE)0.59161

df130.00000

t0.42076

p0.48156

Lowerbound of 95% confidence interval for Sharpe Ratio2.17879

Upperbound of 95% confidence interval for Sharpe Ratio3.36671

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation2.18113

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation3.36434
 Statistics related to Sortino ratio

Sortino ratio0.77718

Upside Potential Ratio8.18644

Upside part of mean0.56678

Downside part of mean0.51297

Upside SD0.05772

Downside SD0.06923

N nonnegative terms74.00000

N negative terms57.00000
 Statistics related to linear regression on benchmark

N of observations131.00000

Mean of predictor0.17752

Mean of criterion0.05381

SD of predictor0.11727

SD of criterion0.09042

Covariance0.00598

r0.56365

b (slope, estimate of beta)0.43461

a (intercept, estimate of alpha)0.02335

Mean Square Error0.00562

DF error129.00000

t(b)7.75031

p(b)0.16120

t(a)0.21920

p(a)0.51228

Lowerbound of 95% confidence interval for beta0.32366

Upperbound of 95% confidence interval for beta0.54556

Lowerbound of 95% confidence interval for alpha0.23407

Upperbound of 95% confidence interval for alpha0.18738

Treynor index (mean / b)0.12380

Jensen alpha (a)0.02335
 Risk estimates for a oneperiod unit investment (parametric)
 assuming log normal returns and losses (using central moments from Sharpe statistics)

VaR(95%)0.00894

Expected Shortfall on VaR0.01125
 assuming Pareto losses only (using partial moments from Sortino statistics)

VaR(95%)0.00408

Expected Shortfall on VaR0.00839
 ORDER STATISTICS
 Quartiles of return rates

Number of observations131.00000

Minimum0.97838

Quartile 10.99829

Median1.00073

Quartile 31.00378

Maximum1.01274

Mean of quarter 10.99302

Mean of quarter 20.99954

Mean of quarter 31.00242

Mean of quarter 41.00640

Inter Quartile Range0.00548

Number outliers low7.00000

Percentage of outliers low0.05344

Mean of outliers low0.98561

Number of outliers high2.00000

Percentage of outliers high0.01527

Mean of outliers high1.01245
 Risk estimates for a oneperiod unit investment (based on Ex

Extreme Value Index (moments method)0.25820

VaR(95%) (moments method)0.00536

Expected Shortfall (moments method)0.00680

Extreme Value Index (regression method)0.02729

VaR(95%) (regression method)0.00651

Expected Shortfall (regression method)0.00957
 DRAW DOWN STATISTICS
 Quartiles of draw downs

Number of observations8.00000

Minimum0.00212

Quartile 10.00962

Median0.01325

Quartile 30.02062

Maximum0.04036

Mean of quarter 10.00391

Mean of quarter 20.01192

Mean of quarter 30.01575

Mean of quarter 40.03456

Inter Quartile Range0.01101

Number outliers low0.00000

Percentage of outliers low0.00000

Mean of outliers low0.00000

Number of outliers high1.00000

Percentage of outliers high0.12500

Mean of outliers high0.04036
 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)0.08341

Compounded annual return (geometric extrapolation)0.08514

Calmar ratio (compounded annual return / max draw down)2.10958

Compounded annual return / average of 25% largest draw downs2.46388

Compounded annual return / Expected Shortfall lognormal7.56715
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.