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The Momentum of Now
(75800796)

Created by: Danny Danny
Started: 08/2012
Stocks
Last trade: 2 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 $50.00 per month.

C2Star

C2Star is a certification program for trading strategies. In order to become "C2Star Certified," a strategy must apply tight risk controls, and must exhibit excellent performance characteristics, including low drawdowns.

You can read more about C2Star certification requirements here.

Note that: all trading strategies are risky, and C2Star Certification does not imply that a strategy is low risk.

24.2%
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.

(24.1%)
Max Drawdown
1856
Num Trades
35.4%
Win Trades
1.5 : 1
Profit Factor
56.7%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2012                                                 +3.9%+7.6%+1.0%+1.6%(0.4%)+14.1%
2013+13.8%+0.7%+9.1%(1.6%)+0.1%(5.4%)(2.6%)(2.3%)+22.0%+8.2%+20.9%(0.5%)+75.9%
2014+10.3%(2.2%)(2.2%)(3%)+1.4%(1.2%)(8.4%)+4.2%(0.6%)+2.8%+3.2%+2.5%+5.6%
2015(1.2%)+7.0%+4.6%(5.4%)+20.3%+2.7%+17.4%(4.1%)+3.6%(1.8%)+2.6%+1.8%+54.4%
2016(0.2%)(4.8%)(5.3%)+3.8%(3.9%)+3.4%(0.5%)+0.7%+1.8%+0.5%+9.2%(2.4%)+1.3%
2017(2%)+8.6%+1.0%+5.3%+10.4%(7.2%)+6.9%+6.6%+2.7%+2.6%(3%)(1.3%)+33.1%
2018+9.0%(1.4%)+1.2%(2.6%)+15.5%(2.2%)(5.6%)+7.9%(4.9%)(7.4%)(0.4%)+0.5%+7.4%
2019  -  +4.1%(3.9%)+3.2%  -  +2.2%+1.4%(2.7%)(2.9%)(0.7%)+0.3%+7.1%+7.8%
2020+2.5%(4.4%)+5.7%(2.4%)(3%)+4.1%+3.8%+4.9%                        +11.2%

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.

System developer has asked us to delay this information by 24 hours.

Trading Record

This strategy has placed 2,968 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
8/3/20 9:30 STAA STAAR SURGICAL LONG 484 59.73 8/7 9:30 55.49 0.4%
Trade id #130417751
Max drawdown($2,286)
Time8/6/20 0:00
Quant open484
Worst price55.00
Drawdown as % of equity-0.40%
($2,060)
Includes Typical Broker Commissions trade costs of $9.68
7/30/20 9:30 VMD VIEMED HEALTHCARE INC LONG 3,169 11.04 8/6 9:30 10.44 0.42%
Trade id #130362494
Max drawdown($2,413)
Time8/5/20 0:00
Quant open3,169
Worst price10.28
Drawdown as % of equity-0.42%
($1,898)
Includes Typical Broker Commissions trade costs of $5.00
6/1/20 9:30 VAPO VAPOTHERM INC LONG 249 26.45 8/6 9:30 33.10 0.09%
Trade id #129286110
Max drawdown($456)
Time6/2/20 0:00
Quant open249
Worst price24.61
Drawdown as % of equity-0.09%
$1,652
Includes Typical Broker Commissions trade costs of $4.98
7/30/20 9:30 MYOK MYOKARDIA INC. COMMON STOCK LONG 153 95.21 8/3 9:30 90.24 0.18%
Trade id #130362538
Max drawdown($988)
Time7/31/20 0:00
Quant open153
Worst price88.75
Drawdown as % of equity-0.18%
($763)
Includes Typical Broker Commissions trade costs of $3.06
7/29/20 9:30 IZEA IZEA INC. COMMON STOCK LONG 8,219 1.17 7/31 10:35 1.26 0.13%
Trade id #130337105
Max drawdown($724)
Time7/30/20 0:00
Quant open8,219
Worst price1.08
Drawdown as % of equity-0.13%
$760
Includes Typical Broker Commissions trade costs of $5.00
7/28/20 9:30 EQ EQUILLIUM INC LONG 240 12.15 7/31 9:30 10.63 0.07%
Trade id #130315547
Max drawdown($374)
Time7/31/20 9:30
Quant open240
Worst price10.59
Drawdown as % of equity-0.07%
($371)
Includes Typical Broker Commissions trade costs of $4.80
7/8/20 9:30 CLGX CORELOGIC LONG 243 68.85 7/31 9:30 68.21 0.14%
Trade id #129965632
Max drawdown($763)
Time7/13/20 0:00
Quant open243
Worst price65.71
Drawdown as % of equity-0.14%
($161)
Includes Typical Broker Commissions trade costs of $4.86
7/15/20 9:30 FIT FITBIT INC LONG 3,226 6.85 7/30 9:30 6.50 0.23%
Trade id #130091298
Max drawdown($1,225)
Time7/30/20 9:30
Quant open3,226
Worst price6.47
Drawdown as % of equity-0.23%
($1,134)
Includes Typical Broker Commissions trade costs of $5.00
6/18/20 9:30 SPOT SPOTIFY TECHNOLOGY SA LONG 61 209.90 7/30 9:30 252.00 0.04%
Trade id #129634598
Max drawdown($204)
Time6/18/20 9:33
Quant open61
Worst price206.54
Drawdown as % of equity-0.04%
$2,567
Includes Typical Broker Commissions trade costs of $1.22
7/17/20 9:30 HUM HUMANA LONG 54 399.16 7/27 9:30 390.99 0.1%
Trade id #130133572
Max drawdown($547)
Time7/27/20 9:30
Quant open54
Worst price389.02
Drawdown as % of equity-0.10%
($442)
Includes Typical Broker Commissions trade costs of $1.08
6/18/20 9:30 WIX WIX.COM LTD. ORDINARY SHARES LONG 169 232.05 7/27 9:30 269.76 0.02%
Trade id #129634569
Max drawdown($103)
Time6/18/20 10:17
Quant open56
Worst price224.66
Drawdown as % of equity-0.02%
$6,371
Includes Typical Broker Commissions trade costs of $3.38
7/23/20 9:30 RIOT RIOT BLOCKCHAIN INC. COMMON STOCK LONG 5,911 2.40 7/24 9:34 2.12 0.38%
Trade id #130236596
Max drawdown($2,009)
Time7/24/20 9:34
Quant open5,911
Worst price2.06
Drawdown as % of equity-0.38%
($1,660)
Includes Typical Broker Commissions trade costs of $5.00
7/23/20 9:30 MRNA MODERNA INC. COMMON STOCK LONG 90 82.05 7/24 9:30 68.22 0.26%
Trade id #130236598
Max drawdown($1,395)
Time7/24/20 0:00
Quant open90
Worst price66.54
Drawdown as % of equity-0.26%
($1,246)
Includes Typical Broker Commissions trade costs of $1.80
6/19/20 9:30 SGEN SEATTLE GENETICS LONG 181 165.45 7/24 9:30 169.61 0%
Trade id #129658373
Max drawdown($9)
Time6/19/20 9:36
Quant open90
Worst price160.56
Drawdown as % of equity-0.00%
$750
Includes Typical Broker Commissions trade costs of $3.62
7/20/20 9:30 NKLAW NIKOLA CORP WTS LONG 147 27.00 7/23 9:30 25.37 0.06%
Trade id #130164424
Max drawdown($351)
Time7/22/20 0:00
Quant open147
Worst price24.61
Drawdown as % of equity-0.06%
($243)
Includes Typical Broker Commissions trade costs of $2.94
6/1/20 9:30 SNAP SNAP INC LONG 608 19.00 7/23 9:30 22.75 0.03%
Trade id #129286131
Max drawdown($170)
Time6/1/20 10:17
Quant open608
Worst price18.72
Drawdown as % of equity-0.03%
$2,275
Includes Typical Broker Commissions trade costs of $5.00
7/20/20 9:30 VRT VERTIV HOLDINGS LLC LONG 1,113 14.41 7/23 9:30 13.74 0.18%
Trade id #130164396
Max drawdown($968)
Time7/22/20 0:00
Quant open1,113
Worst price13.54
Drawdown as % of equity-0.18%
($751)
Includes Typical Broker Commissions trade costs of $5.00
7/21/20 9:30 CLIR CLEARSIGN TECHNOLOGIES CORP LONG 5,063 2.30 7/21 9:46 2.48 n/a $903
Includes Typical Broker Commissions trade costs of $5.00
7/1/20 9:30 ALPN ALPINE IMMUNE SCIENCES INC LONG 934 9.75 7/17 10:20 10.90 0.17%
Trade id #129842175
Max drawdown($891)
Time7/14/20 0:00
Quant open934
Worst price8.79
Drawdown as % of equity-0.17%
$1,069
Includes Typical Broker Commissions trade costs of $5.00
6/26/20 9:30 TWLO TWILIO INC LONG 114 217.87 7/17 9:30 225.80 0.25%
Trade id #129772741
Max drawdown($1,289)
Time6/29/20 0:00
Quant open114
Worst price206.56
Drawdown as % of equity-0.25%
$902
Includes Typical Broker Commissions trade costs of $2.28
6/1/20 9:30 BAND BANDWIDTH INC. CLASS A COMMON STOCK LONG 246 121.60 7/16 9:30 124.03 0.15%
Trade id #129286109
Max drawdown($740)
Time6/8/20 0:00
Quant open125
Worst price105.62
Drawdown as % of equity-0.15%
$591
Includes Typical Broker Commissions trade costs of $4.92
6/19/20 9:30 SDGR SCHRODINGER INC. COMMON STOCK LONG 96 76.70 7/15 9:30 84.01 0.09%
Trade id #129658357
Max drawdown($436)
Time6/22/20 0:00
Quant open96
Worst price72.15
Drawdown as % of equity-0.09%
$700
Includes Typical Broker Commissions trade costs of $1.92
7/1/20 9:30 KRNT KORNIT DIGITAL LTD. ORDINARY S LONG 235 53.38 7/14 9:39 48.55 0.22%
Trade id #129842209
Max drawdown($1,167)
Time7/14/20 9:39
Quant open235
Worst price48.41
Drawdown as % of equity-0.22%
($1,140)
Includes Typical Broker Commissions trade costs of $4.70
6/17/20 9:30 DT DYNATRACE INC LONG 231 40.49 7/14 9:30 38.37 0.1%
Trade id #129601874
Max drawdown($526)
Time6/29/20 0:00
Quant open231
Worst price38.21
Drawdown as % of equity-0.10%
($495)
Includes Typical Broker Commissions trade costs of $4.62
6/1/20 9:30 DDOG DATADOG INC. LONG 125 70.61 7/14 9:30 87.60 0.09%
Trade id #129286136
Max drawdown($428)
Time6/2/20 0:00
Quant open125
Worst price67.18
Drawdown as % of equity-0.09%
$2,122
Includes Typical Broker Commissions trade costs of $2.50
6/17/20 9:30 WING WINGSTOP INC. COMMON STOCK LONG 210 125.72 7/14 9:30 129.68 n/a $829
Includes Typical Broker Commissions trade costs of $4.20
7/6/20 9:30 ALLO ALLOGENE THERAPEUTICS INC LONG 206 45.33 7/14 9:30 40.28 0.2%
Trade id #129922124
Max drawdown($1,091)
Time7/13/20 0:00
Quant open206
Worst price40.03
Drawdown as % of equity-0.20%
($1,044)
Includes Typical Broker Commissions trade costs of $4.12
7/13/20 9:30 HD HOME DEPOT LONG 222 251.97 7/13 10:24 255.51 n/a $782
Includes Typical Broker Commissions trade costs of $4.44
7/9/20 9:30 AHPI ALLIED HEALTHCARE PRODUCT LONG 778 11.80 7/13 9:37 10.33 0.21%
Trade id #129989989
Max drawdown($1,159)
Time7/13/20 9:37
Quant open778
Worst price10.31
Drawdown as % of equity-0.21%
($1,149)
Includes Typical Broker Commissions trade costs of $5.00
6/29/20 9:30 SHY ISHARES BARCLAYS 1-3 YEAR TREA LONG 6,607 86.61 7/13 9:30 86.54 0.11%
Trade id #129800104
Max drawdown($594)
Time7/1/20 0:00
Quant open6,607
Worst price86.52
Drawdown as % of equity-0.11%
($467)
Includes Typical Broker Commissions trade costs of $5.00

Statistics

  • Strategy began
    8/4/2012
  • Suggested Minimum Cap
    $35,000
  • Strategy Age (days)
    2927.04
  • Age
    98 months ago
  • What it trades
    Stocks
  • # Trades
    1856
  • # Profitable
    657
  • % Profitable
    35.40%
  • Avg trade duration
    26.8 days
  • Max peak-to-valley drawdown
    24.06%
  • drawdown period
    Jan 21, 2014 - Aug 04, 2014
  • Annual Return (Compounded)
    24.2%
  • Avg win
    $2,573
  • Avg loss
    $1,042
  • Model Account Values (Raw)
  • Cash
    $517,734
  • Margin Used
    $579,866
  • Buying Power
    $23,372
  • Ratios
  • W:L ratio
    1.46:1
  • Sharpe Ratio
    1
  • Sortino Ratio
    1.44
  • Calmar Ratio
    1.292
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    327.69%
  • Correlation to SP500
    0.12160
  • Return Percent SP500 (cumu) during strategy life
    140.93%
  • Return Statistics
  • Ann Return (w trading costs)
    24.2%
  • Slump
  • Current Slump as Pcnt Equity
    4.10%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.27%
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.242%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    25.1%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    47.50%
  • Chance of 20% account loss
    23.50%
  • Chance of 30% account loss
    8.00%
  • Chance of 40% account loss
    2.00%
  • Chance of 100% account loss (Monte Carlo)
    100.00%
  • Chance of 70% account loss (Monte Carlo)
    n/a
  • Chance of 80% account loss (Monte Carlo)
    n/a
  • Chance of 60% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 90% account loss (Monte Carlo)
    n/a
  • Chance of 50% account loss
    1.00%
  • Popularity
  • Popularity (Today)
    919
  • Popularity (Last 6 weeks)
    976
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Popularity
  • C2 Score
    915
  • Popularity (7 days, Percentile 1000 scale)
    950
  • Management
  • No Subs Allowed Flag (1: no subs)
    0
  • Strat abandoned?
    0
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $1,042
  • Avg Win
    $2,574
  • Sum Trade PL (losers)
    $1,249,620.000
  • AUM
  • AUM (AutoTrader num accounts)
    4
  • Age
  • Num Months filled monthly returns table
    97
  • Win / Loss
  • Sum Trade PL (winners)
    $1,691,000.000
  • # Winners
    657
  • Num Months Winners
    56
  • Dividends
  • Dividends Received in Model Acct
    62012
  • AUM
  • AUM (AutoTrader live capital)
    1370550
  • Win / Loss
  • # Losers
    1199
  • % Winners
    35.4%
  • Frequency
  • Avg Position Time (mins)
    27193.80
  • Avg Position Time (hrs)
    453.23
  • Avg Trade Length
    18.9 days
  • Last Trade Ago
    0
  • Leverage
  • Daily leverage (average)
    1.65
  • Daily leverage (max)
    3.69
  • Regression
  • Alpha
    0.05
  • Beta
    0.13
  • Treynor Index
    0.45
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.00
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    44.65
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    17.95
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -0.38
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.00
  • Avg(MAE) / Avg(PL) - All trades
    5.474
  • MAE:Equity, losing trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, win trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, 95th Percentile Value for this strat
    0.00
  • Avg(MAE) / Avg(PL) - Winning trades
    0.179
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.153
  • Hold-and-Hope Ratio
    0.178
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.21785
  • SD
    0.22417
  • Sharpe ratio (Glass type estimate)
    0.97185
  • Sharpe ratio (Hedges UMVUE)
    0.96407
  • df
    94.00000
  • t
    2.73444
  • p
    0.00373
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.25911
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.67965
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.25398
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.67416
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.17855
  • Upside Potential Ratio
    3.97531
  • Upside part of mean
    0.39753
  • Downside part of mean
    -0.17968
  • Upside SD
    0.20899
  • Downside SD
    0.10000
  • N nonnegative terms
    55.00000
  • N negative terms
    40.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    95.00000
  • Mean of predictor
    0.09190
  • Mean of criterion
    0.21785
  • SD of predictor
    0.15107
  • SD of criterion
    0.22417
  • Covariance
    0.00168
  • r
    0.04975
  • b (slope, estimate of beta)
    0.07382
  • a (intercept, estimate of alpha)
    0.21107
  • Mean Square Error
    0.05067
  • DF error
    93.00000
  • t(b)
    0.48039
  • p(b)
    0.31604
  • t(a)
    2.59824
  • p(a)
    0.00545
  • Lowerbound of 95% confidence interval for beta
    -0.23135
  • Upperbound of 95% confidence interval for beta
    0.37900
  • Lowerbound of 95% confidence interval for alpha
    0.04975
  • Upperbound of 95% confidence interval for alpha
    0.37239
  • Treynor index (mean / b)
    2.95100
  • Jensen alpha (a)
    0.21107
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.19251
  • SD
    0.21305
  • Sharpe ratio (Glass type estimate)
    0.90362
  • Sharpe ratio (Hedges UMVUE)
    0.89639
  • df
    94.00000
  • t
    2.54248
  • p
    0.00632
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.19288
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.60973
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.18812
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.60467
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.85734
  • Upside Potential Ratio
    3.63730
  • Upside part of mean
    0.37701
  • Downside part of mean
    -0.18449
  • Upside SD
    0.19302
  • Downside SD
    0.10365
  • N nonnegative terms
    55.00000
  • N negative terms
    40.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    95.00000
  • Mean of predictor
    0.07981
  • Mean of criterion
    0.19251
  • SD of predictor
    0.15433
  • SD of criterion
    0.21305
  • Covariance
    0.00172
  • r
    0.05223
  • b (slope, estimate of beta)
    0.07209
  • a (intercept, estimate of alpha)
    0.18676
  • Mean Square Error
    0.04575
  • DF error
    93.00000
  • t(b)
    0.50433
  • p(b)
    0.30761
  • t(a)
    2.42948
  • p(a)
    0.00852
  • Lowerbound of 95% confidence interval for beta
    -0.21178
  • Upperbound of 95% confidence interval for beta
    0.35596
  • Lowerbound of 95% confidence interval for alpha
    0.03411
  • Upperbound of 95% confidence interval for alpha
    0.33941
  • Treynor index (mean / b)
    2.67032
  • Jensen alpha (a)
    0.18676
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.08160
  • Expected Shortfall on VaR
    0.10467
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.03114
  • Expected Shortfall on VaR
    0.06049
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    95.00000
  • Minimum
    0.89129
  • Quartile 1
    0.97782
  • Median
    1.01873
  • Quartile 3
    1.04678
  • Maximum
    1.27878
  • Mean of quarter 1
    0.95258
  • Mean of quarter 2
    0.99579
  • Mean of quarter 3
    1.03403
  • Mean of quarter 4
    1.10009
  • Inter Quartile Range
    0.06897
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    4.00000
  • Percentage of outliers high
    0.04211
  • Mean of outliers high
    1.22021
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.24902
  • VaR(95%) (moments method)
    0.05048
  • Expected Shortfall (moments method)
    0.07919
  • Extreme Value Index (regression method)
    0.13262
  • VaR(95%) (regression method)
    0.04806
  • Expected Shortfall (regression method)
    0.06851
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    13.00000
  • Minimum
    0.00377
  • Quartile 1
    0.02099
  • Median
    0.04039
  • Quartile 3
    0.11403
  • Maximum
    0.16901
  • Mean of quarter 1
    0.01292
  • Mean of quarter 2
    0.03641
  • Mean of quarter 3
    0.08995
  • Mean of quarter 4
    0.14898
  • Inter Quartile Range
    0.09304
  • 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)
    -3.03640
  • VaR(95%) (moments method)
    0.15347
  • Expected Shortfall (moments method)
    0.15376
  • Extreme Value Index (regression method)
    -0.63735
  • VaR(95%) (regression method)
    0.16554
  • Expected Shortfall (regression method)
    0.17538
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.59695
  • Compounded annual return (geometric extrapolation)
    0.24660
  • Calmar ratio (compounded annual return / max draw down)
    1.45910
  • Compounded annual return / average of 25% largest draw downs
    1.65528
  • Compounded annual return / Expected Shortfall lognormal
    2.35608
  • 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
    0.21462
  • SD
    0.17009
  • Sharpe ratio (Glass type estimate)
    1.26177
  • Sharpe ratio (Hedges UMVUE)
    1.26132
  • df
    2078.00000
  • t
    3.55433
  • p
    0.00019
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.56481
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.95845
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.56448
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.95815
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.84159
  • Upside Potential Ratio
    9.04742
  • Upside part of mean
    1.05438
  • Downside part of mean
    -0.83976
  • Upside SD
    0.12455
  • Downside SD
    0.11654
  • N nonnegative terms
    1158.00000
  • N negative terms
    921.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    2079.00000
  • Mean of predictor
    0.09703
  • Mean of criterion
    0.21462
  • SD of predictor
    0.16920
  • SD of criterion
    0.17009
  • Covariance
    0.00348
  • r
    0.12077
  • b (slope, estimate of beta)
    0.12141
  • a (intercept, estimate of alpha)
    0.20300
  • Mean Square Error
    0.02852
  • DF error
    2077.00000
  • t(b)
    5.54481
  • p(b)
    0.00000
  • t(a)
    3.38107
  • p(a)
    0.00037
  • Lowerbound of 95% confidence interval for beta
    0.07847
  • Upperbound of 95% confidence interval for beta
    0.16435
  • Lowerbound of 95% confidence interval for alpha
    0.08519
  • Upperbound of 95% confidence interval for alpha
    0.32049
  • Treynor index (mean / b)
    1.76771
  • Jensen alpha (a)
    0.20284
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.20005
  • SD
    0.17021
  • Sharpe ratio (Glass type estimate)
    1.17528
  • Sharpe ratio (Hedges UMVUE)
    1.17486
  • df
    2078.00000
  • t
    3.31069
  • p
    0.00047
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.47846
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.87186
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.47816
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.87155
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.69480
  • Upside Potential Ratio
    8.86710
  • Upside part of mean
    1.04663
  • Downside part of mean
    -0.84658
  • Upside SD
    0.12320
  • Downside SD
    0.11804
  • N nonnegative terms
    1158.00000
  • N negative terms
    921.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    2079.00000
  • Mean of predictor
    0.08261
  • Mean of criterion
    0.20005
  • SD of predictor
    0.16995
  • SD of criterion
    0.17021
  • Covariance
    0.00350
  • r
    0.12086
  • b (slope, estimate of beta)
    0.12105
  • a (intercept, estimate of alpha)
    0.19004
  • Mean Square Error
    0.02856
  • DF error
    2077.00000
  • t(b)
    5.54879
  • p(b)
    0.00000
  • t(a)
    3.16622
  • p(a)
    0.00078
  • Lowerbound of 95% confidence interval for beta
    0.07827
  • Upperbound of 95% confidence interval for beta
    0.16383
  • Lowerbound of 95% confidence interval for alpha
    0.07233
  • Upperbound of 95% confidence interval for alpha
    0.30776
  • Treynor index (mean / b)
    1.65261
  • Jensen alpha (a)
    0.19004
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01640
  • Expected Shortfall on VaR
    0.02070
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00676
  • Expected Shortfall on VaR
    0.01405
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    2079.00000
  • Minimum
    0.93891
  • Quartile 1
    0.99640
  • Median
    1.00093
  • Quartile 3
    1.00572
  • Maximum
    1.05556
  • Mean of quarter 1
    0.98855
  • Mean of quarter 2
    0.99894
  • Mean of quarter 3
    1.00300
  • Mean of quarter 4
    1.01321
  • Inter Quartile Range
    0.00932
  • Number outliers low
    92.00000
  • Percentage of outliers low
    0.04425
  • Mean of outliers low
    0.97411
  • Number of outliers high
    86.00000
  • Percentage of outliers high
    0.04137
  • Mean of outliers high
    1.02661
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.31366
  • VaR(95%) (moments method)
    0.01073
  • Expected Shortfall (moments method)
    0.01896
  • Extreme Value Index (regression method)
    0.14821
  • VaR(95%) (regression method)
    0.01056
  • Expected Shortfall (regression method)
    0.01626
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    65.00000
  • Minimum
    0.00007
  • Quartile 1
    0.00341
  • Median
    0.01360
  • Quartile 3
    0.03963
  • Maximum
    0.19820
  • Mean of quarter 1
    0.00176
  • Mean of quarter 2
    0.00842
  • Mean of quarter 3
    0.02456
  • Mean of quarter 4
    0.10986
  • Inter Quartile Range
    0.03622
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    7.00000
  • Percentage of outliers high
    0.10769
  • Mean of outliers high
    0.15595
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -1.15662
  • VaR(95%) (moments method)
    0.09767
  • Expected Shortfall (moments method)
    0.10352
  • Extreme Value Index (regression method)
    -0.56478
  • VaR(95%) (regression method)
    0.08824
  • Expected Shortfall (regression method)
    0.09976
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.64313
  • Compounded annual return (geometric extrapolation)
    0.25603
  • Calmar ratio (compounded annual return / max draw down)
    1.29175
  • Compounded annual return / average of 25% largest draw downs
    2.33053
  • Compounded annual return / Expected Shortfall lognormal
    12.36700
  • 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
    0.17474
  • SD
    0.13753
  • Sharpe ratio (Glass type estimate)
    1.27060
  • Sharpe ratio (Hedges UMVUE)
    1.26326
  • df
    130.00000
  • t
    0.89845
  • p
    0.46072
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.50792
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.04429
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.51280
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.03931
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.86565
  • Upside Potential Ratio
    9.24137
  • Upside part of mean
    0.86557
  • Downside part of mean
    -0.69083
  • Upside SD
    0.10056
  • Downside SD
    0.09366
  • N nonnegative terms
    72.00000
  • N negative terms
    59.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.08124
  • Mean of criterion
    0.17474
  • SD of predictor
    0.45965
  • SD of criterion
    0.13753
  • Covariance
    -0.00232
  • r
    -0.03674
  • b (slope, estimate of beta)
    -0.01099
  • a (intercept, estimate of alpha)
    0.17564
  • Mean Square Error
    0.01903
  • DF error
    129.00000
  • t(b)
    -0.41752
  • p(b)
    0.52338
  • t(a)
    0.90012
  • p(a)
    0.44976
  • Lowerbound of 95% confidence interval for beta
    -0.06308
  • Upperbound of 95% confidence interval for beta
    0.04109
  • Lowerbound of 95% confidence interval for alpha
    -0.21042
  • Upperbound of 95% confidence interval for alpha
    0.56169
  • Treynor index (mean / b)
    -15.89830
  • Jensen alpha (a)
    0.17564
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.16528
  • SD
    0.13759
  • Sharpe ratio (Glass type estimate)
    1.20123
  • Sharpe ratio (Hedges UMVUE)
    1.19428
  • df
    130.00000
  • t
    0.84940
  • p
    0.46286
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.57672
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.97458
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.58132
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.96989
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.74805
  • Upside Potential Ratio
    9.10068
  • Upside part of mean
    0.86048
  • Downside part of mean
    -0.69520
  • Upside SD
    0.09976
  • Downside SD
    0.09455
  • N nonnegative terms
    72.00000
  • N negative terms
    59.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.02462
  • Mean of criterion
    0.16528
  • SD of predictor
    0.46323
  • SD of criterion
    0.13759
  • Covariance
    -0.00233
  • r
    -0.03662
  • b (slope, estimate of beta)
    -0.01088
  • a (intercept, estimate of alpha)
    0.16501
  • Mean Square Error
    0.01905
  • DF error
    129.00000
  • t(b)
    -0.41620
  • p(b)
    0.52331
  • t(a)
    0.84531
  • p(a)
    0.45279
  • VAR (95 Confidence Intrvl)
    0.01600
  • Lowerbound of 95% confidence interval for beta
    -0.06259
  • Upperbound of 95% confidence interval for beta
    0.04083
  • Lowerbound of 95% confidence interval for alpha
    -0.22121
  • Upperbound of 95% confidence interval for alpha
    0.55124
  • Treynor index (mean / b)
    -15.19500
  • Jensen alpha (a)
    0.16501
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01326
  • Expected Shortfall on VaR
    0.01676
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00564
  • Expected Shortfall on VaR
    0.01157
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.97186
  • Quartile 1
    0.99627
  • Median
    1.00071
  • Quartile 3
    1.00425
  • Maximum
    1.02721
  • Mean of quarter 1
    0.99081
  • Mean of quarter 2
    0.99903
  • Mean of quarter 3
    1.00258
  • Mean of quarter 4
    1.01073
  • Inter Quartile Range
    0.00798
  • Number outliers low
    4.00000
  • Percentage of outliers low
    0.03053
  • Mean of outliers low
    0.97483
  • Number of outliers high
    7.00000
  • Percentage of outliers high
    0.05344
  • Mean of outliers high
    1.01945
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.47278
  • VaR(95%) (moments method)
    0.01019
  • Expected Shortfall (moments method)
    0.02097
  • Extreme Value Index (regression method)
    0.08293
  • VaR(95%) (regression method)
    0.00772
  • Expected Shortfall (regression method)
    0.01052
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    3.00000
  • Minimum
    0.00170
  • Quartile 1
    0.02156
  • Median
    0.04141
  • Quartile 3
    0.06515
  • Maximum
    0.08888
  • Mean of quarter 1
    0.00170
  • Mean of quarter 2
    0.04141
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.08888
  • Inter Quartile Range
    0.04359
  • 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
  • Last 4 Months - Pcnt Negative
    0.25%
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -282943000
  • Max Equity Drawdown (num days)
    195
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.20283
  • Compounded annual return (geometric extrapolation)
    0.21311
  • Calmar ratio (compounded annual return / max draw down)
    2.39767
  • Compounded annual return / average of 25% largest draw downs
    2.39767
  • Compounded annual return / Expected Shortfall lognormal
    12.71820

Strategy Description

Combines the art of trading the most explosive breakouts the market has to offer with the science of turtle trader position sizing and risk management.


What to expect:

Every day, I run stock scans that comb through 10,000 stocks to find just one or two that are ready to move right now.

I also use a sophisticated risk management strategy that was developed by William Eckhardt, who taught a group of traders now known as The Turtles.

The system buys strong, liquid US stocks and ETFs, and short sells the weakest. Losses are cut very short, which contributes to a lower win rate.

For more information on my trading style, please visit Twitter.com/ChartingTrends


Frequently asked questions:

Does this system need to be auto-traded?

No. All signals will be sent out after the market has closed, mostly on the weekends, so you should have time to enter the trades manually in the evening or in the morning before the market opens.


Do you short stocks?

Yes.


Do you use leverage?

Rarely, but yes during strongly trending markets.


Do you use stops?

Yes. All signals come with a stop loss order attached.


How has the system performed during backtesting?

My system is not an algorithm or black box. It is a rules based, discretionary strategy that I have developed through 10 years of intensive study.


What will happen during bear markets?

I can short stocks and ETFs, so the system is not dependant on a rising stock market. The system is more likely to struggle during a choppy, range bound market.

Summary Statistics

Strategy began
2012-08-04
Suggested Minimum Capital
$35,000
Rank at C2 %
Top 8.5%
Rank # 
#54
# Trades
1856
# Profitable
657
% Profitable
35.4%
Net Dividends
Correlation S&P500
0.122
Sharpe Ratio
1.00
Sortino Ratio
1.44
Beta
0.13
Alpha
0.05
Leverage
1.65 Average
3.69 Maximum
Summary
Higher leverage = greater risk.

More information about leverage

Collective2 calculates the maximum leverage used by a strategy in each day. We then display the average of these measurements (i.e. the average daily maximum leverage) and the greatest of these measurements (maximum daily leverage).

Leverage is the ratio of total notional value controlled by a strategy divided by its Model Account equity. Generally higher leverage implies greater risk.

Example of calculation:
The Strategy buys 100 shares of stock at $12 per share.
The Model Account equity during that day is $5,000.
The leverage is: $1200 / $5,000 = 0.24

This is a useful measurement, but it should be considered in context. This measurement doesn't take into account important factors, such as when multiple positions are held that are inversely correlated. Nor does the measurement take into account the volatility of the instruments being held.

In addition, certain asset classes are inherently more leveraged than others. For example, futures contracts are highly leveraged. Forex positions are often even more leveraged than futures.

Latest Activity

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

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

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

About the results you see on this Web site

Past results are not necessarily indicative of future results.

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

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

Material assumptions and methods used when calculating results

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

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

Trading is risky

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

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Suggested Minimum Capital

This is our estimate of the minimum amount of capital to follow a strategy, assuming you use the smallest reasonable AutoTrade Scaling % for the strategy.