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This strategy is no longer supported by its creator.
These are hypothetical performance results that have certain inherent limitations. Learn more

Investing in Winners
(88545978)

Created by: PascalPugatsch PascalPugatsch
Started: 07/2014
Stocks
Last trade: 2,624 days ago
Subscriptions not currently available.

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 $99.00 per month.

C2Star

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

You can read more about C2Star certification requirements here.

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

11.1%
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.

(33.3%)
Max Drawdown
168
Num Trades
44.6%
Win Trades
1.5 : 1
Profit Factor
12.1%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2014                                          (0.2%)(0.8%)(4.2%)+7.2%+10.0%+7.1%+19.8%
2015(1.1%)+5.9%+1.5%(2.7%)+7.2%(1.3%)+9.0%(10.1%)(10.2%)+2.1%+0.4%(4.1%)(5.3%)
2016(11.2%)(2.2%)+5.5%(0.4%)(0.1%)+3.7%+7.4%(0.6%)  -  (6.5%)+6.6%(0.7%)(0.1%)
2017+14.3%  -    -    -    -    -    -    -    -    -    -    -  +14.3%
2018  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2019  -    -    -    -    -    -    -    -    -    -    -  0.0
2020  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2021  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2022  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2023  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2024  -    -    -                                                        0.0

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

Download CSV
Long
Short
Both
Win
Loss
Both
Show More details Show Fewer details
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
10/29/15 9:50 TAL TAL EDUCATION GROUP LONG 125 38.23 1/20/17 10:20 82.92 n/a $5,584
Includes Typical Broker Commissions trade costs of $2.50
11/17/16 9:45 UBNT UBIQUITI NETWORKS LONG 80 55.83 1/18/17 15:50 59.59 n/a $299
Includes Typical Broker Commissions trade costs of $1.60
5/17/16 9:45 BERY BERRY GLOBAL GROUP INC LONG 55 38.54 1/18/17 15:45 51.60 n/a $717
Includes Typical Broker Commissions trade costs of $1.10
12/19/16 9:49 SND SMART SAND INC. COMMON STOCK LONG 300 14.40 1/18/17 15:44 18.83 0.02%
Trade id #108046576
Max drawdown($24)
Time12/19/16 9:58
Quant open300
Worst price14.32
Drawdown as % of equity-0.02%
$1,323
Includes Typical Broker Commissions trade costs of $6.00
3/31/16 10:07 XYL XYLEM LONG 100 40.68 1/18/17 15:42 48.41 n/a $771
Includes Typical Broker Commissions trade costs of $2.00
9/21/16 11:33 AERI AERIE PHARMACEUTICALS INC. CO LONG 120 36.81 1/18/17 15:41 42.35 0.13%
Trade id #105997356
Max drawdown($157)
Time12/23/16 9:43
Quant open120
Worst price35.50
Drawdown as % of equity-0.13%
$663
Includes Typical Broker Commissions trade costs of $2.40
10/6/16 9:53 MB MINDBODY INC CLASS A LONG 220 20.12 1/18/17 15:41 24.60 0.02%
Trade id #106270769
Max drawdown($26)
Time12/20/16 9:31
Quant open220
Worst price20.00
Drawdown as % of equity-0.02%
$982
Includes Typical Broker Commissions trade costs of $4.40
10/7/16 9:49 GDDY GODADDY INC LONG 125 35.02 1/18/17 15:41 34.90 0.08%
Trade id #106299020
Max drawdown($93)
Time12/27/16 9:32
Quant open125
Worst price34.27
Drawdown as % of equity-0.08%
($18)
Includes Typical Broker Commissions trade costs of $2.50
11/22/16 10:16 TWNK HOSTESS BRANDS INC CLASS A COMMON STOCK LONG 330 13.26 1/18/17 15:40 13.97 0.21%
Trade id #107398495
Max drawdown($250)
Time12/20/16 9:35
Quant open330
Worst price12.50
Drawdown as % of equity-0.21%
$227
Includes Typical Broker Commissions trade costs of $6.60
9/21/16 9:36 TSRO TESARO LONG 45 106.01 1/18/17 15:40 149.09 n/a $1,938
Includes Typical Broker Commissions trade costs of $0.90
3/18/16 9:45 TSE TRINSEO PLC LONG 105 38.93 1/18/17 15:40 63.90 n/a $2,620
Includes Typical Broker Commissions trade costs of $2.10
11/9/16 15:42 CC CHEMOURS CO LONG 220 20.46 1/18/17 15:38 24.85 n/a $962
Includes Typical Broker Commissions trade costs of $4.40
10/19/16 11:48 RSPP RSP PERMIAN INC LONG 105 42.20 1/18/17 15:38 42.15 0.02%
Trade id #106540917
Max drawdown($18)
Time1/18/17 15:29
Quant open105
Worst price42.02
Drawdown as % of equity-0.02%
($7)
Includes Typical Broker Commissions trade costs of $2.10
11/21/16 10:20 OLLI OLLIES BARGAIN OUTLET HOLDINGS INC. LONG 140 31.15 1/18/17 15:38 31.20 0.39%
Trade id #107362782
Max drawdown($476)
Time1/6/17 15:57
Quant open140
Worst price27.75
Drawdown as % of equity-0.39%
$4
Includes Typical Broker Commissions trade costs of $2.80
8/10/16 10:32 PE PARSLEY ENERGY INC LONG 135 32.95 1/18/17 15:38 36.41 n/a $463
Includes Typical Broker Commissions trade costs of $2.70
12/28/16 9:46 CETX CEMTREX INC. COMMON STOCK LONG 700 6.30 1/18/17 15:37 6.72 0.27%
Trade id #108219984
Max drawdown($314)
Time12/28/16 9:54
Quant open700
Worst price5.85
Drawdown as % of equity-0.27%
$289
Includes Typical Broker Commissions trade costs of $5.00
11/21/16 10:09 MTSI MACOM TECHNOLOGY SOLUTION LONG 100 45.09 1/18/17 15:37 47.60 n/a $249
Includes Typical Broker Commissions trade costs of $2.00
6/15/16 10:37 MTCH MATCH GROUP LONG 275 15.97 1/18/17 15:37 18.18 n/a $601
Includes Typical Broker Commissions trade costs of $5.50
11/17/16 9:46 FTV FORTIVE CORP LONG 80 54.17 1/18/17 15:37 54.16 0.08%
Trade id #107284651
Max drawdown($94)
Time1/3/17 11:44
Quant open80
Worst price52.99
Drawdown as % of equity-0.08%
($3)
Includes Typical Broker Commissions trade costs of $1.60
3/17/16 9:53 HPE HEWLETT PACKARD ENTERPRISE CO LONG 230 17.13 1/18/17 15:37 22.80 n/a $1,299
Includes Typical Broker Commissions trade costs of $4.60
10/19/16 11:47 APFH ADVANCEPIERRE FOODS HLDGS INC LONG 160 27.60 1/18/17 15:36 27.74 0.12%
Trade id #106540853
Max drawdown($148)
Time1/18/17 9:23
Quant open160
Worst price26.67
Drawdown as % of equity-0.12%
$19
Includes Typical Broker Commissions trade costs of $3.20
9/9/16 9:54 HQY HEALTHEQUITY INC. COMMON STOC LONG 130 34.44 1/18/17 15:36 48.30 n/a $1,799
Includes Typical Broker Commissions trade costs of $2.60
8/30/16 10:04 LNTH LANTHEUS HOLDINGS INC. COMMON STOCK LONG 480 9.24 1/18/17 15:36 9.20 0.49%
Trade id #105519254
Max drawdown($571)
Time12/28/16 15:45
Quant open480
Worst price8.05
Drawdown as % of equity-0.49%
($29)
Includes Typical Broker Commissions trade costs of $9.60
3/30/16 9:43 LBRDK LIBERTY BROADBAND CORP CLASS C LONG 70 58.11 1/18/17 15:36 77.92 n/a $1,386
Includes Typical Broker Commissions trade costs of $1.40
11/15/16 10:00 GWB GREAT WESTERN BANCORP INC LONG 120 37.41 1/18/17 15:36 41.72 n/a $515
Includes Typical Broker Commissions trade costs of $2.40
11/11/16 9:40 CFG CITIZENS FINANCIAL GROUP INC LONG 150 29.36 1/18/17 15:34 34.71 n/a $800
Includes Typical Broker Commissions trade costs of $3.00
11/10/16 9:43 AVXS AVEXIS INC. COMMON STOCK LONG 65 68.34 1/18/17 15:34 52.40 1.26%
Trade id #107085804
Max drawdown($1,495)
Time12/22/16 11:13
Quant open65
Worst price45.34
Drawdown as % of equity-1.26%
($1,037)
Includes Typical Broker Commissions trade costs of $1.30
10/19/16 11:50 AM ANTERO MIDSTREAM CORP LONG 145 30.17 1/18/17 15:32 33.84 0.3%
Trade id #106540995
Max drawdown($350)
Time12/19/16 9:55
Quant open145
Worst price27.75
Drawdown as % of equity-0.30%
$528
Includes Typical Broker Commissions trade costs of $2.90
3/21/16 10:02 GCP GCP APPLIED TECHNOLOGIES INC LONG 200 20.39 12/19 9:48 28.00 n/a $1,518
Includes Typical Broker Commissions trade costs of $4.00
9/8/16 10:11 CDEV CENTENNIAL RESOURCE DEVELOPMENT INC. CLASS A LONG 330 13.62 11/21 10:08 14.49 0.95%
Trade id #105700174
Max drawdown$1,075
Time10/6/16 9:31
Quant open
Worst price13.31
Drawdown as % of equity0.95%
$280
Includes Typical Broker Commissions trade costs of $6.60

Statistics

  • Strategy began
    7/13/2014
  • Suggested Minimum Cap
    $100,000
  • Strategy Age (days)
    3537.65
  • Age
    118 months ago
  • What it trades
    Stocks
  • # Trades
    168
  • # Profitable
    75
  • % Profitable
    44.60%
  • Avg trade duration
    126.4 days
  • Max peak-to-valley drawdown
    33.33%
  • drawdown period
    Aug 05, 2015 - Feb 09, 2016
  • Annual Return (Compounded)
    11.1%
  • Avg win
    $1,248
  • Avg loss
    $673.33
  • Model Account Values (Raw)
  • Cash
    $134,115
  • Margin Used
    $0
  • Buying Power
    $134,115
  • Ratios
  • W:L ratio
    1.54:1
  • Sharpe Ratio
    0.1
  • Sortino Ratio
    0.15
  • Calmar Ratio
    0.262
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    15.44%
  • Correlation to SP500
    0.27590
  • Return Percent SP500 (cumu) during strategy life
    166.75%
  • Return Statistics
  • Ann Return (w trading costs)
    11.1%
  • Slump
  • Current Slump as Pcnt Equity
    12.00%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.89%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.111%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    3.1%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    44.00%
  • Chance of 20% account loss
    14.50%
  • Chance of 30% account loss
    1.00%
  • Chance of 40% account loss
    0.50%
  • Chance of 60% account loss (Monte Carlo)
    n/a
  • Chance of 70% account loss (Monte Carlo)
    n/a
  • Chance of 80% account loss (Monte Carlo)
    n/a
  • Chance of 90% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    552
  • Popularity (Last 6 weeks)
    704
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • Popularity (7 days, Percentile 1000 scale)
    603
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $673
  • Avg Win
    $1,249
  • Sum Trade PL (losers)
    $62,620.000
  • Age
  • Num Months filled monthly returns table
    117
  • Win / Loss
  • Sum Trade PL (winners)
    $93,664.000
  • # Winners
    75
  • Num Months Winners
    15
  • Dividends
  • Dividends Received in Model Acct
    3066
  • Win / Loss
  • # Losers
    93
  • % Winners
    44.6%
  • Frequency
  • Avg Position Time (mins)
    182004.00
  • Avg Position Time (hrs)
    3033.40
  • Avg Trade Length
    126.4 days
  • Last Trade Ago
    2616
  • Regression
  • Alpha
    -0.00
  • Beta
    0.18
  • Treynor Index
    0.02
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.00
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    91.02
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    96.81
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -4.48
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.00
  • Avg(MAE) / Avg(PL) - All trades
    1.345
  • MAE:Equity, losing trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, win trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, 95th Percentile Value for this strat
    0.00
  • Avg(MAE) / Avg(PL) - Winning trades
    0.430
  • Avg(MAE) / Avg(PL) - Losing trades
    -2.113
  • Hold-and-Hope Ratio
    0.744
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.07669
  • SD
    0.21379
  • Sharpe ratio (Glass type estimate)
    0.35869
  • Sharpe ratio (Hedges UMVUE)
    0.34964
  • df
    30.00000
  • t
    0.57652
  • p
    0.28428
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.86701
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.57855
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.87300
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.57228
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.54647
  • Upside Potential Ratio
    2.31596
  • Upside part of mean
    0.32499
  • Downside part of mean
    -0.24831
  • Upside SD
    0.15821
  • Downside SD
    0.14033
  • N nonnegative terms
    19.00000
  • N negative terms
    12.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    31.00000
  • Mean of predictor
    0.04721
  • Mean of criterion
    0.07669
  • SD of predictor
    0.12671
  • SD of criterion
    0.21379
  • Covariance
    0.01683
  • r
    0.62132
  • b (slope, estimate of beta)
    1.04826
  • a (intercept, estimate of alpha)
    0.02720
  • Mean Square Error
    0.02903
  • DF error
    29.00000
  • t(b)
    4.27013
  • p(b)
    0.00010
  • t(a)
    0.25504
  • p(a)
    0.40025
  • Lowerbound of 95% confidence interval for beta
    0.54618
  • Upperbound of 95% confidence interval for beta
    1.55034
  • Lowerbound of 95% confidence interval for alpha
    -0.19090
  • Upperbound of 95% confidence interval for alpha
    0.24529
  • Treynor index (mean / b)
    0.07315
  • Jensen alpha (a)
    0.02720
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.05435
  • SD
    0.21403
  • Sharpe ratio (Glass type estimate)
    0.25392
  • Sharpe ratio (Hedges UMVUE)
    0.24751
  • df
    30.00000
  • t
    0.40811
  • p
    0.34304
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.96928
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.47296
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.97353
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.46855
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.36842
  • Upside Potential Ratio
    2.12163
  • Upside part of mean
    0.31296
  • Downside part of mean
    -0.25862
  • Upside SD
    0.15106
  • Downside SD
    0.14751
  • N nonnegative terms
    19.00000
  • N negative terms
    12.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    31.00000
  • Mean of predictor
    0.03935
  • Mean of criterion
    0.05435
  • SD of predictor
    0.12658
  • SD of criterion
    0.21403
  • Covariance
    0.01732
  • r
    0.63943
  • b (slope, estimate of beta)
    1.08117
  • a (intercept, estimate of alpha)
    0.01181
  • Mean Square Error
    0.02801
  • DF error
    29.00000
  • t(b)
    4.47869
  • p(b)
    0.00005
  • t(a)
    0.11290
  • p(a)
    0.45544
  • Lowerbound of 95% confidence interval for beta
    0.58745
  • Upperbound of 95% confidence interval for beta
    1.57490
  • Lowerbound of 95% confidence interval for alpha
    -0.20206
  • Upperbound of 95% confidence interval for alpha
    0.22567
  • Treynor index (mean / b)
    0.05027
  • Jensen alpha (a)
    0.01181
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.09253
  • Expected Shortfall on VaR
    0.11543
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.04063
  • Expected Shortfall on VaR
    0.08074
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    31.00000
  • Minimum
    0.87610
  • Quartile 1
    0.96977
  • Median
    1.00960
  • Quartile 3
    1.04008
  • Maximum
    1.12965
  • Mean of quarter 1
    0.93034
  • Mean of quarter 2
    0.99354
  • Mean of quarter 3
    1.02511
  • Mean of quarter 4
    1.08212
  • Inter Quartile Range
    0.07031
  • 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)
    -0.00389
  • VaR(95%) (moments method)
    0.06759
  • Expected Shortfall (moments method)
    0.09147
  • Extreme Value Index (regression method)
    -0.30459
  • VaR(95%) (regression method)
    0.08027
  • Expected Shortfall (regression method)
    0.09833
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    4.00000
  • Minimum
    0.02614
  • Quartile 1
    0.02838
  • Median
    0.04488
  • Quartile 3
    0.12316
  • Maximum
    0.31076
  • Mean of quarter 1
    0.02614
  • Mean of quarter 2
    0.02912
  • Mean of quarter 3
    0.06063
  • Mean of quarter 4
    0.31076
  • Inter Quartile Range
    0.09478
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.25000
  • Mean of outliers high
    0.31076
  • 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)
    0.06994
  • Compounded annual return (geometric extrapolation)
    0.06641
  • Calmar ratio (compounded annual return / max draw down)
    0.21370
  • Compounded annual return / average of 25% largest draw downs
    0.21370
  • Compounded annual return / Expected Shortfall lognormal
    0.57530
  • 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
    0.09949
  • SD
    0.19558
  • Sharpe ratio (Glass type estimate)
    0.50867
  • Sharpe ratio (Hedges UMVUE)
    0.50825
  • df
    904.00000
  • t
    0.82505
  • p
    0.20478
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.70006
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.71716
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.70036
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.71685
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.71204
  • Upside Potential Ratio
    8.21534
  • Upside part of mean
    1.14785
  • Downside part of mean
    -1.04836
  • Upside SD
    0.13681
  • Downside SD
    0.13972
  • N nonnegative terms
    349.00000
  • N negative terms
    556.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    905.00000
  • Mean of predictor
    0.04858
  • Mean of criterion
    0.09949
  • SD of predictor
    0.13499
  • SD of criterion
    0.19558
  • Covariance
    0.01744
  • r
    0.66077
  • b (slope, estimate of beta)
    0.95738
  • a (intercept, estimate of alpha)
    0.02300
  • Mean Square Error
    0.02157
  • DF error
    903.00000
  • t(b)
    26.45400
  • p(b)
    -0.00000
  • t(a)
    0.58488
  • p(a)
    0.27939
  • Lowerbound of 95% confidence interval for beta
    0.88636
  • Upperbound of 95% confidence interval for beta
    1.02841
  • Lowerbound of 95% confidence interval for alpha
    -0.12479
  • Upperbound of 95% confidence interval for alpha
    0.23074
  • Treynor index (mean / b)
    0.10391
  • Jensen alpha (a)
    0.05298
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.08034
  • SD
    0.19582
  • Sharpe ratio (Glass type estimate)
    0.41028
  • Sharpe ratio (Hedges UMVUE)
    0.40994
  • df
    904.00000
  • t
    0.66546
  • p
    0.25296
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.79833
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.61872
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.79859
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.61846
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.56693
  • Upside Potential Ratio
    8.03493
  • Upside part of mean
    1.13861
  • Downside part of mean
    -1.05828
  • Upside SD
    0.13505
  • Downside SD
    0.14171
  • N nonnegative terms
    349.00000
  • N negative terms
    556.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    905.00000
  • Mean of predictor
    0.03947
  • Mean of criterion
    0.08034
  • SD of predictor
    0.13511
  • SD of criterion
    0.19582
  • Covariance
    0.01752
  • r
    0.66208
  • b (slope, estimate of beta)
    0.95953
  • a (intercept, estimate of alpha)
    0.04247
  • Mean Square Error
    0.02156
  • DF error
    903.00000
  • t(b)
    26.54710
  • p(b)
    -0.00000
  • t(a)
    0.46909
  • p(a)
    0.31956
  • Lowerbound of 95% confidence interval for beta
    0.88859
  • Upperbound of 95% confidence interval for beta
    1.03047
  • Lowerbound of 95% confidence interval for alpha
    -0.13522
  • Upperbound of 95% confidence interval for alpha
    0.22016
  • Treynor index (mean / b)
    0.08373
  • Jensen alpha (a)
    0.04247
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01699
  • Expected Shortfall on VaR
    0.02131
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00789
  • Expected Shortfall on VaR
    0.01625
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    905.00000
  • Minimum
    0.94473
  • Quartile 1
    0.99749
  • Median
    1.00000
  • Quartile 3
    1.00460
  • Maximum
    1.07512
  • Mean of quarter 1
    0.98825
  • Mean of quarter 2
    0.99967
  • Mean of quarter 3
    1.00111
  • Mean of quarter 4
    1.01230
  • Inter Quartile Range
    0.00711
  • Number outliers low
    70.00000
  • Percentage of outliers low
    0.07735
  • Mean of outliers low
    0.97732
  • Number of outliers high
    61.00000
  • Percentage of outliers high
    0.06740
  • Mean of outliers high
    1.02238
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.07517
  • VaR(95%) (moments method)
    0.00807
  • Expected Shortfall (moments method)
    0.01204
  • Extreme Value Index (regression method)
    -0.00606
  • VaR(95%) (regression method)
    0.01106
  • Expected Shortfall (regression method)
    0.01631
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    22.00000
  • Minimum
    0.00038
  • Quartile 1
    0.00614
  • Median
    0.01788
  • Quartile 3
    0.05762
  • Maximum
    0.32498
  • Mean of quarter 1
    0.00339
  • Mean of quarter 2
    0.01327
  • Mean of quarter 3
    0.02959
  • Mean of quarter 4
    0.12169
  • Inter Quartile Range
    0.05148
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.04545
  • Mean of outliers high
    0.32498
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.61606
  • VaR(95%) (moments method)
    0.14922
  • Expected Shortfall (moments method)
    0.37776
  • Extreme Value Index (regression method)
    1.83761
  • VaR(95%) (regression method)
    0.15002
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.10192
  • Compounded annual return (geometric extrapolation)
    0.09449
  • Calmar ratio (compounded annual return / max draw down)
    0.29076
  • Compounded annual return / average of 25% largest draw downs
    0.77651
  • Compounded annual return / Expected Shortfall lognormal
    4.43494
  • 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
    0.13644
  • SD
    0.17277
  • Sharpe ratio (Glass type estimate)
    0.78972
  • Sharpe ratio (Hedges UMVUE)
    0.78625
  • df
    171.00000
  • t
    0.55842
  • p
    0.47285
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.98440
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.56174
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.98680
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.55931
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.08667
  • Upside Potential Ratio
    8.56698
  • Upside part of mean
    1.07566
  • Downside part of mean
    -0.93922
  • Upside SD
    0.11818
  • Downside SD
    0.12556
  • N nonnegative terms
    73.00000
  • N negative terms
    99.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    172.00000
  • Mean of predictor
    0.07513
  • Mean of criterion
    0.13644
  • SD of predictor
    0.08907
  • SD of criterion
    0.17277
  • Covariance
    0.01010
  • r
    0.65639
  • b (slope, estimate of beta)
    1.27326
  • a (intercept, estimate of alpha)
    0.04078
  • Mean Square Error
    0.01709
  • DF error
    170.00000
  • t(b)
    11.34410
  • p(b)
    0.17181
  • t(a)
    0.22035
  • p(a)
    0.49155
  • Lowerbound of 95% confidence interval for beta
    1.05170
  • Upperbound of 95% confidence interval for beta
    1.49482
  • Lowerbound of 95% confidence interval for alpha
    -0.32454
  • Upperbound of 95% confidence interval for alpha
    0.40610
  • Treynor index (mean / b)
    0.10716
  • Jensen alpha (a)
    0.04078
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.12152
  • SD
    0.17326
  • Sharpe ratio (Glass type estimate)
    0.70137
  • Sharpe ratio (Hedges UMVUE)
    0.69829
  • df
    171.00000
  • t
    0.49595
  • p
    0.47588
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.07238
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.47323
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.07450
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.47109
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.95620
  • Upside Potential Ratio
    8.40934
  • Upside part of mean
    1.06872
  • Downside part of mean
    -0.94720
  • Upside SD
    0.11720
  • Downside SD
    0.12709
  • N nonnegative terms
    73.00000
  • N negative terms
    99.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    172.00000
  • Mean of predictor
    0.07118
  • Mean of criterion
    0.12152
  • SD of predictor
    0.08907
  • SD of criterion
    0.17326
  • Covariance
    0.01016
  • r
    0.65854
  • b (slope, estimate of beta)
    1.28099
  • a (intercept, estimate of alpha)
    0.03034
  • Mean Square Error
    0.01710
  • DF error
    170.00000
  • t(b)
    11.40960
  • p(b)
    0.17073
  • t(a)
    0.16392
  • p(a)
    0.49372
  • VAR (95 Confidence Intrvl)
    0.01700
  • Lowerbound of 95% confidence interval for beta
    1.05936
  • Upperbound of 95% confidence interval for beta
    1.50262
  • Lowerbound of 95% confidence interval for alpha
    -0.33507
  • Upperbound of 95% confidence interval for alpha
    0.39575
  • Treynor index (mean / b)
    0.09487
  • Jensen alpha (a)
    0.03034
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01490
  • Expected Shortfall on VaR
    0.01873
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00678
  • Expected Shortfall on VaR
    0.01409
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    172.00000
  • Minimum
    0.95728
  • Quartile 1
    0.99815
  • Median
    1.00000
  • Quartile 3
    1.00413
  • Maximum
    1.02723
  • Mean of quarter 1
    0.98940
  • Mean of quarter 2
    0.99974
  • Mean of quarter 3
    1.00122
  • Mean of quarter 4
    1.01134
  • Inter Quartile Range
    0.00598
  • Number outliers low
    18.00000
  • Percentage of outliers low
    0.10465
  • Mean of outliers low
    0.98180
  • Number of outliers high
    12.00000
  • Percentage of outliers high
    0.06977
  • Mean of outliers high
    1.01873
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.12734
  • VaR(95%) (moments method)
    0.00669
  • Expected Shortfall (moments method)
    0.01054
  • Extreme Value Index (regression method)
    0.00446
  • VaR(95%) (regression method)
    0.01095
  • Expected Shortfall (regression method)
    0.01667
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    6.00000
  • Minimum
    0.00002
  • Quartile 1
    0.00511
  • Median
    0.01378
  • Quartile 3
    0.02710
  • Maximum
    0.12608
  • Mean of quarter 1
    0.00229
  • Mean of quarter 2
    0.00676
  • Mean of quarter 3
    0.02081
  • Mean of quarter 4
    0.07764
  • Inter Quartile Range
    0.02199
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.16667
  • Mean of outliers high
    0.12608
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Last 4 Months - Pcnt Negative
    n/a
  • Expected Shortfall (regression method)
    0.00000
  • Max Equity Drawdown (num days)
    188
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.13589
  • Compounded annual return (geometric extrapolation)
    0.14050
  • Calmar ratio (compounded annual return / max draw down)
    1.11443
  • Compounded annual return / average of 25% largest draw downs
    1.80976
  • Compounded annual return / Expected Shortfall lognormal
    7.50076

Strategy Description

Investing in Winners is a long only, trend following stock strategy that is designed to invest in the biggest (performance) winners of each business cycle.

Investing in Winners also implements risk management, portfolio monitoring and exit strategies.

Background: Every business cycle on the stock market has its favorite industries, sectors and companies. Investing in Winners aims at detecting such favorite, winning areas in the stock market. It does so by comparing the stocks to a 'historical winner model', a set of commonalities that most of the biggest winners of all times share.

Full documentation, theory, real portfolio since 2011, backtesting since 1998 & many examples:
For English: http://www.valuestrate.ch/investing-in-winners
For German: http://www.investinginwinners.com

Summary Statistics

Strategy began
2014-07-13
Suggested Minimum Capital
$5,000
# Trades
168
# Profitable
75
% Profitable
44.6%
Net Dividends
Correlation S&P500
0.276
Sharpe Ratio
0.10
Sortino Ratio
0.15
Beta
0.18
Alpha
-0.00

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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