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These are hypothetical performance results that have certain inherent limitations. Learn more
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Pangolin W
(83498021)

Created by: KevinMcGrath2 KevinMcGrath2
Started: 10/2013
Stocks
Last trade: 3,410 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. You can subscribe to this system for free.

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.

20.9%
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.

-
Max Drawdown
299
Num Trades
64.5%
Win Trades
1.6 : 1
Profit Factor
10.2%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2013                                                               +3.4%+7.0%+2.1%+13.0%
2014(6.4%)+1.7%+2.8%+3.8%+1.5%+8.2%(3.5%)+7.5%(3.6%)(3.6%)+3.7%+0.7%+12.2%
2015+0.1%  -    -    -    -    -    -    -    -  +0.1%  -    -  +0.1%
2016  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2017  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2018  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2019  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2020  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2021  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2022  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2023  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2024  -    -    -    -                                                  0.0

Model Account Details

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

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

Trading Record

This strategy has placed 107 trades in real-life brokerage accounts. The most recent trade in a real-money brokerage account occurred more than 3741 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
12/16/14 9:31 AIV APARTMENT INVESTMENT LONG 110 35.94 12/19 9:30 36.78 0.13%
Trade id #91350716
Max drawdown($40)
Time12/16/14 10:15
Quant open110
Worst price35.57
Drawdown as % of equity-0.13%
 $90
Includes Typical Broker Commissions trade costs of $2.20
12/16/14 9:30 PSA PUBLIC STORAGE LONG 25 179.97 12/18 15:57 185.14 0.12%
Trade id #91350743
Max drawdown($38)
Time12/16/14 10:10
Quant open25
Worst price178.42
Drawdown as % of equity-0.12%
 $129
Includes Typical Broker Commissions trade costs of $0.50
12/9/14 9:30 AAPL APPLE LONG 25 110.11 12/18 13:36 112.21 0.32%
Trade id #91217080
Max drawdown($100)
Time12/16/14 8:01
Quant open25
Worst price106.10
Drawdown as % of equity-0.32%
 $53
Includes Typical Broker Commissions trade costs of $0.50
12/12/14 9:30 MYL MYLAN N.V. ORDINARY SHARES LONG 40 54.10 12/18 10:08 56.38 0.1%
Trade id #91293604
Max drawdown($33)
Time12/12/14 16:00
Quant open40
Worst price53.27
Drawdown as % of equity-0.10%
 $90
Includes Typical Broker Commissions trade costs of $0.80
12/16/14 9:30 RAI REYNOLDS AMERICAN LONG 120 31.64 12/18 10:01 32.44 0.07%
Trade id #91350734
Max drawdown($23)
Time12/16/14 9:32
Quant open60
Worst price62.88
Drawdown as % of equity-0.07%
 $94
Includes Typical Broker Commissions trade costs of $2.40
12/10/14 9:30 RHT RED HAT LONG 60 59.09 12/18 9:30 60.69 0.3%
Trade id #91242834
Max drawdown($94)
Time12/12/14 18:01
Quant open60
Worst price57.51
Drawdown as % of equity-0.30%
 $95
Includes Typical Broker Commissions trade costs of $1.20
12/15/14 10:42 BLK BLACKROCK LONG 10 340.75 12/18 9:30 355.13 0.19%
Trade id #91325467
Max drawdown($61)
Time12/16/14 9:35
Quant open10
Worst price334.60
Drawdown as % of equity-0.19%
 $144
Includes Typical Broker Commissions trade costs of $0.20
12/16/14 9:30 PDCO PATTERSON COMPANIES LONG 85 47.09 12/18 9:30 48.48 0.12%
Trade id #91350578
Max drawdown($37)
Time12/17/14 10:43
Quant open85
Worst price46.65
Drawdown as % of equity-0.12%
 $116
Includes Typical Broker Commissions trade costs of $1.70
12/12/14 9:30 LEN LENNAR LONG 60 42.81 12/18 9:30 43.79 0.3%
Trade id #91293651
Max drawdown($93)
Time12/16/14 7:26
Quant open60
Worst price41.25
Drawdown as % of equity-0.30%
 $58
Includes Typical Broker Commissions trade costs of $1.20
12/15/14 11:05 ABBV ABBVIE INC LONG 45 65.27 12/18 9:30 67.85 0.07%
Trade id #91326340
Max drawdown($21)
Time12/16/14 9:33
Quant open45
Worst price64.80
Drawdown as % of equity-0.07%
 $115
Includes Typical Broker Commissions trade costs of $0.90
12/11/14 9:30 PHM PULTEGROUP LONG 125 20.47 12/18 9:30 20.73 0.31%
Trade id #91270217
Max drawdown($97)
Time12/17/14 9:31
Quant open125
Worst price19.69
Drawdown as % of equity-0.31%
 $31
Includes Typical Broker Commissions trade costs of $2.50
12/10/14 9:33 MPC MARATHON PETROLEUM LONG 40 43.40 12/18 9:30 43.08 0.43%
Trade id #91243241
Max drawdown($136)
Time12/16/14 9:35
Quant open20
Worst price80.00
Drawdown as % of equity-0.43%
 ($14)
Includes Typical Broker Commissions trade costs of $0.80
12/15/14 11:27 NVDA NVIDIA LONG 140 19.63 12/18 9:30 20.43 0.24%
Trade id #91327388
Max drawdown($74)
Time12/17/14 9:41
Quant open140
Worst price19.10
Drawdown as % of equity-0.24%
 $109
Includes Typical Broker Commissions trade costs of $2.80
12/9/14 9:30 UNP UNION PACIFIC LONG 20 111.89 12/17 15:40 114.73 0.04%
Trade id #91217157
Max drawdown($12)
Time12/17/14 9:35
Quant open20
Worst price111.28
Drawdown as % of equity-0.04%
 $57
Includes Typical Broker Commissions trade costs of $0.40
12/9/14 9:30 ADSK AUTODESK LONG 55 59.47 12/16 9:30 56.47 0.52%
Trade id #91217138
Max drawdown($165)
Time12/16/14 9:30
Quant open0
Worst price56.47
Drawdown as % of equity-0.52%
 ($166)
Includes Typical Broker Commissions trade costs of $1.10
12/9/14 9:30 MDLZ MONDELEZ INTERNATIONAL LONG 130 37.89 12/15 11:23 36.76 0.46%
Trade id #91217258
Max drawdown($147)
Time12/15/14 11:23
Quant open0
Worst price36.76
Drawdown as % of equity-0.46%
 ($150)
Includes Typical Broker Commissions trade costs of $2.60
12/8/14 15:40 MCO MOODY'S LONG 45 97.82 12/12 14:23 94.26 0.5%
Trade id #91201158
Max drawdown($160)
Time12/12/14 14:23
Quant open0
Worst price94.26
Drawdown as % of equity-0.50%
 ($161)
Includes Typical Broker Commissions trade costs of $0.90
12/9/14 9:30 JCI JOHNSON CONTROLS LONG 85 48.30 12/12 11:28 46.56 0.46%
Trade id #91217298
Max drawdown($148)
Time12/12/14 11:28
Quant open0
Worst price46.56
Drawdown as % of equity-0.46%
 ($150)
Includes Typical Broker Commissions trade costs of $1.70
12/5/14 10:29 MNST MONSTER BEVERAGE LONG 25 106.41 12/11 9:31 107.52 0.25%
Trade id #91168886
Max drawdown($80)
Time12/9/14 10:37
Quant open25
Worst price103.18
Drawdown as % of equity-0.25%
 $28
Includes Typical Broker Commissions trade costs of $0.50
11/24/14 9:30 GMCR KEURIG GREEN MOUNTAIN INC. CO LONG 15 140.28 12/10 10:00 137.17 0.51%
Trade id #90957115
Max drawdown($163)
Time12/9/14 10:17
Quant open15
Worst price129.36
Drawdown as % of equity-0.51%
 ($47)
Includes Typical Broker Commissions trade costs of $0.30
12/1/14 9:30 WMB WILLIAMS COMPANIES LONG 50 51.10 12/8 9:57 48.47 0.41%
Trade id #91069686
Max drawdown($132)
Time12/8/14 9:57
Quant open0
Worst price48.47
Drawdown as % of equity-0.41%
 ($133)
Includes Typical Broker Commissions trade costs of $1.00
12/3/14 13:31 VRSN VERISIGN LONG 70 58.44 12/5 9:35 59.46 0.03%
Trade id #91126772
Max drawdown($9)
Time12/3/14 13:49
Quant open70
Worst price58.30
Drawdown as % of equity-0.03%
 $70
Includes Typical Broker Commissions trade costs of $1.40
12/1/14 9:31 KSU KANSAS CITY SOUTHERN LONG 30 118.27 12/1 9:53 113.58 0.43%
Trade id #91070008
Max drawdown($141)
Time12/1/14 9:53
Quant open0
Worst price113.58
Drawdown as % of equity-0.43%
 ($142)
Includes Typical Broker Commissions trade costs of $0.60
11/26/14 9:30 VZ VERIZON COMMUNICATIONS LONG 90 49.32 11/28 9:33 50.55 n/a $109
Includes Typical Broker Commissions trade costs of $1.80
11/25/14 9:31 PCG PACIFIC GAS & ELECTRIC CO. LONG 70 49.22 11/28 9:30 50.28 0.06%
Trade id #90982652
Max drawdown($18)
Time11/25/14 12:32
Quant open70
Worst price48.96
Drawdown as % of equity-0.06%
 $73
Includes Typical Broker Commissions trade costs of $1.40
11/14/14 9:36 WEC WEC ENERGY GROUP LONG 65 47.54 11/28 9:30 48.71 0.01%
Trade id #90804603
Max drawdown($2)
Time11/14/14 9:38
Quant open65
Worst price47.50
Drawdown as % of equity-0.01%
 $75
Includes Typical Broker Commissions trade costs of $1.30
11/24/14 10:16 RSG REPUBLIC SERVICES LONG 115 39.00 11/26 9:30 39.50 0.02%
Trade id #90959225
Max drawdown($5)
Time11/24/14 10:29
Quant open115
Worst price38.95
Drawdown as % of equity-0.02%
 $56
Includes Typical Broker Commissions trade costs of $2.30
11/20/14 9:30 TSS TOTAL SYSTEM SERVICES LONG 120 32.28 11/24 15:45 33.02 0.04%
Trade id #90904606
Max drawdown($13)
Time11/20/14 9:33
Quant open120
Worst price32.17
Drawdown as % of equity-0.04%
 $87
Includes Typical Broker Commissions trade costs of $2.40
11/14/14 9:30 EXC EXELON LONG 75 35.21 11/21 9:30 36.29 n/a $80
Includes Typical Broker Commissions trade costs of $1.50
11/13/14 13:24 NI NISOURCE LONG 75 41.12 11/21 9:30 41.71 0.13%
Trade id #90786432
Max drawdown($39)
Time11/14/14 15:25
Quant open75
Worst price40.59
Drawdown as % of equity-0.13%
 $43
Includes Typical Broker Commissions trade costs of $1.50
Next

Statistics

  • Strategy began
    10/14/2013
  • Suggested Minimum Cap
    $25,000
  • Strategy Age (days)
    3833.86
  • Age
    128 months ago
  • What it trades
    Stocks
  • # Trades
    299
  • # Profitable
    193
  • % Profitable
    64.50%
  • Avg trade duration
    6.0 days
  • Max peak-to-valley drawdown
    %
  • drawdown period
    Dec , - Dec ,
  • Annual Return (Compounded)
    20.9%
  • Avg win
    $112.91
  • Avg loss
    $134.25
  • Model Account Values (Raw)
  • Cash
    $32,979
  • Margin Used
    $0
  • Buying Power
    $32,979
  • Ratios
  • W:L ratio
    1.56:1
  • Sharpe Ratio
    0.1
  • Sortino Ratio
    0.18
  • Calmar Ratio
    1.182
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    3.77%
  • Correlation to SP500
    0.09540
  • Return Percent SP500 (cumu) during strategy life
    190.46%
  • Return Statistics
  • Ann Return (w trading costs)
    20.9%
  • Slump
  • Current Slump as Pcnt Equity
    3.20%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.92%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.209%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    2.7%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    2.00%
  • 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
  • Automation
  • Percentage Signals Automated
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    613
  • Popularity (Last 6 weeks)
    620
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $134
  • Avg Win
    $113
  • Sum Trade PL (losers)
    $14,230.000
  • Age
  • Num Months filled monthly returns table
    127
  • Win / Loss
  • Sum Trade PL (winners)
    $21,792.000
  • # Winners
    193
  • Num Months Winners
    14
  • Dividends
  • Dividends Received in Model Acct
    427
  • Win / Loss
  • # Losers
    106
  • % Winners
    64.5%
  • Frequency
  • Avg Position Time (mins)
    8711.55
  • Avg Position Time (hrs)
    145.19
  • Avg Trade Length
    6.0 days
  • Last Trade Ago
    3404
  • Regression
  • Alpha
    0.00
  • Beta
    0.02
  • Treynor Index
    0.06
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.00
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    61.96
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    53.97
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    0.46
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.01
  • Avg(MAE) / Avg(PL) - All trades
    4.233
  • 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
    0.486
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.171
  • Hold-and-Hope Ratio
    0.235
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.22287
  • SD
    0.14833
  • Sharpe ratio (Glass type estimate)
    1.50248
  • Sharpe ratio (Hedges UMVUE)
    1.42028
  • df
    14.00000
  • t
    1.67983
  • p
    0.29522
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.35937
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.31601
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.41000
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.25056
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.64034
  • Upside Potential Ratio
    4.14484
  • Upside part of mean
    0.34987
  • Downside part of mean
    -0.12699
  • Upside SD
    0.13248
  • Downside SD
    0.08441
  • N nonnegative terms
    11.00000
  • N negative terms
    4.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    15.00000
  • Mean of predictor
    0.14735
  • Mean of criterion
    0.22287
  • SD of predictor
    0.08201
  • SD of criterion
    0.14833
  • Covariance
    0.00841
  • r
    0.69098
  • b (slope, estimate of beta)
    1.24979
  • a (intercept, estimate of alpha)
    0.03871
  • Mean Square Error
    0.01238
  • DF error
    13.00000
  • t(b)
    3.44643
  • p(b)
    0.09819
  • t(a)
    0.34266
  • p(a)
    0.43986
  • Lowerbound of 95% confidence interval for beta
    0.46637
  • Upperbound of 95% confidence interval for beta
    2.03321
  • Lowerbound of 95% confidence interval for alpha
    -0.20534
  • Upperbound of 95% confidence interval for alpha
    0.28276
  • Treynor index (mean / b)
    0.17833
  • Jensen alpha (a)
    0.03871
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.21053
  • SD
    0.14812
  • Sharpe ratio (Glass type estimate)
    1.42137
  • Sharpe ratio (Hedges UMVUE)
    1.34360
  • df
    14.00000
  • t
    1.58914
  • p
    0.30454
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.43069
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.22727
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.47872
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.16592
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.41144
  • Upside Potential Ratio
    3.90751
  • Upside part of mean
    0.34114
  • Downside part of mean
    -0.13061
  • Upside SD
    0.12864
  • Downside SD
    0.08730
  • N nonnegative terms
    11.00000
  • N negative terms
    4.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    15.00000
  • Mean of predictor
    0.14328
  • Mean of criterion
    0.21053
  • SD of predictor
    0.08091
  • SD of criterion
    0.14812
  • Covariance
    0.00843
  • r
    0.70353
  • b (slope, estimate of beta)
    1.28796
  • a (intercept, estimate of alpha)
    0.02599
  • Mean Square Error
    0.01193
  • DF error
    13.00000
  • t(b)
    3.56934
  • p(b)
    0.09246
  • t(a)
    0.23511
  • p(a)
    0.45860
  • Lowerbound of 95% confidence interval for beta
    0.50841
  • Upperbound of 95% confidence interval for beta
    2.06752
  • Lowerbound of 95% confidence interval for alpha
    -0.21282
  • Upperbound of 95% confidence interval for alpha
    0.26480
  • Treynor index (mean / b)
    0.16346
  • Jensen alpha (a)
    0.02599
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.05142
  • Expected Shortfall on VaR
    0.06810
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01531
  • Expected Shortfall on VaR
    0.03543
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    15.00000
  • Minimum
    0.92170
  • Quartile 1
    1.00249
  • Median
    1.02796
  • Quartile 3
    1.04887
  • Maximum
    1.08366
  • Mean of quarter 1
    0.96114
  • Mean of quarter 2
    1.02080
  • Mean of quarter 3
    1.03718
  • Mean of quarter 4
    1.06293
  • Inter Quartile Range
    0.04639
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.06667
  • Mean of outliers low
    0.92170
  • 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)
    -2.54602
  • VaR(95%) (moments method)
    0.03019
  • Expected Shortfall (moments method)
    0.03062
  • Extreme Value Index (regression method)
    -0.13589
  • VaR(95%) (regression method)
    0.07150
  • Expected Shortfall (regression method)
    0.10147
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    3.00000
  • Minimum
    0.01025
  • Quartile 1
    0.03805
  • Median
    0.06585
  • Quartile 3
    0.07207
  • Maximum
    0.07830
  • Mean of quarter 1
    0.01025
  • Mean of quarter 2
    0.06585
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.07830
  • Inter Quartile Range
    0.03403
  • 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)
    0.25386
  • Compounded annual return (geometric extrapolation)
    0.24667
  • Calmar ratio (compounded annual return / max draw down)
    3.15039
  • Compounded annual return / average of 25% largest draw downs
    3.15039
  • Compounded annual return / Expected Shortfall lognormal
    3.62234
  • 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
    0.21361
  • SD
    0.10611
  • Sharpe ratio (Glass type estimate)
    2.01304
  • Sharpe ratio (Hedges UMVUE)
    2.00956
  • df
    434.00000
  • t
    2.26370
  • p
    0.01204
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.26388
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.75999
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.26150
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.75762
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.86805
  • Upside Potential Ratio
    11.42270
  • Upside part of mean
    0.63081
  • Downside part of mean
    -0.41720
  • Upside SD
    0.09120
  • Downside SD
    0.05522
  • N nonnegative terms
    201.00000
  • N negative terms
    234.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    435.00000
  • Mean of predictor
    0.15416
  • Mean of criterion
    0.21361
  • SD of predictor
    0.10745
  • SD of criterion
    0.10611
  • Covariance
    0.00462
  • r
    0.40483
  • b (slope, estimate of beta)
    0.39980
  • a (intercept, estimate of alpha)
    0.06000
  • Mean Square Error
    0.00944
  • DF error
    433.00000
  • t(b)
    9.21269
  • p(b)
    -0.00000
  • t(a)
    1.75404
  • p(a)
    0.04007
  • Lowerbound of 95% confidence interval for beta
    0.31451
  • Upperbound of 95% confidence interval for beta
    0.48509
  • Lowerbound of 95% confidence interval for alpha
    -0.01832
  • Upperbound of 95% confidence interval for alpha
    0.32227
  • Treynor index (mean / b)
    0.53430
  • Jensen alpha (a)
    0.15198
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.20800
  • SD
    0.10512
  • Sharpe ratio (Glass type estimate)
    1.97865
  • Sharpe ratio (Hedges UMVUE)
    1.97523
  • df
    434.00000
  • t
    2.22502
  • p
    0.01330
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.22966
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.72547
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.22734
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.72311
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.74686
  • Upside Potential Ratio
    11.28980
  • Upside part of mean
    0.62672
  • Downside part of mean
    -0.41872
  • Upside SD
    0.08983
  • Downside SD
    0.05551
  • N nonnegative terms
    201.00000
  • N negative terms
    234.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    435.00000
  • Mean of predictor
    0.14836
  • Mean of criterion
    0.20800
  • SD of predictor
    0.10751
  • SD of criterion
    0.10512
  • Covariance
    0.00462
  • r
    0.40908
  • b (slope, estimate of beta)
    0.39997
  • a (intercept, estimate of alpha)
    0.14865
  • Mean Square Error
    0.00922
  • DF error
    433.00000
  • t(b)
    9.32874
  • p(b)
    -0.00000
  • t(a)
    1.73590
  • p(a)
    0.04165
  • Lowerbound of 95% confidence interval for beta
    0.31570
  • Upperbound of 95% confidence interval for beta
    0.48424
  • Lowerbound of 95% confidence interval for alpha
    -0.01966
  • Upperbound of 95% confidence interval for alpha
    0.31697
  • Treynor index (mean / b)
    0.52003
  • Jensen alpha (a)
    0.14865
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00868
  • Expected Shortfall on VaR
    0.01102
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00289
  • Expected Shortfall on VaR
    0.00603
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    435.00000
  • Minimum
    0.98152
  • Quartile 1
    0.99928
  • Median
    1.00000
  • Quartile 3
    1.00190
  • Maximum
    1.05737
  • Mean of quarter 1
    0.99529
  • Mean of quarter 2
    0.99993
  • Mean of quarter 3
    1.00076
  • Mean of quarter 4
    1.00662
  • Inter Quartile Range
    0.00261
  • Number outliers low
    40.00000
  • Percentage of outliers low
    0.09195
  • Mean of outliers low
    0.99168
  • Number of outliers high
    42.00000
  • Percentage of outliers high
    0.09655
  • Mean of outliers high
    1.01166
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.29398
  • VaR(95%) (moments method)
    0.00313
  • Expected Shortfall (moments method)
    0.00398
  • Extreme Value Index (regression method)
    -0.02645
  • VaR(95%) (regression method)
    0.00473
  • Expected Shortfall (regression method)
    0.00702
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    25.00000
  • Minimum
    0.00044
  • Quartile 1
    0.00206
  • Median
    0.00756
  • Quartile 3
    0.01670
  • Maximum
    0.08435
  • Mean of quarter 1
    0.00130
  • Mean of quarter 2
    0.00466
  • Mean of quarter 3
    0.01342
  • Mean of quarter 4
    0.04169
  • Inter Quartile Range
    0.01463
  • 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
    0.12000
  • Mean of outliers high
    0.06422
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.55346
  • VaR(95%) (moments method)
    0.04672
  • Expected Shortfall (moments method)
    0.11085
  • Extreme Value Index (regression method)
    0.88155
  • VaR(95%) (regression method)
    0.04557
  • Expected Shortfall (regression method)
    0.32343
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.25094
  • Compounded annual return (geometric extrapolation)
    0.24352
  • Calmar ratio (compounded annual return / max draw down)
    2.88688
  • Compounded annual return / average of 25% largest draw downs
    5.84147
  • Compounded annual return / Expected Shortfall lognormal
    22.09240
  • 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
    0.03654
  • SD
    0.09967
  • Sharpe ratio (Glass type estimate)
    0.36660
  • Sharpe ratio (Hedges UMVUE)
    0.36499
  • df
    171.00000
  • t
    0.25922
  • p
    0.48738
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.40601
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.13815
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.40709
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.13706
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.68598
  • Upside Potential Ratio
    8.92307
  • Upside part of mean
    0.47529
  • Downside part of mean
    -0.43875
  • Upside SD
    0.08392
  • Downside SD
    0.05327
  • N nonnegative terms
    61.00000
  • N negative terms
    111.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    172.00000
  • Mean of predictor
    0.09926
  • Mean of criterion
    0.03654
  • SD of predictor
    0.11916
  • SD of criterion
    0.09967
  • Covariance
    0.00628
  • r
    0.52908
  • b (slope, estimate of beta)
    0.44255
  • a (intercept, estimate of alpha)
    -0.00739
  • Mean Square Error
    0.00720
  • DF error
    170.00000
  • t(b)
    8.12936
  • p(b)
    0.23546
  • t(a)
    -0.06151
  • p(a)
    0.50236
  • Lowerbound of 95% confidence interval for beta
    0.33509
  • Upperbound of 95% confidence interval for beta
    0.55001
  • Lowerbound of 95% confidence interval for alpha
    -0.24444
  • Upperbound of 95% confidence interval for alpha
    0.22966
  • Treynor index (mean / b)
    0.08256
  • Jensen alpha (a)
    -0.00739
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.03165
  • SD
    0.09883
  • Sharpe ratio (Glass type estimate)
    0.32028
  • Sharpe ratio (Hedges UMVUE)
    0.31888
  • df
    171.00000
  • t
    0.22648
  • p
    0.48898
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.45215
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.09188
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.45314
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.09089
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.59171
  • Upside Potential Ratio
    8.81973
  • Upside part of mean
    0.47182
  • Downside part of mean
    -0.44017
  • Upside SD
    0.08278
  • Downside SD
    0.05350
  • N nonnegative terms
    61.00000
  • N negative terms
    111.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    172.00000
  • Mean of predictor
    0.09218
  • Mean of criterion
    0.03165
  • SD of predictor
    0.11916
  • SD of criterion
    0.09883
  • Covariance
    0.00627
  • r
    0.53214
  • b (slope, estimate of beta)
    0.44135
  • a (intercept, estimate of alpha)
    -0.00903
  • Mean Square Error
    0.00704
  • DF error
    170.00000
  • t(b)
    8.19491
  • p(b)
    0.23393
  • t(a)
    -0.07603
  • p(a)
    0.50292
  • VAR (95 Confidence Intrvl)
    0.00700
  • Lowerbound of 95% confidence interval for beta
    0.33504
  • Upperbound of 95% confidence interval for beta
    0.54767
  • Lowerbound of 95% confidence interval for alpha
    -0.24352
  • Upperbound of 95% confidence interval for alpha
    0.22546
  • Treynor index (mean / b)
    0.07172
  • Jensen alpha (a)
    -0.00903
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00864
  • Expected Shortfall on VaR
    0.01084
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00342
  • Expected Shortfall on VaR
    0.00677
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    172.00000
  • Minimum
    0.98462
  • Quartile 1
    0.99887
  • Median
    1.00000
  • Quartile 3
    1.00071
  • Maximum
    1.03933
  • Mean of quarter 1
    0.99512
  • Mean of quarter 2
    0.99985
  • Mean of quarter 3
    1.00016
  • Mean of quarter 4
    1.00540
  • Inter Quartile Range
    0.00184
  • Number outliers low
    22.00000
  • Percentage of outliers low
    0.12791
  • Mean of outliers low
    0.99305
  • Number of outliers high
    20.00000
  • Percentage of outliers high
    0.11628
  • Mean of outliers high
    1.00965
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.87259
  • VaR(95%) (moments method)
    0.00363
  • Expected Shortfall (moments method)
    0.00400
  • Extreme Value Index (regression method)
    0.06273
  • VaR(95%) (regression method)
    0.00428
  • Expected Shortfall (regression method)
    0.00643
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    5.00000
  • Minimum
    0.00336
  • Quartile 1
    0.00535
  • Median
    0.00837
  • Quartile 3
    0.04115
  • Maximum
    0.06715
  • Mean of quarter 1
    0.00436
  • Mean of quarter 2
    0.00837
  • Mean of quarter 3
    0.04115
  • Mean of quarter 4
    0.06715
  • Inter Quartile Range
    0.03580
  • 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
    n/a
  • Expected Shortfall (regression method)
    0.00000
  • Max Equity Drawdown (num days)
    29
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.04204
  • Compounded annual return (geometric extrapolation)
    0.04248
  • Calmar ratio (compounded annual return / max draw down)
    0.63266
  • Compounded annual return / average of 25% largest draw downs
    0.63266
  • Compounded annual return / Expected Shortfall lognormal
    3.91962

Strategy Description

Pangolin W uses statistical analysis of the trading behavior of SP 500 stocks to find stocks currently in a short-term pullback while still remaining in a longer-term uptrend.

Positions are taken and exited using limit orders put in place to capture profit based on ATR and price action. All trades are protected with stop losses, a fixed number of positions and equity amount per trade, and short holding times (typically 3 days).
Trade this strategy at Interactive Brokers

Summary Statistics

Strategy began
2013-10-14
Suggested Minimum Capital
$25,000
# Trades
299
# Profitable
193
% Profitable
64.5%
Net Dividends
$426
Correlation S&P500
0.095
Sharpe Ratio
0.10
Sortino Ratio
0.18
Beta
0.02
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.

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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