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

GIR Global Leaders
(104478337)

Created by: GlobalInvestingRep GlobalInvestingRep
Started: 07/2016
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 $49.00 per month.

25.9%
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.

26.9%
Max Drawdown
131
Num Trades
57.3%
Win Trades
1.3 : 1
Profit Factor
55.0%
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%(16.4%)                                                            (11%)

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
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
11/27/17 10:28 EXTR EXTREME NETWORKS LONG 1,140 13.98 12/15 9:44 12.06 5.06%
Trade id #115057272
Max drawdown($2,223)
Time12/15/17 9:44
Quant open1,140
Worst price12.03
Drawdown as % of equity-5.06%
($2,194)
Includes Typical Broker Commissions trade costs of $5.00
12/4/17 9:43 BGCP BGC PARTNERS LONG 710 16.90 12/14 9:51 15.20 2.99%
Trade id #115171067
Max drawdown($1,327)
Time12/14/17 9:38
Quant open710
Worst price15.03
Drawdown as % of equity-2.99%
($1,212)
Includes Typical Broker Commissions trade costs of $5.00
12/6/17 11:44 OSIS OSI SYSTEMS SHORT 183 69.92 12/8 14:49 67.04 0.55%
Trade id #115222627
Max drawdown($239)
Time12/6/17 11:57
Quant open-183
Worst price71.23
Drawdown as % of equity-0.55%
$523
Includes Typical Broker Commissions trade costs of $3.66
11/6/17 11:41 HQY HEALTHEQUITY INC. COMMON STOC LONG 306 53.14 12/5 15:58 48.56 4.69%
Trade id #114704792
Max drawdown($2,197)
Time11/8/17 9:31
Quant open306
Worst price45.96
Drawdown as % of equity-4.69%
($1,407)
Includes Typical Broker Commissions trade costs of $6.12
11/3/17 10:06 OLED UNIVERSAL DISPLAY CORPORATION LONG 65 153.00 12/4 10:07 174.50 n/a $1,397
Includes Typical Broker Commissions trade costs of $1.30
11/16/17 9:47 WDC WESTERN DIGITAL LONG 169 90.84 11/30 15:09 78.90 4.52%
Trade id #114891202
Max drawdown($2,022)
Time11/30/17 15:09
Quant open169
Worst price78.87
Drawdown as % of equity-4.52%
($2,021)
Includes Typical Broker Commissions trade costs of $3.38
11/10/17 12:46 MCHP MICROCHIP TECHNOLOGY LONG 178 91.37 11/27 10:27 89.60 0.82%
Trade id #114798135
Max drawdown($372)
Time11/15/17 9:55
Quant open178
Worst price89.28
Drawdown as % of equity-0.82%
($319)
Includes Typical Broker Commissions trade costs of $3.56
11/13/17 9:58 HCC WARRIOR MET COAL INC. LONG 547 28.39 11/16 9:46 28.11 1.94%
Trade id #114825784
Max drawdown($880)
Time11/15/17 10:31
Quant open547
Worst price26.78
Drawdown as % of equity-1.94%
($158)
Includes Typical Broker Commissions trade costs of $5.00
9/27/17 9:35 YY YY LONG 179 82.46 11/13 11:28 89.07 n/a $1,179
Includes Typical Broker Commissions trade costs of $3.58
9/27/17 14:17 ICHR ICHOR HOLDINGS ORDINARY SHARES LONG 604 25.82 11/9 15:58 32.34 0.8%
Trade id #113896657
Max drawdown($308)
Time9/27/17 15:04
Quant open604
Worst price25.31
Drawdown as % of equity-0.80%
$3,932
Includes Typical Broker Commissions trade costs of $8.54
10/4/17 13:16 PPC PILGRIMS PRIDE CORPORATION COM LONG 496 29.98 11/7 15:56 30.42 1.64%
Trade id #114018167
Max drawdown($704)
Time10/10/17 14:20
Quant open496
Worst price28.56
Drawdown as % of equity-1.64%
$208
Includes Typical Broker Commissions trade costs of $9.92
11/2/17 14:20 FB FACEBOOK LONG 91 178.73 11/6 11:40 179.07 0.4%
Trade id #114657392
Max drawdown($183)
Time11/3/17 10:14
Quant open91
Worst price176.71
Drawdown as % of equity-0.40%
$29
Includes Typical Broker Commissions trade costs of $1.82
10/17/17 10:29 FB FACEBOOK LONG 89 175.36 11/1 15:49 182.50 1.22%
Trade id #114317853
Max drawdown($575)
Time10/25/17 11:20
Quant open89
Worst price168.89
Drawdown as % of equity-1.22%
$633
Includes Typical Broker Commissions trade costs of $1.78
8/22/17 15:42 EDU NEW ORIENTAL LONG 194 83.84 10/26 10:20 88.84 1.32%
Trade id #113282280
Max drawdown($485)
Time9/25/17 12:12
Quant open194
Worst price81.34
Drawdown as % of equity-1.32%
$967
Includes Typical Broker Commissions trade costs of $3.88
9/26/17 10:16 OLED UNIVERSAL DISPLAY CORPORATION LONG 116 127.70 10/17 10:29 134.65 0.87%
Trade id #113863958
Max drawdown($324)
Time9/27/17 10:17
Quant open116
Worst price124.90
Drawdown as % of equity-0.87%
$804
Includes Typical Broker Commissions trade costs of $2.32
9/12/17 9:43 LRCX LAM RESEARCH LONG 76 170.16 10/3 9:33 186.25 0.54%
Trade id #113641948
Max drawdown($200)
Time9/26/17 11:15
Quant open76
Worst price167.52
Drawdown as % of equity-0.54%
$1,221
Includes Typical Broker Commissions trade costs of $1.52
9/13/17 10:41 BABA ALIBABA GROUP HOLDING LIMITED LONG 91 178.07 9/27 14:17 171.58 2.77%
Trade id #113661018
Max drawdown($1,026)
Time9/26/17 11:53
Quant open91
Worst price166.79
Drawdown as % of equity-2.77%
($593)
Includes Typical Broker Commissions trade costs of $1.82
9/5/17 10:35 STM STMICROELECTRONICS LONG 911 17.76 9/25 11:52 18.48 0.42%
Trade id #113537873
Max drawdown($172)
Time9/5/17 12:50
Quant open911
Worst price17.57
Drawdown as % of equity-0.42%
$651
Includes Typical Broker Commissions trade costs of $5.00
9/19/17 12:03 NVMI NOVA MEASURING INSTRUMENT LONG 530 26.90 9/25 11:04 24.79 2.82%
Trade id #113746794
Max drawdown($1,139)
Time9/25/17 11:04
Quant open530
Worst price24.75
Drawdown as % of equity-2.82%
($1,123)
Includes Typical Broker Commissions trade costs of $5.00

Statistics

  • Strategy began
    7/5/2016
  • Suggested Minimum Cap
    $35,000
  • Strategy Age (days)
    598.36
  • Age
    20 months ago
  • What it trades
    Stocks
  • # Trades
    131
  • # Profitable
    75
  • % Profitable
    57.30%
  • Avg trade duration
    19.9 days
  • Max peak-to-valley drawdown
    26.9%
  • drawdown period
    Aug 24, 2016 - Nov 03, 2016
  • Annual Return (Compounded)
    25.9%
  • Avg win
    $775.63
  • Avg loss
    $802.21
  • Model Account Values (Raw)
  • Cash
    $24,199
  • Margin Used
    $0
  • Buying Power
    $24,317
  • Ratios
  • W:L ratio
    1.31:1
  • Sharpe Ratio
    0.883
  • Sortino Ratio
    1.334
  • Calmar Ratio
    1.235
  • CORRELATION STATISTICS
  • Correlation to SP500
    0.28600
  • Return Statistics
  • Ann Return (w trading costs)
    25.9%
  • Ann Return (Compnd, No Fees)
    30.5%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    63.50%
  • Chance of 20% account loss
    25.00%
  • Chance of 30% account loss
    10.00%
  • Chance of 40% account loss
    2.50%
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    709
  • C2 Score
    30.2
  • 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
    $802
  • Avg Win
    $776
  • # Winners
    75
  • # Losers
    56
  • % Winners
    57.2%
  • Frequency
  • Avg Position Time (mins)
    28664.20
  • Avg Position Time (hrs)
    477.74
  • Avg Trade Length
    19.9 days
  • Last Trade Ago
    2
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.40725
  • SD
    0.49734
  • Sharpe ratio (Glass type estimate)
    0.81885
  • Sharpe ratio (Hedges UMVUE)
    0.78417
  • df
    18.00000
  • t
    1.03037
  • p
    0.38200
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.77218
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.38799
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.79437
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.36272
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.68416
  • Upside Potential Ratio
    3.74823
  • Upside part of mean
    0.90637
  • Downside part of mean
    -0.49912
  • Upside SD
    0.43552
  • Downside SD
    0.24181
  • N nonnegative terms
    11.00000
  • N negative terms
    8.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    19.00000
  • Mean of predictor
    0.11101
  • Mean of criterion
    0.40725
  • SD of predictor
    0.09715
  • SD of criterion
    0.49734
  • Covariance
    0.02526
  • r
    0.52278
  • b (slope, estimate of beta)
    2.67624
  • a (intercept, estimate of alpha)
    0.11015
  • Mean Square Error
    0.19032
  • DF error
    17.00000
  • t(b)
    2.52852
  • p(b)
    0.18304
  • t(a)
    0.30091
  • p(a)
    0.45370
  • Lowerbound of 95% confidence interval for beta
    0.44317
  • Upperbound of 95% confidence interval for beta
    4.90932
  • Lowerbound of 95% confidence interval for alpha
    -0.66219
  • Upperbound of 95% confidence interval for alpha
    0.88250
  • Treynor index (mean / b)
    0.15217
  • Jensen alpha (a)
    0.11015
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.29350
  • SD
    0.47028
  • Sharpe ratio (Glass type estimate)
    0.62410
  • Sharpe ratio (Hedges UMVUE)
    0.59767
  • df
    18.00000
  • t
    0.78531
  • p
    0.40900
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.95506
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.18639
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.97214
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.16748
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.13762
  • Upside Potential Ratio
    3.19102
  • Upside part of mean
    0.82328
  • Downside part of mean
    -0.52978
  • Upside SD
    0.38748
  • Downside SD
    0.25800
  • N nonnegative terms
    11.00000
  • N negative terms
    8.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    19.00000
  • Mean of predictor
    0.10580
  • Mean of criterion
    0.29350
  • SD of predictor
    0.09728
  • SD of criterion
    0.47028
  • Covariance
    0.02388
  • r
    0.52185
  • b (slope, estimate of beta)
    2.52274
  • a (intercept, estimate of alpha)
    0.02659
  • Mean Square Error
    0.17040
  • DF error
    17.00000
  • t(b)
    2.52236
  • p(b)
    0.18354
  • t(a)
    0.07715
  • p(a)
    0.48809
  • Lowerbound of 95% confidence interval for beta
    0.41261
  • Upperbound of 95% confidence interval for beta
    4.63286
  • Lowerbound of 95% confidence interval for alpha
    -0.70066
  • Upperbound of 95% confidence interval for alpha
    0.75385
  • Treynor index (mean / b)
    0.11634
  • Jensen alpha (a)
    0.02659
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.18032
  • Expected Shortfall on VaR
    0.22456
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.08813
  • Expected Shortfall on VaR
    0.15527
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    19.00000
  • Minimum
    0.84469
  • Quartile 1
    0.91720
  • Median
    1.03573
  • Quartile 3
    1.10973
  • Maximum
    1.35565
  • Mean of quarter 1
    0.88065
  • Mean of quarter 2
    0.97475
  • Mean of quarter 3
    1.07139
  • Mean of quarter 4
    1.22530
  • Inter Quartile Range
    0.19253
  • 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)
    -0.92745
  • VaR(95%) (moments method)
    0.13569
  • Expected Shortfall (moments method)
    0.14478
  • Extreme Value Index (regression method)
    -0.66556
  • VaR(95%) (regression method)
    0.12350
  • Expected Shortfall (regression method)
    0.13194
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    5.00000
  • Minimum
    0.09295
  • Quartile 1
    0.13303
  • Median
    0.13370
  • Quartile 3
    0.15531
  • Maximum
    0.20744
  • Mean of quarter 1
    0.11299
  • Mean of quarter 2
    0.13370
  • Mean of quarter 3
    0.15531
  • Mean of quarter 4
    0.20744
  • Inter Quartile Range
    0.02228
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.20000
  • Mean of outliers low
    0.09295
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.20000
  • Mean of outliers high
    0.20744
  • 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)
    0.41903
  • Compounded annual return (geometric extrapolation)
    0.37907
  • Calmar ratio (compounded annual return / max draw down)
    1.82740
  • Compounded annual return / average of 25% largest draw downs
    1.82740
  • Compounded annual return / Expected Shortfall lognormal
    1.68803
  • 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
    0.28879
  • SD
    0.32649
  • Sharpe ratio (Glass type estimate)
    0.88450
  • Sharpe ratio (Hedges UMVUE)
    0.88294
  • df
    425.00000
  • t
    1.12786
  • p
    0.13001
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.65424
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.42220
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.65527
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.42116
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.33366
  • Upside Potential Ratio
    9.48780
  • Upside part of mean
    2.05444
  • Downside part of mean
    -1.76566
  • Upside SD
    0.24450
  • Downside SD
    0.21654
  • N nonnegative terms
    219.00000
  • N negative terms
    207.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    426.00000
  • Mean of predictor
    0.14518
  • Mean of criterion
    0.28879
  • SD of predictor
    0.09390
  • SD of criterion
    0.32649
  • Covariance
    0.00870
  • r
    0.28386
  • b (slope, estimate of beta)
    0.98695
  • a (intercept, estimate of alpha)
    0.14600
  • Mean Square Error
    0.09824
  • DF error
    424.00000
  • t(b)
    6.09581
  • p(b)
    0.00000
  • t(a)
    0.58925
  • p(a)
    0.27800
  • Lowerbound of 95% confidence interval for beta
    0.66871
  • Upperbound of 95% confidence interval for beta
    1.30519
  • Lowerbound of 95% confidence interval for alpha
    -0.33985
  • Upperbound of 95% confidence interval for alpha
    0.63085
  • Treynor index (mean / b)
    0.29260
  • Jensen alpha (a)
    0.14550
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.23586
  • SD
    0.32475
  • Sharpe ratio (Glass type estimate)
    0.72626
  • Sharpe ratio (Hedges UMVUE)
    0.72498
  • df
    425.00000
  • t
    0.92608
  • p
    0.17747
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.81195
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.26374
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.81286
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.26282
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.06842
  • Upside Potential Ratio
    9.17485
  • Upside part of mean
    2.02538
  • Downside part of mean
    -1.78952
  • Upside SD
    0.23811
  • Downside SD
    0.22075
  • N nonnegative terms
    219.00000
  • N negative terms
    207.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    426.00000
  • Mean of predictor
    0.14070
  • Mean of criterion
    0.23586
  • SD of predictor
    0.09429
  • SD of criterion
    0.32475
  • Covariance
    0.00885
  • r
    0.28894
  • b (slope, estimate of beta)
    0.99514
  • a (intercept, estimate of alpha)
    0.09584
  • Mean Square Error
    0.09689
  • DF error
    424.00000
  • t(b)
    6.21474
  • p(b)
    0.00000
  • t(a)
    0.39095
  • p(a)
    0.34801
  • Lowerbound of 95% confidence interval for beta
    0.68040
  • Upperbound of 95% confidence interval for beta
    1.30988
  • Lowerbound of 95% confidence interval for alpha
    -0.38601
  • Upperbound of 95% confidence interval for alpha
    0.57769
  • Treynor index (mean / b)
    0.23701
  • Jensen alpha (a)
    0.09584
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.03159
  • Expected Shortfall on VaR
    0.03965
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01530
  • Expected Shortfall on VaR
    0.02957
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    426.00000
  • Minimum
    0.92493
  • Quartile 1
    0.99148
  • Median
    1.00082
  • Quartile 3
    1.01285
  • Maximum
    1.13885
  • Mean of quarter 1
    0.97754
  • Mean of quarter 2
    0.99582
  • Mean of quarter 3
    1.00671
  • Mean of quarter 4
    1.02477
  • Inter Quartile Range
    0.02137
  • Number outliers low
    13.00000
  • Percentage of outliers low
    0.03052
  • Mean of outliers low
    0.94998
  • Number of outliers high
    6.00000
  • Percentage of outliers high
    0.01408
  • Mean of outliers high
    1.07301
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.14616
  • VaR(95%) (moments method)
    0.02124
  • Expected Shortfall (moments method)
    0.03164
  • Extreme Value Index (regression method)
    0.08564
  • VaR(95%) (regression method)
    0.01988
  • Expected Shortfall (regression method)
    0.02813
  • 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
    0.24448
  • Mean of quarter 1
    0.00477
  • Mean of quarter 2
    0.01214
  • Mean of quarter 3
    0.04040
  • Mean of quarter 4
    0.18455
  • 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
    0.21807
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -23.06380
  • VaR(95%) (moments method)
    0.15195
  • Expected Shortfall (moments method)
    0.15195
  • Extreme Value Index (regression method)
    -1.85741
  • VaR(95%) (regression method)
    0.22873
  • Expected Shortfall (regression method)
    0.23365
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.32936
  • Compounded annual return (geometric extrapolation)
    0.30182
  • Calmar ratio (compounded annual return / max draw down)
    1.23455
  • Compounded annual return / average of 25% largest draw downs
    1.63547
  • Compounded annual return / Expected Shortfall lognormal
    7.61220
  • 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
    -0.15475
  • SD
    0.30031
  • Sharpe ratio (Glass type estimate)
    -0.51531
  • Sharpe ratio (Hedges UMVUE)
    -0.51233
  • df
    130.00000
  • t
    -0.36438
  • p
    0.51597
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.28686
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.25817
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.28484
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.26017
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.68224
  • Upside Potential Ratio
    7.85627
  • Upside part of mean
    1.78206
  • Downside part of mean
    -1.93681
  • Upside SD
    0.19529
  • Downside SD
    0.22683
  • N nonnegative terms
    56.00000
  • N negative terms
    75.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.20604
  • Mean of criterion
    -0.15475
  • SD of predictor
    0.11670
  • SD of criterion
    0.30031
  • Covariance
    0.00855
  • r
    0.24385
  • b (slope, estimate of beta)
    0.62752
  • a (intercept, estimate of alpha)
    -0.28405
  • Mean Square Error
    0.08548
  • DF error
    129.00000
  • t(b)
    2.85581
  • p(b)
    0.34631
  • t(a)
    -0.68288
  • p(a)
    0.53819
  • Lowerbound of 95% confidence interval for beta
    0.19277
  • Upperbound of 95% confidence interval for beta
    1.06226
  • Lowerbound of 95% confidence interval for alpha
    -1.10702
  • Upperbound of 95% confidence interval for alpha
    0.53892
  • Treynor index (mean / b)
    -0.24661
  • Jensen alpha (a)
    -0.28405
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.19993
  • SD
    0.30226
  • Sharpe ratio (Glass type estimate)
    -0.66146
  • Sharpe ratio (Hedges UMVUE)
    -0.65763
  • df
    130.00000
  • t
    -0.46772
  • p
    0.52049
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.43322
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.11273
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.43059
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.11533
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.86326
  • Upside Potential Ratio
    7.61280
  • Upside part of mean
    1.76312
  • Downside part of mean
    -1.96305
  • Upside SD
    0.19281
  • Downside SD
    0.23160
  • N nonnegative terms
    56.00000
  • N negative terms
    75.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.19911
  • Mean of criterion
    -0.19993
  • SD of predictor
    0.11769
  • SD of criterion
    0.30226
  • Covariance
    0.00876
  • r
    0.24629
  • b (slope, estimate of beta)
    0.63255
  • a (intercept, estimate of alpha)
    -0.32587
  • Mean Square Error
    0.08648
  • DF error
    129.00000
  • t(b)
    2.88627
  • p(b)
    0.34480
  • t(a)
    -0.77928
  • p(a)
    0.54354
  • Lowerbound of 95% confidence interval for beta
    0.19894
  • Upperbound of 95% confidence interval for beta
    1.06615
  • Lowerbound of 95% confidence interval for alpha
    -1.15324
  • Upperbound of 95% confidence interval for alpha
    0.50149
  • Treynor index (mean / b)
    -0.31607
  • Jensen alpha (a)
    -0.32587
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.03099
  • Expected Shortfall on VaR
    0.03850
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01859
  • Expected Shortfall on VaR
    0.03422
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.92493
  • Quartile 1
    0.98993
  • Median
    0.99783
  • Quartile 3
    1.01204
  • Maximum
    1.04284
  • Mean of quarter 1
    0.97681
  • Mean of quarter 2
    0.99424
  • Mean of quarter 3
    1.00500
  • Mean of quarter 4
    1.02218
  • Inter Quartile Range
    0.02212
  • Number outliers low
    5.00000
  • Percentage of outliers low
    0.03817
  • Mean of outliers low
    0.94899
  • 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)
    0.27762
  • VaR(95%) (moments method)
    0.02431
  • Expected Shortfall (moments method)
    0.03961
  • Extreme Value Index (regression method)
    0.09308
  • VaR(95%) (regression method)
    0.02034
  • Expected Shortfall (regression method)
    0.02787
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    6.00000
  • Minimum
    0.00141
  • Quartile 1
    0.01172
  • Median
    0.05211
  • Quartile 3
    0.14424
  • Maximum
    0.21710
  • Mean of quarter 1
    0.00627
  • Mean of quarter 2
    0.01352
  • Mean of quarter 3
    0.09069
  • Mean of quarter 4
    0.18959
  • Inter Quartile Range
    0.13252
  • 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)
    -0.16483
  • Compounded annual return (geometric extrapolation)
    -0.15804
  • Calmar ratio (compounded annual return / max draw down)
    -0.72795
  • Compounded annual return / average of 25% largest draw downs
    -0.83357
  • Compounded annual return / Expected Shortfall lognormal
    -4.10529

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
$35,000
# Trades
131
# Profitable
75
% Profitable
57.3%
Net Dividends
Correlation S&P500
0.286
Sharpe Ratio
0.883

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.