Collective2 Collective2

Welcome to Collective2

Follow these tips for a better experience

Ok, let's start

Close
Add to Watch List Create new Watch List
Add
Enter a name for your Watch List.
Watch List name must be less than 60 characters.
You have reached the maximum number of custom Watch Lists.
You have reached the maximum number of strategies in this Watch List.
Strategy added to Watch List. Go to Watch List

Sim is unavailable for this strategy, because you've recently "Simmed" it.

You already have a live, full-featured subscription to this strategy.

Okay, no problem

Reach out to us when you are ready. You can schedule your free training session at any time by clicking the button.

Remember, this training is free, low pressure, and (we hope!) fun.

Got it

Later

You can find it here.

Got it

Video Saved for Later

You can watch this video later. Just click this button at the top of the screen whenever you're ready to watch it.

Got it
Watchlist Watchlist
These are hypothetical performance results that have certain inherent limitations. Learn more
Listing Edit Subscribers Broadcast Share System Watchlist Watchlist More...

Javelin
(80471813)

Created by: DominicoKim DominicoKim
Started: 04/2013
Stocks
Last trade: 3,664 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 $125.00 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.

5.9%
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.

(45.8%)
Max Drawdown
72
Num Trades
54.2%
Win Trades
3.1 : 1
Profit Factor
56.4%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2013                     +1.3%(4.5%)(2.8%)+9.7%(3.7%)+1.0%+3.7%+2.7%+0.2%+7.0%
2014(1.3%)+2.6%(0.1%)+2.1%+5.4%+0.5%+1.1%+8.2%(3.3%)+4.3%+4.7%+6.0%+34.0%
2015+16.8%(9.5%)+0.8%(7.3%)(3.8%)(6.3%)+8.1%(4.2%)+2.2%+2.0%+1.3%(2%)(4.5%)
2016+4.3%+5.2%+2.6%(1.9%)+0.8%+14.3%(0.1%)  -  (1.4%)(8.2%)(12.2%)(0.2%)+0.9%
2017+2.1%+3.6%(1%)+2.5%+3.3%+1.7%(0.8%)+3.9%(2.4%)+1.6%+4.3%(1.2%)+18.8%
2018(4.3%)(1.8%)+0.7%(1.3%)+2.2%+2.6%(1.6%)+4.9%(4.1%)(7.6%)+1.9%+4.2%(5%)
2019+1.2%+3.9%+4.8%+0.2%+0.4%+8.7%+0.8%+18.0%(4.7%)(4.8%)+3.7%(1.8%)+32.4%
2020+10.1%+7.7%+4.1%+3.0%(4%)+2.1%+8.8%(4.5%)(1.6%)(4.8%)+4.6%(1%)+25.3%
2021(5.8%)(7%)(4.6%)+5.4%+0.2%+6.5%+5.6%+0.9%(6.1%)+5.4%+2.7%+0.3%+2.3%
2022(8.2%)(3.2%)(4.4%)(11.8%)(2.3%)(8.9%)+9.6%(5.5%)(12.5%)(0.2%)+6.5%(5.4%)(39.2%)
2023+7.1%(3.3%)+2.0%+3.9%(2.2%)+4.7%+1.0%(4.9%)(4.6%)(2.4%)+7.8%+6.9%+15.9%
2024(0.6%)+4.1%+2.4%(5%)                                                +0.5%

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
12/16/13 9:39 LUV SOUTHWEST AIRLINES LONG 279 18.68 2/24/14 9:48 22.00 0.02%
Trade id #84642812
Max drawdown($22)
Time12/27/13 10:55
Quant open279
Worst price18.60
Drawdown as % of equity-0.02%
 $920
Includes Typical Broker Commissions trade costs of $5.58
12/16/13 9:38 TSN TYSON FOODS LONG 155 33.68 2/24/14 9:48 38.85 0.07%
Trade id #84642766
Max drawdown($75)
Time1/8/14 9:33
Quant open155
Worst price33.19
Drawdown as % of equity-0.07%
 $798
Includes Typical Broker Commissions trade costs of $3.10
12/16/13 9:46 TSX.TGM TRUE GOLD MINING INC LONG 17,200 CAD 0.37 2/24/14 9:48 CAD 0.39 n/a $244
Includes Typical Broker Commissions trade costs of $13.07
12/16/13 9:36 SPY SPDR S&P 500 LONG 58 179.64 2/24/14 9:48 185.02 0.32%
Trade id #84642632
Max drawdown($343)
Time2/5/14 10:26
Quant open58
Worst price173.71
Drawdown as % of equity-0.32%
 $311
Includes Typical Broker Commissions trade costs of $1.16
12/16/13 9:37 XLF FINANCIAL SELECT SECTOR SPDR LONG 492 21.29 2/24/14 9:48 21.60 0.37%
Trade id #84642683
Max drawdown($388)
Time2/3/14 15:49
Quant open492
Worst price20.50
Drawdown as % of equity-0.37%
 $143
Includes Typical Broker Commissions trade costs of $9.84
12/16/13 9:41 ROL ROLLINS LONG 133 19.59 2/24/14 9:48 19.96 0.19%
Trade id #84642900
Max drawdown($198)
Time2/4/14 9:45
Quant open89
Worst price27.01
Drawdown as % of equity-0.19%
 $46
Includes Typical Broker Commissions trade costs of $2.66
12/16/13 9:36 EFA ISHARES MSCI EAFE INDEX LONG 161 64.61 2/24/14 9:47 67.33 0.35%
Trade id #84642658
Max drawdown($375)
Time2/3/14 16:00
Quant open161
Worst price62.28
Drawdown as % of equity-0.35%
 $435
Includes Typical Broker Commissions trade costs of $3.22
12/16/13 9:42 VPFG VIEWPOINT FINANCIAL GROUP LONG 100 26.08 2/24/14 9:47 24.26 0.3%
Trade id #84642955
Max drawdown($323)
Time2/5/14 9:32
Quant open100
Worst price22.85
Drawdown as % of equity-0.30%
 ($184)
Includes Typical Broker Commissions trade costs of $2.00
12/16/13 9:42 VICR VICOR LONG 216 12.16 2/24/14 9:47 11.00 0.49%
Trade id #84642931
Max drawdown($535)
Time2/18/14 16:01
Quant open216
Worst price9.68
Drawdown as % of equity-0.49%
 ($255)
Includes Typical Broker Commissions trade costs of $4.32
12/16/13 9:45 SXC SUNCOKE ENERGY LONG 114 22.84 2/24/14 9:47 22.05 0.32%
Trade id #84643085
Max drawdown($344)
Time1/30/14 9:32
Quant open114
Worst price19.82
Drawdown as % of equity-0.32%
 ($92)
Includes Typical Broker Commissions trade costs of $2.28
12/16/13 9:37 PPH VANECK PHARMACEUTICAL ETF LONG 203 51.60 2/24/14 9:47 58.89 0.05%
Trade id #84642716
Max drawdown($50)
Time12/18/13 14:01
Quant open203
Worst price51.35
Drawdown as % of equity-0.05%
 $1,476
Includes Typical Broker Commissions trade costs of $4.06
12/16/13 9:38 ICE INTERCONTINENTALEXCHANGE LONG 23 220.99 2/24/14 9:47 213.93 0.43%
Trade id #84642736
Max drawdown($459)
Time1/30/14 9:31
Quant open23
Worst price201.01
Drawdown as % of equity-0.43%
 ($162)
Includes Typical Broker Commissions trade costs of $0.46
12/16/13 9:40 KND KINDRED HEALTHCARE LONG 399 19.57 2/24/14 9:47 19.98 0.75%
Trade id #84642885
Max drawdown($790)
Time2/5/14 10:25
Quant open399
Worst price17.59
Drawdown as % of equity-0.75%
 $157
Includes Typical Broker Commissions trade costs of $7.98
12/16/13 9:40 FNF FIDELITY NATIONAL FINANCIAL IN LONG 86 30.15 2/24/14 9:47 33.35 0.04%
Trade id #84642875
Max drawdown($43)
Time1/29/14 9:31
Quant open86
Worst price29.65
Drawdown as % of equity-0.04%
 $273
Includes Typical Broker Commissions trade costs of $1.72
12/16/13 9:45 IBKR INTERACTIVE BROKERS GROUP LONG 106 24.53 2/24/14 9:47 21.78 0.39%
Trade id #84643042
Max drawdown($417)
Time2/3/14 13:24
Quant open106
Worst price20.59
Drawdown as % of equity-0.39%
 ($294)
Includes Typical Broker Commissions trade costs of $2.12
12/16/13 9:44 GPN GLOBAL PAYMENTS LONG 41 62.93 2/24/14 9:47 68.87 0.07%
Trade id #84643004
Max drawdown($70)
Time12/19/13 13:51
Quant open41
Worst price61.22
Drawdown as % of equity-0.07%
 $243
Includes Typical Broker Commissions trade costs of $0.82
12/16/13 9:40 FAF FIRST AMERICAN FINANCIAL LONG 95 27.54 2/24/14 9:47 27.38 0.24%
Trade id #84642863
Max drawdown($259)
Time2/6/14 12:00
Quant open95
Worst price24.81
Drawdown as % of equity-0.24%
 ($17)
Includes Typical Broker Commissions trade costs of $1.90
12/16/13 9:44 DST DST SYSTEMS LONG 29 90.26 2/24/14 9:46 94.39 0.11%
Trade id #84642997
Max drawdown($118)
Time2/4/14 9:53
Quant open29
Worst price86.16
Drawdown as % of equity-0.11%
 $119
Includes Typical Broker Commissions trade costs of $0.58
12/16/13 9:39 CVS CVS HEALTH CORP LONG 76 68.12 2/24/14 9:46 71.78 0.23%
Trade id #84642784
Max drawdown($240)
Time2/5/14 9:32
Quant open76
Worst price64.95
Drawdown as % of equity-0.23%
 $276
Includes Typical Broker Commissions trade costs of $1.52
12/16/13 9:43 BR BROADRIDGE LONG 67 38.87 2/24/14 9:46 37.10 0.25%
Trade id #84642988
Max drawdown($263)
Time2/3/14 13:50
Quant open67
Worst price34.94
Drawdown as % of equity-0.25%
 ($120)
Includes Typical Broker Commissions trade costs of $1.34
12/16/13 9:44 AVID AVID TECHNOLOGY INC LONG 318 8.23 2/24/14 9:46 6.61 0.5%
Trade id #84643027
Max drawdown($550)
Time2/24/14 9:31
Quant open318
Worst price6.50
Drawdown as % of equity-0.50%
 ($521)
Includes Typical Broker Commissions trade costs of $6.36
12/16/13 9:43 ATK ALLIANT TECHSYSTEMS LONG 21 122.20 2/24/14 9:46 136.97 0.02%
Trade id #84642973
Max drawdown($18)
Time1/9/14 9:33
Quant open21
Worst price121.30
Drawdown as % of equity-0.02%
 $310
Includes Typical Broker Commissions trade costs of $0.42
12/16/13 9:41 ARRS ARRIS INTERNATIONAL PLC ORDINARY SHARES LONG 118 22.02 2/24/14 9:46 29.56 0.03%
Trade id #84642907
Max drawdown($30)
Time12/19/13 14:54
Quant open118
Worst price21.76
Drawdown as % of equity-0.03%
 $888
Includes Typical Broker Commissions trade costs of $2.36
8/26/13 10:40 IJR ISHARES CORE S&P SMALL-CAP ETF LONG 1,068 103.67 12/16 9:34 105.33 0.03%
Trade id #82700855
Max drawdown($27)
Time10/9/13 11:24
Quant open103
Worst price96.86
Drawdown as % of equity-0.03%
 $1,761
Includes Typical Broker Commissions trade costs of $9.68
9/24/13 13:15 TMF DIREXION DAILY 20-YR TREASURY BULL 3X SHRS LONG 1,840 49.06 11/4 11:56 49.61 5.82%
Trade id #83111251
Max drawdown($5,667)
Time10/16/13 9:56
Quant open1,840
Worst price45.98
Drawdown as % of equity-5.82%
 $1,010
Includes Typical Broker Commissions trade costs of $7.50
10/29/13 9:33 IYR ISHARES DOW JONES US REAL ESTA LONG 570 67.30 10/29 9:34 67.24 0.03%
Trade id #83760635
Max drawdown($34)
Time10/29/13 9:34
Quant open0
Worst price67.24
Drawdown as % of equity-0.03%
 ($39)
Includes Typical Broker Commissions trade costs of $5.00
9/3/13 9:42 SPY SPDR S&P 500 LONG 60 165.39 10/29 9:31 176.66 0.05%
Trade id #82814972
Max drawdown($51)
Time10/9/13 11:24
Quant open60
Worst price164.53
Drawdown as % of equity-0.05%
 $675
Includes Typical Broker Commissions trade costs of $1.20
8/1/13 9:53 PCTI PCTEL INC LONG 500 9.72 9/3 9:37 8.30 0.8%
Trade id #82309896
Max drawdown($810)
Time8/30/13 16:00
Quant open500
Worst price8.10
Drawdown as % of equity-0.80%
 ($720)
Includes Typical Broker Commissions trade costs of $10.00
7/22/13 9:49 SFG STANCORP FINANCIAL GROUP LONG 40 51.65 9/3 9:37 53.57 0%
Trade id #82111093
Max drawdown($0)
Time7/23/13 12:06
Quant open40
Worst price51.65
Drawdown as % of equity-0.00%
 $76
Includes Typical Broker Commissions trade costs of $0.80
7/22/13 9:51 DCOM DIME COMMUNITY BANCSHARES INC. LONG 120 17.50 9/3 9:37 16.18 0.19%
Trade id #82111227
Max drawdown($194)
Time8/30/13 15:44
Quant open120
Worst price15.88
Drawdown as % of equity-0.19%
 ($160)
Includes Typical Broker Commissions trade costs of $2.40
Next

Statistics

  • Strategy began
    4/24/2013
  • Suggested Minimum Cap
    $100,000
  • Strategy Age (days)
    4011.16
  • Age
    134 months ago
  • What it trades
    Stocks
  • # Trades
    72
  • # Profitable
    39
  • % Profitable
    54.20%
  • Avg trade duration
    165.2 days
  • Max peak-to-valley drawdown
    45.76%
  • drawdown period
    Aug 05, 2020 - Oct 22, 2022
  • Annual Return (Compounded)
    5.9%
  • Avg win
    $2,834
  • Avg loss
    $1,321
  • Model Account Values (Raw)
  • Cash
    $65,338
  • Margin Used
    $0
  • Buying Power
    $122,974
  • Ratios
  • W:L ratio
    3.06:1
  • Sharpe Ratio
    0.26
  • Sortino Ratio
    0.36
  • Calmar Ratio
    0.592
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -130.60%
  • Correlation to SP500
    0.16730
  • Return Percent SP500 (cumu) during strategy life
    219.77%
  • Return Statistics
  • Ann Return (w trading costs)
    5.9%
  • Slump
  • Current Slump as Pcnt Equity
    50.80%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.34%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.059%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    6.0%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    100.00%
  • Chance of 20% account loss
    100.00%
  • 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
  • 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
    $1,322
  • Avg Win
    $2,835
  • Sum Trade PL (losers)
    $43,619.000
  • Age
  • Num Months filled monthly returns table
    133
  • Win / Loss
  • Sum Trade PL (winners)
    $110,547.000
  • # Winners
    39
  • Num Months Winners
    75
  • Dividends
  • Dividends Received in Model Acct
    23116
  • Win / Loss
  • # Losers
    33
  • % Winners
    54.2%
  • Frequency
  • Avg Position Time (mins)
    237912.00
  • Avg Position Time (hrs)
    3965.20
  • Avg Trade Length
    165.2 days
  • Last Trade Ago
    3658
  • Regression
  • Alpha
    0.01
  • Beta
    0.20
  • Treynor Index
    0.08
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.01
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    53.87
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    64.27
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -0.32
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.01
  • Avg(MAE) / Avg(PL) - All trades
    1.177
  • 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
    0.104
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.494
  • Hold-and-Hope Ratio
    2.795
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.26301
  • SD
    0.35713
  • Sharpe ratio (Glass type estimate)
    0.73647
  • Sharpe ratio (Hedges UMVUE)
    0.71959
  • df
    33.00000
  • t
    1.23967
  • p
    0.11192
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.44673
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.90881
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.45768
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.89685
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.13064
  • Upside Potential Ratio
    2.44118
  • Upside part of mean
    0.56788
  • Downside part of mean
    -0.30486
  • Upside SD
    0.27466
  • Downside SD
    0.23262
  • N nonnegative terms
    24.00000
  • N negative terms
    10.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    34.00000
  • Mean of predictor
    0.39998
  • Mean of criterion
    0.26301
  • SD of predictor
    0.26085
  • SD of criterion
    0.35713
  • Covariance
    0.03316
  • r
    0.35593
  • b (slope, estimate of beta)
    0.48730
  • a (intercept, estimate of alpha)
    0.06810
  • Mean Square Error
    0.11486
  • DF error
    32.00000
  • t(b)
    2.15456
  • p(b)
    0.01941
  • t(a)
    0.30853
  • p(a)
    0.37984
  • Lowerbound of 95% confidence interval for beta
    0.02660
  • Upperbound of 95% confidence interval for beta
    0.94800
  • Lowerbound of 95% confidence interval for alpha
    -0.38152
  • Upperbound of 95% confidence interval for alpha
    0.51772
  • Treynor index (mean / b)
    0.53974
  • Jensen alpha (a)
    0.06810
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.19661
  • SD
    0.36735
  • Sharpe ratio (Glass type estimate)
    0.53521
  • Sharpe ratio (Hedges UMVUE)
    0.52294
  • df
    33.00000
  • t
    0.90090
  • p
    0.18708
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.64022
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.70274
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.64826
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.69415
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.73853
  • Upside Potential Ratio
    2.00236
  • Upside part of mean
    0.53307
  • Downside part of mean
    -0.33645
  • Upside SD
    0.25165
  • Downside SD
    0.26622
  • N nonnegative terms
    24.00000
  • N negative terms
    10.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    34.00000
  • Mean of predictor
    0.36232
  • Mean of criterion
    0.19661
  • SD of predictor
    0.24861
  • SD of criterion
    0.36735
  • Covariance
    0.03482
  • r
    0.38131
  • b (slope, estimate of beta)
    0.56344
  • a (intercept, estimate of alpha)
    -0.00753
  • Mean Square Error
    0.11893
  • DF error
    32.00000
  • t(b)
    2.33331
  • p(b)
    0.01304
  • t(a)
    -0.03382
  • p(a)
    0.51339
  • Lowerbound of 95% confidence interval for beta
    0.07157
  • Upperbound of 95% confidence interval for beta
    1.05531
  • Lowerbound of 95% confidence interval for alpha
    -0.46132
  • Upperbound of 95% confidence interval for alpha
    0.44625
  • Treynor index (mean / b)
    0.34895
  • Jensen alpha (a)
    -0.00753
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.14619
  • Expected Shortfall on VaR
    0.18257
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.03886
  • Expected Shortfall on VaR
    0.09200
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    34.00000
  • Minimum
    0.69739
  • Quartile 1
    0.99486
  • Median
    1.02639
  • Quartile 3
    1.07217
  • Maximum
    1.27676
  • Mean of quarter 1
    0.90687
  • Mean of quarter 2
    1.01225
  • Mean of quarter 3
    1.04566
  • Mean of quarter 4
    1.13325
  • Inter Quartile Range
    0.07731
  • Number outliers low
    3.00000
  • Percentage of outliers low
    0.08824
  • Mean of outliers low
    0.80062
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.05882
  • Mean of outliers high
    1.24644
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -1.30877
  • VaR(95%) (moments method)
    0.02921
  • Expected Shortfall (moments method)
    0.03120
  • Extreme Value Index (regression method)
    0.51949
  • VaR(95%) (regression method)
    0.11774
  • Expected Shortfall (regression method)
    0.32846
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    7.00000
  • Minimum
    0.00235
  • Quartile 1
    0.04228
  • Median
    0.07880
  • Quartile 3
    0.15040
  • Maximum
    0.35134
  • Mean of quarter 1
    0.01744
  • Mean of quarter 2
    0.06542
  • Mean of quarter 3
    0.13679
  • Mean of quarter 4
    0.25768
  • Inter Quartile Range
    0.10812
  • 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
    0.14286
  • Mean of outliers high
    0.35134
  • 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)
    0.31382
  • Compounded annual return (geometric extrapolation)
    0.25172
  • Calmar ratio (compounded annual return / max draw down)
    0.71645
  • Compounded annual return / average of 25% largest draw downs
    0.97688
  • Compounded annual return / Expected Shortfall lognormal
    1.37873
  • 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
    0.27005
  • SD
    0.35083
  • Sharpe ratio (Glass type estimate)
    0.76975
  • Sharpe ratio (Hedges UMVUE)
    0.76897
  • df
    749.00000
  • t
    1.30235
  • p
    0.09660
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.38959
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.92857
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.39010
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.92805
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.09436
  • Upside Potential Ratio
    8.12841
  • Upside part of mean
    2.00579
  • Downside part of mean
    -1.73574
  • Upside SD
    0.24960
  • Downside SD
    0.24676
  • N nonnegative terms
    409.00000
  • N negative terms
    341.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    750.00000
  • Mean of predictor
    0.43225
  • Mean of criterion
    0.27005
  • SD of predictor
    0.29099
  • SD of criterion
    0.35083
  • Covariance
    0.02345
  • r
    0.22970
  • b (slope, estimate of beta)
    0.27694
  • a (intercept, estimate of alpha)
    0.15000
  • Mean Square Error
    0.11674
  • DF error
    748.00000
  • t(b)
    6.45494
  • p(b)
    0.00000
  • t(a)
    0.74135
  • p(a)
    0.22936
  • Lowerbound of 95% confidence interval for beta
    0.19271
  • Upperbound of 95% confidence interval for beta
    0.36116
  • Lowerbound of 95% confidence interval for alpha
    -0.24777
  • Upperbound of 95% confidence interval for alpha
    0.54845
  • Treynor index (mean / b)
    0.97512
  • Jensen alpha (a)
    0.15034
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.20830
  • SD
    0.35166
  • Sharpe ratio (Glass type estimate)
    0.59233
  • Sharpe ratio (Hedges UMVUE)
    0.59174
  • df
    749.00000
  • t
    1.00218
  • p
    0.15829
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.56665
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.75098
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.56707
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.75055
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.82018
  • Upside Potential Ratio
    7.77851
  • Upside part of mean
    1.97548
  • Downside part of mean
    -1.76719
  • Upside SD
    0.24324
  • Downside SD
    0.25397
  • N nonnegative terms
    409.00000
  • N negative terms
    341.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    750.00000
  • Mean of predictor
    0.38916
  • Mean of criterion
    0.20830
  • SD of predictor
    0.29340
  • SD of criterion
    0.35166
  • Covariance
    0.02470
  • r
    0.23943
  • b (slope, estimate of beta)
    0.28697
  • a (intercept, estimate of alpha)
    0.09662
  • Mean Square Error
    0.11673
  • DF error
    748.00000
  • t(b)
    6.74437
  • p(b)
    0.00000
  • t(a)
    0.47687
  • p(a)
    0.31680
  • Lowerbound of 95% confidence interval for beta
    0.20344
  • Upperbound of 95% confidence interval for beta
    0.37050
  • Lowerbound of 95% confidence interval for alpha
    -0.30114
  • Upperbound of 95% confidence interval for alpha
    0.49438
  • Treynor index (mean / b)
    0.72586
  • Jensen alpha (a)
    0.09662
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.03434
  • Expected Shortfall on VaR
    0.04303
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01418
  • Expected Shortfall on VaR
    0.02963
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    750.00000
  • Minimum
    0.86462
  • Quartile 1
    0.99316
  • Median
    1.00132
  • Quartile 3
    1.01099
  • Maximum
    1.13483
  • Mean of quarter 1
    0.97590
  • Mean of quarter 2
    0.99800
  • Mean of quarter 3
    1.00530
  • Mean of quarter 4
    1.02536
  • Inter Quartile Range
    0.01783
  • Number outliers low
    40.00000
  • Percentage of outliers low
    0.05333
  • Mean of outliers low
    0.94783
  • Number of outliers high
    26.00000
  • Percentage of outliers high
    0.03467
  • Mean of outliers high
    1.05760
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.31978
  • VaR(95%) (moments method)
    0.02170
  • Expected Shortfall (moments method)
    0.03908
  • Extreme Value Index (regression method)
    -0.02457
  • VaR(95%) (regression method)
    0.02266
  • Expected Shortfall (regression method)
    0.03206
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    37.00000
  • Minimum
    0.00001
  • Quartile 1
    0.00542
  • Median
    0.01454
  • Quartile 3
    0.03967
  • Maximum
    0.45029
  • Mean of quarter 1
    0.00261
  • Mean of quarter 2
    0.01004
  • Mean of quarter 3
    0.02589
  • Mean of quarter 4
    0.15696
  • Inter Quartile Range
    0.03425
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    5.00000
  • Percentage of outliers high
    0.13514
  • Mean of outliers high
    0.22851
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.38615
  • VaR(95%) (moments method)
    0.13538
  • Expected Shortfall (moments method)
    0.26708
  • Extreme Value Index (regression method)
    0.14929
  • VaR(95%) (regression method)
    0.15855
  • Expected Shortfall (regression method)
    0.25355
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.33757
  • Compounded annual return (geometric extrapolation)
    0.26643
  • Calmar ratio (compounded annual return / max draw down)
    0.59169
  • Compounded annual return / average of 25% largest draw downs
    1.69746
  • Compounded annual return / Expected Shortfall lognormal
    6.19145
  • 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
    -0.53072
  • SD
    0.50030
  • Sharpe ratio (Glass type estimate)
    -1.06080
  • Sharpe ratio (Hedges UMVUE)
    -1.05467
  • df
    130.00000
  • t
    -0.75010
  • p
    0.53282
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.83367
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.71594
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.82943
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.72010
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.33802
  • Upside Potential Ratio
    6.98121
  • Upside part of mean
    2.76906
  • Downside part of mean
    -3.29978
  • Upside SD
    0.30354
  • Downside SD
    0.39665
  • N nonnegative terms
    70.00000
  • N negative terms
    61.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.88414
  • Mean of criterion
    -0.53072
  • SD of predictor
    0.45245
  • SD of criterion
    0.50030
  • Covariance
    0.16041
  • r
    0.70864
  • b (slope, estimate of beta)
    0.78359
  • a (intercept, estimate of alpha)
    -1.22352
  • Mean Square Error
    0.12557
  • DF error
    129.00000
  • t(b)
    11.40730
  • p(b)
    0.09015
  • t(a)
    -2.42371
  • p(a)
    0.63189
  • Lowerbound of 95% confidence interval for beta
    0.64768
  • Upperbound of 95% confidence interval for beta
    0.91949
  • Lowerbound of 95% confidence interval for alpha
    -2.22229
  • Upperbound of 95% confidence interval for alpha
    -0.22474
  • Treynor index (mean / b)
    -0.67729
  • Jensen alpha (a)
    -1.22352
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.65783
  • SD
    0.50729
  • Sharpe ratio (Glass type estimate)
    -1.29675
  • Sharpe ratio (Hedges UMVUE)
    -1.28925
  • df
    130.00000
  • t
    -0.91694
  • p
    0.54008
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -4.07062
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.48195
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -4.06549
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.48698
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.59986
  • Upside Potential Ratio
    6.62510
  • Upside part of mean
    2.72411
  • Downside part of mean
    -3.38194
  • Upside SD
    0.29659
  • Downside SD
    0.41118
  • N nonnegative terms
    70.00000
  • N negative terms
    61.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.77988
  • Mean of criterion
    -0.65783
  • SD of predictor
    0.45702
  • SD of criterion
    0.50729
  • Covariance
    0.16489
  • r
    0.71122
  • b (slope, estimate of beta)
    0.78946
  • a (intercept, estimate of alpha)
    -1.27351
  • Mean Square Error
    0.12815
  • DF error
    129.00000
  • t(b)
    11.49130
  • p(b)
    0.08900
  • t(a)
    -2.50151
  • p(a)
    0.63587
  • VAR (95 Confidence Intrvl)
    0.03400
  • Lowerbound of 95% confidence interval for beta
    0.65353
  • Upperbound of 95% confidence interval for beta
    0.92538
  • Lowerbound of 95% confidence interval for alpha
    -2.28078
  • Upperbound of 95% confidence interval for alpha
    -0.26625
  • Treynor index (mean / b)
    -0.83327
  • Jensen alpha (a)
    -1.27351
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.05263
  • Expected Shortfall on VaR
    0.06489
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02789
  • Expected Shortfall on VaR
    0.05364
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.86462
  • Quartile 1
    0.97768
  • Median
    1.00218
  • Quartile 3
    1.01763
  • Maximum
    1.09446
  • Mean of quarter 1
    0.95729
  • Mean of quarter 2
    0.99315
  • Mean of quarter 3
    1.00984
  • Mean of quarter 4
    1.03240
  • Inter Quartile Range
    0.03996
  • Number outliers low
    2.00000
  • Percentage of outliers low
    0.01527
  • Mean of outliers low
    0.89053
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.00763
  • Mean of outliers high
    1.09446
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.01014
  • VaR(95%) (moments method)
    0.04319
  • Expected Shortfall (moments method)
    0.05621
  • Extreme Value Index (regression method)
    -0.02887
  • VaR(95%) (regression method)
    0.04484
  • Expected Shortfall (regression method)
    0.05777
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    1.00000
  • Minimum
    0.42430
  • Quartile 1
    0.42430
  • Median
    0.42430
  • Quartile 3
    0.42430
  • Maximum
    0.42430
  • Mean of quarter 1
    0.00000
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.00000
  • Inter Quartile Range
    0.00000
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Last 4 Months - Pcnt Negative
    0.50%
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -343288000
  • Max Equity Drawdown (num days)
    808
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.54037
  • Compounded annual return (geometric extrapolation)
    -0.46737
  • Calmar ratio (compounded annual return / max draw down)
    -1.10150
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    -7.20257

Strategy Description

I worked as a Researcher/Trader for top hedge funds in Canada and overseas. Took 10 years to develop Javelin.

Uses principles in MPT, physics and statistics to creatively develop Javelin trading system with the goal of making positive returns every year with low drawdown.

Javelin is completely automated and signals are sent Saturday for trading Monday open.

These results represent hypothetical back testing from 1999-now, Javelin beat the SP500 index every year with positive returns. Compound Returns of 24.33%, average drawdown of 14.59% (max. drawdown of 26.57% in year 2000), average hold days 67.86 days, winning trades 62.11% and 27.5 trades per year.

The most impressive feature of the Javelin is its risk management. Javelin incorporates 3 different risk management tools to lower risk. 1: if stock/etf falls below a predefined parameter, it is sold. 2: if index falls below its Moving Average, all positions are sold and defensive etfs are bought. 3: Diversification of different models, parameters, assets, sectors, stocks and time frame to produce the highest Sharpe Ratio.

The 3 risk management tools allowed Javelin to produce positive returns even in times of stress; bear markets 2000-2002 and 2008, crashes of 9/11 and 1987.
Trade this strategy at Interactive Brokers

Summary Statistics

Strategy began
2013-04-24
Suggested Minimum Capital
$100,000
# Trades
72
# Profitable
39
% Profitable
54.2%
Net Dividends
$23,115
Correlation S&P500
0.167
Sharpe Ratio
0.26
Sortino Ratio
0.36
Beta
0.20
Alpha
0.01

Latest Activity

#PERSONNAME#
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.

Okay, gotcha.

Not available

This feature isn't available under your current Trade Leader Plan.

Want to see available plans and features?

Please hold...

Strategy is now visible

This strategy is now visible to the public. New subscribers will be able to follow it.

If you designate your strategy as Private, it will no longer be visible to the public.

No subscribers and simulations will be allowed. If you have subscribers, the strategy will still be visible to them.
If you have simulations, they will be stopped.

Continue to designate your strategy as Private?

Mark as Private Keep Public

Strategy is no longer visible

This strategy is no longer visible to anyone except current subscribers.

(Current subscribers will remain subscribed. You can see who is subscribed, and control their subscriptions, on your Subscriber Management screen.)

Finally, please note that you can restore public visibility at any time.

This strategy is no longer visible to the public. No subscribers will be allowed.

You can restore public visibility at any time.

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.