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Dividend Blaster - Aggressive
(74720829)

Created by: ChrisMay ChrisMay
Started: 06/2012
Stocks
Last trade: 4,611 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 $18.00 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.

11.8%
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.

(18.3%)
Max Drawdown
34
Num Trades
85.3%
Win Trades
41.8 : 1
Profit Factor
58.0%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2012                                   +1.1%+0.9%+1.6%+0.7%+0.2%(0.9%)(1%)+2.6%
2013+5.1%+0.7%+6.0%+4.6%(3.1%)(2.3%)+2.9%(2.2%)+2.1%+4.2%(2.4%)+0.9%+17.3%
2014(1.7%)+2.9%(1.3%)+5.2%+1.5%+3.5%(2.3%)+4.4%(2.1%)+4.4%+1.0%+0.4%+16.7%
2015(0.2%)(0.8%)(2.3%)+3.3%(0.5%)(2.2%)+1.0%(3.9%)(2.4%)+5.3%(1.8%)(1.3%)(5.9%)
2016(2.7%)+0.9%+4.6%+1.4%(0.6%)+5.0%+1.5%(1.1%)+0.9%(4.2%)(2.1%)+2.9%+6.3%
2017+1.7%+2.2%+1.0%+0.4%+1.4%+1.5%(0.9%)(0.4%)+1.0%+0.9%+0.6%(0.2%)+9.6%
2018(0.7%)(3.6%)(1.2%)+2.0%(1.4%)+1.6%+2.4%+1.9%+0.5%(0.2%)+2.7%+3.5%+7.3%
2019+2.7%+4.0%+1.6%(1.5%)(1.1%)+0.7%(0.4%)(1.2%)+2.1%+1.2%(0.5%)+3.7%+11.7%
2020+2.0%(3.1%)(8.3%)+6.4%(3.9%)+1.9%+1.5%(0.9%)(0.5%)(3.2%)+5.3%+1.0%(2.6%)
2021+4.9%(0.9%)+5.2%+2.3%+2.1%+3.0%+1.5%+2.5%(4.8%)+3.9%+0.6%+3.8%+26.5%
2022(3.7%)+0.8%+6.1%  -  +4.4%(1.5%)(0.5%)(0.6%)(2.6%)+5.1%+4.3%(0.4%)+11.6%
2023(1.7%)(2.6%)+0.7%+4.3%+3.5%+2.3%(1.8%)+9.1%+0.5%(0.4%)+4.4%(1%)+18.0%
2024+4.6%+9.1%+1.3%(3%)+5.7%+5.5%(5.1%)+10.9%(2%)(3.3%)(5.5%)+2.3%+20.7%
2025(0.7%)+10.8%(4.2%)(1.6%)(5.1%)+5.3%+1.0%(4.1%)+1.4%+5.2%+15.2%(0.2%)+23.2%
2026(1.4%)+0.1%(5.3%)(0.4%)+9.1%+5.7%                                    +7.4%

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 120 hours.

Trading Record

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Long
Short
Both
Win
Loss
Both
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Opened Date/TimeSymbolDescriptionSideQuantAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
4/19/13 9:30 DRI DARDEN RESTAURANTS LONG 20 49.08 10/28 9:31 51.79 0.58%
Trade id #80358184
Max drawdown($73)
Time10/3/13 12:17
Quant open20
Worst price45.43
Drawdown as % of equity-0.58%
 $54
Includes Typical Broker Commissions trade costs of $0.40
4/19/13 9:31 TOT LION SHARES US EQUITY TOTAL RETURN ETF LONG 21 46.54 10/28 9:30 61.25 0.03%
Trade id #80358270
Max drawdown($4)
Time4/22/13 10:32
Quant open21
Worst price46.34
Drawdown as % of equity-0.03%
 $309
Includes Typical Broker Commissions trade costs of $0.42
4/19/13 9:31 SO SOUTHERN LONG 21 47.99 10/28 9:30 42.42 1.27%
Trade id #80358231
Max drawdown($160)
Time10/7/13 9:49
Quant open21
Worst price40.36
Drawdown as % of equity-1.27%
 ($117)
Includes Typical Broker Commissions trade costs of $0.42
6/21/12 9:30 COP CONOCOPHILLIPS LONG 18 54.33 10/28/13 9:30 73.91 0.07%
Trade id #74727642
Max drawdown($6)
Time11/16/12 11:33
Quant open18
Worst price53.95
Drawdown as % of equity-0.07%
 $353
Includes Typical Broker Commissions trade costs of $0.36
4/19/13 9:30 BHP BHP GROUP LTD LONG 15 64.58 10/28 9:30 71.83 0%
Trade id #80358181
Max drawdown($0)
Time9/5/13 15:53
Quant open15
Worst price64.56
Drawdown as % of equity-0.00%
 $109
Includes Typical Broker Commissions trade costs of $0.30
4/19/13 9:30 NGG NATIONAL GRID LONG 16 60.67 10/28 9:30 63.23 0.23%
Trade id #80358168
Max drawdown($29)
Time9/30/13 11:20
Quant open16
Worst price58.84
Drawdown as % of equity-0.23%
 $41
Includes Typical Broker Commissions trade costs of $0.32
12/3/12 9:31 PEG PUBLIC SERVICE ENTERPRISE LONG 33 30.09 4/19/13 9:32 35.50 0.08%
Trade id #77947175
Max drawdown($8)
Time1/22/13 9:31
Quant open33
Worst price29.83
Drawdown as % of equity-0.08%
 $178
Includes Typical Broker Commissions trade costs of $0.66
6/21/12 9:30 EXC EXELON LONG 29 37.22 4/19/13 9:32 36.53 0.93%
Trade id #74727624
Max drawdown($109)
Time3/25/13 15:52
Quant open29
Worst price33.44
Drawdown as % of equity-0.93%
 ($21)
Includes Typical Broker Commissions trade costs of $0.58
6/21/12 9:30 BPL BUCKEYE PARTNERS LP LONG 19 51.00 4/19/13 9:31 60.78 0.22%
Trade id #74727699
Max drawdown($23)
Time1/9/13 9:36
Quant open19
Worst price49.74
Drawdown as % of equity-0.22%
 $186
Includes Typical Broker Commissions trade costs of $0.38
8/28/12 9:30 WGL WGL HOLDINGS LONG 25 39.95 4/19/13 9:31 44.02 0.16%
Trade id #76281224
Max drawdown($17)
Time1/17/13 9:44
Quant open25
Worst price39.25
Drawdown as % of equity-0.16%
 $102
Includes Typical Broker Commissions trade costs of $0.50
12/3/12 9:30 GSK GSK INC LONG 46 43.00 4/19/13 9:30 46.77 n/a $173
Includes Typical Broker Commissions trade costs of $0.92
8/28/12 10:01 PPL PPL LONG 34 29.20 4/19/13 9:30 32.16 0.13%
Trade id #76282588
Max drawdown($14)
Time1/17/13 9:33
Quant open34
Worst price28.77
Drawdown as % of equity-0.13%
 $100
Includes Typical Broker Commissions trade costs of $0.68
8/13/12 9:30 BMY BRISTOL-MYERS SQUIBB LONG 27 31.67 4/19/13 9:30 40.71 0.24%
Trade id #75964311
Max drawdown($24)
Time11/16/12 9:31
Quant open27
Worst price30.75
Drawdown as % of equity-0.24%
 $243
Includes Typical Broker Commissions trade costs of $0.54
6/21/12 9:30 K KELLOGG LONG 40 49.69 12/3 9:31 52.24 0.32%
Trade id #74727599
Max drawdown($32)
Time6/21/12 15:02
Quant open40
Worst price48.89
Drawdown as % of equity-0.32%
 $101
Includes Typical Broker Commissions trade costs of $0.80
7/26/12 9:30 CAG CONAGRA BRANDS INC LONG 23 24.02 12/3 9:30 29.91 0.01%
Trade id #75576558
Max drawdown($1)
Time7/26/12 10:38
Quant open23
Worst price23.96
Drawdown as % of equity-0.01%
 $135
Includes Typical Broker Commissions trade costs of $0.46
6/21/12 9:30 TOT LION SHARES US EQUITY TOTAL RETURN ETF LONG 22 44.62 10/23 9:30 50.03 0.55%
Trade id #74727672
Max drawdown($55)
Time7/25/12 10:58
Quant open22
Worst price42.12
Drawdown as % of equity-0.55%
 $119
Includes Typical Broker Commissions trade costs of $0.44
7/26/12 9:30 SWY SAFEWAY LONG 65 15.28 8/28 9:30 15.45 0.11%
Trade id #75576730
Max drawdown($12)
Time8/23/12 10:19
Quant open65
Worst price15.10
Drawdown as % of equity-0.11%
 $10
Includes Typical Broker Commissions trade costs of $1.30
7/26/12 9:30 NGG NATIONAL GRID LONG 20 51.66 8/28 9:30 54.43 0%
Trade id #75576804
Max drawdown($0)
Time8/1/12 16:00
Quant open20
Worst price51.64
Drawdown as % of equity-0.00%
 $55
Includes Typical Broker Commissions trade costs of $0.40
6/21/12 9:30 KDN KAYDON LONG 46 21.45 8/13 9:30 22.06 0.11%
Trade id #74727627
Max drawdown($11)
Time8/3/12 9:31
Quant open46
Worst price21.20
Drawdown as % of equity-0.11%
 $27
Includes Typical Broker Commissions trade costs of $0.92
7/26/12 9:30 BHP BHP GROUP LTD LONG 16 65.18 8/13 9:30 69.54 0.1%
Trade id #75576713
Max drawdown($10)
Time7/26/12 14:35
Quant open16
Worst price64.53
Drawdown as % of equity-0.10%
 $70
Includes Typical Broker Commissions trade costs of $0.32
6/25/12 9:30 RSG REPUBLIC SERVICES LONG 29 25.42 7/26 9:30 27.25 0.08%
Trade id #74801579
Max drawdown($7)
Time6/28/12 9:32
Quant open29
Worst price25.15
Drawdown as % of equity-0.08%
 $52
Includes Typical Broker Commissions trade costs of $0.58
6/21/12 9:30 PPL PPL LONG 36 27.81 7/26 9:30 28.73 0.02%
Trade id #74727650
Max drawdown($2)
Time7/9/12 10:45
Quant open36
Worst price27.75
Drawdown as % of equity-0.02%
 $32
Includes Typical Broker Commissions trade costs of $0.72
6/22/12 9:30 EEP ENBRIDGE ENERGY PARTNERS LONG 33 29.03 7/26 9:30 29.18 0.13%
Trade id #74755982
Max drawdown($13)
Time7/25/12 16:00
Quant open33
Worst price28.62
Drawdown as % of equity-0.13%
 $4
Includes Typical Broker Commissions trade costs of $0.66
6/21/12 9:30 PG PROCTER & GAMBLE LONG 16 60.36 7/26 9:30 64.59 0.21%
Trade id #74727608
Max drawdown($20)
Time6/26/12 10:25
Quant open16
Worst price59.07
Drawdown as % of equity-0.21%
 $68
Includes Typical Broker Commissions trade costs of $0.32
6/21/12 9:30 CPB THE CAMPBELLS COMPANY LONG 30 32.43 7/26 9:30 32.88 0.03%
Trade id #74727444
Max drawdown($2)
Time7/24/12 12:24
Quant open30
Worst price32.34
Drawdown as % of equity-0.03%
 $13
Includes Typical Broker Commissions trade costs of $0.60

Statistics

  • Strategy began
    6/21/2012
  • Suggested Minimum Cap
    $10,000
  • Strategy Age (days)
    5097.41
  • Age
    170 months ago
  • What it trades
    Stocks
  • # Trades
    34
  • # Profitable
    29
  • % Profitable
    85.30%
  • Avg trade duration
    1365.4 days
  • Max peak-to-valley drawdown
    18.28%
  • drawdown period
    Feb 08, 2020 - March 23, 2020
  • Annual Return (Compounded)
    11.8%
  • Avg win
    $1,129
  • Avg loss
    $220.72
  • Model Account Values (Raw)
  • Cash
    $14,251
  • Margin Used
    $0
  • Buying Power
    $43,505
  • Ratios
  • W:L ratio
    41.83:1
  • Sharpe Ratio
    0.69
  • Sortino Ratio
    1.12
  • Calmar Ratio
    2.763
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -89.43%
  • Correlation to SP500
    0.42940
  • Return Percent SP500 (cumu) during strategy life
    460.65%
  • Return Statistics
  • Ann Return (w trading costs)
    11.8%
  • Slump
  • Current Slump as Pcnt Equity
    n/a
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    n/a
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.118%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    12.0%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    6.67%
  • Chance of 20% account loss
    n/a
  • Chance of 30% account loss
    n/a
  • Chance of 40% account loss
    n/a
  • Chance of 60% account loss (Monte Carlo)
    n/a
  • Chance of 70% account loss (Monte Carlo)
    n/a
  • Chance of 80% account loss (Monte Carlo)
    n/a
  • Chance of 90% account loss (Monte Carlo)
    n/a
  • Chance of 100% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    0
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • Popularity (7 days, Percentile 1000 scale)
    0
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $223
  • Avg Win
    $1,145
  • Sum Trade PL (losers)
    $1,115.000
  • Age
  • Num Months filled monthly returns table
    169
  • Win / Loss
  • Sum Trade PL (winners)
    $33,219.000
  • # Winners
    29
  • Num Months Winners
    99
  • Dividends
  • Dividends Received in Model Acct
    6661
  • Win / Loss
  • # Losers
    5
  • % Winners
    85.3%
  • Frequency
  • Avg Position Time (mins)
    1964360.00
  • Avg Position Time (hrs)
    32739.40
  • Avg Trade Length
    1364.1 days
  • Last Trade Ago
    4604
  • Regression
  • Alpha
    0.02
  • Beta
    0.33
  • Treynor Index
    0.09
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.01
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    7.07
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    21.76
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    0.36
  • MAE:Equity, average, winning trades
    0.01
  • MAE:Equity, average, losing trades
    0.03
  • Avg(MAE) / Avg(PL) - All trades
    0.158
  • 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
    0.07
  • Avg(MAE) / Avg(PL) - Winning trades
    0.066
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.319
  • Hold-and-Hope Ratio
    21.520
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.36670
  • SD
    0.18127
  • Sharpe ratio (Glass type estimate)
    2.02294
  • Sharpe ratio (Hedges UMVUE)
    1.99114
  • df
    48.00000
  • t
    4.08780
  • p
    0.00008
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.96337
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.06447
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.94261
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.03966
  • Statistics related to Sortino ratio
  • Sortino ratio
    6.11443
  • Upside Potential Ratio
    7.48153
  • Upside part of mean
    0.44868
  • Downside part of mean
    -0.08199
  • Upside SD
    0.19949
  • Downside SD
    0.05997
  • N nonnegative terms
    37.00000
  • N negative terms
    12.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    49.00000
  • Mean of predictor
    0.41116
  • Mean of criterion
    0.36670
  • SD of predictor
    0.24376
  • SD of criterion
    0.18127
  • Covariance
    0.02492
  • r
    0.56407
  • b (slope, estimate of beta)
    0.41947
  • a (intercept, estimate of alpha)
    0.19423
  • Mean Square Error
    0.02288
  • DF error
    47.00000
  • t(b)
    4.68327
  • p(b)
    0.00001
  • t(a)
    2.32820
  • p(a)
    0.01213
  • Lowerbound of 95% confidence interval for beta
    0.23928
  • Upperbound of 95% confidence interval for beta
    0.59966
  • Lowerbound of 95% confidence interval for alpha
    0.02640
  • Upperbound of 95% confidence interval for alpha
    0.36205
  • Treynor index (mean / b)
    0.87418
  • Jensen alpha (a)
    0.19423
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.34556
  • SD
    0.17325
  • Sharpe ratio (Glass type estimate)
    1.99460
  • Sharpe ratio (Hedges UMVUE)
    1.96324
  • df
    48.00000
  • t
    4.03053
  • p
    0.00010
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.93729
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.03409
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.91682
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.00966
  • Statistics related to Sortino ratio
  • Sortino ratio
    5.62308
  • Upside Potential Ratio
    6.98432
  • Upside part of mean
    0.42921
  • Downside part of mean
    -0.08365
  • Upside SD
    0.18862
  • Downside SD
    0.06145
  • N nonnegative terms
    37.00000
  • N negative terms
    12.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    49.00000
  • Mean of predictor
    0.37840
  • Mean of criterion
    0.34556
  • SD of predictor
    0.22134
  • SD of criterion
    0.17325
  • Covariance
    0.02105
  • r
    0.54906
  • b (slope, estimate of beta)
    0.42975
  • a (intercept, estimate of alpha)
    0.18294
  • Mean Square Error
    0.02141
  • DF error
    47.00000
  • t(b)
    4.50378
  • p(b)
    0.00002
  • t(a)
    2.26086
  • p(a)
    0.01422
  • Lowerbound of 95% confidence interval for beta
    0.23779
  • Upperbound of 95% confidence interval for beta
    0.62171
  • Lowerbound of 95% confidence interval for alpha
    0.02016
  • Upperbound of 95% confidence interval for alpha
    0.34572
  • Treynor index (mean / b)
    0.80409
  • Jensen alpha (a)
    0.18294
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.05206
  • Expected Shortfall on VaR
    0.07151
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00904
  • Expected Shortfall on VaR
    0.02210
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    49.00000
  • Minimum
    0.93494
  • Quartile 1
    1.00468
  • Median
    1.02326
  • Quartile 3
    1.06095
  • Maximum
    1.16421
  • Mean of quarter 1
    0.97676
  • Mean of quarter 2
    1.01506
  • Mean of quarter 3
    1.03792
  • Mean of quarter 4
    1.10649
  • Inter Quartile Range
    0.05627
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.04082
  • Mean of outliers high
    1.15897
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    -0.10947
  • VaR(95%) (regression method)
    0.02131
  • Expected Shortfall (regression method)
    0.03428
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    7.00000
  • Minimum
    0.00634
  • Quartile 1
    0.03295
  • Median
    0.04123
  • Quartile 3
    0.05301
  • Maximum
    0.06506
  • Mean of quarter 1
    0.01793
  • Mean of quarter 2
    0.03881
  • Mean of quarter 3
    0.05202
  • Mean of quarter 4
    0.05954
  • Inter Quartile Range
    0.02007
  • 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)
    0.88041
  • Compounded annual return (geometric extrapolation)
    0.45276
  • Calmar ratio (compounded annual return / max draw down)
    6.95875
  • Compounded annual return / average of 25% largest draw downs
    7.60466
  • Compounded annual return / Expected Shortfall lognormal
    6.33163
  • 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
    0.38388
  • SD
    0.21758
  • Sharpe ratio (Glass type estimate)
    1.76432
  • Sharpe ratio (Hedges UMVUE)
    1.76309
  • df
    1076.00000
  • t
    3.57713
  • p
    0.44580
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.79437
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.73351
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.79353
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.73265
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.86665
  • Upside Potential Ratio
    8.47264
  • Upside part of mean
    1.13458
  • Downside part of mean
    -0.75071
  • Upside SD
    0.17299
  • Downside SD
    0.13391
  • N nonnegative terms
    606.00000
  • N negative terms
    471.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1077.00000
  • Mean of predictor
    0.43899
  • Mean of criterion
    0.38388
  • SD of predictor
    0.30070
  • SD of criterion
    0.21758
  • Covariance
    0.02833
  • r
    0.43301
  • b (slope, estimate of beta)
    0.31332
  • a (intercept, estimate of alpha)
    0.24600
  • Mean Square Error
    0.03850
  • DF error
    1075.00000
  • t(b)
    15.75060
  • p(b)
    0.23321
  • t(a)
    2.53506
  • p(a)
    0.45097
  • Lowerbound of 95% confidence interval for beta
    0.27429
  • Upperbound of 95% confidence interval for beta
    0.35235
  • Lowerbound of 95% confidence interval for alpha
    0.05567
  • Upperbound of 95% confidence interval for alpha
    0.43700
  • Treynor index (mean / b)
    1.22519
  • Jensen alpha (a)
    0.24633
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.36011
  • SD
    0.21645
  • Sharpe ratio (Glass type estimate)
    1.66372
  • Sharpe ratio (Hedges UMVUE)
    1.66256
  • df
    1076.00000
  • t
    3.37316
  • p
    0.44885
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.69408
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.63259
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.69331
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.63180
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.61655
  • Upside Potential Ratio
    8.13820
  • Upside part of mean
    1.12003
  • Downside part of mean
    -0.75992
  • Upside SD
    0.16840
  • Downside SD
    0.13763
  • N nonnegative terms
    606.00000
  • N negative terms
    471.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1077.00000
  • Mean of predictor
    0.39410
  • Mean of criterion
    0.36011
  • SD of predictor
    0.29777
  • SD of criterion
    0.21645
  • Covariance
    0.02790
  • r
    0.43282
  • b (slope, estimate of beta)
    0.31461
  • a (intercept, estimate of alpha)
    0.23612
  • Mean Square Error
    0.03811
  • DF error
    1075.00000
  • t(b)
    15.74170
  • p(b)
    0.23332
  • t(a)
    2.44416
  • p(a)
    0.45272
  • Lowerbound of 95% confidence interval for beta
    0.27539
  • Upperbound of 95% confidence interval for beta
    0.35382
  • Lowerbound of 95% confidence interval for alpha
    0.04656
  • Upperbound of 95% confidence interval for alpha
    0.42567
  • Treynor index (mean / b)
    1.14462
  • Jensen alpha (a)
    0.23612
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02041
  • Expected Shortfall on VaR
    0.02586
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00585
  • Expected Shortfall on VaR
    0.01316
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    1077.00000
  • Minimum
    0.90164
  • Quartile 1
    0.99739
  • Median
    1.00095
  • Quartile 3
    1.00452
  • Maximum
    1.11499
  • Mean of quarter 1
    0.98955
  • Mean of quarter 2
    0.99934
  • Mean of quarter 3
    1.00264
  • Mean of quarter 4
    1.01480
  • Inter Quartile Range
    0.00713
  • Number outliers low
    57.00000
  • Percentage of outliers low
    0.05292
  • Mean of outliers low
    0.97235
  • Number of outliers high
    74.00000
  • Percentage of outliers high
    0.06871
  • Mean of outliers high
    1.03201
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.58963
  • VaR(95%) (moments method)
    0.00985
  • Expected Shortfall (moments method)
    0.02681
  • Extreme Value Index (regression method)
    0.47956
  • VaR(95%) (regression method)
    0.00865
  • Expected Shortfall (regression method)
    0.01898
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    80.00000
  • Minimum
    0.00009
  • Quartile 1
    0.00338
  • Median
    0.01010
  • Quartile 3
    0.02804
  • Maximum
    0.17158
  • Mean of quarter 1
    0.00137
  • Mean of quarter 2
    0.00642
  • Mean of quarter 3
    0.01925
  • Mean of quarter 4
    0.06445
  • Inter Quartile Range
    0.02466
  • 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
    0.08750
  • Mean of outliers high
    0.09893
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.04353
  • VaR(95%) (moments method)
    0.06226
  • Expected Shortfall (moments method)
    0.08532
  • Extreme Value Index (regression method)
    0.31207
  • VaR(95%) (regression method)
    0.05980
  • Expected Shortfall (regression method)
    0.09537
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.95564
  • Compounded annual return (geometric extrapolation)
    0.47405
  • Calmar ratio (compounded annual return / max draw down)
    2.76289
  • Compounded annual return / average of 25% largest draw downs
    7.35489
  • Compounded annual return / Expected Shortfall lognormal
    18.33420
  • 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
    1.59010
  • SD
    0.47891
  • Sharpe ratio (Glass type estimate)
    3.32023
  • Sharpe ratio (Hedges UMVUE)
    3.30104
  • df
    130.00000
  • t
    2.34776
  • p
    0.39916
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.51310
  • Upperbound of 95% confidence interval for Sharpe Ratio
    6.11504
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.50034
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    6.10173
  • Statistics related to Sortino ratio
  • Sortino ratio
    5.64169
  • Upside Potential Ratio
    12.92840
  • Upside part of mean
    3.64385
  • Downside part of mean
    -2.05375
  • Upside SD
    0.39726
  • Downside SD
    0.28185
  • N nonnegative terms
    73.00000
  • N negative terms
    58.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    1.03435
  • Mean of criterion
    1.59010
  • SD of predictor
    0.48231
  • SD of criterion
    0.47891
  • Covariance
    0.05857
  • r
    0.25356
  • b (slope, estimate of beta)
    0.25178
  • a (intercept, estimate of alpha)
    1.32968
  • Mean Square Error
    0.21627
  • DF error
    129.00000
  • t(b)
    2.97723
  • p(b)
    0.34032
  • t(a)
    2.00410
  • p(a)
    0.38994
  • Lowerbound of 95% confidence interval for beta
    0.08446
  • Upperbound of 95% confidence interval for beta
    0.41909
  • Lowerbound of 95% confidence interval for alpha
    0.01697
  • Upperbound of 95% confidence interval for alpha
    2.64238
  • Treynor index (mean / b)
    6.31553
  • Jensen alpha (a)
    1.32968
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    1.47266
  • SD
    0.47628
  • Sharpe ratio (Glass type estimate)
    3.09198
  • Sharpe ratio (Hedges UMVUE)
    3.07411
  • df
    130.00000
  • t
    2.18636
  • p
    0.40584
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.28908
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.88331
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.27723
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.87099
  • Statistics related to Sortino ratio
  • Sortino ratio
    5.06613
  • Upside Potential Ratio
    12.27290
  • Upside part of mean
    3.56756
  • Downside part of mean
    -2.09491
  • Upside SD
    0.38587
  • Downside SD
    0.29069
  • N nonnegative terms
    73.00000
  • N negative terms
    58.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.91739
  • Mean of criterion
    1.47266
  • SD of predictor
    0.48151
  • SD of criterion
    0.47628
  • Covariance
    0.06102
  • r
    0.26607
  • b (slope, estimate of beta)
    0.26318
  • a (intercept, estimate of alpha)
    1.23122
  • Mean Square Error
    0.21242
  • DF error
    129.00000
  • t(b)
    3.13493
  • p(b)
    0.33264
  • t(a)
    1.87591
  • p(a)
    0.39672
  • VAR (95 Confidence Intrvl)
    0.02000
  • Lowerbound of 95% confidence interval for beta
    0.09708
  • Upperbound of 95% confidence interval for beta
    0.42927
  • Lowerbound of 95% confidence interval for alpha
    -0.06735
  • Upperbound of 95% confidence interval for alpha
    2.52979
  • Treynor index (mean / b)
    5.59570
  • Jensen alpha (a)
    1.23122
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.04188
  • Expected Shortfall on VaR
    0.05353
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01655
  • Expected Shortfall on VaR
    0.03423
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.90164
  • Quartile 1
    0.98911
  • Median
    1.00418
  • Quartile 3
    1.02244
  • Maximum
    1.10806
  • Mean of quarter 1
    0.97204
  • Mean of quarter 2
    0.99765
  • Mean of quarter 3
    1.01235
  • Mean of quarter 4
    1.04286
  • Inter Quartile Range
    0.03333
  • Number outliers low
    3.00000
  • Percentage of outliers low
    0.02290
  • Mean of outliers low
    0.91985
  • Number of outliers high
    4.00000
  • Percentage of outliers high
    0.03053
  • Mean of outliers high
    1.08621
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.21931
  • VaR(95%) (moments method)
    0.02746
  • Expected Shortfall (moments method)
    0.04305
  • Extreme Value Index (regression method)
    0.35845
  • VaR(95%) (regression method)
    0.02641
  • Expected Shortfall (regression method)
    0.04584
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    16.00000
  • Minimum
    0.00013
  • Quartile 1
    0.02124
  • Median
    0.03305
  • Quartile 3
    0.06016
  • Maximum
    0.14117
  • Mean of quarter 1
    0.01059
  • Mean of quarter 2
    0.02784
  • Mean of quarter 3
    0.04911
  • Mean of quarter 4
    0.09003
  • Inter Quartile Range
    0.03891
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.06250
  • Mean of outliers high
    0.14117
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -0.01758
  • VaR(95%) (moments method)
    0.09704
  • Expected Shortfall (moments method)
    0.12210
  • Extreme Value Index (regression method)
    0.98440
  • VaR(95%) (regression method)
    0.11762
  • Last 4 Months - Pcnt Negative
    0.50%
  • Expected Shortfall (regression method)
    4.52779
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -540436000
  • Max Equity Drawdown (num days)
    44
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    2.23519
  • Compounded annual return (geometric extrapolation)
    3.48421
  • Calmar ratio (compounded annual return / max draw down)
    24.68020
  • Compounded annual return / average of 25% largest draw downs
    38.70010
  • Compounded annual return / Expected Shortfall lognormal
    65.09050

Strategy Description

Dividend Blaster - Agressive is a long-only system that invests exclusively in dividend paying securities. It is based on the same model as my original Dividend Blaster system but with increased risk characteristics and higher dividends. It is intended for individuals looking for relatively stable growth. I aim to keep trading fees and subscription fees to a minimum to increase the system
Trade this strategy at Tradier

Summary Statistics

Strategy began
2012-06-21
Suggested Minimum Capital
$10,000
# Trades
34
# Profitable
29
% Profitable
85.3%
Net Dividends
$6,701
Correlation S&P500
0.429
Sharpe Ratio
0.69
Sortino Ratio
1.12
Beta
0.33
Alpha
0.02

Latest Activity

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

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

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

About the results you see on this Web site

Past results are not necessarily indicative of future results.

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

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

Material assumptions and methods used when calculating results

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

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

Trading is risky

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

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