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The Momentum of Now
(75800796)

Created by: Danny Danny
Started: 08/2012
Stocks
Last trade: 2 days ago

Subscriptions not available

No subscriptions are currently available for this strategy because the strategy manager has capped the maximum number of subscribers.

Subscription terms. Subscriptions to this system cost $50.00 per month.

26.9%
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.

(24.1%)
Max Drawdown
1321
Num Trades
35.5%
Win Trades
1.5 : 1
Profit Factor
56.4%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2012                                                 +3.9%+7.6%+1.0%+1.6%(0.4%)+14.1%
2013+13.8%+0.7%+9.1%(1.6%)+0.1%(5.4%)(2.6%)(2.3%)+22.0%+8.2%+20.9%(0.5%)+75.9%
2014+10.3%(2.2%)(2.2%)(3%)+1.4%(1.2%)(8.4%)+4.2%(0.6%)+2.8%+3.2%+2.5%+5.6%
2015(1.2%)+7.0%+4.6%(5.4%)+20.3%+2.7%+17.4%(4.1%)+3.6%(1.8%)+2.6%+1.8%+54.4%
2016(0.2%)(4.8%)(5.3%)+3.8%(3.9%)+3.4%(0.5%)+0.7%+1.8%+0.5%+9.2%(2.4%)+1.3%
2017(2%)+8.6%+1.0%+5.3%+10.4%(7.2%)+6.9%+6.6%+2.7%+2.6%(3%)(1.3%)+33.1%
2018+9.0%(1.4%)+1.2%(2.6%)+15.5%(2.2%)(5.6%)+7.9%(4.9%)(7.4%)(0.4%)+0.5%+7.4%
2019(1.7%)                                                                  (1.7%)

Model Account Details

A trading strategy on Collective2. Follow it in your broker account, or use a free simulated trading account.

Advanced users may want to use this information to adjust their AutoTrade scaling, or merely to understand the magnitudes of the nearby chart.

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

Trading Record

This strategy has placed 2,099 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
11/13/18 9:30 CADE CADENCE BANCORPORATION SHORT 696 21.68 1/17/19 9:30 18.40 n/a $2,278
Includes Typical Broker Commissions trade costs of $5.00
12/11/18 9:30 RARX RA PHARMACEUTICALS INC. COMMON STOCK LONG 326 17.01 1/15/19 9:30 19.35 0.11%
Trade id #121440448
Max drawdown($580)
Time12/24/18 10:01
Quant open326
Worst price15.23
Drawdown as % of equity-0.11%
$756
Includes Typical Broker Commissions trade costs of $6.52
12/10/18 9:30 SVXY PROSHARES SHORT VIX SHORT-TERM SHORT 264 45.90 1/9/19 9:30 44.78 0.06%
Trade id #121421820
Max drawdown($316)
Time12/12/18 11:18
Quant open-264
Worst price47.10
Drawdown as % of equity-0.06%
$290
Includes Typical Broker Commissions trade costs of $5.28
12/21/18 9:30 SOGO SOGOU INC SHORT 1,433 5.42 1/8/19 9:30 5.78 0.11%
Trade id #121615767
Max drawdown($544)
Time1/7/19 11:50
Quant open-1,433
Worst price5.80
Drawdown as % of equity-0.11%
($521)
Includes Typical Broker Commissions trade costs of $5.00
12/24/18 9:30 IPAR INTER PARFUMS LONG 241 62.98 1/8/19 9:30 62.41 0.12%
Trade id #121641470
Max drawdown($592)
Time12/24/18 11:34
Quant open241
Worst price60.52
Drawdown as % of equity-0.12%
($142)
Includes Typical Broker Commissions trade costs of $4.82
12/17/18 9:30 PBYI PUMA BIOTECHNOLOGY SHORT 326 22.34 1/8/19 9:30 23.91 0.23%
Trade id #121525214
Max drawdown($1,176)
Time12/17/18 16:10
Quant open-326
Worst price25.95
Drawdown as % of equity-0.23%
($519)
Includes Typical Broker Commissions trade costs of $6.52
11/27/18 9:30 CNDT CONDUENT INC SHORT 695 13.20 1/8/19 9:30 11.45 n/a $1,211
Includes Typical Broker Commissions trade costs of $5.00
11/12/18 9:30 CFX COLFAX SHORT 451 27.98 1/8/19 9:30 21.96 n/a $2,706
Includes Typical Broker Commissions trade costs of $9.02
1/2/19 9:30 IQ IQIYI INC. AMERICAN DEPOSITARY SHARES SHORT 472 14.55 1/7 11:18 16.99 0.23%
Trade id #121742903
Max drawdown($1,154)
Time1/7/19 11:18
Quant open0
Worst price16.99
Drawdown as % of equity-0.23%
($1,163)
Includes Typical Broker Commissions trade costs of $9.44
12/20/18 9:30 DESP DESPEGAR.COM CORP SHORT 774 12.97 1/7/19 9:30 13.36 0.06%
Trade id #121591816
Max drawdown($304)
Time1/7/19 9:30
Quant open0
Worst price13.36
Drawdown as % of equity-0.06%
($309)
Includes Typical Broker Commissions trade costs of $5.00
12/6/18 9:30 GIS GENERAL MILLS SHORT 464 40.34 1/7/19 9:30 39.81 0.01%
Trade id #121373689
Max drawdown($37)
Time12/21/18 10:19
Quant open-464
Worst price40.42
Drawdown as % of equity-0.01%
$237
Includes Typical Broker Commissions trade costs of $9.28
11/19/18 9:30 DF DEAN FOODS SHORT 1,337 5.77 1/7/19 9:30 4.42 n/a $1,800
Includes Typical Broker Commissions trade costs of $5.00
12/31/18 9:30 BHF BRIGHTHOUSE FINANCIAL INC. COMMON STOCK SHORT 303 31.26 1/7/19 9:30 32.56 0.11%
Trade id #121719457
Max drawdown($530)
Time1/4/19 13:08
Quant open-303
Worst price33.01
Drawdown as % of equity-0.11%
($400)
Includes Typical Broker Commissions trade costs of $6.06
12/10/18 9:30 OIS OIL STATES INTERNATIONAL SHORT 426 19.73 1/7/19 9:30 16.42 0.02%
Trade id #121421826
Max drawdown($97)
Time12/10/18 9:39
Quant open-426
Worst price19.96
Drawdown as % of equity-0.02%
$1,401
Includes Typical Broker Commissions trade costs of $8.52
10/25/18 9:30 KO COCA-COLA LONG 723 46.65 1/7/19 9:30 47.57 0.14%
Trade id #120535634
Max drawdown($715)
Time12/26/18 10:55
Quant open723
Worst price45.66
Drawdown as % of equity-0.14%
$660
Includes Typical Broker Commissions trade costs of $5.00
12/10/18 9:30 AXL AMERICAN AXLE & MFG HLDGS SHORT 714 11.25 1/7/19 9:30 11.80 0.09%
Trade id #121421813
Max drawdown($449)
Time1/4/19 13:10
Quant open-714
Worst price11.88
Drawdown as % of equity-0.09%
($398)
Includes Typical Broker Commissions trade costs of $5.00
12/14/18 9:30 ITB I SHARES US HOME CONSTRUCTION SHORT 533 30.40 1/7/19 9:30 31.63 0.13%
Trade id #121498765
Max drawdown($656)
Time1/7/19 9:30
Quant open0
Worst price31.63
Drawdown as % of equity-0.13%
($661)
Includes Typical Broker Commissions trade costs of $5.00
11/12/18 9:30 FCG FIRST TRUST NATURAL GAS ETF SHORT 824 20.05 1/7/19 9:30 16.12 n/a $3,233
Includes Typical Broker Commissions trade costs of $5.00
10/25/18 9:30 COMM COMMSCOPE HOLDING COMPANY INC SHORT 623 24.53 1/7/19 9:30 17.46 n/a $4,400
Includes Typical Broker Commissions trade costs of $5.00
12/27/18 9:30 EVTC EVERTEC INC LONG 475 27.63 1/4/19 9:30 27.79 0.07%
Trade id #121675926
Max drawdown($363)
Time12/27/18 10:26
Quant open475
Worst price26.86
Drawdown as % of equity-0.07%
$67
Includes Typical Broker Commissions trade costs of $9.50
12/24/18 9:30 SUM SUMMIT MATERIALS INC SHORT 668 11.59 1/4/19 9:30 12.97 0.18%
Trade id #121641467
Max drawdown($922)
Time1/4/19 9:30
Quant open0
Worst price12.97
Drawdown as % of equity-0.18%
($927)
Includes Typical Broker Commissions trade costs of $5.00
12/6/18 9:30 AIG AMERICAN INTERNATIONAL SHORT 373 39.96 12/28 9:30 39.55 0.01%
Trade id #121373706
Max drawdown($55)
Time12/6/18 9:39
Quant open-373
Worst price40.11
Drawdown as % of equity-0.01%
$146
Includes Typical Broker Commissions trade costs of $7.46
10/25/18 9:30 MCD MCDONALD'S LONG 152 177.68 12/24 12:20 170.79 0.21%
Trade id #120535684
Max drawdown($1,060)
Time12/24/18 5:03
Quant open152
Worst price170.70
Drawdown as % of equity-0.21%
($1,049)
Includes Typical Broker Commissions trade costs of $3.04
12/18/18 9:30 DVMT DELL TECHNOLOGIES INC LONG 253 105.50 12/21 9:30 103.13 0.16%
Trade id #121548697
Max drawdown($809)
Time12/20/18 14:12
Quant open253
Worst price102.30
Drawdown as % of equity-0.16%
($605)
Includes Typical Broker Commissions trade costs of $5.06
11/30/18 9:30 LFVN LIFEVANTAGE CORP LONG 792 13.49 12/20 13:36 12.05 0.23%
Trade id #121270118
Max drawdown($1,140)
Time12/20/18 13:36
Quant open0
Worst price12.05
Drawdown as % of equity-0.23%
($1,145)
Includes Typical Broker Commissions trade costs of $5.00
11/2/18 9:30 FOXA TWENTY-FIRST CENTURY FOX INC. LONG 679 46.80 12/20 9:30 48.28 n/a $997
Includes Typical Broker Commissions trade costs of $5.00
12/7/18 9:30 MDB MONGODB INC. CLASS A COMMON STOCK LONG 85 90.26 12/18 9:30 84.35 0.19%
Trade id #121395953
Max drawdown($946)
Time12/10/18 11:06
Quant open85
Worst price79.13
Drawdown as % of equity-0.19%
($504)
Includes Typical Broker Commissions trade costs of $1.70
12/12/18 9:30 ETSY ETSY INC. COMMON STOCK LONG 165 56.14 12/18 9:30 51.41 0.18%
Trade id #121460976
Max drawdown($915)
Time12/17/18 15:35
Quant open165
Worst price50.59
Drawdown as % of equity-0.18%
($783)
Includes Typical Broker Commissions trade costs of $3.30
11/12/18 9:30 DGAZ VELOCITYSHARES 3X INV NATURAL SHORT 28 173.05 12/18 9:30 87.24 n/a $2,402
Includes Typical Broker Commissions trade costs of $0.56
12/17/18 9:30 XLU UTILITIES SELECT SECTOR SPDR LONG 595 56.93 12/17 15:19 55.14 0.21%
Trade id #121525288
Max drawdown($1,065)
Time12/17/18 15:19
Quant open0
Worst price55.14
Drawdown as % of equity-0.21%
($1,070)
Includes Typical Broker Commissions trade costs of $5.00

Statistics

  • Strategy began
    8/4/2012
  • Suggested Minimum Cap
    $35,000
  • Strategy Age (days)
    2359.16
  • Age
    79 months ago
  • What it trades
    Stocks
  • # Trades
    1321
  • # Profitable
    469
  • % Profitable
    35.50%
  • Avg trade duration
    31.2 days
  • Max peak-to-valley drawdown
    24.06%
  • drawdown period
    Jan 21, 2014 - Aug 04, 2014
  • Annual Return (Compounded)
    26.9%
  • Avg win
    $2,744
  • Avg loss
    $1,093
  • Model Account Values (Raw)
  • Cash
    $180,655
  • Margin Used
    $64,467
  • Buying Power
    $120,030
  • Ratios
  • W:L ratio
    1.48:1
  • Sharpe Ratio
    1.319
  • Sortino Ratio
    1.929
  • Calmar Ratio
    1.454
  • CORRELATION STATISTICS
  • Correlation to SP500
    0.18000
  • Return Statistics
  • Ann Return (w trading costs)
    26.9%
  • Ann Return (Compnd, No Fees)
    28.1%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    51.50%
  • Chance of 20% account loss
    24.50%
  • Chance of 30% account loss
    6.50%
  • Chance of 40% account loss
    1.50%
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    843
  • Popularity (Last 6 weeks)
    979
  • C2 Score
    95.3
  • Trades-Own-System Certification
  • Trades Own System?
    0
  • TOS percent
    n/a
  • Subscription Price
  • Billing Period (days)
    30
  • Trial Days
    0
  • Win / Loss
  • Avg Loss
    $1,094
  • Avg Win
    $2,744
  • # Winners
    469
  • # Losers
    852
  • % Winners
    35.5%
  • Frequency
  • Avg Position Time (mins)
    44886.10
  • Avg Position Time (hrs)
    748.10
  • Avg Trade Length
    31.2 days
  • Last Trade Ago
    3
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.25890
  • SD
    0.24306
  • Sharpe ratio (Glass type estimate)
    1.06516
  • Sharpe ratio (Hedges UMVUE)
    1.05447
  • df
    75.00000
  • t
    2.68059
  • p
    0.00452
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.26459
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.85897
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.25759
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.85135
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.43490
  • Upside Potential Ratio
    4.17946
  • Upside part of mean
    0.44439
  • Downside part of mean
    -0.18550
  • Upside SD
    0.22931
  • Downside SD
    0.10633
  • N nonnegative terms
    45.00000
  • N negative terms
    31.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    76.00000
  • Mean of predictor
    0.06124
  • Mean of criterion
    0.25890
  • SD of predictor
    0.11279
  • SD of criterion
    0.24306
  • Covariance
    0.00358
  • r
    0.13061
  • b (slope, estimate of beta)
    0.28147
  • a (intercept, estimate of alpha)
    0.24166
  • Mean Square Error
    0.05885
  • DF error
    74.00000
  • t(b)
    1.13329
  • p(b)
    0.13037
  • t(a)
    2.47624
  • p(a)
    0.00778
  • Lowerbound of 95% confidence interval for beta
    -0.21341
  • Upperbound of 95% confidence interval for beta
    0.77634
  • Lowerbound of 95% confidence interval for alpha
    0.04720
  • Upperbound of 95% confidence interval for alpha
    0.43612
  • Treynor index (mean / b)
    0.91982
  • Jensen alpha (a)
    0.24166
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.22884
  • SD
    0.23061
  • Sharpe ratio (Glass type estimate)
    0.99231
  • Sharpe ratio (Hedges UMVUE)
    0.98236
  • df
    75.00000
  • t
    2.49727
  • p
    0.00735
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.19437
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.78392
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.18784
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.77688
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.07178
  • Upside Potential Ratio
    3.80104
  • Upside part of mean
    0.41984
  • Downside part of mean
    -0.19100
  • Upside SD
    0.21129
  • Downside SD
    0.11045
  • N nonnegative terms
    45.00000
  • N negative terms
    31.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    76.00000
  • Mean of predictor
    0.05460
  • Mean of criterion
    0.22884
  • SD of predictor
    0.11410
  • SD of criterion
    0.23061
  • Covariance
    0.00348
  • r
    0.13232
  • b (slope, estimate of beta)
    0.26744
  • a (intercept, estimate of alpha)
    0.21423
  • Mean Square Error
    0.05296
  • DF error
    74.00000
  • t(b)
    1.14836
  • p(b)
    0.12726
  • t(a)
    2.32055
  • p(a)
    0.01153
  • Lowerbound of 95% confidence interval for beta
    -0.19660
  • Upperbound of 95% confidence interval for beta
    0.73148
  • Lowerbound of 95% confidence interval for alpha
    0.03028
  • Upperbound of 95% confidence interval for alpha
    0.39819
  • Treynor index (mean / b)
    0.85565
  • Jensen alpha (a)
    0.21423
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.08646
  • Expected Shortfall on VaR
    0.11126
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.03135
  • Expected Shortfall on VaR
    0.06226
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    76.00000
  • Minimum
    0.89129
  • Quartile 1
    0.97882
  • Median
    1.02057
  • Quartile 3
    1.05173
  • Maximum
    1.27878
  • Mean of quarter 1
    0.94844
  • Mean of quarter 2
    0.99773
  • Mean of quarter 3
    1.03642
  • Mean of quarter 4
    1.11302
  • Inter Quartile Range
    0.07291
  • 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
    0.05263
  • Mean of outliers high
    1.22021
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.12571
  • VaR(95%) (moments method)
    0.05042
  • Expected Shortfall (moments method)
    0.07363
  • Extreme Value Index (regression method)
    -0.10840
  • VaR(95%) (regression method)
    0.05640
  • Expected Shortfall (regression method)
    0.07434
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    13.00000
  • Minimum
    0.00377
  • Quartile 1
    0.02099
  • Median
    0.04039
  • Quartile 3
    0.11403
  • Maximum
    0.16901
  • Mean of quarter 1
    0.01292
  • Mean of quarter 2
    0.03641
  • Mean of quarter 3
    0.08995
  • Mean of quarter 4
    0.14743
  • Inter Quartile Range
    0.09304
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -2.37029
  • VaR(95%) (moments method)
    0.15375
  • Expected Shortfall (moments method)
    0.15452
  • Extreme Value Index (regression method)
    -0.33987
  • VaR(95%) (regression method)
    0.15397
  • Expected Shortfall (regression method)
    0.16650
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.64479
  • Compounded annual return (geometric extrapolation)
    0.29271
  • Calmar ratio (compounded annual return / max draw down)
    1.73194
  • Compounded annual return / average of 25% largest draw downs
    1.98549
  • Compounded annual return / Expected Shortfall lognormal
    2.63101
  • 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
    0.23866
  • SD
    0.18087
  • Sharpe ratio (Glass type estimate)
    1.31952
  • Sharpe ratio (Hedges UMVUE)
    1.31893
  • df
    1676.00000
  • t
    3.33836
  • p
    0.45936
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.54335
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.09532
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.54295
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.09492
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.92900
  • Upside Potential Ratio
    9.23129
  • Upside part of mean
    1.14213
  • Downside part of mean
    -0.90347
  • Upside SD
    0.13268
  • Downside SD
    0.12372
  • N nonnegative terms
    936.00000
  • N negative terms
    741.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1677.00000
  • Mean of predictor
    0.08206
  • Mean of criterion
    0.23866
  • SD of predictor
    0.12955
  • SD of criterion
    0.18087
  • Covariance
    0.00399
  • r
    0.17028
  • b (slope, estimate of beta)
    0.23774
  • a (intercept, estimate of alpha)
    0.21900
  • Mean Square Error
    0.03178
  • DF error
    1675.00000
  • t(b)
    7.07228
  • p(b)
    0.39212
  • t(a)
    3.10758
  • p(a)
    0.45185
  • Lowerbound of 95% confidence interval for beta
    0.17181
  • Upperbound of 95% confidence interval for beta
    0.30367
  • Lowerbound of 95% confidence interval for alpha
    0.08083
  • Upperbound of 95% confidence interval for alpha
    0.35747
  • Treynor index (mean / b)
    1.00387
  • Jensen alpha (a)
    0.21915
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.22218
  • SD
    0.18100
  • Sharpe ratio (Glass type estimate)
    1.22753
  • Sharpe ratio (Hedges UMVUE)
    1.22698
  • df
    1676.00000
  • t
    3.10562
  • p
    0.46218
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.45155
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.00317
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.45117
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.00279
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.77237
  • Upside Potential Ratio
    9.04090
  • Upside part of mean
    1.13334
  • Downside part of mean
    -0.91116
  • Upside SD
    0.13120
  • Downside SD
    0.12536
  • N nonnegative terms
    936.00000
  • N negative terms
    741.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1677.00000
  • Mean of predictor
    0.07364
  • Mean of criterion
    0.22218
  • SD of predictor
    0.12971
  • SD of criterion
    0.18100
  • Covariance
    0.00401
  • r
    0.17081
  • b (slope, estimate of beta)
    0.23835
  • a (intercept, estimate of alpha)
    0.20463
  • Mean Square Error
    0.03182
  • DF error
    1675.00000
  • t(b)
    7.09501
  • p(b)
    0.39179
  • t(a)
    2.90028
  • p(a)
    0.45504
  • Lowerbound of 95% confidence interval for beta
    0.17246
  • Upperbound of 95% confidence interval for beta
    0.30424
  • Lowerbound of 95% confidence interval for alpha
    0.06624
  • Upperbound of 95% confidence interval for alpha
    0.34301
  • Treynor index (mean / b)
    0.93215
  • Jensen alpha (a)
    0.20463
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01739
  • Expected Shortfall on VaR
    0.02196
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00727
  • Expected Shortfall on VaR
    0.01503
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    1677.00000
  • Minimum
    0.93891
  • Quartile 1
    0.99621
  • Median
    1.00098
  • Quartile 3
    1.00625
  • Maximum
    1.05556
  • Mean of quarter 1
    0.98770
  • Mean of quarter 2
    0.99884
  • Mean of quarter 3
    1.00337
  • Mean of quarter 4
    1.01418
  • Inter Quartile Range
    0.01003
  • Number outliers low
    74.00000
  • Percentage of outliers low
    0.04413
  • Mean of outliers low
    0.97286
  • Number of outliers high
    67.00000
  • Percentage of outliers high
    0.03995
  • Mean of outliers high
    1.02817
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.23606
  • VaR(95%) (moments method)
    0.01103
  • Expected Shortfall (moments method)
    0.01812
  • Extreme Value Index (regression method)
    0.10169
  • VaR(95%) (regression method)
    0.01146
  • Expected Shortfall (regression method)
    0.01720
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    65.00000
  • Minimum
    0.00007
  • Quartile 1
    0.00341
  • Median
    0.01360
  • Quartile 3
    0.03963
  • Maximum
    0.19548
  • Mean of quarter 1
    0.00176
  • Mean of quarter 2
    0.00842
  • Mean of quarter 3
    0.02456
  • Mean of quarter 4
    0.10969
  • Inter Quartile Range
    0.03622
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    7.00000
  • Percentage of outliers high
    0.10769
  • Mean of outliers high
    0.15557
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -1.17061
  • VaR(95%) (moments method)
    0.09753
  • Expected Shortfall (moments method)
    0.10325
  • Extreme Value Index (regression method)
    -0.84550
  • VaR(95%) (regression method)
    0.08752
  • Expected Shortfall (regression method)
    0.09483
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.61816
  • Compounded annual return (geometric extrapolation)
    0.28414
  • Calmar ratio (compounded annual return / max draw down)
    1.45353
  • Compounded annual return / average of 25% largest draw downs
    2.59041
  • Compounded annual return / Expected Shortfall lognormal
    12.93650
  • 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
    -0.25444
  • SD
    0.10342
  • Sharpe ratio (Glass type estimate)
    -2.46039
  • Sharpe ratio (Hedges UMVUE)
    -2.44617
  • df
    130.00000
  • t
    -1.73976
  • p
    0.57542
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -5.24368
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.33211
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -5.23388
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.34154
  • Statistics related to Sortino ratio
  • Sortino ratio
    -2.77944
  • Upside Potential Ratio
    4.75892
  • Upside part of mean
    0.43566
  • Downside part of mean
    -0.69010
  • Upside SD
    0.04980
  • Downside SD
    0.09155
  • N nonnegative terms
    64.00000
  • N negative terms
    67.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.11599
  • Mean of criterion
    -0.25444
  • SD of predictor
    0.18825
  • SD of criterion
    0.10342
  • Covariance
    -0.00065
  • r
    -0.03317
  • b (slope, estimate of beta)
    -0.01822
  • a (intercept, estimate of alpha)
    -0.25656
  • Mean Square Error
    0.01077
  • DF error
    129.00000
  • t(b)
    -0.37699
  • p(b)
    0.52111
  • t(a)
    -1.74714
  • p(a)
    0.59642
  • Lowerbound of 95% confidence interval for beta
    -0.11387
  • Upperbound of 95% confidence interval for beta
    0.07742
  • Lowerbound of 95% confidence interval for alpha
    -0.54709
  • Upperbound of 95% confidence interval for alpha
    0.03398
  • Treynor index (mean / b)
    13.96190
  • Jensen alpha (a)
    -0.25656
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.25989
  • SD
    0.10397
  • Sharpe ratio (Glass type estimate)
    -2.49975
  • Sharpe ratio (Hedges UMVUE)
    -2.48530
  • df
    130.00000
  • t
    -1.76759
  • p
    0.57660
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -5.28343
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.29328
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -5.27352
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.30292
  • Statistics related to Sortino ratio
  • Sortino ratio
    -2.81491
  • Upside Potential Ratio
    4.70483
  • Upside part of mean
    0.43438
  • Downside part of mean
    -0.69427
  • Upside SD
    0.04960
  • Downside SD
    0.09233
  • N nonnegative terms
    64.00000
  • N negative terms
    67.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.13358
  • Mean of criterion
    -0.25989
  • SD of predictor
    0.18823
  • SD of criterion
    0.10397
  • Covariance
    -0.00064
  • r
    -0.03253
  • b (slope, estimate of beta)
    -0.01797
  • a (intercept, estimate of alpha)
    -0.26229
  • Mean Square Error
    0.01088
  • DF error
    129.00000
  • t(b)
    -0.36963
  • p(b)
    0.52070
  • t(a)
    -1.77626
  • p(a)
    0.59797
  • Lowerbound of 95% confidence interval for beta
    -0.11413
  • Upperbound of 95% confidence interval for beta
    0.07820
  • Lowerbound of 95% confidence interval for alpha
    -0.55444
  • Upperbound of 95% confidence interval for alpha
    0.02987
  • Treynor index (mean / b)
    14.46540
  • Jensen alpha (a)
    -0.26229
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01149
  • Expected Shortfall on VaR
    0.01414
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00613
  • Expected Shortfall on VaR
    0.01224
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.97407
  • Quartile 1
    0.99725
  • Median
    1.00003
  • Quartile 3
    1.00232
  • Maximum
    1.01392
  • Mean of quarter 1
    0.99088
  • Mean of quarter 2
    0.99888
  • Mean of quarter 3
    1.00145
  • Mean of quarter 4
    1.00541
  • Inter Quartile Range
    0.00506
  • Number outliers low
    11.00000
  • Percentage of outliers low
    0.08397
  • Mean of outliers low
    0.98334
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.01527
  • Mean of outliers high
    1.01236
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.37559
  • VaR(95%) (moments method)
    0.00887
  • Expected Shortfall (moments method)
    0.01690
  • Extreme Value Index (regression method)
    0.22239
  • VaR(95%) (regression method)
    0.00897
  • Expected Shortfall (regression method)
    0.01476
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    3.00000
  • Minimum
    0.01506
  • Quartile 1
    0.03778
  • Median
    0.06051
  • Quartile 3
    0.10301
  • Maximum
    0.14550
  • Mean of quarter 1
    0.01506
  • Mean of quarter 2
    0.06051
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.14550
  • Inter Quartile Range
    0.06522
  • 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)
    -0.21903
  • Compounded annual return (geometric extrapolation)
    -0.20704
  • Calmar ratio (compounded annual return / max draw down)
    -1.42293
  • Compounded annual return / average of 25% largest draw downs
    -1.42293
  • Compounded annual return / Expected Shortfall lognormal
    -14.64510

Strategy Description

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


What to expect:

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

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

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

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


Frequently asked questions:

Does this system need to be auto-traded?

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


Do you short stocks?

Yes.


Do you use leverage?

Rarely, but yes during strongly trending markets.


Do you use stops?

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


How has the system performed during backtesting?

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


What will happen during bear markets?

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

Summary Statistics

Strategy began
2012-08-04
Suggested Minimum Capital
$35,000
# Trades
1321
# Profitable
469
% Profitable
35.5%
Net Dividends
Correlation S&P500
0.180
Sharpe Ratio
1.319

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.