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GIR Global Leaders
(104478337)

Created by: GlobalInvestingRep GlobalInvestingRep
Started: 07/2016
Stocks
Last trade: Yesterday

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 $49.00 per month.

12.5%
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.

38.8%
Max Drawdown
153
Num Trades
54.2%
Win Trades
1.2 : 1
Profit Factor
52.2%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2016                                          +4.2%+4.0%(10.5%)(7.6%)+37.9%(20.3%)(1.6%)
2017+9.1%+4.7%+10.0%+5.5%+12.3%(4.2%)+18.5%(6.1%)(1%)+16.7%(4.8%)(4.4%)+67.0%
2018+6.4%(18.4%)(8.4%)(10.4%)+6.8%                                          (23.8%)

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.

Trading Record

This strategy has placed 3 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
5/22/18 9:39 AKAM AKAMAI TECHNOLOGIES LONG 158 77.56 5/25 10:07 77.01 0.88%
Trade id #118041153
Max drawdown($295)
Time5/23/18 9:37
Quant open158
Worst price75.69
Drawdown as % of equity-0.88%
($90)
Includes Typical Broker Commissions trade costs of $3.16
5/21/18 10:15 BCC BOISE CASCADE LLC LONG 270 45.85 5/24 10:04 45.75 0.2%
Trade id #118019600
Max drawdown($67)
Time5/24/18 9:52
Quant open270
Worst price45.60
Drawdown as % of equity-0.20%
($32)
Includes Typical Broker Commissions trade costs of $5.40
5/9/18 13:49 CTAS CINTAS LONG 67 178.59 5/22 9:38 182.96 0.05%
Trade id #117861737
Max drawdown($17)
Time5/9/18 14:02
Quant open67
Worst price178.33
Drawdown as % of equity-0.05%
$292
Includes Typical Broker Commissions trade costs of $1.34
5/8/18 10:50 SPLK SPLUNK INC LONG 106 113.07 5/21 10:14 116.80 1.15%
Trade id #117839430
Max drawdown($373)
Time5/15/18 9:31
Quant open106
Worst price109.55
Drawdown as % of equity-1.15%
$393
Includes Typical Broker Commissions trade costs of $2.12
5/9/18 14:07 SPGI S & P GLOBAL INC LONG 61 197.93 5/16 13:52 198.08 0.24%
Trade id #117862062
Max drawdown($78)
Time5/9/18 15:33
Quant open61
Worst price196.64
Drawdown as % of equity-0.24%
$8
Includes Typical Broker Commissions trade costs of $1.22
5/11/18 9:37 TAL TAL EDUCATION GROUP LONG 342 41.88 5/14 10:53 41.03 1.25%
Trade id #117893491
Max drawdown($406)
Time5/11/18 12:37
Quant open342
Worst price40.69
Drawdown as % of equity-1.25%
($298)
Includes Typical Broker Commissions trade costs of $6.84
4/5/18 14:51 HOME AT HOME GROUP INC LONG 395 33.92 5/11 9:36 36.29 1.38%
Trade id #117391337
Max drawdown($434)
Time4/25/18 11:46
Quant open395
Worst price32.82
Drawdown as % of equity-1.38%
$928
Includes Typical Broker Commissions trade costs of $7.90
4/25/18 10:53 DTYS IPATH US TREASURY 10 YR BEAR E LONG 505 24.07 5/3 10:34 23.07 1.6%
Trade id #117658346
Max drawdown($505)
Time5/3/18 10:34
Quant open0
Worst price23.07
Drawdown as % of equity-1.60%
($510)
Includes Typical Broker Commissions trade costs of $5.00
4/16/18 9:38 WING WINGSTOP INC. COMMON STOCK LONG 269 49.89 5/2 15:52 48.28 2.87%
Trade id #117524712
Max drawdown($907)
Time5/1/18 9:31
Quant open269
Worst price46.52
Drawdown as % of equity-2.87%
($438)
Includes Typical Broker Commissions trade costs of $5.38
4/18/18 11:09 FLT FLEETCOR TECHNOLOGIES LONG 63 212.12 4/25 10:19 201.04 2.21%
Trade id #117562325
Max drawdown($701)
Time4/25/18 10:14
Quant open63
Worst price200.98
Drawdown as % of equity-2.21%
($699)
Includes Typical Broker Commissions trade costs of $1.26
4/19/18 9:33 GWW W.W. GRAINGER LONG 44 305.04 4/25 9:48 276.28 4.15%
Trade id #117577302
Max drawdown($1,337)
Time4/24/18 14:07
Quant open44
Worst price274.65
Drawdown as % of equity-4.15%
($1,266)
Includes Typical Broker Commissions trade costs of $0.88
3/20/18 14:48 INXN INTERXION HOLDING LONG 238 63.00 4/2 14:11 60.56 1.74%
Trade id #117142264
Max drawdown($592)
Time4/2/18 14:05
Quant open238
Worst price60.51
Drawdown as % of equity-1.74%
($586)
Includes Typical Broker Commissions trade costs of $4.76
3/8/18 15:48 MSCI MSCI LONG 99 150.19 4/2 14:01 144.61 1.62%
Trade id #116942769
Max drawdown($552)
Time4/2/18 14:01
Quant open0
Worst price144.61
Drawdown as % of equity-1.62%
($554)
Includes Typical Broker Commissions trade costs of $1.98
3/20/18 11:05 AME AMETEK LONG 190 78.82 4/2 14:01 73.59 2.92%
Trade id #117137235
Max drawdown($994)
Time4/2/18 14:01
Quant open0
Worst price73.59
Drawdown as % of equity-2.92%
($998)
Includes Typical Broker Commissions trade costs of $3.80
3/21/18 10:58 FLT FLEETCOR TECHNOLOGIES LONG 71 210.89 3/29 9:38 197.15 3.41%
Trade id #117154878
Max drawdown($1,187)
Time3/28/18 10:48
Quant open71
Worst price194.17
Drawdown as % of equity-3.41%
($977)
Includes Typical Broker Commissions trade costs of $1.42
3/6/18 9:58 AMAT APPLIED MATERIALS LONG 251 59.37 3/23 11:57 56.58 1.95%
Trade id #116882890
Max drawdown($712)
Time3/23/18 11:53
Quant open251
Worst price56.53
Drawdown as % of equity-1.95%
($705)
Includes Typical Broker Commissions trade costs of $5.02
2/15/18 9:41 WAL WESTERN ALLIANCE BANCORP LONG 263 60.76 3/2 9:38 58.38 1.85%
Trade id #116528771
Max drawdown($699)
Time3/1/18 9:31
Quant open263
Worst price58.10
Drawdown as % of equity-1.85%
($631)
Includes Typical Broker Commissions trade costs of $5.26
2/15/18 9:54 MKSI MKS INSTRUMENTS LONG 117 109.25 3/2 9:38 111.25 0.76%
Trade id #116529483
Max drawdown($304)
Time2/15/18 11:00
Quant open117
Worst price106.65
Drawdown as % of equity-0.76%
$232
Includes Typical Broker Commissions trade costs of $2.34
2/26/18 15:05 AMAT APPLIED MATERIALS LONG 273 58.99 3/2 9:38 56.10 2.79%
Trade id #116731129
Max drawdown($1,056)
Time3/2/18 9:31
Quant open273
Worst price55.12
Drawdown as % of equity-2.79%
($794)
Includes Typical Broker Commissions trade costs of $5.46
2/16/18 9:32 ANET ARISTA NETWORKS INC LONG 65 260.82 2/21 10:52 239.25 3.77%
Trade id #116554338
Max drawdown($1,475)
Time2/21/18 10:50
Quant open65
Worst price238.12
Drawdown as % of equity-3.77%
($1,403)
Includes Typical Broker Commissions trade costs of $1.30
1/24/18 10:01 TRHC TABULA RASA HEALTHCARE INC. COMMON STOCK LONG 505 37.32 2/9 13:31 31.09 7.84%
Trade id #116068823
Max drawdown($3,181)
Time2/9/18 13:31
Quant open505
Worst price31.02
Drawdown as % of equity-7.84%
($3,151)
Includes Typical Broker Commissions trade costs of $5.00
12/15/17 14:52 MMSI MERIT MEDICAL SYSTEMS LONG 359 45.25 2/5/18 15:58 43.90 1.3%
Trade id #115380558
Max drawdown($592)
Time1/11/18 9:31
Quant open359
Worst price43.60
Drawdown as % of equity-1.30%
($492)
Includes Typical Broker Commissions trade costs of $7.18
12/18/17 9:30 ATVI ACTIVISION BLIZZARD LONG 239 67.28 2/5/18 15:54 68.00 1.25%
Trade id #115405453
Max drawdown($568)
Time1/9/18 10:51
Quant open239
Worst price64.90
Drawdown as % of equity-1.25%
$167
Includes Typical Broker Commissions trade costs of $4.78
1/24/18 10:40 PXD PIONEER NATURAL RESOURCES LONG 91 188.43 2/5 15:47 171.65 3.85%
Trade id #116070464
Max drawdown($1,647)
Time2/5/18 15:11
Quant open91
Worst price170.33
Drawdown as % of equity-3.85%
($1,529)
Includes Typical Broker Commissions trade costs of $1.82
1/3/18 9:53 DXC DXC TECHNOLOGY CO LONG 191 97.24 2/1 15:53 99.47 0.41%
Trade id #115665744
Max drawdown($177)
Time1/3/18 14:04
Quant open191
Worst price96.31
Drawdown as % of equity-0.41%
$422
Includes Typical Broker Commissions trade costs of $3.82
1/19/18 10:54 OSK OSHKOSH LONG 184 93.06 1/24 10:30 93.64 0.36%
Trade id #115981026
Max drawdown($172)
Time1/22/18 9:57
Quant open184
Worst price92.12
Drawdown as % of equity-0.36%
$103
Includes Typical Broker Commissions trade costs of $3.68
10/26/17 9:44 PRAH PRA HEALTH SCIENCES INC. COMM LONG 206 82.19 1/24/18 9:53 91.62 n/a $1,939
Includes Typical Broker Commissions trade costs of $4.12
1/2/18 15:45 BABA ALIBABA GROUP HOLDING LIMITED LONG 94 183.43 1/19 10:53 182.82 0.85%
Trade id #115653580
Max drawdown($386)
Time1/17/18 10:46
Quant open94
Worst price179.32
Drawdown as % of equity-0.85%
($59)
Includes Typical Broker Commissions trade costs of $1.88
12/15/17 11:26 GGG GRACO LONG 363 44.38 1/2/18 15:59 45.19 n/a $286
Includes Typical Broker Commissions trade costs of $7.26
11/13/17 11:29 BCC BOISE CASCADE LLC LONG 444 35.90 1/2/18 11:38 39.05 n/a $1,390
Includes Typical Broker Commissions trade costs of $8.88

Statistics

  • Strategy began
    7/5/2016
  • Suggested Minimum Cap
    $15,000
  • Strategy Age (days)
    690.06
  • Age
    23 months ago
  • What it trades
    Stocks
  • # Trades
    153
  • # Profitable
    83
  • % Profitable
    54.20%
  • Avg trade duration
    18.7 days
  • Max peak-to-valley drawdown
    38.82%
  • drawdown period
    Oct 23, 2017 - May 03, 2018
  • Annual Return (Compounded)
    12.5%
  • Avg win
    $739.58
  • Avg loss
    $759.97
  • Model Account Values (Raw)
  • Cash
    $771
  • Margin Used
    $0
  • Buying Power
    $2,485
  • Ratios
  • W:L ratio
    1.17:1
  • Sharpe Ratio
    0.558
  • Sortino Ratio
    0.824
  • Calmar Ratio
    0.467
  • CORRELATION STATISTICS
  • Correlation to SP500
    0.30300
  • Return Statistics
  • Ann Return (w trading costs)
    12.5%
  • Ann Return (Compnd, No Fees)
    17.0%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    68.00%
  • Chance of 20% account loss
    33.50%
  • Chance of 30% account loss
    15.00%
  • Chance of 40% account loss
    4.50%
  • Chance of 50% account loss
    1.00%
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    754
  • C2 Score
    28.7
  • 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
    $760
  • Avg Win
    $740
  • # Winners
    83
  • # Losers
    70
  • % Winners
    54.2%
  • Frequency
  • Avg Position Time (mins)
    26903.50
  • Avg Position Time (hrs)
    448.39
  • Avg Trade Length
    18.7 days
  • Last Trade Ago
    1
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.22511
  • SD
    0.48246
  • Sharpe ratio (Glass type estimate)
    0.46660
  • Sharpe ratio (Hedges UMVUE)
    0.44970
  • df
    21.00000
  • t
    0.63177
  • p
    0.41333
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.99316
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.91546
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.00421
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.90360
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.89977
  • Upside Potential Ratio
    3.12871
  • Upside part of mean
    0.78277
  • Downside part of mean
    -0.55766
  • Upside SD
    0.40474
  • Downside SD
    0.25019
  • N nonnegative terms
    11.00000
  • N negative terms
    11.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    22.00000
  • Mean of predictor
    0.12362
  • Mean of criterion
    0.22511
  • SD of predictor
    0.11212
  • SD of criterion
    0.48246
  • Covariance
    0.02195
  • r
    0.40575
  • b (slope, estimate of beta)
    1.74601
  • a (intercept, estimate of alpha)
    0.00926
  • Mean Square Error
    0.20417
  • DF error
    20.00000
  • t(b)
    1.98533
  • p(b)
    0.29713
  • t(a)
    0.02639
  • p(a)
    0.49705
  • Lowerbound of 95% confidence interval for beta
    -0.08850
  • Upperbound of 95% confidence interval for beta
    3.58053
  • Lowerbound of 95% confidence interval for alpha
    -0.72286
  • Upperbound of 95% confidence interval for alpha
    0.74138
  • Treynor index (mean / b)
    0.12893
  • Jensen alpha (a)
    0.00926
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.12069
  • SD
    0.45703
  • Sharpe ratio (Glass type estimate)
    0.26408
  • Sharpe ratio (Hedges UMVUE)
    0.25451
  • df
    21.00000
  • t
    0.35756
  • p
    0.45053
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.18873
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.71069
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.19506
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.70409
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.45316
  • Upside Potential Ratio
    2.66965
  • Upside part of mean
    0.71102
  • Downside part of mean
    -0.59032
  • Upside SD
    0.36009
  • Downside SD
    0.26633
  • N nonnegative terms
    11.00000
  • N negative terms
    11.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    22.00000
  • Mean of predictor
    0.11680
  • Mean of criterion
    0.12069
  • SD of predictor
    0.11159
  • SD of criterion
    0.45703
  • Covariance
    0.02117
  • r
    0.41512
  • b (slope, estimate of beta)
    1.70014
  • a (intercept, estimate of alpha)
    -0.07788
  • Mean Square Error
    0.18153
  • DF error
    20.00000
  • t(b)
    2.04059
  • p(b)
    0.29244
  • t(a)
    -0.23645
  • p(a)
    0.52640
  • Lowerbound of 95% confidence interval for beta
    -0.03781
  • Upperbound of 95% confidence interval for beta
    3.43809
  • Lowerbound of 95% confidence interval for alpha
    -0.76494
  • Upperbound of 95% confidence interval for alpha
    0.60918
  • Treynor index (mean / b)
    0.07099
  • Jensen alpha (a)
    -0.07788
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.18694
  • Expected Shortfall on VaR
    0.22965
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.10862
  • Expected Shortfall on VaR
    0.17377
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    22.00000
  • Minimum
    0.84469
  • Quartile 1
    0.91712
  • Median
    1.00101
  • Quartile 3
    1.09640
  • Maximum
    1.35565
  • Mean of quarter 1
    0.88086
  • Mean of quarter 2
    0.94361
  • Mean of quarter 3
    1.04752
  • Mean of quarter 4
    1.20385
  • Inter Quartile Range
    0.17928
  • 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 for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -1.22917
  • VaR(95%) (moments method)
    0.13415
  • Expected Shortfall (moments method)
    0.13935
  • Extreme Value Index (regression method)
    -0.83892
  • VaR(95%) (regression method)
    0.13308
  • Expected Shortfall (regression method)
    0.14071
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    5.00000
  • Minimum
    0.09295
  • Quartile 1
    0.13370
  • Median
    0.15531
  • Quartile 3
    0.20744
  • Maximum
    0.31561
  • Mean of quarter 1
    0.11332
  • Mean of quarter 2
    0.15531
  • Mean of quarter 3
    0.20744
  • Mean of quarter 4
    0.31561
  • Inter Quartile Range
    0.07374
  • 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)
    0.17081
  • Compounded annual return (geometric extrapolation)
    0.16021
  • Calmar ratio (compounded annual return / max draw down)
    0.50762
  • Compounded annual return / average of 25% largest draw downs
    0.50762
  • Compounded annual return / Expected Shortfall lognormal
    0.69761
  • 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
    0.17622
  • SD
    0.31536
  • Sharpe ratio (Glass type estimate)
    0.55878
  • Sharpe ratio (Hedges UMVUE)
    0.55792
  • df
    490.00000
  • t
    0.76494
  • p
    0.22234
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.87363
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.99067
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.87423
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.99006
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.82431
  • Upside Potential Ratio
    9.00512
  • Upside part of mean
    1.92509
  • Downside part of mean
    -1.74887
  • Upside SD
    0.23167
  • Downside SD
    0.21378
  • N nonnegative terms
    249.00000
  • N negative terms
    242.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    491.00000
  • Mean of predictor
    0.11896
  • Mean of criterion
    0.17622
  • SD of predictor
    0.10583
  • SD of criterion
    0.31536
  • Covariance
    0.00987
  • r
    0.29579
  • b (slope, estimate of beta)
    0.88140
  • a (intercept, estimate of alpha)
    0.07100
  • Mean Square Error
    0.09094
  • DF error
    489.00000
  • t(b)
    6.84739
  • p(b)
    -0.00000
  • t(a)
    0.32318
  • p(a)
    0.37335
  • Lowerbound of 95% confidence interval for beta
    0.62849
  • Upperbound of 95% confidence interval for beta
    1.13431
  • Lowerbound of 95% confidence interval for alpha
    -0.36250
  • Upperbound of 95% confidence interval for alpha
    0.50523
  • Treynor index (mean / b)
    0.19993
  • Jensen alpha (a)
    0.07136
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.12685
  • SD
    0.31395
  • Sharpe ratio (Glass type estimate)
    0.40404
  • Sharpe ratio (Hedges UMVUE)
    0.40342
  • df
    490.00000
  • t
    0.55311
  • p
    0.29022
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.02810
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.83579
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.02852
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.83536
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.58228
  • Upside Potential Ratio
    8.71692
  • Upside part of mean
    1.89896
  • Downside part of mean
    -1.77211
  • Upside SD
    0.22576
  • Downside SD
    0.21785
  • N nonnegative terms
    249.00000
  • N negative terms
    242.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    491.00000
  • Mean of predictor
    0.11331
  • Mean of criterion
    0.12685
  • SD of predictor
    0.10619
  • SD of criterion
    0.31395
  • Covariance
    0.01002
  • r
    0.30069
  • b (slope, estimate of beta)
    0.88901
  • a (intercept, estimate of alpha)
    0.02611
  • Mean Square Error
    0.08984
  • DF error
    489.00000
  • t(b)
    6.97203
  • p(b)
    -0.00000
  • t(a)
    0.11901
  • p(a)
    0.45266
  • Lowerbound of 95% confidence interval for beta
    0.63847
  • Upperbound of 95% confidence interval for beta
    1.13954
  • Lowerbound of 95% confidence interval for alpha
    -0.40502
  • Upperbound of 95% confidence interval for alpha
    0.45724
  • Treynor index (mean / b)
    0.14269
  • Jensen alpha (a)
    0.02611
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.03093
  • Expected Shortfall on VaR
    0.03873
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01529
  • Expected Shortfall on VaR
    0.02944
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    491.00000
  • Minimum
    0.92493
  • Quartile 1
    0.99143
  • Median
    1.00029
  • Quartile 3
    1.01145
  • Maximum
    1.13885
  • Mean of quarter 1
    0.97768
  • Mean of quarter 2
    0.99589
  • Mean of quarter 3
    1.00618
  • Mean of quarter 4
    1.02341
  • Inter Quartile Range
    0.02002
  • Number outliers low
    15.00000
  • Percentage of outliers low
    0.03055
  • Mean of outliers low
    0.95087
  • Number of outliers high
    8.00000
  • Percentage of outliers high
    0.01629
  • Mean of outliers high
    1.06564
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.10974
  • VaR(95%) (moments method)
    0.02086
  • Expected Shortfall (moments method)
    0.03025
  • Extreme Value Index (regression method)
    -0.01456
  • VaR(95%) (regression method)
    0.02064
  • Expected Shortfall (regression method)
    0.02795
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    22.00000
  • Minimum
    0.00141
  • Quartile 1
    0.00896
  • Median
    0.01807
  • Quartile 3
    0.07282
  • Maximum
    0.35815
  • Mean of quarter 1
    0.00477
  • Mean of quarter 2
    0.01214
  • Mean of quarter 3
    0.04040
  • Mean of quarter 4
    0.20805
  • Inter Quartile Range
    0.06386
  • 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
    0.18182
  • Mean of outliers high
    0.25333
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -7.00723
  • VaR(95%) (moments method)
    0.16783
  • Expected Shortfall (moments method)
    0.16783
  • Extreme Value Index (regression method)
    -0.67880
  • VaR(95%) (regression method)
    0.28087
  • Expected Shortfall (regression method)
    0.32141
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.17953
  • Compounded annual return (geometric extrapolation)
    0.16737
  • Calmar ratio (compounded annual return / max draw down)
    0.46732
  • Compounded annual return / average of 25% largest draw downs
    0.80446
  • Compounded annual return / Expected Shortfall lognormal
    4.32168
  • 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
    -0.73579
  • SD
    0.21914
  • Sharpe ratio (Glass type estimate)
    -3.35756
  • Sharpe ratio (Hedges UMVUE)
    -3.33815
  • df
    130.00000
  • t
    -2.37415
  • p
    0.60193
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -6.15291
  • Upperbound of 95% confidence interval for Sharpe Ratio
    -0.54965
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -6.13950
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.53680
  • Statistics related to Sortino ratio
  • Sortino ratio
    -3.80027
  • Upside Potential Ratio
    5.03406
  • Upside part of mean
    0.97467
  • Downside part of mean
    -1.71046
  • Upside SD
    0.11062
  • Downside SD
    0.19362
  • N nonnegative terms
    53.00000
  • N negative terms
    78.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.07688
  • Mean of criterion
    -0.73579
  • SD of predictor
    0.16010
  • SD of criterion
    0.21914
  • Covariance
    0.01401
  • r
    0.39931
  • b (slope, estimate of beta)
    0.54658
  • a (intercept, estimate of alpha)
    -0.77781
  • Mean Square Error
    0.04068
  • DF error
    129.00000
  • t(b)
    4.94679
  • p(b)
    0.25272
  • t(a)
    -2.72570
  • p(a)
    0.64720
  • Lowerbound of 95% confidence interval for beta
    0.32797
  • Upperbound of 95% confidence interval for beta
    0.76519
  • Lowerbound of 95% confidence interval for alpha
    -1.34241
  • Upperbound of 95% confidence interval for alpha
    -0.21322
  • Treynor index (mean / b)
    -1.34618
  • Jensen alpha (a)
    -0.77781
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.76090
  • SD
    0.22107
  • Sharpe ratio (Glass type estimate)
    -3.44184
  • Sharpe ratio (Hedges UMVUE)
    -3.42195
  • df
    130.00000
  • t
    -2.43375
  • p
    0.60438
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -6.23858
  • Upperbound of 95% confidence interval for Sharpe Ratio
    -0.63229
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -6.22479
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.61911
  • Statistics related to Sortino ratio
  • Sortino ratio
    -3.87012
  • Upside Potential Ratio
    4.92608
  • Upside part of mean
    0.96851
  • Downside part of mean
    -1.72940
  • Upside SD
    0.10980
  • Downside SD
    0.19661
  • N nonnegative terms
    53.00000
  • N negative terms
    78.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.06406
  • Mean of criterion
    -0.76090
  • SD of predictor
    0.16096
  • SD of criterion
    0.22107
  • Covariance
    0.01430
  • r
    0.40188
  • b (slope, estimate of beta)
    0.55198
  • a (intercept, estimate of alpha)
    -0.79626
  • Mean Square Error
    0.04130
  • DF error
    129.00000
  • t(b)
    4.98480
  • p(b)
    0.25122
  • t(a)
    -2.76978
  • p(a)
    0.64941
  • Lowerbound of 95% confidence interval for beta
    0.33289
  • Upperbound of 95% confidence interval for beta
    0.77107
  • Lowerbound of 95% confidence interval for alpha
    -1.36504
  • Upperbound of 95% confidence interval for alpha
    -0.22747
  • Treynor index (mean / b)
    -1.37848
  • Jensen alpha (a)
    -0.79626
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02505
  • Expected Shortfall on VaR
    0.03059
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01680
  • Expected Shortfall on VaR
    0.03012
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.95352
  • Quartile 1
    0.99073
  • Median
    0.99812
  • Quartile 3
    1.00675
  • Maximum
    1.02238
  • Mean of quarter 1
    0.97958
  • Mean of quarter 2
    0.99491
  • Mean of quarter 3
    1.00232
  • Mean of quarter 4
    1.01253
  • Inter Quartile Range
    0.01602
  • Number outliers low
    4.00000
  • Percentage of outliers low
    0.03053
  • Mean of outliers low
    0.95662
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.19497
  • VaR(95%) (moments method)
    0.02108
  • Expected Shortfall (moments method)
    0.03181
  • Extreme Value Index (regression method)
    -0.20056
  • VaR(95%) (regression method)
    0.01963
  • Expected Shortfall (regression method)
    0.02416
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    1.00000
  • Minimum
    0.35395
  • Quartile 1
    0.35395
  • Median
    0.35395
  • Quartile 3
    0.35395
  • Maximum
    0.35395
  • Mean of quarter 1
    0.00000
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.00000
  • Inter Quartile Range
    0.00000
  • 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)
    -0.61368
  • Compounded annual return (geometric extrapolation)
    -0.51953
  • Calmar ratio (compounded annual return / max draw down)
    -1.46779
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    -16.98580

Strategy Description

We Invest in individual stocks exclusively, of leading sectors of the markets utilizing primarily technical analysis, intermarket analysis and sentiment for investment decisions.


Our strategy can be summed up relatively easy.

1. We only invest in individual stocks.

2. We primarily utilize technical analysis to make investment decisions. In finance, technical analysis is a security analysis discipline used for forecasting the direction of prices through the study of past market data, primarily price and volume mostly through the use of charts.

3. We also utilize intermarket analysis in our decision making. Intermarket Analysis is the analysis of more than one related asset class or financial market to determine the strength or weakness of the financial markets or asset classes being considered. Instead of looking at financial markets or asset classes on an individual basis, this type of analysis looks at several strongly correlated markets or asset classes such as stocks, bonds and commodities.

4. We believe in letting our profits run but attempt to avoid large drawdowns. This could be more easily described as "Money Management".

5. We are not hyper traders and our average holding period will usually run about 2-4 weeks.

Our methodology has changed over the last few months and the resulting improvement in performance is reflected in the more recent results. Previously we were more engaged in selecting ETF's (Exchange Traded Funds) and trading more frequently. It is our belief that the change in methodology will result in improved performance and reduced drawdowns.

Since the transformation to trading primarily stocks on 01/01/2017, the maximum drawdown has been 10.7% and 6 out of 7 months (85.7%) from January 2017 through July 2017 have been profitable.

Summary Statistics

Strategy began
2016-07-05
Suggested Minimum Capital
$15,000
# Trades
153
# Profitable
83
% Profitable
54.2%
Net Dividends
Correlation S&P500
0.303
Sharpe Ratio
0.558

Latest Activity

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subscribed on started simulation #SUBSCRIBEDDATE#

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

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

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

About the results you see on this Web site

Past results are not necessarily indicative of future results.

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

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

Material assumptions and methods used when calculating results

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

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

Trading is risky

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

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Suggested Minimum Capital

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.