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Featured Strategy S2Prox0 Followed by live capital $152,000 Hypothetical

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Stitts US Stocks
(83204583)

Created by: SteveAuger3 SteveAuger3
Started: 09/2013
Stocks
Last trade: 2,954 days ago

Subscriptions not available

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

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

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.

3.5%
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.

(43.9%)
Max Drawdown
27
Num Trades
63.0%
Win Trades
3.1 : 1
Profit Factor
57.5%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2013                                                        (0.2%)+1.9%+4.7%+2.6%+9.3%
2014(2.9%)+5.3%+1.2%+1.6%(1.5%)(0.8%)(5.9%)+4.9%(1.8%)+3.6%+2.3%+0.8%+6.3%
2015+5.0%+10.5%+4.5%(4.9%)+1.9%+2.8%+11.3%(9.4%)(10.4%)+1.9%+0.6%+1.6%+13.6%
2016(6.5%)(3.8%)(17.8%)(1.9%)(1.6%)(0.8%)+0.1%+1.4%  -  +1.3%+2.0%+1.8%(24.5%)
2017(0.2%)(0.3%)+0.2%(0.7%)(0.8%)+2.1%+0.1%+0.3%+3.3%+1.6%+1.4%+2.6%+9.8%
2018+1.1%(0.5%)(0.3%)+5.6%+3.9%(3.2%)+2.0%+0.5%(1.4%)(8.5%)(2%)(2.8%)(6%)
2019+4.3%(0.1%)+0.9%+1.1%+0.3%  -  (3.8%)+3.7%+5.0%(1.2%)(0.4%)+9.0%
2020(2.3%)(6.5%)(6.3%)+4.3%+2.8%(3.2%)+0.4%(0.9%)(3.6%)(1.5%)+5.5%+1.2%(10.4%)
2021(0.1%)+7.4%(1.5%)+0.8%+2.2%+0.7%(4.7%)(0.3%)+1.9%+3.6%(4.5%)+1.3%+6.5%
2022+3.6%+0.7%+6.1%+0.5%+8.9%(7%)+1.3%+1.2%(3.6%)+8.0%+2.9%(2.9%)+20.0%
2023+3.9%(2.3%)+1.7%(6.1%)(0.2%)+1.3%+2.6%+1.9%+2.9%(3.7%)(1%)+1.6%+2.1%
2024+2.2%(0.2%)+8.4%(0.8%)                                                +9.6%

Model Account Details

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

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

Trading Record

This strategy has placed 2 trades in real-life brokerage accounts. The most recent trade in a real-money brokerage account occurred more than 3706 days ago.

Show AutoTrade data Hide AutoTrade data
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Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
9/8/14 10:56 DEPO DEPOMED LONG 176 14.01 3/24/16 9:31 12.51 2.06%
Trade id #89507809
Max drawdown($264)
Time3/24/16 9:31
Quant open0
Worst price12.51
Drawdown as % of equity-2.06%
 ($268)
Includes Typical Broker Commissions trade costs of $3.52
9/8/14 10:56 MGLN MAGELLAN HEALTH INC. COMMON S LONG 44 55.05 10/7/15 11:26 49.02 1.87%
Trade id #89507752
Max drawdown($265)
Time10/7/15 11:26
Quant open0
Worst price49.02
Drawdown as % of equity-1.87%
 ($266)
Includes Typical Broker Commissions trade costs of $0.88
9/2/14 10:53 SAFM SANDERSON FARMS LONG 31 93.34 12/16 9:30 84.67 2.43%
Trade id #89387248
Max drawdown($300)
Time11/17/14 10:43
Quant open31
Worst price83.66
Drawdown as % of equity-2.43%
 ($270)
Includes Typical Broker Commissions trade costs of $0.62
8/4/14 10:16 CI THE CIGNA GROUP LONG 20 90.56 9/8 10:55 95.81 0.1%
Trade id #88904594
Max drawdown($11)
Time8/11/14 15:50
Quant open20
Worst price89.97
Drawdown as % of equity-0.10%
 $105
Includes Typical Broker Commissions trade costs of $0.40
12/2/13 10:06 RKT ROCKET COMPANIES INC LONG 58 47.41 9/8/14 10:55 51.57 12.91%
Trade id #84366931
Max drawdown($1,358)
Time8/28/14 5:16
Quant open29
Worst price0.00
Drawdown as % of equity-12.91%
 $240
Includes Typical Broker Commissions trade costs of $1.16
2/18/14 11:16 XRX XEROX HOLDINGS CORP LONG 209 10.81 9/2 10:52 13.93 0.09%
Trade id #86037130
Max drawdown($10)
Time3/27/14 9:46
Quant open209
Worst price10.76
Drawdown as % of equity-0.09%
 $648
Includes Typical Broker Commissions trade costs of $4.18
8/4/14 10:17 INGR INGREDION LONG 25 74.85 8/18 10:18 78.35 0.1%
Trade id #88904603
Max drawdown($11)
Time8/7/14 12:38
Quant open25
Worst price74.41
Drawdown as % of equity-0.10%
 $88
Includes Typical Broker Commissions trade costs of $0.50
3/24/14 10:02 XLS EXELIS LONG 106 19.26 8/4 10:16 17.06 2.33%
Trade id #86633986
Max drawdown($271)
Time7/31/14 9:32
Quant open106
Worst price16.70
Drawdown as % of equity-2.33%
 ($235)
Includes Typical Broker Commissions trade costs of $2.12
4/14/14 11:51 GNW GENWORTH FINANCIAL LONG 142 16.16 8/4 10:16 13.06 4.07%
Trade id #87040666
Max drawdown($464)
Time7/31/14 12:36
Quant open142
Worst price12.89
Drawdown as % of equity-4.07%
 ($443)
Includes Typical Broker Commissions trade costs of $2.84
3/24/14 10:02 SYMC SYMANTEC LONG 115 18.61 4/14 11:50 20.39 0.19%
Trade id #86634037
Max drawdown($21)
Time3/24/14 11:06
Quant open115
Worst price18.42
Drawdown as % of equity-0.19%
 $203
Includes Typical Broker Commissions trade costs of $2.30
12/30/13 10:21 MGLN MAGELLAN HEALTH INC. COMMON S LONG 30 57.92 3/24/14 10:01 59.10 0%
Trade id #84892772
Max drawdown$0
Time3/18/14 9:31
Quant open30
Worst price57.92
Drawdown as % of equity0.00%
 $34
Includes Typical Broker Commissions trade costs of $0.60
1/13/14 10:24 HCC WARRIOR MET COAL INC. LONG 53 44.95 3/24 10:01 44.94 0.72%
Trade id #85133229
Max drawdown($81)
Time2/26/14 10:10
Quant open53
Worst price43.40
Drawdown as % of equity-0.72%
 ($2)
Includes Typical Broker Commissions trade costs of $1.06
9/30/13 11:47 CF CF INDUSTRIES HOLDINGS LONG 7 211.48 3/3/14 9:32 255.90 0.09%
Trade id #83223785
Max drawdown($9)
Time11/8/13 9:34
Quant open7
Worst price210.09
Drawdown as % of equity-0.09%
 $311
Includes Typical Broker Commissions trade costs of $0.14
1/6/14 11:22 RNR RENAISSANCERE HOLDINGS LONG 24 91.11 2/18 11:15 93.67 0.33%
Trade id #85006890
Max drawdown($35)
Time2/6/14 9:32
Quant open24
Worst price89.64
Drawdown as % of equity-0.33%
 $61
Includes Typical Broker Commissions trade costs of $0.48
11/4/13 9:30 PNW PINNACLE WEST CAPITAL LONG 45 56.54 1/13/14 10:23 53.38 1.91%
Trade id #83869129
Max drawdown($211)
Time1/3/14 13:32
Quant open45
Worst price51.84
Drawdown as % of equity-1.91%
 ($143)
Includes Typical Broker Commissions trade costs of $0.90
11/25/13 9:49 HNT HEALTH NET LONG 74 29.74 1/6/14 11:20 29.40 1.46%
Trade id #84260833
Max drawdown($158)
Time12/17/13 11:30
Quant open74
Worst price27.60
Drawdown as % of equity-1.46%
 ($26)
Includes Typical Broker Commissions trade costs of $1.48
9/30/13 9:31 INGR INGREDION LONG 25 66.68 12/30 10:20 67.97 0.33%
Trade id #83219774
Max drawdown($36)
Time12/17/13 11:09
Quant open25
Worst price65.23
Drawdown as % of equity-0.33%
 $32
Includes Typical Broker Commissions trade costs of $0.50
11/4/13 11:57 CI THE CIGNA GROUP LONG 32 78.97 12/2 10:04 87.89 0.06%
Trade id #83875381
Max drawdown($5)
Time11/4/13 12:28
Quant open32
Worst price78.79
Drawdown as % of equity-0.06%
 $284
Includes Typical Broker Commissions trade costs of $0.64
11/11/13 10:49 AET AETNA LONG 32 63.78 11/25 9:47 68.42 0.3%
Trade id #84003286
Max drawdown($31)
Time11/13/13 9:31
Quant open32
Worst price62.81
Drawdown as % of equity-0.30%
 $147
Includes Typical Broker Commissions trade costs of $0.64
10/21/13 10:09 UNH UNITEDHEALTH GROUP LONG 29 68.09 11/11 10:47 70.81 0.38%
Trade id #83612828
Max drawdown($39)
Time10/28/13 15:09
Quant open29
Worst price66.72
Drawdown as % of equity-0.38%
 $78
Includes Typical Broker Commissions trade costs of $0.58
10/14/13 9:54 LLY ELI LILLY LONG 50 48.74 11/4 11:36 50.36 0.13%
Trade id #83485956
Max drawdown($13)
Time10/14/13 11:47
Quant open50
Worst price48.47
Drawdown as % of equity-0.13%
 $80
Includes Typical Broker Commissions trade costs of $1.00
10/14/13 9:55 HUM HUMANA LONG 25 94.41 11/4 9:30 93.35 1.03%
Trade id #83485992
Max drawdown($105)
Time10/21/13 9:36
Quant open25
Worst price90.19
Drawdown as % of equity-1.03%
 ($28)
Includes Typical Broker Commissions trade costs of $0.50
9/30/13 11:47 GNW GENWORTH FINANCIAL LONG 151 12.81 10/21 10:04 13.98 0.5%
Trade id #83223796
Max drawdown($49)
Time10/9/13 11:16
Quant open151
Worst price12.48
Drawdown as % of equity-0.50%
 $174
Includes Typical Broker Commissions trade costs of $3.02
9/30/13 11:48 PNW PINNACLE WEST CAPITAL LONG 44 54.65 10/14 9:52 55.68 0.36%
Trade id #83223812
Max drawdown($35)
Time10/7/13 10:05
Quant open44
Worst price53.84
Drawdown as % of equity-0.36%
 $44
Includes Typical Broker Commissions trade costs of $0.88
9/30/13 11:48 GXP GREAT PLAINS ENERGY LONG 102 22.20 10/14 9:48 22.57 0.42%
Trade id #83223806
Max drawdown($41)
Time10/7/13 9:31
Quant open102
Worst price21.79
Drawdown as % of equity-0.42%
 $36
Includes Typical Broker Commissions trade costs of $2.04
Next

Statistics

  • Strategy began
    9/27/2013
  • Suggested Minimum Cap
    $10,000
  • Strategy Age (days)
    3858.74
  • Age
    129 months ago
  • What it trades
    Stocks
  • # Trades
    27
  • # Profitable
    17
  • % Profitable
    63.00%
  • Avg trade duration
    362.9 days
  • Max peak-to-valley drawdown
    43.94%
  • drawdown period
    July 18, 2015 - March 25, 2020
  • Annual Return (Compounded)
    3.5%
  • Avg win
    $396.59
  • Avg loss
    $255.60
  • Model Account Values (Raw)
  • Cash
    $10,306
  • Margin Used
    $0
  • Buying Power
    $13,574
  • Ratios
  • W:L ratio
    3.12:1
  • Sharpe Ratio
    0.15
  • Sortino Ratio
    0.2
  • Calmar Ratio
    0.43
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -149.88%
  • Correlation to SP500
    0.37670
  • Return Percent SP500 (cumu) during strategy life
    198.41%
  • Return Statistics
  • Ann Return (w trading costs)
    3.5%
  • Slump
  • Current Slump as Pcnt Equity
    13.70%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.83%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.035%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    4.2%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    100.00%
  • Chance of 20% account loss
    100.00%
  • Chance of 30% account loss
    100.00%
  • Chance of 40% account loss
    100.00%
  • 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
    $256
  • Avg Win
    $397
  • Sum Trade PL (losers)
    $2,556.000
  • Age
  • Num Months filled monthly returns table
    128
  • Win / Loss
  • Sum Trade PL (winners)
    $6,742.000
  • # Winners
    17
  • Num Months Winners
    73
  • Dividends
  • Dividends Received in Model Acct
    1241
  • Win / Loss
  • # Losers
    10
  • % Winners
    63.0%
  • Frequency
  • Avg Position Time (mins)
    522505.00
  • Avg Position Time (hrs)
    8708.42
  • Avg Trade Length
    362.9 days
  • Last Trade Ago
    3440
  • Regression
  • Alpha
    -0.00
  • Beta
    0.34
  • Treynor Index
    0.02
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.02
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    15.20
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    91.48
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -3.26
  • MAE:Equity, average, winning trades
    0.01
  • MAE:Equity, average, losing trades
    0.02
  • Avg(MAE) / Avg(PL) - All trades
    0.732
  • 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
    0.02
  • Avg(MAE) / Avg(PL) - Winning trades
    0.302
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.274
  • Hold-and-Hope Ratio
    0.876
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.13055
  • SD
    0.23180
  • Sharpe ratio (Glass type estimate)
    0.56319
  • Sharpe ratio (Hedges UMVUE)
    0.55066
  • df
    34.00000
  • t
    0.96183
  • p
    0.17146
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.59622
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.71452
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.60442
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.70574
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.72257
  • Upside Potential Ratio
    1.98919
  • Upside part of mean
    0.35939
  • Downside part of mean
    -0.22884
  • Upside SD
    0.14482
  • Downside SD
    0.18067
  • N nonnegative terms
    25.00000
  • N negative terms
    10.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    35.00000
  • Mean of predictor
    0.37760
  • Mean of criterion
    0.13055
  • SD of predictor
    0.26142
  • SD of criterion
    0.23180
  • Covariance
    0.00783
  • r
    0.12929
  • b (slope, estimate of beta)
    0.11464
  • a (intercept, estimate of alpha)
    0.08726
  • Mean Square Error
    0.05443
  • DF error
    33.00000
  • t(b)
    0.74901
  • p(b)
    0.22958
  • t(a)
    0.58826
  • p(a)
    0.28018
  • Lowerbound of 95% confidence interval for beta
    -0.19675
  • Upperbound of 95% confidence interval for beta
    0.42603
  • Lowerbound of 95% confidence interval for alpha
    -0.21453
  • Upperbound of 95% confidence interval for alpha
    0.38905
  • Treynor index (mean / b)
    1.13876
  • Jensen alpha (a)
    0.08726
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.10149
  • SD
    0.24659
  • Sharpe ratio (Glass type estimate)
    0.41157
  • Sharpe ratio (Hedges UMVUE)
    0.40241
  • df
    34.00000
  • t
    0.70288
  • p
    0.24346
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.74319
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.56036
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.74921
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.55403
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.50496
  • Upside Potential Ratio
    1.73429
  • Upside part of mean
    0.34857
  • Downside part of mean
    -0.24708
  • Upside SD
    0.13976
  • Downside SD
    0.20099
  • N nonnegative terms
    25.00000
  • N negative terms
    10.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    35.00000
  • Mean of predictor
    0.34041
  • Mean of criterion
    0.10149
  • SD of predictor
    0.24969
  • SD of criterion
    0.24659
  • Covariance
    0.00707
  • r
    0.11490
  • b (slope, estimate of beta)
    0.11348
  • a (intercept, estimate of alpha)
    0.06286
  • Mean Square Error
    0.06182
  • DF error
    33.00000
  • t(b)
    0.66446
  • p(b)
    0.25551
  • t(a)
    0.40098
  • p(a)
    0.34551
  • Lowerbound of 95% confidence interval for beta
    -0.23398
  • Upperbound of 95% confidence interval for beta
    0.46094
  • Lowerbound of 95% confidence interval for alpha
    -0.25609
  • Upperbound of 95% confidence interval for alpha
    0.38181
  • Treynor index (mean / b)
    0.89436
  • Jensen alpha (a)
    0.06286
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.10294
  • Expected Shortfall on VaR
    0.12893
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02836
  • Expected Shortfall on VaR
    0.06821
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    35.00000
  • Minimum
    0.75435
  • Quartile 1
    0.99320
  • Median
    1.02642
  • Quartile 3
    1.04894
  • Maximum
    1.09378
  • Mean of quarter 1
    0.92881
  • Mean of quarter 2
    1.01478
  • Mean of quarter 3
    1.03776
  • Mean of quarter 4
    1.07420
  • Inter Quartile Range
    0.05573
  • Number outliers low
    4.00000
  • Percentage of outliers low
    0.11429
  • Mean of outliers low
    0.86472
  • 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)
    0.89759
  • VaR(95%) (moments method)
    0.06206
  • Expected Shortfall (moments method)
    0.67368
  • Extreme Value Index (regression method)
    0.61876
  • VaR(95%) (regression method)
    0.05214
  • Expected Shortfall (regression method)
    0.16030
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    3.00000
  • Minimum
    0.01039
  • Quartile 1
    0.03289
  • Median
    0.05538
  • Quartile 3
    0.18871
  • Maximum
    0.32204
  • Mean of quarter 1
    0.01039
  • Mean of quarter 2
    0.05538
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.32204
  • Inter Quartile Range
    0.15582
  • 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)
    0.15720
  • Compounded annual return (geometric extrapolation)
    0.13814
  • Calmar ratio (compounded annual return / max draw down)
    0.42896
  • Compounded annual return / average of 25% largest draw downs
    0.42896
  • Compounded annual return / Expected Shortfall lognormal
    1.07145
  • 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
    0.16937
  • SD
    0.25973
  • Sharpe ratio (Glass type estimate)
    0.65209
  • Sharpe ratio (Hedges UMVUE)
    0.65145
  • df
    767.00000
  • t
    1.11644
  • p
    0.13229
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.49335
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.79711
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.49378
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.79668
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.85463
  • Upside Potential Ratio
    6.76925
  • Upside part of mean
    1.34150
  • Downside part of mean
    -1.17213
  • Upside SD
    0.16795
  • Downside SD
    0.19817
  • N nonnegative terms
    434.00000
  • N negative terms
    334.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    768.00000
  • Mean of predictor
    0.39489
  • Mean of criterion
    0.16937
  • SD of predictor
    0.29079
  • SD of criterion
    0.25973
  • Covariance
    0.02789
  • r
    0.36927
  • b (slope, estimate of beta)
    0.32983
  • a (intercept, estimate of alpha)
    0.03900
  • Mean Square Error
    0.05834
  • DF error
    766.00000
  • t(b)
    10.99730
  • p(b)
    0.00000
  • t(a)
    0.27633
  • p(a)
    0.39118
  • Lowerbound of 95% confidence interval for beta
    0.27095
  • Upperbound of 95% confidence interval for beta
    0.38871
  • Lowerbound of 95% confidence interval for alpha
    -0.23879
  • Upperbound of 95% confidence interval for alpha
    0.31703
  • Treynor index (mean / b)
    0.51350
  • Jensen alpha (a)
    0.03912
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.13489
  • SD
    0.26409
  • Sharpe ratio (Glass type estimate)
    0.51076
  • Sharpe ratio (Hedges UMVUE)
    0.51026
  • df
    767.00000
  • t
    0.87447
  • p
    0.19107
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.63446
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.65565
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.63480
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.65531
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.65480
  • Upside Potential Ratio
    6.44458
  • Upside part of mean
    1.32756
  • Downside part of mean
    -1.19268
  • Upside SD
    0.16519
  • Downside SD
    0.20600
  • N nonnegative terms
    434.00000
  • N negative terms
    334.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    768.00000
  • Mean of predictor
    0.35168
  • Mean of criterion
    0.13489
  • SD of predictor
    0.29444
  • SD of criterion
    0.26409
  • Covariance
    0.02843
  • r
    0.36562
  • b (slope, estimate of beta)
    0.32793
  • a (intercept, estimate of alpha)
    0.01956
  • Mean Square Error
    0.06050
  • DF error
    766.00000
  • t(b)
    10.87180
  • p(b)
    0.00000
  • t(a)
    0.13578
  • p(a)
    0.44602
  • Lowerbound of 95% confidence interval for beta
    0.26872
  • Upperbound of 95% confidence interval for beta
    0.38714
  • Lowerbound of 95% confidence interval for alpha
    -0.26323
  • Upperbound of 95% confidence interval for alpha
    0.30235
  • Treynor index (mean / b)
    0.41133
  • Jensen alpha (a)
    0.01956
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02598
  • Expected Shortfall on VaR
    0.03258
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00913
  • Expected Shortfall on VaR
    0.02030
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    768.00000
  • Minimum
    0.83970
  • Quartile 1
    0.99535
  • Median
    1.00127
  • Quartile 3
    1.00647
  • Maximum
    1.06678
  • Mean of quarter 1
    0.98355
  • Mean of quarter 2
    0.99896
  • Mean of quarter 3
    1.00357
  • Mean of quarter 4
    1.01694
  • Inter Quartile Range
    0.01112
  • Number outliers low
    32.00000
  • Percentage of outliers low
    0.04167
  • Mean of outliers low
    0.95261
  • Number of outliers high
    38.00000
  • Percentage of outliers high
    0.04948
  • Mean of outliers high
    1.03624
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.54394
  • VaR(95%) (moments method)
    0.01608
  • Expected Shortfall (moments method)
    0.03944
  • Extreme Value Index (regression method)
    0.40191
  • VaR(95%) (regression method)
    0.01396
  • Expected Shortfall (regression method)
    0.02706
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    32.00000
  • Minimum
    0.00054
  • Quartile 1
    0.00310
  • Median
    0.00932
  • Quartile 3
    0.02875
  • Maximum
    0.41081
  • Mean of quarter 1
    0.00130
  • Mean of quarter 2
    0.00506
  • Mean of quarter 3
    0.01569
  • Mean of quarter 4
    0.10009
  • Inter Quartile Range
    0.02565
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    3.00000
  • Percentage of outliers high
    0.09375
  • Mean of outliers high
    0.19660
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.78815
  • VaR(95%) (moments method)
    0.10687
  • Expected Shortfall (moments method)
    0.50479
  • Extreme Value Index (regression method)
    1.63056
  • VaR(95%) (regression method)
    0.09646
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.20863
  • Compounded annual return (geometric extrapolation)
    0.17679
  • Calmar ratio (compounded annual return / max draw down)
    0.43035
  • Compounded annual return / average of 25% largest draw downs
    1.76632
  • Compounded annual return / Expected Shortfall lognormal
    5.42665
  • 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
    0.88058
  • SD
    0.31331
  • Sharpe ratio (Glass type estimate)
    2.81054
  • Sharpe ratio (Hedges UMVUE)
    2.79429
  • df
    130.00000
  • t
    1.98735
  • p
    0.41414
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.01253
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.59797
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.00176
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.58683
  • Statistics related to Sortino ratio
  • Sortino ratio
    4.58006
  • Upside Potential Ratio
    12.08270
  • Upside part of mean
    2.32306
  • Downside part of mean
    -1.44248
  • Upside SD
    0.25181
  • Downside SD
    0.19226
  • N nonnegative terms
    76.00000
  • N negative terms
    55.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.89051
  • Mean of criterion
    0.88058
  • SD of predictor
    0.42799
  • SD of criterion
    0.31331
  • Covariance
    0.02462
  • r
    0.18357
  • b (slope, estimate of beta)
    0.13438
  • a (intercept, estimate of alpha)
    0.76091
  • Mean Square Error
    0.09559
  • DF error
    129.00000
  • t(b)
    2.12096
  • p(b)
    0.38380
  • t(a)
    1.72592
  • p(a)
    0.40472
  • Lowerbound of 95% confidence interval for beta
    0.00902
  • Upperbound of 95% confidence interval for beta
    0.25974
  • Lowerbound of 95% confidence interval for alpha
    -0.11137
  • Upperbound of 95% confidence interval for alpha
    1.63319
  • Treynor index (mean / b)
    6.55285
  • Jensen alpha (a)
    0.76091
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.83062
  • SD
    0.31234
  • Sharpe ratio (Glass type estimate)
    2.65935
  • Sharpe ratio (Hedges UMVUE)
    2.64398
  • df
    130.00000
  • t
    1.88045
  • p
    0.41864
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.13622
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.44497
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.14639
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.43436
  • Statistics related to Sortino ratio
  • Sortino ratio
    4.24443
  • Upside Potential Ratio
    11.71130
  • Upside part of mean
    2.29187
  • Downside part of mean
    -1.46125
  • Upside SD
    0.24728
  • Downside SD
    0.19570
  • N nonnegative terms
    76.00000
  • N negative terms
    55.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.79640
  • Mean of criterion
    0.83062
  • SD of predictor
    0.43458
  • SD of criterion
    0.31234
  • Covariance
    0.02477
  • r
    0.18246
  • b (slope, estimate of beta)
    0.13113
  • a (intercept, estimate of alpha)
    0.72618
  • Mean Square Error
    0.09504
  • DF error
    129.00000
  • t(b)
    2.10769
  • p(b)
    0.38449
  • t(a)
    1.65499
  • p(a)
    0.40852
  • VAR (95 Confidence Intrvl)
    0.02600
  • Lowerbound of 95% confidence interval for beta
    0.00804
  • Upperbound of 95% confidence interval for beta
    0.25423
  • Lowerbound of 95% confidence interval for alpha
    -0.14196
  • Upperbound of 95% confidence interval for alpha
    1.59434
  • Treynor index (mean / b)
    6.33412
  • Jensen alpha (a)
    0.72618
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02817
  • Expected Shortfall on VaR
    0.03594
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01125
  • Expected Shortfall on VaR
    0.02318
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.94446
  • Quartile 1
    0.99214
  • Median
    1.00226
  • Quartile 3
    1.01333
  • Maximum
    1.06182
  • Mean of quarter 1
    0.98015
  • Mean of quarter 2
    0.99860
  • Mean of quarter 3
    1.00802
  • Mean of quarter 4
    1.02723
  • Inter Quartile Range
    0.02119
  • Number outliers low
    3.00000
  • Percentage of outliers low
    0.02290
  • Mean of outliers low
    0.95120
  • Number of outliers high
    3.00000
  • Percentage of outliers high
    0.02290
  • Mean of outliers high
    1.05588
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.24356
  • VaR(95%) (moments method)
    0.02002
  • Expected Shortfall (moments method)
    0.03201
  • Extreme Value Index (regression method)
    0.16422
  • VaR(95%) (regression method)
    0.02146
  • Expected Shortfall (regression method)
    0.03277
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    14.00000
  • Minimum
    0.00189
  • Quartile 1
    0.00909
  • Median
    0.01401
  • Quartile 3
    0.03997
  • Maximum
    0.10611
  • Mean of quarter 1
    0.00605
  • Mean of quarter 2
    0.01185
  • Mean of quarter 3
    0.02294
  • Mean of quarter 4
    0.06572
  • Inter Quartile Range
    0.03089
  • 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
    0.07143
  • Mean of outliers high
    0.10611
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -0.74309
  • VaR(95%) (moments method)
    0.07575
  • Expected Shortfall (moments method)
    0.08331
  • Extreme Value Index (regression method)
    0.86062
  • VaR(95%) (regression method)
    0.05509
  • Last 4 Months - Pcnt Negative
    0.50%
  • Expected Shortfall (regression method)
    0.16754
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -393595000
  • Max Equity Drawdown (num days)
    1712
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    1.07225
  • Compounded annual return (geometric extrapolation)
    1.35968
  • Calmar ratio (compounded annual return / max draw down)
    12.81360
  • Compounded annual return / average of 25% largest draw downs
    20.68790
  • Compounded annual return / Expected Shortfall lognormal
    37.82670

Strategy Description

Stitts US Stocks holds 5 highly liquid stocks registered on US exchanges. Trading instructions are issued on the first day of the week, either during the day or about 5 minutes before close of trading. A stop loss is issued for each holding.
Trade this strategy at Interactive Brokers

Summary Statistics

Strategy began
2013-09-27
Suggested Minimum Capital
$5,000
# Trades
27
# Profitable
17
% Profitable
63.0%
Net Dividends
$1,240
Correlation S&P500
0.377
Sharpe Ratio
0.15
Sortino Ratio
0.20
Beta
0.34
Alpha
-0.00

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.

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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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