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Pure Momentum (90576475)

Created by: FredPenney FredPenney
Started: 11/2014
Stocks
Last trade: 44 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.

1.6%
Annual Return (Compounded)
31.0%
Max Drawdown
67
Num Trades
46.3%
Win Trades
1.2 : 1
Profit Factor
63.2%
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%)  -  (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%+1.0%+20.9%

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
9/29/17 14:23 CGW GUGGENHEIM 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 KOREA CAPPED IND 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 CAPPED IND 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
1/3/17 11:20 EWI ISHARES MSCI ITALY CAPPED IND LONG 87 24.38 10/23 14:22 30.60 n/a $539
Includes Typical Broker Commissions trade costs of $1.74
1/3/17 11:24 EWA ISHARES MSCI AUSTRALIA INDEX LONG 105 20.58 10/23 14:22 22.96 n/a $248
Includes Typical Broker Commissions trade costs of $2.10
1/3/17 11:22 RSX VANECK VECTORS RUSSIA ETF LONG 99 21.69 10/23 14:21 22.02 n/a $31
Includes Typical Broker Commissions trade costs of $1.98
6/30/17 13:26 EEM ISHARES MSCI EMERGING MARKETS LONG 277 41.50 9/29 14:07 44.83 n/a $916
Includes Typical Broker Commissions trade costs of $5.54
6/27/17 12:55 GLD SPDR GOLD SHARES LONG 245 118.42 7/26 15:51 119.58 0.95%
Trade id #112237299
Max drawdown($888)
Time7/10/17 4:04
Quant open245
Worst price114.79
Drawdown as % of equity-0.95%
$280
Includes Typical Broker Commissions trade costs of $4.90
12/28/16 9:31 QQQ POWERSHARES QQQ LONG 209 123.82 6/30/17 13:12 136.17 n/a $2,577
Includes Typical Broker Commissions trade costs of $4.18
5/31/17 11:51 EFA ISHARES MSCI EAFE INDEX LONG 257 66.09 6/27 12:53 65.31 0.44%
Trade id #111852544
Max drawdown($421)
Time6/15/17 9:16
Quant open257
Worst price64.45
Drawdown as % of equity-0.44%
($205)
Includes Typical Broker Commissions trade costs of $5.14
3/22/17 9:51 CGW GUGGENHEIM S&P GLOBAL WATER IN LONG 545 30.73 6/20 12:29 32.71 0.04%
Trade id #110377137
Max drawdown($32)
Time3/22/17 9:58
Quant open300
Worst price30.51
Drawdown as % of equity-0.04%
$1,073
Includes Typical Broker Commissions trade costs of $7.95
5/12/17 12:01 EEM ISHARES MSCI EMERGING MARKETS LONG 282 41.25 5/31 11:49 41.18 0.44%
Trade id #111574999
Max drawdown($403)
Time5/18/17 9:31
Quant open282
Worst price39.82
Drawdown as % of equity-0.44%
($26)
Includes Typical Broker Commissions trade costs of $5.64
4/18/17 14:41 IYR ISHARES DOW JONES US REAL ESTA LONG 297 80.90 5/31 10:25 78.16 1.19%
Trade id #111097487
Max drawdown($1,101)
Time5/4/17 12:20
Quant open297
Worst price77.19
Drawdown as % of equity-1.19%
($820)
Includes Typical Broker Commissions trade costs of $5.94
2/13/17 14:21 EEM ISHARES MSCI EMERGING MARKETS LONG 395 38.51 4/19 13:11 38.91 0.46%
Trade id #109504085
Max drawdown($413)
Time3/9/17 14:17
Quant open382
Worst price37.39
Drawdown as % of equity-0.46%
$148
Includes Typical Broker Commissions trade costs of $7.90
1/17/17 14:02 EFA ISHARES MSCI EAFE INDEX LONG 404 59.88 4/18 14:40 61.03 0.06%
Trade id #108695283
Max drawdown($56)
Time1/19/17 14:21
Quant open112
Worst price58.87
Drawdown as % of equity-0.06%
$455
Includes Typical Broker Commissions trade costs of $8.08
6/30/16 9:30 XLE ENERGY SELECT SECTOR SPDR LONG 283 69.25 3/27/17 12:10 68.82 0.61%
Trade id #104397086
Max drawdown($537)
Time8/2/16 13:14
Quant open190
Worst price64.57
Drawdown as % of equity-0.61%
($128)
Includes Typical Broker Commissions trade costs of $5.66
10/31/16 12:09 DBC POWERSHARES DB COMMODITY INDEX LONG 1,150 15.07 2/22/17 9:59 15.76 1.15%
Trade id #106799660
Max drawdown($1,013)
Time12/19/16 7:39
Quant open1,114
Worst price14.14
Drawdown as % of equity-1.15%
$775
Includes Typical Broker Commissions trade costs of $7.86
10/31/16 12:08 IYR ISHARES DOW JONES US REAL ESTA LONG 208 76.26 11/30 11:37 74.71 1.01%
Trade id #106799587
Max drawdown($863)
Time11/10/16 9:53
Quant open208
Worst price72.11
Drawdown as % of equity-1.01%
($326)
Includes Typical Broker Commissions trade costs of $4.16
8/30/16 10:03 EEM ISHARES MSCI EMERGING MARKETS LONG 373 37.18 11/29 9:44 35.31 1.4%
Trade id #105519213
Max drawdown($1,176)
Time11/14/16 12:25
Quant open373
Worst price34.03
Drawdown as % of equity-1.40%
($706)
Includes Typical Broker Commissions trade costs of $7.46
9/30/16 13:04 EFA ISHARES MSCI EAFE INDEX LONG 303 59.18 10/31 12:06 57.86 0.77%
Trade id #106166497
Max drawdown($664)
Time10/13/16 9:56
Quant open303
Worst price56.99
Drawdown as % of equity-0.77%
($406)
Includes Typical Broker Commissions trade costs of $6.06
9/30/16 13:05 GLD SPDR GOLD SHARES LONG 154 125.69 10/31 12:05 121.50 1.29%
Trade id #106166544
Max drawdown($1,119)
Time10/7/16 11:37
Quant open154
Worst price118.42
Drawdown as % of equity-1.29%
($648)
Includes Typical Broker Commissions trade costs of $3.08
6/30/16 9:55 TLT ISHARES 20+ YEAR TREASURY BOND LONG 156 139.09 9/30 13:00 137.56 0.93%
Trade id #104398011
Max drawdown($793)
Time9/15/16 9:37
Quant open131
Worst price133.03
Drawdown as % of equity-0.93%
($242)
Includes Typical Broker Commissions trade costs of $3.12
6/30/16 9:30 IYR ISHARES DOW JONES US REAL ESTA LONG 305 81.64 9/30 13:00 81.27 0.99%
Trade id #104397187
Max drawdown($857)
Time9/13/16 13:03
Quant open289
Worst price78.67
Drawdown as % of equity-0.99%
($117)
Includes Typical Broker Commissions trade costs of $6.10
1/29/16 13:27 GLD SPDR GOLD SHARES LONG 153 106.83 8/24 11:27 125.93 0.02%
Trade id #100269674
Max drawdown($15)
Time1/29/16 13:30
Quant open153
Worst price106.73
Drawdown as % of equity-0.02%
$2,920
Includes Typical Broker Commissions trade costs of $3.06
4/28/16 10:20 DBC POWERSHARES DB COMMODITY INDEX LONG 1,182 14.41 7/29 11:43 14.40 0.35%
Trade id #102075919
Max drawdown($311)
Time7/29/16 9:44
Quant open1,004
Worst price14.10
Drawdown as % of equity-0.35%
($19)
Includes Typical Broker Commissions trade costs of $6.78
4/28/16 10:19 RWX SPDR DOW JONES INTL REAL ESTAT LONG 501 42.52 6/30 9:30 41.21 2.24%
Trade id #102075890
Max drawdown($1,926)
Time6/27/16 11:26
Quant open501
Worst price38.67
Drawdown as % of equity-2.24%
($664)
Includes Typical Broker Commissions trade costs of $7.51
4/29/16 12:24 EFA ISHARES MSCI EAFE INDEX LONG 305 58.46 6/30 9:30 55.23 1.16%
Trade id #102104947
Max drawdown($999)
Time6/27/16 11:26
Quant open153
Worst price51.93
Drawdown as % of equity-1.16%
($990)
Includes Typical Broker Commissions trade costs of $6.10
3/31/16 9:53 EEM ISHARES MSCI EMERGING MARKETS LONG 428 34.48 6/30 9:30 33.71 1.39%
Trade id #101588734
Max drawdown($1,190)
Time5/19/16 11:47
Quant open428
Worst price31.70
Drawdown as % of equity-1.39%
($339)
Includes Typical Broker Commissions trade costs of $8.56
2/26/16 12:13 IYR ISHARES DOW JONES US REAL ESTA LONG 236 71.90 4/29 12:21 76.17 0.04%
Trade id #100873936
Max drawdown($35)
Time3/1/16 9:31
Quant open236
Worst price71.75
Drawdown as % of equity-0.04%
$1,002
Includes Typical Broker Commissions trade costs of $4.72

Statistics

  • Strategy began
    11/3/2014
  • Starting Unit Size
    $5,000
  • Strategy Age (days)
    1136.97
  • Age
    38 months ago
  • What it trades
    Stocks
  • # Trades
    67
  • # Profitable
    31
  • % Profitable
    46.30%
  • Avg trade duration
    102.5 days
  • Max peak-to-valley drawdown
    30.99%
  • drawdown period
    May 22, 2015 - Jan 20, 2016
  • Annual Return (Compounded)
    1.7%
  • Avg win
    $976.00
  • Avg loss
    $951.22
  • Model Account Values (Raw)
  • Cash
    $30,609
  • Margin Used
    $0
  • Buying Power
    $40,494
  • Ratios
  • W:L ratio
    1.20:1
  • Sharpe Ratio
    -0.02
  • Sortino Ratio
    -0.027
  • Calmar Ratio
    0.07
  • CORRELATION STATISTICS
  • Correlation to SP500
    0.51000
  • Return Statistics
  • Ann Return (w trading costs)
    1.7%
  • Ann Return (Compnd, No Fees)
    2.1%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    47.50%
  • Chance of 20% account loss
    8.00%
  • Chance of 30% account loss
    n/a
  • Chance of 40% account loss
    n/a
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    309
  • C2 Score
    28.8
  • 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
    $951
  • Avg Win
    $1,143
  • # Winners
    31
  • # Losers
    36
  • % Winners
    46.3%
  • Frequency
  • Avg Position Time (mins)
    147599.00
  • Avg Position Time (hrs)
    2459.99
  • Avg Trade Length
    102.5 days
  • Last Trade Ago
    44
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.00333
  • SD
    0.13982
  • Sharpe ratio (Glass type estimate)
    -0.02383
  • Sharpe ratio (Hedges UMVUE)
    -0.02331
  • df
    35.00000
  • t
    -0.04127
  • p
    0.51634
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.15529
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.10791
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.15491
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.10829
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.02912
  • Upside Potential Ratio
    1.42011
  • Upside part of mean
    0.16249
  • Downside part of mean
    -0.16582
  • Upside SD
    0.07690
  • Downside SD
    0.11442
  • N nonnegative terms
    23.00000
  • N negative terms
    13.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    36.00000
  • Mean of predictor
    0.06235
  • Mean of criterion
    -0.00333
  • SD of predictor
    0.10224
  • SD of criterion
    0.13982
  • Covariance
    0.00953
  • r
    0.66681
  • b (slope, estimate of beta)
    0.91192
  • a (intercept, estimate of alpha)
    -0.06019
  • Mean Square Error
    0.01118
  • DF error
    34.00000
  • t(b)
    5.21744
  • p(b)
    0.00000
  • t(a)
    -0.97086
  • p(a)
    0.83076
  • Lowerbound of 95% confidence interval for beta
    0.55672
  • Upperbound of 95% confidence interval for beta
    1.26712
  • Lowerbound of 95% confidence interval for alpha
    -0.18619
  • Upperbound of 95% confidence interval for alpha
    0.06581
  • Treynor index (mean / b)
    -0.00365
  • Jensen alpha (a)
    -0.06019
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.01315
  • SD
    0.14359
  • Sharpe ratio (Glass type estimate)
    -0.09161
  • Sharpe ratio (Hedges UMVUE)
    -0.08963
  • df
    35.00000
  • t
    -0.15867
  • p
    0.56258
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.22278
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.04079
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.22141
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.04215
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.10943
  • Upside Potential Ratio
    1.32492
  • Upside part of mean
    0.15926
  • Downside part of mean
    -0.17242
  • Upside SD
    0.07490
  • Downside SD
    0.12021
  • N nonnegative terms
    23.00000
  • N negative terms
    13.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    36.00000
  • Mean of predictor
    0.05690
  • Mean of criterion
    -0.01315
  • SD of predictor
    0.10363
  • SD of criterion
    0.14359
  • Covariance
    0.01014
  • r
    0.68114
  • b (slope, estimate of beta)
    0.94381
  • a (intercept, estimate of alpha)
    -0.06686
  • Mean Square Error
    0.01138
  • DF error
    34.00000
  • t(b)
    5.42472
  • p(b)
    0.00000
  • t(a)
    -1.07190
  • p(a)
    0.85434
  • Lowerbound of 95% confidence interval for beta
    0.59023
  • Upperbound of 95% confidence interval for beta
    1.29738
  • Lowerbound of 95% confidence interval for alpha
    -0.19362
  • Upperbound of 95% confidence interval for alpha
    0.05990
  • Treynor index (mean / b)
    -0.01394
  • Jensen alpha (a)
    -0.06686
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.06693
  • Expected Shortfall on VaR
    0.08285
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02507
  • Expected Shortfall on VaR
    0.05518
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    36.00000
  • Minimum
    0.87725
  • Quartile 1
    0.98988
  • Median
    1.00851
  • Quartile 3
    1.02165
  • Maximum
    1.07410
  • Mean of quarter 1
    0.94893
  • Mean of quarter 2
    1.00242
  • Mean of quarter 3
    1.01696
  • Mean of quarter 4
    1.03989
  • Inter Quartile Range
    0.03176
  • Number outliers low
    3.00000
  • Percentage of outliers low
    0.08333
  • Mean of outliers low
    0.89868
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.02778
  • Mean of outliers high
    1.07410
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.50410
  • VaR(95%) (moments method)
    0.04726
  • Expected Shortfall (moments method)
    0.11302
  • Extreme Value Index (regression method)
    0.21732
  • VaR(95%) (regression method)
    0.06508
  • Expected Shortfall (regression method)
    0.11472
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    2.00000
  • Minimum
    0.05542
  • Quartile 1
    0.10772
  • Median
    0.16001
  • Quartile 3
    0.21230
  • Maximum
    0.26460
  • Mean of quarter 1
    0.05542
  • Mean of quarter 2
    0.00000
  • 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)
    0.01508
  • Compounded annual return (geometric extrapolation)
    0.01486
  • Calmar ratio (compounded annual return / max draw down)
    0.05617
  • Compounded annual return / average of 25% largest draw downs
    0.05617
  • Compounded annual return / Expected Shortfall lognormal
    0.17940
  • 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
    -0.00207
  • SD
    0.10100
  • Sharpe ratio (Glass type estimate)
    -0.02047
  • Sharpe ratio (Hedges UMVUE)
    -0.02045
  • df
    799.00000
  • t
    -0.03577
  • p
    0.51426
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.14211
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.10117
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.14209
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.10119
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.02672
  • Upside Potential Ratio
    6.79521
  • Upside part of mean
    0.52575
  • Downside part of mean
    -0.52782
  • Upside SD
    0.06482
  • Downside SD
    0.07737
  • N nonnegative terms
    423.00000
  • N negative terms
    377.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    800.00000
  • Mean of predictor
    0.07077
  • Mean of criterion
    -0.00207
  • SD of predictor
    0.12503
  • SD of criterion
    0.10100
  • Covariance
    0.00646
  • r
    0.51176
  • b (slope, estimate of beta)
    0.41341
  • a (intercept, estimate of alpha)
    -0.03100
  • Mean Square Error
    0.00754
  • DF error
    798.00000
  • t(b)
    16.82730
  • p(b)
    0.00000
  • t(a)
    -0.63003
  • p(a)
    0.73557
  • Lowerbound of 95% confidence interval for beta
    0.36518
  • Upperbound of 95% confidence interval for beta
    0.46163
  • Lowerbound of 95% confidence interval for alpha
    -0.12892
  • Upperbound of 95% confidence interval for alpha
    0.06627
  • Treynor index (mean / b)
    -0.00500
  • Jensen alpha (a)
    -0.03132
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.00718
  • SD
    0.10133
  • Sharpe ratio (Glass type estimate)
    -0.07089
  • Sharpe ratio (Hedges UMVUE)
    -0.07082
  • df
    799.00000
  • t
    -0.12387
  • p
    0.54927
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.19253
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.05076
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.19246
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.05083
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.09191
  • Upside Potential Ratio
    6.70013
  • Upside part of mean
    0.52361
  • Downside part of mean
    -0.53079
  • Upside SD
    0.06440
  • Downside SD
    0.07815
  • N nonnegative terms
    423.00000
  • N negative terms
    377.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    800.00000
  • Mean of predictor
    0.06294
  • Mean of criterion
    -0.00718
  • SD of predictor
    0.12518
  • SD of criterion
    0.10133
  • Covariance
    0.00652
  • r
    0.51431
  • b (slope, estimate of beta)
    0.41632
  • a (intercept, estimate of alpha)
    -0.03338
  • Mean Square Error
    0.00756
  • DF error
    798.00000
  • t(b)
    16.94080
  • p(b)
    0.00000
  • t(a)
    -0.67055
  • p(a)
    0.74865
  • Lowerbound of 95% confidence interval for beta
    0.36808
  • Upperbound of 95% confidence interval for beta
    0.46456
  • Lowerbound of 95% confidence interval for alpha
    -0.13111
  • Upperbound of 95% confidence interval for alpha
    0.06434
  • Treynor index (mean / b)
    -0.01725
  • Jensen alpha (a)
    -0.03338
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01027
  • Expected Shortfall on VaR
    0.01285
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00440
  • Expected Shortfall on VaR
    0.00926
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    800.00000
  • Minimum
    0.96167
  • Quartile 1
    0.99796
  • Median
    1.00035
  • Quartile 3
    1.00298
  • Maximum
    1.02903
  • Mean of quarter 1
    0.99290
  • Mean of quarter 2
    0.99927
  • Mean of quarter 3
    1.00150
  • Mean of quarter 4
    1.00673
  • Inter Quartile Range
    0.00502
  • Number outliers low
    38.00000
  • Percentage of outliers low
    0.04750
  • Mean of outliers low
    0.98286
  • Number of outliers high
    28.00000
  • Percentage of outliers high
    0.03500
  • Mean of outliers high
    1.01499
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.33347
  • VaR(95%) (moments method)
    0.00640
  • Expected Shortfall (moments method)
    0.01165
  • Extreme Value Index (regression method)
    0.28606
  • VaR(95%) (regression method)
    0.00592
  • Expected Shortfall (regression method)
    0.01012
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    12.00000
  • Minimum
    0.00022
  • Quartile 1
    0.00165
  • Median
    0.00388
  • Quartile 3
    0.01828
  • Maximum
    0.29724
  • Mean of quarter 1
    0.00111
  • Mean of quarter 2
    0.00233
  • Mean of quarter 3
    0.00698
  • Mean of quarter 4
    0.13835
  • 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
    2.00000
  • Percentage of outliers high
    0.16667
  • Mean of outliers high
    0.18607
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.11114
  • VaR(95%) (moments method)
    0.11181
  • Expected Shortfall (moments method)
    0.18058
  • Extreme Value Index (regression method)
    1.79684
  • VaR(95%) (regression method)
    0.29405
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.02139
  • Compounded annual return (geometric extrapolation)
    0.02094
  • Calmar ratio (compounded annual return / max draw down)
    0.07045
  • Compounded annual return / average of 25% largest draw downs
    0.15136
  • Compounded annual return / Expected Shortfall lognormal
    1.62904
  • 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
    0.19545
  • SD
    0.06024
  • Sharpe ratio (Glass type estimate)
    3.24449
  • Sharpe ratio (Hedges UMVUE)
    3.22574
  • df
    130.00000
  • t
    2.29420
  • p
    0.40137
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.43880
  • Upperbound of 95% confidence interval for Sharpe Ratio
    6.03812
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.42634
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    6.02514
  • Statistics related to Sortino ratio
  • Sortino ratio
    5.09755
  • Upside Potential Ratio
    12.45930
  • Upside part of mean
    0.47770
  • Downside part of mean
    -0.28226
  • Upside SD
    0.04772
  • Downside SD
    0.03834
  • N nonnegative terms
    80.00000
  • N negative terms
    51.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.15085
  • Mean of criterion
    0.19545
  • SD of predictor
    0.06651
  • SD of criterion
    0.06024
  • Covariance
    0.00262
  • r
    0.65431
  • b (slope, estimate of beta)
    0.59266
  • a (intercept, estimate of alpha)
    0.10604
  • Mean Square Error
    0.00209
  • DF error
    129.00000
  • t(b)
    9.82723
  • p(b)
    0.11546
  • t(a)
    1.62369
  • p(a)
    0.41021
  • Lowerbound of 95% confidence interval for beta
    0.47334
  • Upperbound of 95% confidence interval for beta
    0.71198
  • Lowerbound of 95% confidence interval for alpha
    -0.02317
  • Upperbound of 95% confidence interval for alpha
    0.23526
  • Treynor index (mean / b)
    0.32978
  • Jensen alpha (a)
    0.10604
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.19355
  • SD
    0.06022
  • Sharpe ratio (Glass type estimate)
    3.21409
  • Sharpe ratio (Hedges UMVUE)
    3.19551
  • df
    130.00000
  • t
    2.27270
  • p
    0.40226
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.40891
  • Upperbound of 95% confidence interval for Sharpe Ratio
    6.00720
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.39662
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.99440
  • Statistics related to Sortino ratio
  • Sortino ratio
    5.03276
  • Upside Potential Ratio
    12.39040
  • Upside part of mean
    0.47652
  • Downside part of mean
    -0.28296
  • Upside SD
    0.04757
  • Downside SD
    0.03846
  • N nonnegative terms
    80.00000
  • N negative terms
    51.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.14860
  • Mean of criterion
    0.19355
  • SD of predictor
    0.06654
  • SD of criterion
    0.06022
  • Covariance
    0.00262
  • r
    0.65443
  • b (slope, estimate of beta)
    0.59228
  • a (intercept, estimate of alpha)
    0.10554
  • Mean Square Error
    0.00209
  • DF error
    129.00000
  • t(b)
    9.83021
  • p(b)
    0.11540
  • t(a)
    1.61724
  • p(a)
    0.41056
  • Lowerbound of 95% confidence interval for beta
    0.47307
  • Upperbound of 95% confidence interval for beta
    0.71149
  • Lowerbound of 95% confidence interval for alpha
    -0.02358
  • Upperbound of 95% confidence interval for alpha
    0.23466
  • Treynor index (mean / b)
    0.32680
  • Jensen alpha (a)
    0.10554
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00537
  • Expected Shortfall on VaR
    0.00691
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00209
  • Expected Shortfall on VaR
    0.00439
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.99043
  • Quartile 1
    0.99921
  • Median
    1.00118
  • Quartile 3
    1.00334
  • Maximum
    1.00965
  • Mean of quarter 1
    0.99603
  • Mean of quarter 2
    1.00015
  • Mean of quarter 3
    1.00185
  • Mean of quarter 4
    1.00541
  • Inter Quartile Range
    0.00413
  • Number outliers low
    3.00000
  • Percentage of outliers low
    0.02290
  • Mean of outliers low
    0.99182
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.00763
  • Mean of outliers high
    1.00965
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.58380
  • VaR(95%) (moments method)
    0.00277
  • Expected Shortfall (moments method)
    0.00325
  • Extreme Value Index (regression method)
    -0.52747
  • VaR(95%) (regression method)
    0.00379
  • Expected Shortfall (regression method)
    0.00457
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    15.00000
  • Minimum
    0.00004
  • Quartile 1
    0.00076
  • Median
    0.00660
  • Quartile 3
    0.01261
  • Maximum
    0.02241
  • Mean of quarter 1
    0.00031
  • Mean of quarter 2
    0.00322
  • Mean of quarter 3
    0.00866
  • Mean of quarter 4
    0.01914
  • Inter Quartile Range
    0.01185
  • 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)
    -23.36420
  • VaR(95%) (moments method)
    0.01972
  • Expected Shortfall (moments method)
    0.01972
  • Extreme Value Index (regression method)
    -2.45278
  • VaR(95%) (regression method)
    0.02528
  • Expected Shortfall (regression method)
    0.02545
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.23419
  • Compounded annual return (geometric extrapolation)
    0.24790
  • Calmar ratio (compounded annual return / max draw down)
    11.06280
  • Compounded annual return / average of 25% largest draw downs
    12.94870
  • Compounded annual return / Expected Shortfall lognormal
    35.87280

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
Minimum Capital Required
$5,000
# Trades
67
# Profitable
31
% Profitable
46.3%
Net Dividends
Correlation S&P500
0.510
Sharpe Ratio
-0.020

Latest Activity

#PERSONNAME#
subscribed on started simulation #SUBSCRIBEDDATE#

Most values on this page (including the Strategy Equity Chart, above) have been adjusted by estimated trading commissions and subscription costs.

Some advanced users find it useful to see "raw" Model Account values. These numbers do not include any commissions, fees, subscription costs, or dividend actions.

Strategy developers can "archive" strategies at any time. This means the strategy Model Account is reset to its initial level and the trade list cleared. However, all archived track records are permanently preserved for evaluation by potential subscribers.

About the results you see on this Web site

Past results are not necessarily indicative of future results.

These results are based on simulated or hypothetical performance results that have certain inherent limitations. Unlike the results shown in an actual performance record, these results do not represent actual trading. Also, because these trades have not actually been executed, these results may have under-or over-compensated for the impact, if any, of certain market factors, such as lack of liquidity. Simulated or hypothetical trading programs in general are also subject to the fact that they are designed with the benefit of hindsight. No representation is being made that any account will or is likely to achieve profits or losses similar to these being shown.

In addition, hypothetical trading does not involve financial risk, and no hypothetical trading record can completely account for the impact of financial risk in actual trading. For example, the ability to withstand losses or to adhere to a particular trading program in spite of trading losses are material points which can also adversely affect actual trading results. There are numerous other factors related to the markets in general or to the implementation of any specific trading program, which cannot be fully accounted for in the preparation of hypothetical performance results and all of which can adversely affect actual trading results.

Material assumptions and methods used when calculating results

The following are material assumptions used when calculating any hypothetical monthly results that appear on our web site.

  • Profits are reinvested. We assume profits (when there are profits) are reinvested in the trading strategy.
  • Starting investment size. For any trading strategy on our site, hypothetical results are based on the assumption that you invested the starting amount shown on the strategy's performance chart. In some cases, nominal dollar amounts on the equity chart have been re-scaled downward to make current go-forward trading sizes more manageable. In these cases, it may not have been possible to trade the strategy historically at the equity levels shown on the chart, and a higher minimum capital was required in the past.
  • All fees are included. When calculating cumulative returns, we try to estimate and include all the fees a typical trader incurs when AutoTrading using AutoTrade technology. This includes the subscription cost of the strategy, plus any per-trade AutoTrade fees, plus estimated broker commissions if any.
  • "Max Drawdown" Calculation Method. We calculate the Max Drawdown statistic as follows. Our computer software looks at the equity chart of the system in question and finds the largest percentage amount that the equity chart ever declines from a local "peak" to a subsequent point in time (thus this is formally called "Maximum Peak to Valley Drawdown.") While this is useful information when evaluating trading systems, you should keep in mind that past performance does not guarantee future results. Therefore, future drawdowns may be larger than the historical maximum drawdowns you see here.

Trading is risky

There is a substantial risk of loss in futures and forex trading. Online trading of stocks and options is extremely risky. Assume you will lose money. Don't trade with money you cannot afford to lose.

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