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Pure Momentum
(90576475)

Created by: FredPenney FredPenney
Started: 11/2014
Stocks
Last trade: 7 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.

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
93
Num Trades
40.9%
Win Trades
1.3 : 1
Profit Factor
65.3%
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%)+2.1%      (2.3%)

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
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Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
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
6/1/18 10:31 RSX VANECK VECTORS RUSSIA ETF LONG 153 21.35 6/29 11:02 21.10 0.23%
Trade id #118212082
Max drawdown($237)
Time6/19/18 6:04
Quant open153
Worst price19.80
Drawdown as % of equity-0.23%
($41)
Includes Typical Broker Commissions trade costs of $3.06
6/20/17 12:31 EWJ ISHARES MSCI JAPAN INDEX LONG 1,103 56.59 6/22/18 9:48 59.37 9.06%
Trade id #112137968
Max drawdown($9,657)
Time5/23/18 8:21
Quant open214
Worst price11.46
Drawdown as % of equity-9.06%
$3,049
Includes Typical Broker Commissions trade costs of $22.06
5/4/18 13:38 EFA ISHARES MSCI EAFE INDEX LONG 92 71.14 6/22 9:48 69.10 0.23%
Trade id #117803433
Max drawdown($240)
Time5/29/18 15:06
Quant open92
Worst price68.53
Drawdown as % of equity-0.23%
($190)
Includes Typical Broker Commissions trade costs of $1.84
3/23/18 13:05 GLD SPDR GOLD SHARES LONG 75 127.63 5/25 11:51 124.35 0.24%
Trade id #117210699
Max drawdown($251)
Time5/17/18 6:25
Quant open43
Worst price121.78
Drawdown as % of equity-0.24%
($249)
Includes Typical Broker Commissions trade costs of $1.50
3/23/18 13:06 GDXJ VANECK VECTORS JUNIOR GOLD MIN LONG 253 33.01 5/25 11:51 32.71 0.34%
Trade id #117210744
Max drawdown($351)
Time3/28/18 14:35
Quant open253
Worst price31.62
Drawdown as % of equity-0.34%
($80)
Includes Typical Broker Commissions trade costs of $5.06
3/23/18 13:04 RSX VANECK VECTORS RUSSIA ETF LONG 1,478 22.63 5/11 13:20 21.55 3.09%
Trade id #117210684
Max drawdown($3,168)
Time4/11/18 7:15
Quant open984
Worst price19.41
Drawdown as % of equity-3.09%
($1,607)
Includes Typical Broker Commissions trade costs of $17.28
3/23/18 13:09 EEM ISHARES MSCI EMERGING MARKETS LONG 352 47.57 4/27 12:26 47.87 0.24%
Trade id #117210795
Max drawdown($248)
Time3/23/18 15:56
Quant open352
Worst price46.87
Drawdown as % of equity-0.24%
$100
Includes Typical Broker Commissions trade costs of $7.04
2/28/18 14:05 QQQ POWERSHARES QQQ LONG 150 169.64 4/20 12:50 161.12 1.63%
Trade id #116781116
Max drawdown($1,692)
Time4/4/18 6:21
Quant open104
Worst price153.37
Drawdown as % of equity-1.63%
($1,281)
Includes Typical Broker Commissions trade costs of $3.00
2/14/18 12:32 MTUM ISHARES EDGE MSCI USA MOMENTUM FACTOR ETF LONG 152 107.09 3/23 12:57 106.51 0.29%
Trade id #116508672
Max drawdown($310)
Time3/1/18 4:01
Quant open134
Worst price104.77
Drawdown as % of equity-0.29%
($90)
Includes Typical Broker Commissions trade costs of $3.04
10/31/17 9:44 XLE ENERGY SELECT SECTOR SPDR LONG 463 70.17 3/23/18 12:57 67.86 1.89%
Trade id #114608564
Max drawdown($2,024)
Time3/2/18 10:31
Quant open448
Worst price65.65
Drawdown as % of equity-1.89%
($1,076)
Includes Typical Broker Commissions trade costs of $9.26
1/31/18 11:22 MOO VANECK VECTORS AGRIBUSINESS ET LONG 431 64.29 3/23 12:56 60.50 2.08%
Trade id #116201314
Max drawdown($2,119)
Time2/9/18 13:42
Quant open368
Worst price58.72
Drawdown as % of equity-2.08%
($1,642)
Includes Typical Broker Commissions trade costs of $8.62
2/14/18 12:35 EEMO INVESCO S&P EMERGING MKT MOMENTUM LONG 575 20.89 2/28 14:04 20.90 0.06%
Trade id #116508734
Max drawdown($69)
Time2/28/18 11:14
Quant open575
Worst price20.77
Drawdown as % of equity-0.06%
$1
Includes Typical Broker Commissions trade costs of $5.00
1/8/18 10:22 EEM ISHARES MSCI EMERGING MARKETS LONG 489 49.90 2/28 14:03 48.46 2.33%
Trade id #115747813
Max drawdown($2,377)
Time2/9/18 13:39
Quant open489
Worst price45.03
Drawdown as % of equity-2.33%
($713)
Includes Typical Broker Commissions trade costs of $9.78
1/25/18 12:33 EFA ISHARES MSCI EAFE INDEX LONG 326 75.06 1/31 11:19 73.95 0.34%
Trade id #116099775
Max drawdown($394)
Time1/30/18 13:25
Quant open326
Worst price73.85
Drawdown as % of equity-0.34%
($369)
Includes Typical Broker Commissions trade costs of $6.52
7/25/17 9:44 EPP ISHARES MSCI PACIFIC EX-JAPAN LONG 840 46.49 1/31/18 10:09 48.82 0.17%
Trade id #112768056
Max drawdown($171)
Time9/28/17 9:31
Quant open317
Worst price45.75
Drawdown as % of equity-0.17%
$1,941
Includes Typical Broker Commissions trade costs of $16.80
10/31/17 9:44 QQQ POWERSHARES QQQ LONG 133 154.77 1/25/18 12:24 169.14 0%
Trade id #114608588
Max drawdown($4)
Time12/5/17 6:26
Quant open55
Worst price151.94
Drawdown as % of equity-0.00%
$1,908
Includes Typical Broker Commissions trade costs of $2.66
4/13/17 15:03 XLV HEALTH CARE SELECT SECTOR SPDR LONG 449 76.05 12/28 10:02 82.19 0.14%
Trade id #110980471
Max drawdown($130)
Time4/18/17 12:02
Quant open124
Worst price73.16
Drawdown as % of equity-0.14%
$2,750
Includes Typical Broker Commissions trade costs of $8.98
9/29/17 14:23 CGW INVESCO S&P GLOBAL WATER IN LONG 566 34.63 10/31 9:38 35.19 0.36%
Trade id #113948859
Max drawdown($372)
Time10/19/17 16:22
Quant open401
Worst price33.50
Drawdown as % of equity-0.36%
$308
Includes Typical Broker Commissions trade costs of $8.16
4/7/17 15:41 EWY ISHARES MSCI SOUTH KOREA ETF LONG 38 60.37 10/23 14:23 72.54 n/a $461
Includes Typical Broker Commissions trade costs of $0.76
1/9/17 15:41 EWP ISHARES MSCI SPAIN ETF LONG 77 27.18 10/23 14:23 32.64 n/a $418
Includes Typical Broker Commissions trade costs of $1.54
1/3/17 11:23 EWU ISHARES MSCI UNITED KINGDOM ET LONG 70 30.80 10/23 14:23 34.90 n/a $286
Includes Typical Broker Commissions trade costs of $1.40

Statistics

  • Strategy began
    11/3/2014
  • Suggested Minimum Cap
    $15,000
  • Strategy Age (days)
    1476.98
  • Age
    49 months ago
  • What it trades
    Stocks
  • # Trades
    93
  • # Profitable
    38
  • % Profitable
    40.90%
  • Avg trade duration
    100.9 days
  • Max peak-to-valley drawdown
    30.99%
  • drawdown period
    May 22, 2015 - Jan 20, 2016
  • Annual Return (Compounded)
    1.0%
  • Avg win
    $941.92
  • Avg loss
    $800.25
  • Model Account Values (Raw)
  • Cash
    $56,802
  • Margin Used
    $0
  • Buying Power
    $60,531
  • Ratios
  • W:L ratio
    1.33:1
  • Sharpe Ratio
    -0.073
  • Sortino Ratio
    -0.095
  • Calmar Ratio
    0.048
  • CORRELATION STATISTICS
  • Correlation to SP500
    0.54300
  • Return Statistics
  • Ann Return (w trading costs)
    1.0%
  • Ann Return (Compnd, No Fees)
    1.4%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    56.00%
  • Chance of 20% account loss
    13.50%
  • Chance of 30% account loss
    1.00%
  • Chance of 40% account loss
    n/a
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    629
  • C2 Score
    81.0
  • 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
    $803
  • Avg Win
    $1,020
  • # Winners
    38
  • # Losers
    55
  • % Winners
    40.9%
  • Frequency
  • Avg Position Time (mins)
    145234.00
  • Avg Position Time (hrs)
    2420.56
  • Avg Trade Length
    100.9 days
  • Last Trade Ago
    10
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.01193
  • SD
    0.14313
  • Sharpe ratio (Glass type estimate)
    -0.08338
  • Sharpe ratio (Hedges UMVUE)
    -0.08202
  • df
    46.00000
  • t
    -0.16502
  • p
    0.56518
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.07345
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.90755
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.07251
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.90848
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.10283
  • Upside Potential Ratio
    1.42679
  • Upside part of mean
    0.16561
  • Downside part of mean
    -0.17754
  • Upside SD
    0.08118
  • Downside SD
    0.11607
  • N nonnegative terms
    29.00000
  • N negative terms
    18.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    47.00000
  • Mean of predictor
    0.05123
  • Mean of criterion
    -0.01193
  • SD of predictor
    0.11187
  • SD of criterion
    0.14313
  • Covariance
    0.01210
  • r
    0.75597
  • b (slope, estimate of beta)
    0.96726
  • a (intercept, estimate of alpha)
    -0.06149
  • Mean Square Error
    0.00897
  • DF error
    45.00000
  • t(b)
    7.74686
  • p(b)
    0.00000
  • t(a)
    -1.27327
  • p(a)
    0.89527
  • Lowerbound of 95% confidence interval for beta
    0.71578
  • Upperbound of 95% confidence interval for beta
    1.21873
  • Lowerbound of 95% confidence interval for alpha
    -0.15875
  • Upperbound of 95% confidence interval for alpha
    0.03578
  • Treynor index (mean / b)
    -0.01234
  • Jensen alpha (a)
    -0.06149
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.02222
  • SD
    0.14624
  • Sharpe ratio (Glass type estimate)
    -0.15192
  • Sharpe ratio (Hedges UMVUE)
    -0.14943
  • df
    46.00000
  • t
    -0.30066
  • p
    0.61749
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.14197
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.83971
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.14025
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.84139
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.18291
  • Upside Potential Ratio
    1.33414
  • Upside part of mean
    0.16206
  • Downside part of mean
    -0.18427
  • Upside SD
    0.07886
  • Downside SD
    0.12147
  • N nonnegative terms
    29.00000
  • N negative terms
    18.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    47.00000
  • Mean of predictor
    0.04480
  • Mean of criterion
    -0.02222
  • SD of predictor
    0.11329
  • SD of criterion
    0.14624
  • Covariance
    0.01266
  • r
    0.76410
  • b (slope, estimate of beta)
    0.98633
  • a (intercept, estimate of alpha)
    -0.06641
  • Mean Square Error
    0.00910
  • DF error
    45.00000
  • t(b)
    7.94564
  • p(b)
    0.00000
  • t(a)
    -1.36880
  • p(a)
    0.91107
  • Lowerbound of 95% confidence interval for beta
    0.73631
  • Upperbound of 95% confidence interval for beta
    1.23636
  • Lowerbound of 95% confidence interval for alpha
    -0.16413
  • Upperbound of 95% confidence interval for alpha
    0.03131
  • Treynor index (mean / b)
    -0.02253
  • Jensen alpha (a)
    -0.06641
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.06881
  • Expected Shortfall on VaR
    0.08498
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02820
  • Expected Shortfall on VaR
    0.06020
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    47.00000
  • Minimum
    0.87725
  • Quartile 1
    0.98890
  • Median
    1.00884
  • Quartile 3
    1.02174
  • Maximum
    1.08206
  • Mean of quarter 1
    0.94587
  • Mean of quarter 2
    1.00285
  • Mean of quarter 3
    1.01633
  • Mean of quarter 4
    1.04153
  • Inter Quartile Range
    0.03283
  • Number outliers low
    5.00000
  • Percentage of outliers low
    0.10638
  • Mean of outliers low
    0.91004
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.04255
  • Mean of outliers high
    1.07808
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.04884
  • VaR(95%) (moments method)
    0.03985
  • Expected Shortfall (moments method)
    0.05879
  • Extreme Value Index (regression method)
    -0.20314
  • VaR(95%) (regression method)
    0.07375
  • Expected Shortfall (regression method)
    0.10025
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    3.00000
  • Minimum
    0.05542
  • Quartile 1
    0.08990
  • Median
    0.12439
  • Quartile 3
    0.19449
  • Maximum
    0.26460
  • Mean of quarter 1
    0.05542
  • Mean of quarter 2
    0.12439
  • 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)
    0.00575
  • Compounded annual return (geometric extrapolation)
    0.00571
  • Calmar ratio (compounded annual return / max draw down)
    0.02156
  • Compounded annual return / average of 25% largest draw downs
    0.02156
  • Compounded annual return / Expected Shortfall lognormal
    0.06714
  • 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
    -0.00787
  • SD
    0.10746
  • Sharpe ratio (Glass type estimate)
    -0.07323
  • Sharpe ratio (Hedges UMVUE)
    -0.07318
  • df
    1039.00000
  • t
    -0.14591
  • p
    0.50288
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.05698
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.91051
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.05693
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.91057
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.09453
  • Upside Potential Ratio
    6.85861
  • Upside part of mean
    0.57100
  • Downside part of mean
    -0.57887
  • Upside SD
    0.06786
  • Downside SD
    0.08325
  • N nonnegative terms
    553.00000
  • N negative terms
    487.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1040.00000
  • Mean of predictor
    0.05748
  • Mean of criterion
    -0.00787
  • SD of predictor
    0.13133
  • SD of criterion
    0.10746
  • Covariance
    0.00772
  • r
    0.54695
  • b (slope, estimate of beta)
    0.44753
  • a (intercept, estimate of alpha)
    -0.03400
  • Mean Square Error
    0.00810
  • DF error
    1038.00000
  • t(b)
    21.04920
  • p(b)
    0.22653
  • t(a)
    -0.74333
  • p(a)
    0.51153
  • Lowerbound of 95% confidence interval for beta
    0.40581
  • Upperbound of 95% confidence interval for beta
    0.48925
  • Lowerbound of 95% confidence interval for alpha
    -0.12227
  • Upperbound of 95% confidence interval for alpha
    0.05508
  • Treynor index (mean / b)
    -0.01758
  • Jensen alpha (a)
    -0.03359
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.01366
  • SD
    0.10785
  • Sharpe ratio (Glass type estimate)
    -0.12670
  • Sharpe ratio (Hedges UMVUE)
    -0.12661
  • df
    1039.00000
  • t
    -0.25243
  • p
    0.50499
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.11043
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.85709
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.11037
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.85715
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.16249
  • Upside Potential Ratio
    6.76193
  • Upside part of mean
    0.56866
  • Downside part of mean
    -0.58232
  • Upside SD
    0.06745
  • Downside SD
    0.08410
  • N nonnegative terms
    553.00000
  • N negative terms
    487.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1040.00000
  • Mean of predictor
    0.04882
  • Mean of criterion
    -0.01366
  • SD of predictor
    0.13163
  • SD of criterion
    0.10785
  • Covariance
    0.00780
  • r
    0.54959
  • b (slope, estimate of beta)
    0.45032
  • a (intercept, estimate of alpha)
    -0.03565
  • Mean Square Error
    0.00813
  • DF error
    1038.00000
  • t(b)
    21.19450
  • p(b)
    0.22521
  • t(a)
    -0.78773
  • p(a)
    0.51222
  • Lowerbound of 95% confidence interval for beta
    0.40863
  • Upperbound of 95% confidence interval for beta
    0.49201
  • Lowerbound of 95% confidence interval for alpha
    -0.12446
  • Upperbound of 95% confidence interval for alpha
    0.05316
  • Treynor index (mean / b)
    -0.03034
  • Jensen alpha (a)
    -0.03565
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01095
  • Expected Shortfall on VaR
    0.01370
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00482
  • Expected Shortfall on VaR
    0.01007
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    1040.00000
  • Minimum
    0.96167
  • Quartile 1
    0.99771
  • Median
    1.00037
  • Quartile 3
    1.00332
  • Maximum
    1.02903
  • Mean of quarter 1
    0.99219
  • Mean of quarter 2
    0.99921
  • Mean of quarter 3
    1.00170
  • Mean of quarter 4
    1.00721
  • Inter Quartile Range
    0.00561
  • Number outliers low
    49.00000
  • Percentage of outliers low
    0.04712
  • Mean of outliers low
    0.98134
  • Number of outliers high
    33.00000
  • Percentage of outliers high
    0.03173
  • Mean of outliers high
    1.01552
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.34303
  • VaR(95%) (moments method)
    0.00721
  • Expected Shortfall (moments method)
    0.01321
  • Extreme Value Index (regression method)
    0.22952
  • VaR(95%) (regression method)
    0.00681
  • Expected Shortfall (regression method)
    0.01113
  • 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
    0.13756
  • 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
    0.16911
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -0.59579
  • VaR(95%) (moments method)
    0.11892
  • Expected Shortfall (moments method)
    0.14261
  • Extreme Value Index (regression method)
    0.47125
  • VaR(95%) (regression method)
    0.23684
  • Expected Shortfall (regression method)
    0.57048
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.01465
  • Compounded annual return (geometric extrapolation)
    0.01434
  • Calmar ratio (compounded annual return / max draw down)
    0.04826
  • Compounded annual return / average of 25% largest draw downs
    0.10427
  • Compounded annual return / Expected Shortfall lognormal
    1.04714
  • 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
    -0.03140
  • SD
    0.09215
  • Sharpe ratio (Glass type estimate)
    -0.34078
  • Sharpe ratio (Hedges UMVUE)
    -0.33881
  • df
    130.00000
  • t
    -0.24097
  • p
    0.51057
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.11229
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.43194
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.11092
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.43330
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.43147
  • Upside Potential Ratio
    7.30623
  • Upside part of mean
    0.53174
  • Downside part of mean
    -0.56314
  • Upside SD
    0.05598
  • Downside SD
    0.07278
  • N nonnegative terms
    68.00000
  • N negative terms
    63.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.00246
  • Mean of criterion
    -0.03140
  • SD of predictor
    0.12940
  • SD of criterion
    0.09215
  • Covariance
    0.00699
  • r
    0.58637
  • b (slope, estimate of beta)
    0.41756
  • a (intercept, estimate of alpha)
    -0.03038
  • Mean Square Error
    0.00561
  • DF error
    129.00000
  • t(b)
    8.22174
  • p(b)
    0.14936
  • t(a)
    -0.28664
  • p(a)
    0.51606
  • Lowerbound of 95% confidence interval for beta
    0.31708
  • Upperbound of 95% confidence interval for beta
    0.51805
  • Lowerbound of 95% confidence interval for alpha
    -0.24004
  • Upperbound of 95% confidence interval for alpha
    0.17929
  • Treynor index (mean / b)
    -0.07520
  • Jensen alpha (a)
    -0.03038
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.03563
  • SD
    0.09245
  • Sharpe ratio (Glass type estimate)
    -0.38542
  • Sharpe ratio (Hedges UMVUE)
    -0.38319
  • df
    130.00000
  • t
    -0.27253
  • p
    0.51195
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.15690
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.38751
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.15539
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.38901
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.48588
  • Upside Potential Ratio
    7.22867
  • Upside part of mean
    0.53012
  • Downside part of mean
    -0.56576
  • Upside SD
    0.05576
  • Downside SD
    0.07334
  • N nonnegative terms
    68.00000
  • N negative terms
    63.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.01080
  • Mean of criterion
    -0.03563
  • SD of predictor
    0.12984
  • SD of criterion
    0.09245
  • Covariance
    0.00703
  • r
    0.58605
  • b (slope, estimate of beta)
    0.41730
  • a (intercept, estimate of alpha)
    -0.03112
  • Mean Square Error
    0.00566
  • DF error
    129.00000
  • t(b)
    8.21486
  • p(b)
    0.14953
  • t(a)
    -0.29265
  • p(a)
    0.51640
  • Lowerbound of 95% confidence interval for beta
    0.31680
  • Upperbound of 95% confidence interval for beta
    0.51781
  • Lowerbound of 95% confidence interval for alpha
    -0.24154
  • Upperbound of 95% confidence interval for alpha
    0.17930
  • Treynor index (mean / b)
    -0.08539
  • Jensen alpha (a)
    -0.03112
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00949
  • Expected Shortfall on VaR
    0.01184
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00482
  • Expected Shortfall on VaR
    0.00959
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.97106
  • Quartile 1
    0.99748
  • Median
    1.00033
  • Quartile 3
    1.00359
  • Maximum
    1.01358
  • Mean of quarter 1
    0.99258
  • Mean of quarter 2
    0.99912
  • Mean of quarter 3
    1.00222
  • Mean of quarter 4
    1.00610
  • Inter Quartile Range
    0.00611
  • Number outliers low
    3.00000
  • Percentage of outliers low
    0.02290
  • Mean of outliers low
    0.98173
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.01527
  • Mean of outliers high
    1.01352
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.65953
  • VaR(95%) (moments method)
    0.00654
  • Expected Shortfall (moments method)
    0.00740
  • Extreme Value Index (regression method)
    -0.03239
  • VaR(95%) (regression method)
    0.00766
  • Expected Shortfall (regression method)
    0.01067
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    6.00000
  • Minimum
    0.01092
  • Quartile 1
    0.01308
  • Median
    0.01575
  • Quartile 3
    0.02604
  • Maximum
    0.08763
  • Mean of quarter 1
    0.01192
  • Mean of quarter 2
    0.01359
  • Mean of quarter 3
    0.01791
  • Mean of quarter 4
    0.05819
  • Inter Quartile Range
    0.01296
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.16667
  • Mean of outliers high
    0.08763
  • 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)
    -0.00771
  • Compounded annual return (geometric extrapolation)
    -0.00770
  • Calmar ratio (compounded annual return / max draw down)
    -0.08782
  • Compounded annual return / average of 25% largest draw downs
    -0.13225
  • Compounded annual return / Expected Shortfall lognormal
    -0.64971

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
93
# Profitable
38
% Profitable
40.9%
Net Dividends
Correlation S&P500
0.543
Sharpe Ratio
-0.073

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

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