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These are hypothetical performance results that have certain inherent limitations. Learn more

The Spirit of Nicolas Darvas.
(81877382)

Created by: Danny Danny
Started: 07/2013
Stocks
Last trade: 3 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.

24.5%
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.

(29.4%)
Max Drawdown
2770
Num Trades
35.7%
Win Trades
1.4 : 1
Profit Factor
57.3%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2013                                          +11.4%(2.8%)+18.0%+7.5%+1.9%+1.6%+42.2%
2014+17.4%(2.1%)+0.7%(2.2%)+0.7%+6.0%(6.4%)+5.0%(7.7%)(3.3%)+3.3%+2.9%+12.7%
2015(4.3%)(0.1%)(9.1%)+2.3%+14.3%+14.2%+16.3%(7%)+7.4%(4.7%)(1.2%)+0.9%+27.9%
2016+2.1%(0.3%)(0.3%)(1.6%)(2.3%)(2.6%)+7.5%(2.2%)(2.2%)+2.0%+32.3%(7.7%)+21.4%
2017+4.8%+12.1%+2.1%+1.2%+6.6%(2.9%)+1.7%+9.5%+5.5%+3.9%+4.6%+5.3%+68.7%
2018+8.5%(0.1%)+0.9%(0.3%)+10.4%+3.4%(1.9%)+8.2%+2.6%(10.3%)(1.4%)+1.3%+21.3%
2019(0.4%)+4.1%(0.8%)(2.3%)+1.5%+0.9%+3.5%+3.8%(6.2%)(1.4%)(1.1%)+3.9%+5.0%
2020+0.6%(2.8%)+4.4%(4.9%)(1.9%)+5.5%+9.8%+9.5%(6.8%)(2.2%)+1.1%+18.4%+31.7%
2021  -  (0.5%)+0.2%+0.5%(1%)+3.0%(6.4%)(0.5%)+0.3%+1.2%(3.6%)+1.1%(5.8%)
2022(0.2%)+2.8%+0.2%+8.7%(1.1%)+7.1%(3.5%)(2.6%)                        +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 5,646 trades in real-life brokerage accounts. To see live brokerage data, select Show AutoTrade Data, and click on a Live AutoTrade Indicator symbol.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
8/1/22 9:30 GLS GELESIS HOLDINGS INC SHORT 3,644 1.35 8/12 9:30 1.76 0.2%
Trade id #141250490
Max drawdown($1,494)
Time8/12/22 9:30
Quant open3,644
Worst price1.76
Drawdown as % of equity-0.20%
($1,499)
Includes Typical Broker Commissions trade costs of $5.00
7/22/22 9:30 SLQT SELECTQUOTE INC SHORT 4,185 1.90 8/11 9:30 1.99 0.06%
Trade id #141148015
Max drawdown($418)
Time8/10/22 0:00
Quant open4,185
Worst price2.00
Drawdown as % of equity-0.06%
($382)
Includes Typical Broker Commissions trade costs of $5.00
7/29/22 13:39 ELEV ELEVATION ONCOLOGY INC. COMMON STOCK SHORT 6,016 1.23 8/9 9:30 1.32 0.1%
Trade id #141234020
Max drawdown($721)
Time8/5/22 0:00
Quant open6,016
Worst price1.35
Drawdown as % of equity-0.10%
($546)
Includes Typical Broker Commissions trade costs of $5.00
7/28/22 9:30 ARQQ ARQIT QUANTUM INC. ORDINARY SHARES SHORT 1,351 5.25 8/9 9:30 5.82 0.13%
Trade id #141213245
Max drawdown($972)
Time8/8/22 0:00
Quant open1,351
Worst price5.97
Drawdown as % of equity-0.13%
($775)
Includes Typical Broker Commissions trade costs of $5.00
7/21/22 9:30 AVAH AVEANNA HEALTHCARE HOLDINGS INC. SHORT 4,016 2.12 8/8 15:53 2.27 0.15%
Trade id #141132693
Max drawdown($1,084)
Time8/8/22 10:25
Quant open4,016
Worst price2.39
Drawdown as % of equity-0.15%
($603)
Includes Typical Broker Commissions trade costs of $5.00
8/1/22 9:30 AMRS AMYRIS SHORT 3,285 1.81 8/8 15:52 2.27 0.23%
Trade id #141250502
Max drawdown($1,675)
Time8/8/22 15:10
Quant open3,285
Worst price2.32
Drawdown as % of equity-0.23%
($1,514)
Includes Typical Broker Commissions trade costs of $5.00
6/8/22 13:57 TKC TURKCELL ILETISIM SHORT 7,908 2.72 8/8 15:52 2.47 0.06%
Trade id #140712759
Max drawdown($458)
Time6/9/22 0:00
Quant open7,908
Worst price2.78
Drawdown as % of equity-0.06%
$2,016
Includes Typical Broker Commissions trade costs of $5.00
4/20/22 9:50 HLBZ HELBIZ INC. CLASS A COMMON STOCK SHORT 5,540 2.01 8/8 9:30 1.41 0.01%
Trade id #140195770
Max drawdown($69)
Time4/20/22 10:09
Quant open5,540
Worst price2.02
Drawdown as % of equity-0.01%
$3,304
Includes Typical Broker Commissions trade costs of $7.50
7/15/22 9:30 GRTX GALERA THERAPEUTICS INC. SHORT 6,308 1.18 8/8 9:30 1.21 0.09%
Trade id #141071264
Max drawdown($693)
Time7/19/22 0:00
Quant open6,308
Worst price1.29
Drawdown as % of equity-0.09%
($194)
Includes Typical Broker Commissions trade costs of $5.00
7/25/22 9:30 RNLX RENALYTIX PLC SHORT 2,059 2.38 8/5 15:59 2.61 0.17%
Trade id #141165976
Max drawdown($1,255)
Time8/5/22 15:22
Quant open2,059
Worst price2.99
Drawdown as % of equity-0.17%
($473)
Includes Typical Broker Commissions trade costs of $5.00
7/22/22 9:30 BBAI BIGBEAR AI INC SHORT 2,484 3.44 8/5 9:30 2.41 n/a $2,565
Includes Typical Broker Commissions trade costs of $5.00
8/1/22 9:30 FNCH FINCH THERAPEUTICS GROUP INC. SHORT 3,487 1.89 8/5 9:30 2.28 0.23%
Trade id #141250485
Max drawdown($1,708)
Time8/4/22 0:00
Quant open3,487
Worst price2.38
Drawdown as % of equity-0.23%
($1,365)
Includes Typical Broker Commissions trade costs of $5.00
7/27/22 13:33 SNAX STRYVE FOODS INC SHORT 7,346 0.68 8/5 9:30 0.97 0.28%
Trade id #141203199
Max drawdown($2,107)
Time8/5/22 9:30
Quant open7,346
Worst price0.97
Drawdown as % of equity-0.28%
($2,113)
Includes Typical Broker Commissions trade costs of $5.00
7/29/22 9:30 FVRR FIVERR INTERNATIONAL LTD SHORT 253 32.00 8/4 9:31 34.95 0.18%
Trade id #141227939
Max drawdown($1,380)
Time8/3/22 0:00
Quant open253
Worst price37.45
Drawdown as % of equity-0.18%
($751)
Includes Typical Broker Commissions trade costs of $5.06
7/27/22 9:30 PRTY PARTY CITY HOLDCO INC SHORT 6,500 1.12 8/4 9:30 1.28 0.14%
Trade id #141197292
Max drawdown($1,040)
Time8/4/22 9:30
Quant open6,500
Worst price1.28
Drawdown as % of equity-0.14%
($1,045)
Includes Typical Broker Commissions trade costs of $5.00
7/6/22 11:34 HYPR HYPERFINE INC. CLASS A COMMON STOCK SHORT 3,051 1.84 8/4 9:30 1.77 0.04%
Trade id #140977721
Max drawdown($294)
Time7/6/22 12:45
Quant open3,051
Worst price1.94
Drawdown as % of equity-0.04%
$219
Includes Typical Broker Commissions trade costs of $5.00
6/27/22 15:28 PEAR PEAR THERAPEUTICS INC. CLASS A SHORT 2,185 1.77 8/4 9:30 1.87 0.03%
Trade id #140877494
Max drawdown($240)
Time6/28/22 0:00
Quant open2,185
Worst price1.88
Drawdown as % of equity-0.03%
($224)
Includes Typical Broker Commissions trade costs of $5.00
6/27/22 15:25 EAR EARGO INC. COMMON STOCK SHORT 7,959 0.90 8/4 9:30 1.19 0.79%
Trade id #140877475
Max drawdown($5,936)
Time8/3/22 0:00
Quant open7,959
Worst price1.65
Drawdown as % of equity-0.79%
($2,284)
Includes Typical Broker Commissions trade costs of $7.50
7/26/22 9:30 FLGC FLORA GROWTH CORP. COMMON STOCK SHORT 13,085 0.64 8/3 9:30 0.69 0.09%
Trade id #141185191
Max drawdown($642)
Time8/3/22 9:30
Quant open13,085
Worst price0.69
Drawdown as % of equity-0.09%
($647)
Includes Typical Broker Commissions trade costs of $5.00
7/19/22 9:30 GRNA GREENLIGHT BIOSCIENCES HOLDINGS PBC SHORT 1,852 2.08 8/3 9:30 2.70 0.16%
Trade id #141102801
Max drawdown($1,222)
Time8/2/22 0:00
Quant open1,852
Worst price2.74
Drawdown as % of equity-0.16%
($1,153)
Includes Typical Broker Commissions trade costs of $5.00
7/27/22 13:25 IRNT IRONNET INC SHORT 3,816 2.02 8/3 9:30 2.34 0.22%
Trade id #141203093
Max drawdown($1,691)
Time8/2/22 0:00
Quant open3,816
Worst price2.46
Drawdown as % of equity-0.22%
($1,222)
Includes Typical Broker Commissions trade costs of $5.00
7/29/22 13:49 ADTH ADTHEORENT HC INC. SHORT 2,245 2.57 8/3 9:30 3.25 0.22%
Trade id #141234144
Max drawdown($1,676)
Time8/2/22 0:00
Quant open2,245
Worst price3.32
Drawdown as % of equity-0.22%
($1,524)
Includes Typical Broker Commissions trade costs of $5.00
7/27/22 9:30 U UNITY SOFTWARE INC SHORT 212 34.70 8/2 9:30 38.00 0.13%
Trade id #141197282
Max drawdown($979)
Time8/1/22 0:00
Quant open212
Worst price39.32
Drawdown as % of equity-0.13%
($704)
Includes Typical Broker Commissions trade costs of $4.24
7/13/22 9:30 VRIG POWERSHARES VAR RATE INVSTMT GRADE SHORT 14,041 24.62 8/1 13:32 24.72 0.23%
Trade id #141044890
Max drawdown($1,733)
Time7/29/22 0:00
Quant open14,041
Worst price24.74
Drawdown as % of equity-0.23%
($1,462)
Includes Typical Broker Commissions trade costs of $5.00
4/22/22 11:51 UPH UPHEALTH INC SHORT 24,812 0.76 7/29 9:32 0.65 0.07%
Trade id #140231385
Max drawdown($500)
Time4/25/22 0:00
Quant open13,509
Worst price0.96
Drawdown as % of equity-0.07%
$2,806
Includes Typical Broker Commissions trade costs of $10.00
7/27/22 9:30 COIN COINBASE GLOBAL INC. CLASS A SHORT 103 54.76 7/29 9:30 60.14 0.11%
Trade id #141197302
Max drawdown($843)
Time7/28/22 0:00
Quant open103
Worst price62.95
Drawdown as % of equity-0.11%
($556)
Includes Typical Broker Commissions trade costs of $2.06
5/4/22 9:30 HIPO HIPPO HOLDINGS INC SHORT 6,182 1.76 7/29 9:30 0.85 0.03%
Trade id #140359538
Max drawdown($193)
Time5/4/22 13:58
Quant open6,182
Worst price1.79
Drawdown as % of equity-0.03%
$5,628
Includes Typical Broker Commissions trade costs of $5.00
6/10/22 9:30 HYEM VANECK EMER MKTS HIGH YIELD BOND ETF SHORT 3,894 18.55 7/28 9:30 17.45 0.05%
Trade id #140730951
Max drawdown($411)
Time6/10/22 9:44
Quant open3,894
Worst price18.66
Drawdown as % of equity-0.05%
$4,295
Includes Typical Broker Commissions trade costs of $5.00
7/6/22 9:30 DLTR DOLLAR TREE STORES LONG 146 164.30 7/26 14:34 157.52 0.13%
Trade id #140974528
Max drawdown($995)
Time7/26/22 14:33
Quant open146
Worst price157.48
Drawdown as % of equity-0.13%
($993)
Includes Typical Broker Commissions trade costs of $2.92
6/7/22 9:30 UUP INVESCO DB USD INDEX BULLISH FUND ETF LONG 6,644 27.48 7/26 9:30 28.45 0.08%
Trade id #140695876
Max drawdown($604)
Time6/7/22 14:37
Quant open4,429
Worst price27.32
Drawdown as % of equity-0.08%
$6,474
Includes Typical Broker Commissions trade costs of $12.50

Statistics

  • Strategy began
    7/7/2013
  • Suggested Minimum Cap
    $5,000
  • Strategy Age (days)
    3325.61
  • Age
    111 months ago
  • What it trades
    Stocks
  • # Trades
    2770
  • # Profitable
    990
  • % Profitable
    35.70%
  • Avg trade duration
    17.9 days
  • Max peak-to-valley drawdown
    29.38%
  • drawdown period
    Sept 08, 2014 - March 26, 2015
  • Annual Return (Compounded)
    24.5%
  • Avg win
    $2,635
  • Avg loss
    $1,124
  • Model Account Values (Raw)
  • Cash
    $582,755
  • Margin Used
    $191,447
  • Buying Power
    $401,914
  • Ratios
  • W:L ratio
    1.40:1
  • Sharpe Ratio
    0.83
  • Sortino Ratio
    1.22
  • Calmar Ratio
    1.176
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    475.78%
  • Correlation to SP500
    0.06210
  • Return Percent SP500 (cumu) during strategy life
    162.28%
  • Return Statistics
  • Ann Return (w trading costs)
    24.5%
  • Slump
  • Current Slump as Pcnt Equity
    13.80%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.01%
  • Instruments
  • Short Options - Percent Covered
    n/a
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.245%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    25.3%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    53.00%
  • Chance of 20% account loss
    34.50%
  • Chance of 30% account loss
    15.00%
  • Chance of 40% account loss
    5.00%
  • Chance of 60% account loss (Monte Carlo)
    n/a
  • Chance of 70% account loss (Monte Carlo)
    n/a
  • Chance of 80% account loss (Monte Carlo)
    n/a
  • Chance of 90% account loss (Monte Carlo)
    n/a
  • Chance of 100% account loss (Monte Carlo)
    100.00%
  • Automation
  • Percentage Signals Automated
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    928
  • Popularity (Last 6 weeks)
    966
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Popularity
  • C2 Score
    285
  • Popularity (7 days, Percentile 1000 scale)
    920
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $1,125
  • Avg Win
    $2,635
  • Sum Trade PL (losers)
    $2,001,760.000
  • Age
  • Num Months filled monthly returns table
    110
  • Win / Loss
  • Sum Trade PL (winners)
    $2,608,840.000
  • # Winners
    990
  • Num Months Winners
    64
  • Dividends
  • Dividends Received in Model Acct
    74443
  • AUM
  • AUM (AutoTrader live capital)
    552981
  • Win / Loss
  • # Losers
    1779
  • % Winners
    35.8%
  • Frequency
  • Avg Position Time (mins)
    34759.50
  • Avg Position Time (hrs)
    579.32
  • Avg Trade Length
    24.1 days
  • Last Trade Ago
    3
  • Leverage
  • Daily leverage (average)
    1.70
  • Daily leverage (max)
    13.66
  • Regression
  • Alpha
    0.06
  • Beta
    0.08
  • Treynor Index
    0.77
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.00
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    28.36
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    21.72
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -0.55
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.00
  • Avg(MAE) / Avg(PL) - All trades
    7.842
  • 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
    0.211
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.274
  • Hold-and-Hope Ratio
    0.128
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.22609
  • SD
    0.20686
  • Sharpe ratio (Glass type estimate)
    1.09296
  • Sharpe ratio (Hedges UMVUE)
    1.08521
  • df
    106.00000
  • t
    3.26366
  • p
    0.34891
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.41791
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.76312
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.41278
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.75763
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.37043
  • Upside Potential Ratio
    3.97265
  • Upside part of mean
    0.37890
  • Downside part of mean
    -0.15282
  • Upside SD
    0.19378
  • Downside SD
    0.09538
  • N nonnegative terms
    64.00000
  • N negative terms
    43.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    107.00000
  • Mean of predictor
    0.08717
  • Mean of criterion
    0.22609
  • SD of predictor
    0.14645
  • SD of criterion
    0.20686
  • Covariance
    0.00324
  • r
    0.10679
  • b (slope, estimate of beta)
    0.15084
  • a (intercept, estimate of alpha)
    0.21294
  • Mean Square Error
    0.04270
  • DF error
    105.00000
  • t(b)
    1.10059
  • p(b)
    0.43214
  • t(a)
    3.03205
  • p(a)
    0.32182
  • Lowerbound of 95% confidence interval for beta
    -0.12091
  • Upperbound of 95% confidence interval for beta
    0.42259
  • Lowerbound of 95% confidence interval for alpha
    0.07369
  • Upperbound of 95% confidence interval for alpha
    0.35219
  • Treynor index (mean / b)
    1.49884
  • Jensen alpha (a)
    0.21294
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.20361
  • SD
    0.19922
  • Sharpe ratio (Glass type estimate)
    1.02199
  • Sharpe ratio (Hedges UMVUE)
    1.01475
  • df
    106.00000
  • t
    3.05176
  • p
    0.35790
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.34910
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.69030
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.34432
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.68518
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.04655
  • Upside Potential Ratio
    3.62729
  • Upside part of mean
    0.36087
  • Downside part of mean
    -0.15726
  • Upside SD
    0.18132
  • Downside SD
    0.09949
  • N nonnegative terms
    64.00000
  • N negative terms
    43.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    107.00000
  • Mean of predictor
    0.07605
  • Mean of criterion
    0.20361
  • SD of predictor
    0.14699
  • SD of criterion
    0.19922
  • Covariance
    0.00330
  • r
    0.11258
  • b (slope, estimate of beta)
    0.15259
  • a (intercept, estimate of alpha)
    0.19200
  • Mean Square Error
    0.03956
  • DF error
    105.00000
  • t(b)
    1.16100
  • p(b)
    0.42848
  • t(a)
    2.85061
  • p(a)
    0.33144
  • Lowerbound of 95% confidence interval for beta
    -0.10801
  • Upperbound of 95% confidence interval for beta
    0.41320
  • Lowerbound of 95% confidence interval for alpha
    0.05845
  • Upperbound of 95% confidence interval for alpha
    0.32555
  • Treynor index (mean / b)
    1.33431
  • Jensen alpha (a)
    0.19200
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.07469
  • Expected Shortfall on VaR
    0.09646
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02526
  • Expected Shortfall on VaR
    0.05245
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    107.00000
  • Minimum
    0.86117
  • Quartile 1
    0.98823
  • Median
    1.01421
  • Quartile 3
    1.04653
  • Maximum
    1.23937
  • Mean of quarter 1
    0.95625
  • Mean of quarter 2
    1.00018
  • Mean of quarter 3
    1.03028
  • Mean of quarter 4
    1.09830
  • Inter Quartile Range
    0.05830
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.00935
  • Mean of outliers low
    0.86117
  • Number of outliers high
    5.00000
  • Percentage of outliers high
    0.04673
  • Mean of outliers high
    1.18469
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.40145
  • VaR(95%) (moments method)
    0.03464
  • Expected Shortfall (moments method)
    0.04196
  • Extreme Value Index (regression method)
    -0.22026
  • VaR(95%) (regression method)
    0.04657
  • Expected Shortfall (regression method)
    0.06125
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    16.00000
  • Minimum
    0.00618
  • Quartile 1
    0.02264
  • Median
    0.04447
  • Quartile 3
    0.08210
  • Maximum
    0.19334
  • Mean of quarter 1
    0.01043
  • Mean of quarter 2
    0.03220
  • Mean of quarter 3
    0.06393
  • Mean of quarter 4
    0.12757
  • Inter Quartile Range
    0.05945
  • 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
    0.06250
  • Mean of outliers high
    0.19334
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -0.07817
  • VaR(95%) (moments method)
    0.13906
  • Expected Shortfall (moments method)
    0.16921
  • Extreme Value Index (regression method)
    0.75758
  • VaR(95%) (regression method)
    0.15233
  • Expected Shortfall (regression method)
    0.41717
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.77158
  • Compounded annual return (geometric extrapolation)
    0.26050
  • Calmar ratio (compounded annual return / max draw down)
    1.34738
  • Compounded annual return / average of 25% largest draw downs
    2.04212
  • Compounded annual return / Expected Shortfall lognormal
    2.70064
  • 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
    0.22189
  • SD
    0.19856
  • Sharpe ratio (Glass type estimate)
    1.11750
  • Sharpe ratio (Hedges UMVUE)
    1.11715
  • df
    2341.00000
  • t
    3.34112
  • p
    0.00042
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.46107
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.77373
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.46082
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.77347
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.62606
  • Upside Potential Ratio
    8.48625
  • Upside part of mean
    1.15801
  • Downside part of mean
    -0.93612
  • Upside SD
    0.14483
  • Downside SD
    0.13646
  • N nonnegative terms
    1313.00000
  • N negative terms
    1029.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    2342.00000
  • Mean of predictor
    0.09495
  • Mean of criterion
    0.22189
  • SD of predictor
    0.17591
  • SD of criterion
    0.19856
  • Covariance
    0.00218
  • r
    0.06241
  • b (slope, estimate of beta)
    0.07044
  • a (intercept, estimate of alpha)
    0.21500
  • Mean Square Error
    0.03929
  • DF error
    2340.00000
  • t(b)
    3.02477
  • p(b)
    0.00126
  • t(a)
    3.24424
  • p(a)
    0.00060
  • Lowerbound of 95% confidence interval for beta
    0.02477
  • Upperbound of 95% confidence interval for beta
    0.11611
  • Lowerbound of 95% confidence interval for alpha
    0.08512
  • Upperbound of 95% confidence interval for alpha
    0.34528
  • Treynor index (mean / b)
    3.14987
  • Jensen alpha (a)
    0.21520
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.20206
  • SD
    0.19874
  • Sharpe ratio (Glass type estimate)
    1.01669
  • Sharpe ratio (Hedges UMVUE)
    1.01637
  • df
    2341.00000
  • t
    3.03971
  • p
    0.00120
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.36039
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.67278
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.36017
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.67256
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.45388
  • Upside Potential Ratio
    8.25753
  • Upside part of mean
    1.14762
  • Downside part of mean
    -0.94556
  • Upside SD
    0.14255
  • Downside SD
    0.13898
  • N nonnegative terms
    1313.00000
  • N negative terms
    1029.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    2342.00000
  • Mean of predictor
    0.07938
  • Mean of criterion
    0.20206
  • SD of predictor
    0.17663
  • SD of criterion
    0.19874
  • Covariance
    0.00220
  • r
    0.06264
  • b (slope, estimate of beta)
    0.07048
  • a (intercept, estimate of alpha)
    0.19646
  • Mean Square Error
    0.03936
  • DF error
    2340.00000
  • t(b)
    3.03616
  • p(b)
    0.00121
  • t(a)
    2.95959
  • p(a)
    0.00156
  • Lowerbound of 95% confidence interval for beta
    0.02496
  • Upperbound of 95% confidence interval for beta
    0.11601
  • Lowerbound of 95% confidence interval for alpha
    0.06629
  • Upperbound of 95% confidence interval for alpha
    0.32664
  • Treynor index (mean / b)
    2.86674
  • Jensen alpha (a)
    0.19646
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01924
  • Expected Shortfall on VaR
    0.02425
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00745
  • Expected Shortfall on VaR
    0.01580
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    2342.00000
  • Minimum
    0.90511
  • Quartile 1
    0.99610
  • Median
    1.00093
  • Quartile 3
    1.00619
  • Maximum
    1.09206
  • Mean of quarter 1
    0.98715
  • Mean of quarter 2
    0.99888
  • Mean of quarter 3
    1.00324
  • Mean of quarter 4
    1.01455
  • Inter Quartile Range
    0.01009
  • Number outliers low
    97.00000
  • Percentage of outliers low
    0.04142
  • Mean of outliers low
    0.96859
  • Number of outliers high
    103.00000
  • Percentage of outliers high
    0.04398
  • Mean of outliers high
    1.03125
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.24379
  • VaR(95%) (moments method)
    0.01138
  • Expected Shortfall (moments method)
    0.01881
  • Extreme Value Index (regression method)
    0.16232
  • VaR(95%) (regression method)
    0.01184
  • Expected Shortfall (regression method)
    0.01852
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    66.00000
  • Minimum
    0.00002
  • Quartile 1
    0.01057
  • Median
    0.03584
  • Quartile 3
    0.07431
  • Maximum
    0.21989
  • Mean of quarter 1
    0.00476
  • Mean of quarter 2
    0.02181
  • Mean of quarter 3
    0.05319
  • Mean of quarter 4
    0.11001
  • Inter Quartile Range
    0.06375
  • 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
    0.01515
  • Mean of outliers high
    0.21989
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -0.03475
  • VaR(95%) (moments method)
    0.11823
  • Expected Shortfall (moments method)
    0.14412
  • Extreme Value Index (regression method)
    0.18564
  • VaR(95%) (regression method)
    0.09885
  • Expected Shortfall (regression method)
    0.11994
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.76204
  • Compounded annual return (geometric extrapolation)
    0.25855
  • Calmar ratio (compounded annual return / max draw down)
    1.17584
  • Compounded annual return / average of 25% largest draw downs
    2.35021
  • Compounded annual return / Expected Shortfall lognormal
    10.66380
  • 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
    0.18505
  • SD
    0.13884
  • Sharpe ratio (Glass type estimate)
    1.33282
  • Sharpe ratio (Hedges UMVUE)
    1.32512
  • df
    130.00000
  • t
    0.94245
  • p
    0.45881
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.44625
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.10682
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.45136
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.10160
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.02530
  • Upside Potential Ratio
    10.53460
  • Upside part of mean
    0.96253
  • Downside part of mean
    -0.77748
  • Upside SD
    0.10446
  • Downside SD
    0.09137
  • 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
    -0.06065
  • Mean of criterion
    0.18505
  • SD of predictor
    0.24928
  • SD of criterion
    0.13884
  • Covariance
    -0.01547
  • r
    -0.44690
  • b (slope, estimate of beta)
    -0.24891
  • a (intercept, estimate of alpha)
    0.16995
  • Mean Square Error
    0.01555
  • DF error
    129.00000
  • t(b)
    -5.67393
  • p(b)
    0.77473
  • t(a)
    0.96373
  • p(a)
    0.44624
  • Lowerbound of 95% confidence interval for beta
    -0.33571
  • Upperbound of 95% confidence interval for beta
    -0.16212
  • Lowerbound of 95% confidence interval for alpha
    -0.17896
  • Upperbound of 95% confidence interval for alpha
    0.51887
  • Treynor index (mean / b)
    -0.74343
  • Jensen alpha (a)
    0.16995
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.17542
  • SD
    0.13870
  • Sharpe ratio (Glass type estimate)
    1.26473
  • Sharpe ratio (Hedges UMVUE)
    1.25742
  • df
    130.00000
  • t
    0.89430
  • p
    0.46090
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.51375
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.03838
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.51859
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.03344
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.90652
  • Upside Potential Ratio
    10.40150
  • Upside part of mean
    0.95703
  • Downside part of mean
    -0.78161
  • Upside SD
    0.10365
  • Downside SD
    0.09201
  • 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
    -0.09159
  • Mean of criterion
    0.17542
  • SD of predictor
    0.24997
  • SD of criterion
    0.13870
  • Covariance
    -0.01547
  • r
    -0.44625
  • b (slope, estimate of beta)
    -0.24760
  • a (intercept, estimate of alpha)
    0.15274
  • Mean Square Error
    0.01553
  • DF error
    129.00000
  • t(b)
    -5.66357
  • p(b)
    0.77436
  • t(a)
    0.86655
  • p(a)
    0.45162
  • VAR (95 Confidence Intrvl)
    0.01900
  • Lowerbound of 95% confidence interval for beta
    -0.33410
  • Upperbound of 95% confidence interval for beta
    -0.16110
  • Lowerbound of 95% confidence interval for alpha
    -0.19600
  • Upperbound of 95% confidence interval for alpha
    0.50148
  • Treynor index (mean / b)
    -0.70847
  • Jensen alpha (a)
    0.15274
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01334
  • Expected Shortfall on VaR
    0.01686
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00672
  • Expected Shortfall on VaR
    0.01269
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.97801
  • Quartile 1
    0.99552
  • Median
    1.00081
  • Quartile 3
    1.00633
  • Maximum
    1.02819
  • Mean of quarter 1
    0.99023
  • Mean of quarter 2
    0.99825
  • Mean of quarter 3
    1.00361
  • Mean of quarter 4
    1.01125
  • Inter Quartile Range
    0.01081
  • Number outliers low
    2.00000
  • Percentage of outliers low
    0.01527
  • Mean of outliers low
    0.97863
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.01527
  • Mean of outliers high
    1.02613
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.07810
  • VaR(95%) (moments method)
    0.00973
  • Expected Shortfall (moments method)
    0.01350
  • Extreme Value Index (regression method)
    0.00117
  • VaR(95%) (regression method)
    0.00929
  • Expected Shortfall (regression method)
    0.01224
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    7.00000
  • Minimum
    0.00414
  • Quartile 1
    0.02046
  • Median
    0.04854
  • Quartile 3
    0.05718
  • Maximum
    0.07988
  • Mean of quarter 1
    0.00777
  • Mean of quarter 2
    0.03903
  • Mean of quarter 3
    0.05087
  • Mean of quarter 4
    0.07169
  • Inter Quartile Range
    0.03672
  • 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
    0.75%
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -458339000
  • Max Equity Drawdown (num days)
    199
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.21402
  • Compounded annual return (geometric extrapolation)
    0.22547
  • Calmar ratio (compounded annual return / max draw down)
    2.82267
  • Compounded annual return / average of 25% largest draw downs
    3.14518
  • Compounded annual return / Expected Shortfall lognormal
    13.37560

Strategy Description

Combines elements of breakout trading, trend following and turtle trading risk management.


What to expect:

Everyday, I run scans that comb through over 10,000 stocks to find just one or two that are ready to move immediately.

The system buys strength, short sells weakness and cuts losses very quickly.

I also use a sophisticated risk management strategy that was developed in the 1980's by William Eckhardt, who taught a group of traders now known as The Turtles.


FAQ:

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, I short sell individual stocks and ETFs of all asset classes.

Do you use leverage?

Rarely, but yes during strongly trending markets I do to a limited extent.

Do you use stops?

No, but positions are sold if they close below a pre-determined level the next day.

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?

This is a long/short system that can buy and short individual stocks, as well as other asset classes, such as bond or commodity ETFs, so it is not dependant on a risking stock market.

Where can I get more information?

Follow me on Twitter, or ask me a question through Twitter: @ChartingTrends

Summary Statistics

Strategy began
2013-07-07
Suggested Minimum Capital
$5,000
# Trades
2770
# Profitable
990
% Profitable
35.7%
Net Dividends
Correlation S&P500
0.062
Sharpe Ratio
0.83
Sortino Ratio
1.22
Beta
0.08
Alpha
0.06
Leverage
1.70 Average
13.66 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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