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Featured Strategy S2Prox0 Trades-Own-Strategy Certified Trades-Own-Strategy Certification Hypothetical

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This strategy is no longer supported by its creator.
These are hypothetical performance results that have certain inherent limitations. Learn more
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PiF Swing RSI Pullback
(87046564)

Created by: StefanKremen StefanKremen
Started: 04/2014
Stocks
Last trade: 3,292 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 $99.00 per month.

C2Star

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

You can read more about C2Star certification requirements here.

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

6.1%
Annual Return (Compounded)

Rate of Return Calculations

Overview

To comply with NFA regulations, we display Cumulative Rate of Return for strategies with a track record of less than one year. For strategies with longer track records, we display Annualized (Compounded) Rate of Return.

How Annualized (Compounded) Rate of Return is calculated

= ((Ending_equity / Starting_equity) ^ (1 / age_in_years)) - 1

Remember that, following NFA requirements, strategy subscription costs and estimated commissions are included in marked-to-market equity calculations.

All results are hypothetical.

(19.6%)
Max Drawdown
122
Num Trades
78.7%
Win Trades
1.8 : 1
Profit Factor
52.5%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2014                     +0.9%+1.2%+0.4%(0.7%)+5.6%(6.4%)(2%)+5.1%(5.1%)(1.6%)
2015+2.9%+1.8%(0.1%)(5.3%)+3.6%(0.4%)+8.6%(6.4%)+1.6%+12.8%(7%)+4.2%+15.5%
2016(7.5%)+6.3%+9.1%(2.7%)(3.6%)+2.0%+10.7%(1.5%)(4.3%)(10.2%)+0.9%+1.7%(1.2%)
2017+4.3%+2.9%(6%)+3.4%(4%)+4.9%(1.3%)+1.6%(0.3%)(1.7%)+0.6%+7.2%+11.4%
2018+1.0%(4.8%)(1.7%)(0.6%)+1.4%+0.6%+0.5%+8.5%(0.7%)(4.2%)+3.9%(15.4%)(12.5%)
2019+12.5%+2.4%(2%)+0.5%+0.7%  -  (7.2%)+6.0%(1.3%)(0.8%)+5.2%+4.9%
2020(11.5%)(4.3%)(59.3%)+11.7%(11.6%)+24.6%(3.1%)+8.0%(4.2%)(5%)+39.9%(2.6%)(45%)
2021+6.2%+24.0%+2.6%+4.9%+9.6%(4.2%)(2.3%)+6.8%  -  +5.3%+2.4%(4.4%)+60.1%
2022+0.1%(0.4%)(6.7%)(6.4%)(4.3%)(16.2%)+7.9%+6.3%(16.2%)+22.9%+5.7%(6.2%)(18.2%)
2023+9.3%(1.9%)(10.6%)+4.5%(5.8%)+6.5%+12.7%(7.8%)+0.4%(5.5%)+15.6%+13.8%+30.3%
2024(1.3%)+3.9%+0.6%(2.7%)                                                +0.4%

Model Account Details

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

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

System developer has asked us to delay this information by 72 hours.

Trading Record

Download CSV
Long
Short
Both
Win
Loss
Both
Show More details Show Fewer details
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
4/8/15 15:59 WHR WHIRLPOOL LONG 250 195.10 4/14 15:59 195.62 1.41%
Trade id #93748490
Max drawdown($764)
Time4/14/15 9:58
Quant open250
Worst price192.04
Drawdown as % of equity-1.41%
 $126
Includes Typical Broker Commissions trade costs of $5.00
4/2/15 15:59 URBN URBAN OUTFITTERS LONG 1,130 43.62 4/10 15:59 43.83 0.58%
Trade id #93656922
Max drawdown($311)
Time4/9/15 11:27
Quant open678
Worst price43.24
Drawdown as % of equity-0.58%
 $213
Includes Typical Broker Commissions trade costs of $13.80
4/7/15 15:59 MAR MARRIOT INTERNATIONAL CLASS A LONG 63 79.18 4/8 15:59 80.14 0%
Trade id #93723679
Max drawdown($1)
Time4/7/15 16:01
Quant open63
Worst price79.15
Drawdown as % of equity-0.00%
 $60
Includes Typical Broker Commissions trade costs of $1.26
4/6/15 15:59 BMY BRISTOL-MYERS SQUIBB LONG 237 62.99 4/8 15:59 63.51 0.06%
Trade id #93698806
Max drawdown($33)
Time4/7/15 9:16
Quant open79
Worst price62.58
Drawdown as % of equity-0.06%
 $117
Includes Typical Broker Commissions trade costs of $4.74
4/1/15 15:59 TWX TIME WARNER INC LONG 60 82.68 4/2 15:59 85.03 0.01%
Trade id #93631211
Max drawdown($4)
Time4/2/15 9:33
Quant open60
Worst price82.60
Drawdown as % of equity-0.01%
 $140
Includes Typical Broker Commissions trade costs of $1.20
3/26/15 15:59 ADBE ADOBE INC LONG 68 73.01 4/1 15:59 74.98 0.06%
Trade id #93518028
Max drawdown($30)
Time3/27/15 9:31
Quant open68
Worst price72.56
Drawdown as % of equity-0.06%
 $133
Includes Typical Broker Commissions trade costs of $1.36
3/24/15 15:59 BMY BRISTOL-MYERS SQUIBB LONG 228 65.09 3/30 15:59 65.79 0.5%
Trade id #93458910
Max drawdown($264)
Time3/26/15 8:50
Quant open228
Worst price63.93
Drawdown as % of equity-0.50%
 $155
Includes Typical Broker Commissions trade costs of $4.56
3/23/15 15:59 UNP UNION PACIFIC LONG 264 109.89 3/30 15:59 110.21 1.19%
Trade id #93427147
Max drawdown($628)
Time3/26/15 9:31
Quant open132
Worst price106.75
Drawdown as % of equity-1.19%
 $79
Includes Typical Broker Commissions trade costs of $5.28
3/17/15 15:59 DD DU PONT DE NEMOURS & CO LONG 660 73.24 3/30 15:59 72.61 2.52%
Trade id #93287716
Max drawdown($1,308)
Time3/26/15 11:14
Quant open660
Worst price71.26
Drawdown as % of equity-2.52%
 ($427)
Includes Typical Broker Commissions trade costs of $9.10
3/6/15 15:59 MO ALTRIA LONG 930 51.68 3/23 15:59 51.64 1.87%
Trade id #93051667
Max drawdown($991)
Time3/18/15 13:55
Quant open558
Worst price50.15
Drawdown as % of equity-1.87%
 ($45)
Includes Typical Broker Commissions trade costs of $11.80
3/13/15 15:59 CSCO CISCO SYSTEMS LONG 179 27.95 3/16 15:59 28.32 0.07%
Trade id #93221864
Max drawdown($38)
Time3/13/15 16:37
Quant open179
Worst price27.73
Drawdown as % of equity-0.07%
 $61
Includes Typical Broker Commissions trade costs of $3.58
3/12/15 15:59 BIIB BIOGEN INC. COMMON STOCK LONG 12 407.85 3/13 15:59 413.32 0.03%
Trade id #93192124
Max drawdown($16)
Time3/13/15 8:17
Quant open12
Worst price406.50
Drawdown as % of equity-0.03%
 $66
Includes Typical Broker Commissions trade costs of $0.24
3/5/15 15:59 RAI REYNOLDS AMERICAN LONG 402 35.74 3/12 15:59 35.37 0.84%
Trade id #92967451
Max drawdown($444)
Time3/10/15 9:41
Quant open201
Worst price69.27
Drawdown as % of equity-0.84%
 ($159)
Includes Typical Broker Commissions trade costs of $8.04
3/4/15 15:59 PEP PEPSICO LONG 306 96.69 3/12 15:59 95.72 1.88%
Trade id #92930951
Max drawdown($989)
Time3/11/15 10:27
Quant open306
Worst price93.45
Drawdown as % of equity-1.88%
 ($300)
Includes Typical Broker Commissions trade costs of $6.12
2/26/15 15:59 MON MONUMENT CIRCLE ACQUISITION CORP. CLASS A LONG 410 119.07 3/12 15:59 118.54 2.06%
Trade id #92794505
Max drawdown($1,087)
Time3/10/15 9:46
Quant open410
Worst price116.42
Drawdown as % of equity-2.06%
 ($226)
Includes Typical Broker Commissions trade costs of $8.20
3/2/15 15:59 CMS CMS ENERGY LONG 435 34.25 3/5 15:59 34.64 0.13%
Trade id #92863048
Max drawdown($69)
Time3/3/15 10:19
Quant open145
Worst price33.86
Drawdown as % of equity-0.13%
 $162
Includes Typical Broker Commissions trade costs of $8.70
2/19/15 15:59 WMT WALMART INC LONG 354 82.98 3/5 15:59 83.63 0.92%
Trade id #92635289
Max drawdown($495)
Time3/5/15 8:15
Quant open354
Worst price81.58
Drawdown as % of equity-0.92%
 $224
Includes Typical Broker Commissions trade costs of $7.08
3/3/15 15:59 ABBV ABBVIE INC LONG 83 59.60 3/4 15:59 60.30 0.09%
Trade id #92898323
Max drawdown($47)
Time3/4/15 9:51
Quant open83
Worst price59.03
Drawdown as % of equity-0.09%
 $56
Includes Typical Broker Commissions trade costs of $1.66
2/27/15 15:59 ISRG INTUITIVE SURGICAL LONG 9 500.31 3/3 15:59 509.74 0.01%
Trade id #92825336
Max drawdown($3)
Time2/27/15 16:15
Quant open9
Worst price499.89
Drawdown as % of equity-0.01%
 $85
Includes Typical Broker Commissions trade costs of $0.18
2/25/15 15:59 FDX FEDEX LONG 84 174.94 2/27 15:59 177.11 0.12%
Trade id #92761084
Max drawdown($61)
Time2/26/15 15:05
Quant open28
Worst price173.42
Drawdown as % of equity-0.12%
 $181
Includes Typical Broker Commissions trade costs of $1.68
2/24/15 15:59 CMG CHIPOTLE MEXICAN GRILL LONG 7 668.00 2/25 15:59 675.57 0%
Trade id #92730711
Max drawdown($0)
Time2/24/15 16:01
Quant open7
Worst price667.91
Drawdown as % of equity-0.00%
 $53
Includes Typical Broker Commissions trade costs of $0.14
2/17/15 9:34 CMS CMS ENERGY LONG 144 34.51 2/18 15:59 35.99 0.05%
Trade id #92565188
Max drawdown($24)
Time2/17/15 9:41
Quant open144
Worst price34.34
Drawdown as % of equity-0.05%
 $209
Includes Typical Broker Commissions trade costs of $2.88
2/4/15 15:59 SO SOUTHERN LONG 1,010 47.59 2/18 15:59 46.87 4.6%
Trade id #92306876
Max drawdown($2,397)
Time2/17/15 9:40
Quant open1,010
Worst price45.22
Drawdown as % of equity-4.60%
 ($749)
Includes Typical Broker Commissions trade costs of $12.60
2/10/15 15:59 ALL ALLSTATE LONG 71 70.04 2/11 15:59 71.18 0.01%
Trade id #92433002
Max drawdown($3)
Time2/11/15 9:31
Quant open71
Worst price69.99
Drawdown as % of equity-0.01%
 $80
Includes Typical Broker Commissions trade costs of $1.42
2/9/15 9:31 FB META PLATFORMS INC LONG 67 74.05 2/10 15:59 75.15 0.08%
Trade id #92387108
Max drawdown($40)
Time2/9/15 9:39
Quant open67
Worst price73.45
Drawdown as % of equity-0.08%
 $73
Includes Typical Broker Commissions trade costs of $1.34
2/3/15 15:59 CCL CARNIVAL LONG 342 43.52 2/5 15:59 43.71 0.09%
Trade id #92275840
Max drawdown($50)
Time2/4/15 15:47
Quant open114
Worst price43.25
Drawdown as % of equity-0.09%
 $58
Includes Typical Broker Commissions trade costs of $6.84
1/29/15 15:59 VRTX VERTEX LONG 258 110.11 2/5 15:59 111.61 3.1%
Trade id #92188256
Max drawdown($1,642)
Time2/4/15 9:36
Quant open258
Worst price103.75
Drawdown as % of equity-3.10%
 $379
Includes Typical Broker Commissions trade costs of $5.16
1/27/15 15:59 PG PROCTER & GAMBLE LONG 342 84.93 2/3 15:59 85.94 0.81%
Trade id #92128991
Max drawdown($428)
Time2/2/15 9:42
Quant open342
Worst price83.68
Drawdown as % of equity-0.81%
 $338
Includes Typical Broker Commissions trade costs of $6.84
1/29/15 15:59 VZ VERIZON COMMUNICATIONS LONG 40 46.11 1/30 15:59 45.72 0.04%
Trade id #92188253
Max drawdown($22)
Time1/30/15 9:33
Quant open40
Worst price45.56
Drawdown as % of equity-0.04%
 ($17)
Includes Typical Broker Commissions trade costs of $0.80
1/28/15 15:59 V VISA LONG 320 15.41 1/30 15:59 15.96 0.05%
Trade id #92158389
Max drawdown($27)
Time1/29/15 9:42
Quant open20
Worst price245.17
Drawdown as % of equity-0.05%
 $172
Includes Typical Broker Commissions trade costs of $6.40
Next

Statistics

  • Strategy began
    4/14/2014
  • Suggested Minimum Cap
    $50,000
  • Strategy Age (days)
    3652.02
  • Age
    122 months ago
  • What it trades
    Stocks
  • # Trades
    122
  • # Profitable
    96
  • % Profitable
    78.70%
  • Avg trade duration
    113.4 days
  • Max peak-to-valley drawdown
    19.57%
  • drawdown period
    Sept 04, 2014 - Oct 15, 2014
  • Annual Return (Compounded)
    6.1%
  • Avg win
    $219.48
  • Avg loss
    $1,435
  • Model Account Values (Raw)
  • Cash
    $39,539
  • Margin Used
    $0
  • Buying Power
    $20,444
  • Ratios
  • W:L ratio
    1.79:1
  • Sharpe Ratio
    0.15
  • Sortino Ratio
    0.23
  • Calmar Ratio
    0.074
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -0.76%
  • Correlation to SP500
    0.57250
  • Return Percent SP500 (cumu) during strategy life
    171.34%
  • Return Statistics
  • Ann Return (w trading costs)
    6.1%
  • Slump
  • Current Slump as Pcnt Equity
    24.10%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.55%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.061%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    1.2%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    100.00%
  • 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)
    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
    $1,435
  • Avg Win
    $220
  • Sum Trade PL (losers)
    $37,316.000
  • Age
  • Num Months filled monthly returns table
    121
  • Win / Loss
  • Sum Trade PL (winners)
    $21,073.000
  • # Winners
    96
  • Num Months Winners
    63
  • Dividends
  • Dividends Received in Model Acct
    22854
  • Win / Loss
  • # Losers
    26
  • % Winners
    78.7%
  • Frequency
  • Avg Position Time (mins)
    163188.00
  • Avg Position Time (hrs)
    2719.79
  • Avg Trade Length
    113.3 days
  • Last Trade Ago
    3286
  • Regression
  • Alpha
    -0.02
  • Beta
    1.43
  • Treynor Index
    0.01
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.03
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    25.43
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    93.71
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -2.73
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.12
  • Avg(MAE) / Avg(PL) - All trades
    -6.278
  • 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
    0.05
  • Avg(MAE) / Avg(PL) - Winning trades
    0.776
  • Avg(MAE) / Avg(PL) - Losing trades
    -2.443
  • Hold-and-Hope Ratio
    -0.274
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.06804
  • SD
    0.16024
  • Sharpe ratio (Glass type estimate)
    0.42457
  • Sharpe ratio (Hedges UMVUE)
    0.40292
  • df
    15.00000
  • t
    0.49026
  • p
    0.42026
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.28638
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.12168
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.30057
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.10642
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.63503
  • Upside Potential Ratio
    2.21829
  • Upside part of mean
    0.23766
  • Downside part of mean
    -0.16963
  • Upside SD
    0.11393
  • Downside SD
    0.10714
  • N nonnegative terms
    11.00000
  • N negative terms
    5.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    16.00000
  • Mean of predictor
    0.03688
  • Mean of criterion
    0.06804
  • SD of predictor
    0.12171
  • SD of criterion
    0.16024
  • Covariance
    0.01099
  • r
    0.56346
  • b (slope, estimate of beta)
    0.74188
  • a (intercept, estimate of alpha)
    0.04067
  • Mean Square Error
    0.01878
  • DF error
    14.00000
  • t(b)
    2.55198
  • p(b)
    0.21827
  • t(a)
    0.34135
  • p(a)
    0.45457
  • Lowerbound of 95% confidence interval for beta
    0.11837
  • Upperbound of 95% confidence interval for beta
    1.36539
  • Lowerbound of 95% confidence interval for alpha
    -0.21489
  • Upperbound of 95% confidence interval for alpha
    0.29624
  • Treynor index (mean / b)
    0.09171
  • Jensen alpha (a)
    0.04067
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.05574
  • SD
    0.16090
  • Sharpe ratio (Glass type estimate)
    0.34644
  • Sharpe ratio (Hedges UMVUE)
    0.32877
  • df
    15.00000
  • t
    0.40003
  • p
    0.43471
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.36103
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.04261
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.37268
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.03022
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.49967
  • Upside Potential Ratio
    2.07323
  • Upside part of mean
    0.23128
  • Downside part of mean
    -0.17554
  • Upside SD
    0.10993
  • Downside SD
    0.11156
  • N nonnegative terms
    11.00000
  • N negative terms
    5.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    16.00000
  • Mean of predictor
    0.02993
  • Mean of criterion
    0.05574
  • SD of predictor
    0.12091
  • SD of criterion
    0.16090
  • Covariance
    0.01082
  • r
    0.55595
  • b (slope, estimate of beta)
    0.73984
  • a (intercept, estimate of alpha)
    0.03360
  • Mean Square Error
    0.01916
  • DF error
    14.00000
  • t(b)
    2.50253
  • p(b)
    0.22203
  • t(a)
    0.27947
  • p(a)
    0.46276
  • Lowerbound of 95% confidence interval for beta
    0.10576
  • Upperbound of 95% confidence interval for beta
    1.37391
  • Lowerbound of 95% confidence interval for alpha
    -0.22424
  • Upperbound of 95% confidence interval for alpha
    0.29143
  • Treynor index (mean / b)
    0.07534
  • Jensen alpha (a)
    0.03360
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.06924
  • Expected Shortfall on VaR
    0.08700
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02337
  • Expected Shortfall on VaR
    0.05112
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    16.00000
  • Minimum
    0.90238
  • Quartile 1
    0.99276
  • Median
    1.01148
  • Quartile 3
    1.02597
  • Maximum
    1.09594
  • Mean of quarter 1
    0.94449
  • Mean of quarter 2
    1.00426
  • Mean of quarter 3
    1.01825
  • Mean of quarter 4
    1.05899
  • Inter Quartile Range
    0.03322
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.06250
  • Mean of outliers low
    0.90238
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.06250
  • Mean of outliers high
    1.09594
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -1.11039
  • VaR(95%) (moments method)
    0.06019
  • Expected Shortfall (moments method)
    0.06511
  • Extreme Value Index (regression method)
    0.22947
  • VaR(95%) (regression method)
    0.07179
  • Expected Shortfall (regression method)
    0.11442
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    2.00000
  • Minimum
    0.04994
  • Quartile 1
    0.06839
  • Median
    0.08685
  • Quartile 3
    0.10531
  • Maximum
    0.12376
  • Mean of quarter 1
    0.04994
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.12376
  • Inter Quartile Range
    0.03691
  • 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)
    0.06865
  • Compounded annual return (geometric extrapolation)
    0.06790
  • Calmar ratio (compounded annual return / max draw down)
    0.54861
  • Compounded annual return / average of 25% largest draw downs
    0.54861
  • Compounded annual return / Expected Shortfall lognormal
    0.78047
  • 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
    0.10505
  • SD
    0.18235
  • Sharpe ratio (Glass type estimate)
    0.57611
  • Sharpe ratio (Hedges UMVUE)
    0.57517
  • df
    461.00000
  • t
    0.66765
  • p
    0.25235
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.11582
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.26749
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.11648
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.26682
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.83032
  • Upside Potential Ratio
    7.30836
  • Upside part of mean
    0.92466
  • Downside part of mean
    -0.81961
  • Upside SD
    0.13116
  • Downside SD
    0.12652
  • N nonnegative terms
    209.00000
  • N negative terms
    253.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    462.00000
  • Mean of predictor
    0.05776
  • Mean of criterion
    0.10505
  • SD of predictor
    0.13721
  • SD of criterion
    0.18235
  • Covariance
    0.01256
  • r
    0.50219
  • b (slope, estimate of beta)
    0.66742
  • a (intercept, estimate of alpha)
    -0.23000
  • Mean Square Error
    0.02492
  • DF error
    460.00000
  • t(b)
    12.45540
  • p(b)
    0.00000
  • t(a)
    0.48811
  • p(a)
    0.31285
  • Lowerbound of 95% confidence interval for beta
    0.56212
  • Upperbound of 95% confidence interval for beta
    0.77272
  • Lowerbound of 95% confidence interval for alpha
    -0.20125
  • Upperbound of 95% confidence interval for alpha
    0.33426
  • Treynor index (mean / b)
    0.15740
  • Jensen alpha (a)
    0.06651
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.08846
  • SD
    0.18227
  • Sharpe ratio (Glass type estimate)
    0.48533
  • Sharpe ratio (Hedges UMVUE)
    0.48454
  • df
    461.00000
  • t
    0.56244
  • p
    0.28704
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.20644
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.17663
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.20700
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.17607
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.68847
  • Upside Potential Ratio
    7.13077
  • Upside part of mean
    0.91622
  • Downside part of mean
    -0.82776
  • Upside SD
    0.12909
  • Downside SD
    0.12849
  • N nonnegative terms
    209.00000
  • N negative terms
    253.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    462.00000
  • Mean of predictor
    0.04830
  • Mean of criterion
    0.08846
  • SD of predictor
    0.13784
  • SD of criterion
    0.18227
  • Covariance
    0.01264
  • r
    0.50293
  • b (slope, estimate of beta)
    0.66506
  • a (intercept, estimate of alpha)
    0.05634
  • Mean Square Error
    0.02487
  • DF error
    460.00000
  • t(b)
    12.47980
  • p(b)
    0.00000
  • t(a)
    0.41389
  • p(a)
    0.33957
  • Lowerbound of 95% confidence interval for beta
    0.56034
  • Upperbound of 95% confidence interval for beta
    0.76979
  • Lowerbound of 95% confidence interval for alpha
    -0.21114
  • Upperbound of 95% confidence interval for alpha
    0.32382
  • Treynor index (mean / b)
    0.13301
  • Jensen alpha (a)
    0.05634
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01578
  • Expected Shortfall on VaR
    0.01981
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00568
  • Expected Shortfall on VaR
    0.01236
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    462.00000
  • Minimum
    0.93718
  • Quartile 1
    0.99912
  • Median
    1.00000
  • Quartile 3
    1.00226
  • Maximum
    1.06816
  • Mean of quarter 1
    0.99070
  • Mean of quarter 2
    0.99988
  • Mean of quarter 3
    1.00064
  • Mean of quarter 4
    1.01013
  • Inter Quartile Range
    0.00314
  • Number outliers low
    56.00000
  • Percentage of outliers low
    0.12121
  • Mean of outliers low
    0.98343
  • Number of outliers high
    52.00000
  • Percentage of outliers high
    0.11255
  • Mean of outliers high
    1.01730
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.72269
  • VaR(95%) (moments method)
    0.00620
  • Expected Shortfall (moments method)
    0.02616
  • Extreme Value Index (regression method)
    0.19876
  • VaR(95%) (regression method)
    0.00833
  • Expected Shortfall (regression method)
    0.01507
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    22.00000
  • Minimum
    0.00002
  • Quartile 1
    0.00045
  • Median
    0.00219
  • Quartile 3
    0.00437
  • Maximum
    0.17237
  • Mean of quarter 1
    0.00021
  • Mean of quarter 2
    0.00090
  • Mean of quarter 3
    0.00317
  • Mean of quarter 4
    0.06616
  • Inter Quartile Range
    0.00392
  • 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
    0.22727
  • Mean of outliers high
    0.07847
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -0.40747
  • VaR(95%) (moments method)
    0.02274
  • Expected Shortfall (moments method)
    0.02889
  • Extreme Value Index (regression method)
    0.16459
  • VaR(95%) (regression method)
    0.11802
  • Expected Shortfall (regression method)
    0.21185
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.10521
  • Compounded annual return (geometric extrapolation)
    0.10342
  • Calmar ratio (compounded annual return / max draw down)
    0.59995
  • Compounded annual return / average of 25% largest draw downs
    1.56304
  • Compounded annual return / Expected Shortfall lognormal
    5.22082
  • 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
    0.13515
  • SD
    0.21021
  • Sharpe ratio (Glass type estimate)
    0.64294
  • Sharpe ratio (Hedges UMVUE)
    0.64012
  • df
    171.00000
  • t
    0.45463
  • p
    0.47789
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.13055
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.41474
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.13252
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.41275
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.88667
  • Upside Potential Ratio
    8.41769
  • Upside part of mean
    1.28308
  • Downside part of mean
    -1.14793
  • Upside SD
    0.14405
  • Downside SD
    0.15243
  • N nonnegative terms
    79.00000
  • N negative terms
    93.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    172.00000
  • Mean of predictor
    -0.08374
  • Mean of criterion
    0.13515
  • SD of predictor
    0.16771
  • SD of criterion
    0.21021
  • Covariance
    0.02050
  • r
    0.58144
  • b (slope, estimate of beta)
    0.72877
  • a (intercept, estimate of alpha)
    0.19618
  • Mean Square Error
    0.02942
  • DF error
    170.00000
  • t(b)
    9.31806
  • p(b)
    0.20928
  • t(a)
    0.80846
  • p(a)
    0.46906
  • Lowerbound of 95% confidence interval for beta
    0.57439
  • Upperbound of 95% confidence interval for beta
    0.88316
  • Lowerbound of 95% confidence interval for alpha
    -0.28284
  • Upperbound of 95% confidence interval for alpha
    0.67520
  • Treynor index (mean / b)
    0.18545
  • Jensen alpha (a)
    0.19618
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.11302
  • SD
    0.21123
  • Sharpe ratio (Glass type estimate)
    0.53506
  • Sharpe ratio (Hedges UMVUE)
    0.53271
  • df
    171.00000
  • t
    0.37834
  • p
    0.48159
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.23807
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.30671
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.23967
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.30509
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.72844
  • Upside Potential Ratio
    8.20342
  • Upside part of mean
    1.27281
  • Downside part of mean
    -1.15979
  • Upside SD
    0.14256
  • Downside SD
    0.15516
  • N nonnegative terms
    79.00000
  • N negative terms
    93.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    172.00000
  • Mean of predictor
    -0.09789
  • Mean of criterion
    0.11302
  • SD of predictor
    0.16909
  • SD of criterion
    0.21123
  • Covariance
    0.02069
  • r
    0.57928
  • b (slope, estimate of beta)
    0.72366
  • a (intercept, estimate of alpha)
    0.18386
  • Mean Square Error
    0.02982
  • DF error
    170.00000
  • t(b)
    9.26593
  • p(b)
    0.21036
  • t(a)
    0.75248
  • p(a)
    0.47119
  • VAR (95 Confidence Intrvl)
    0.07100
  • Lowerbound of 95% confidence interval for beta
    0.56949
  • Upperbound of 95% confidence interval for beta
    0.87783
  • Lowerbound of 95% confidence interval for alpha
    -0.29846
  • Upperbound of 95% confidence interval for alpha
    0.66618
  • Treynor index (mean / b)
    0.15618
  • Jensen alpha (a)
    0.18386
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01824
  • Expected Shortfall on VaR
    0.02289
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00796
  • Expected Shortfall on VaR
    0.01664
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    172.00000
  • Minimum
    0.93718
  • Quartile 1
    0.99718
  • Median
    1.00000
  • Quartile 3
    1.00436
  • Maximum
    1.03522
  • Mean of quarter 1
    0.98750
  • Mean of quarter 2
    0.99922
  • Mean of quarter 3
    1.00149
  • Mean of quarter 4
    1.01349
  • Inter Quartile Range
    0.00718
  • Number outliers low
    14.00000
  • Percentage of outliers low
    0.08140
  • Mean of outliers low
    0.97680
  • Number of outliers high
    16.00000
  • Percentage of outliers high
    0.09302
  • Mean of outliers high
    1.02152
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.25972
  • VaR(95%) (moments method)
    0.00977
  • Expected Shortfall (moments method)
    0.01695
  • Extreme Value Index (regression method)
    0.24574
  • VaR(95%) (regression method)
    0.01031
  • Expected Shortfall (regression method)
    0.01777
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    8.00000
  • Minimum
    0.00301
  • Quartile 1
    0.00402
  • Median
    0.01954
  • Quartile 3
    0.03762
  • Maximum
    0.11512
  • Mean of quarter 1
    0.00312
  • Mean of quarter 2
    0.00796
  • Mean of quarter 3
    0.02898
  • Mean of quarter 4
    0.08704
  • Inter Quartile Range
    0.03360
  • 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
    0.12500
  • Mean of outliers high
    0.11512
  • 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
  • Max Equity Drawdown (num days)
    41
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.12683
  • Compounded annual return (geometric extrapolation)
    0.13085
  • Calmar ratio (compounded annual return / max draw down)
    1.13662
  • Compounded annual return / average of 25% largest draw downs
    1.50336
  • Compounded annual return / Expected Shortfall lognormal
    5.71695

Strategy Description

System picks the most oversold stock of the day in bullish market from a number of selected stocks based on Larry Connors version of RSI indicator.

It holds positions overnight.
It should be End of Day orders so they are created to be executed 1 minute before market ends.
Entries are scaled-in (pyramid), exits are all-out.
System doesn't use stops.
System is set to trade with $50,00. Profits aren't reinvested.
It isn't recommended to scale system below $10,000.
Trade this strategy at Interactive Brokers

Summary Statistics

Strategy began
2014-04-14
Suggested Minimum Capital
$5,000
# Trades
122
# Profitable
96
% Profitable
78.7%
Net Dividends
$22,905
Correlation S&P500
0.573
Sharpe Ratio
0.15
Sortino Ratio
0.23
Beta
1.43
Alpha
-0.02

Latest Activity

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

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

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

About the results you see on this Web site

Past results are not necessarily indicative of future results.

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

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

Material assumptions and methods used when calculating results

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

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

Trading is risky

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

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