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Featured Strategy MT3 Algotrading Trades-Own-Strategy Certified Trades-Own-Strategy Certification Hypothetical

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These are hypothetical performance results that have certain inherent limitations. Learn more
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Pure Momentum
(90576475)

Created by: FredPenney FredPenney
Started: 11/2014
Stocks
Last trade: 1,618 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 $25.00 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.

0.7%
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.

(31.3%)
Max Drawdown
158
Num Trades
48.7%
Win Trades
1.2 : 1
Profit Factor
36.9%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2014                                                                      +1.8%+1.3%+3.0%
2015+5.4%(4.2%)(0.1%)+4.6%+1.0%(4.6%)  -  (12.1%)+0.8%(0.4%)(1.8%)(2%)(13.8%)
2016(7.6%)+3.0%+2.2%+0.6%(1.8%)+2.2%+0.2%(1.3%)  -  (2.2%)+1.3%+1.1%(3%)
2017+1.0%+1.2%+1.9%+1.1%+1.7%(0.1%)+3.0%+0.8%+1.2%+3.2%+3.0%+2.3%+22.2%
2018+6.8%(7.1%)(2.5%)(0.9%)+1.3%+1.0%+2.1%+2.1%+0.3%(6.5%)+3.1%(5.2%)(6.3%)
2019+3.7%(1.5%)+3.3%+2.3%(4.4%)+1.4%+0.9%+3.1%(2%)+1.0%+0.3%+1.9%+10.2%
2020+0.1%(2.1%)(4%)+1.2%+0.4%(0.1%)+3.8%+0.1%  -    -    -    -  (0.9%)
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.

System developer has asked us to delay this information by 168 hours.

Trading Record

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Long
Short
Both
Win
Loss
Both
Show More details Show Fewer details
Opened Date/TimeSymbolDescriptionSideQuantAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
4/6/20 9:44 GLD SPDR GOLD SHARES LONG 56 158.34 7/22 11:07 170.50 n/a $680
Includes Typical Broker Commissions trade costs of $1.12
5/11/20 10:30 QQQ POWERSHARES QQQ LONG 31 241.63 7/22 11:07 263.41 0.05%
Trade id #128960034
Max drawdown($46)
Time5/14/20 0:00
Quant open5
Worst price215.99
Drawdown as % of equity-0.05%
 $674
Includes Typical Broker Commissions trade costs of $0.62
6/9/20 13:50 TLT ISHARES 20+ YEAR TREASURY BOND LONG 7 158.86 7/22 11:07 168.17 0%
Trade id #129440414
Max drawdown($3)
Time6/9/20 15:16
Quant open7
Worst price158.30
Drawdown as % of equity-0.00%
 $65
Includes Typical Broker Commissions trade costs of $0.14
6/9/20 13:51 HYG ISHARES IBOXX $ HIGH YIELD COR LONG 14 83.84 7/22 11:07 84.50 0.05%
Trade id #129440421
Max drawdown($47)
Time6/29/20 0:00
Quant open14
Worst price80.48
Drawdown as % of equity-0.05%
 $9
Includes Typical Broker Commissions trade costs of $0.28
6/19/20 11:41 EFA ISHARES MSCI EAFE INDEX LONG 152 61.55 7/22 11:07 63.92 0.18%
Trade id #129662073
Max drawdown($190)
Time6/25/20 0:00
Quant open152
Worst price60.30
Drawdown as % of equity-0.18%
 $357
Includes Typical Broker Commissions trade costs of $3.04
6/30/20 11:27 EEM ISHARES MSCI EMERGING MARKETS LONG 234 40.07 7/22 11:07 43.44 0.07%
Trade id #129822773
Max drawdown($76)
Time6/30/20 15:15
Quant open234
Worst price39.74
Drawdown as % of equity-0.07%
 $784
Includes Typical Broker Commissions trade costs of $4.68
6/1/20 10:10 EWJ ISHARES MSCI JAPAN INDEX LONG 87 56.45 7/22 11:07 55.98 0.16%
Trade id #129287669
Max drawdown($163)
Time7/1/20 0:00
Quant open87
Worst price54.57
Drawdown as % of equity-0.16%
 ($43)
Includes Typical Broker Commissions trade costs of $1.74
4/27/20 10:37 SPY SPDR S&P 500 LONG 101 306.41 7/22 11:06 320.13 0.19%
Trade id #128752453
Max drawdown($192)
Time5/4/20 0:00
Quant open29
Worst price279.13
Drawdown as % of equity-0.19%
 $1,384
Includes Typical Broker Commissions trade costs of $2.02
6/9/20 13:49 LQD ISHARES IBOXX $ INVEST GRADE C LONG 8 132.70 7/22 11:06 138.27 0.01%
Trade id #129440392
Max drawdown($12)
Time6/11/20 0:00
Quant open8
Worst price131.13
Drawdown as % of equity-0.01%
 $45
Includes Typical Broker Commissions trade costs of $0.16
5/10/19 10:16 IEF ISHARES BARCLAYS 7-10 YEAR TRE LONG 2,394 113.93 7/22/20 11:06 115.98 0.05%
Trade id #123617412
Max drawdown($52)
Time5/10/19 15:27
Quant open187
Worst price106.05
Drawdown as % of equity-0.05%
 $4,856
Includes Typical Broker Commissions trade costs of $43.42
4/21/20 12:36 LQD ISHARES IBOXX $ INVEST GRADE C LONG 144 129.83 6/1 10:08 130.55 0.6%
Trade id #128676877
Max drawdown($621)
Time5/11/20 0:00
Quant open144
Worst price125.52
Drawdown as % of equity-0.60%
 $101
Includes Typical Broker Commissions trade costs of $2.88
1/31/20 10:16 TLT ISHARES 20+ YEAR TREASURY BOND LONG 86 148.55 4/21 9:58 167.82 0.83%
Trade id #127309742
Max drawdown($819)
Time3/18/20 0:00
Quant open86
Worst price139.01
Drawdown as % of equity-0.83%
 $1,655
Includes Typical Broker Commissions trade costs of $1.72
6/28/19 10:50 GLD SPDR GOLD SHARES LONG 307 140.02 3/30/20 10:06 142.86 0.29%
Trade id #124268131
Max drawdown($304)
Time7/1/19 0:00
Quant open112
Worst price130.55
Drawdown as % of equity-0.29%
 $867
Includes Typical Broker Commissions trade costs of $6.14
6/28/19 10:49 IYR ISHARES DOW JONES US REAL ESTA LONG 407 92.48 3/30/20 10:06 86.27 2.67%
Trade id #124268122
Max drawdown($2,654)
Time3/20/20 0:00
Quant open83
Worst price60.50
Drawdown as % of equity-2.67%
 ($2,534)
Includes Typical Broker Commissions trade costs of $8.14
6/28/19 10:50 LQD ISHARES IBOXX $ INVEST GRADE C LONG 550 127.23 3/30/20 10:05 125.78 1.77%
Trade id #124268139
Max drawdown($1,760)
Time3/19/20 0:00
Quant open79
Worst price104.95
Drawdown as % of equity-1.77%
 ($811)
Includes Typical Broker Commissions trade costs of $11.00
10/10/19 10:11 SPY SPDR S&P 500 LONG 109 300.06 3/30/20 10:04 274.33 4.76%
Trade id #125720027
Max drawdown($4,662)
Time3/23/20 0:00
Quant open57
Worst price218.26
Drawdown as % of equity-4.76%
 ($2,806)
Includes Typical Broker Commissions trade costs of $2.18
11/11/19 14:38 IWM ISHARES RUSSELL 2000 INDEX LONG 102 163.74 3/20/20 10:46 155.19 1.03%
Trade id #126158931
Max drawdown($1,020)
Time3/19/20 0:00
Quant open15
Worst price95.69
Drawdown as % of equity-1.03%
 ($875)
Includes Typical Broker Commissions trade costs of $2.04
6/28/19 10:43 QQQ POWERSHARES QQQ LONG 119 191.79 3/20/20 10:45 197.03 0.5%
Trade id #124268005
Max drawdown($499)
Time3/18/20 0:00
Quant open20
Worst price166.80
Drawdown as % of equity-0.50%
 $622
Includes Typical Broker Commissions trade costs of $2.38
11/29/19 10:33 VGK VANGUARD FTSE EUROPE ETF LONG 290 57.08 3/11/20 10:03 56.02 0.38%
Trade id #126419724
Max drawdown($419)
Time3/9/20 0:00
Quant open43
Worst price47.34
Drawdown as % of equity-0.38%
 ($314)
Includes Typical Broker Commissions trade costs of $5.80
11/11/19 14:38 EEM ISHARES MSCI EMERGING MARKETS LONG 406 43.95 2/20/20 11:22 43.72 0.34%
Trade id #126158926
Max drawdown($379)
Time1/31/20 0:00
Quant open165
Worst price41.88
Drawdown as % of equity-0.34%
 ($104)
Includes Typical Broker Commissions trade costs of $8.12
9/12/19 12:34 EWJ ISHARES MSCI JAPAN INDEX LONG 266 58.25 2/10/20 15:59 58.83 0.13%
Trade id #125330990
Max drawdown($133)
Time10/3/19 0:00
Quant open123
Worst price55.53
Drawdown as % of equity-0.13%
 $148
Includes Typical Broker Commissions trade costs of $5.32
12/31/19 10:13 SCZ ISHARES MSCI EAFE SMALL CAP IN LONG 75 62.03 1/31/20 10:14 60.08 0.13%
Trade id #126801444
Max drawdown($147)
Time1/31/20 10:14
Quant open75
Worst price60.07
Drawdown as % of equity-0.13%
 ($148)
Includes Typical Broker Commissions trade costs of $1.50
9/20/19 9:50 EFA ISHARES MSCI EAFE INDEX LONG 164 66.98 1/31/20 10:13 67.34 0.09%
Trade id #125434856
Max drawdown($89)
Time10/3/19 0:00
Quant open36
Worst price62.98
Drawdown as % of equity-0.09%
 $56
Includes Typical Broker Commissions trade costs of $3.28
12/20/19 11:58 DBC INVESCO DB COMMODITY INDEX LONG 93 16.07 1/22/20 15:45 15.47 0.05%
Trade id #126705855
Max drawdown($58)
Time1/22/20 13:01
Quant open93
Worst price15.44
Drawdown as % of equity-0.05%
 ($57)
Includes Typical Broker Commissions trade costs of $1.86
6/28/19 10:52 TLT ISHARES 20+ YEAR TREASURY BOND LONG 287 135.11 1/10/20 12:05 137.02 0.18%
Trade id #124268155
Max drawdown($193)
Time7/12/19 0:00
Quant open59
Worst price129.68
Drawdown as % of equity-0.18%
 $541
Includes Typical Broker Commissions trade costs of $5.74
11/1/19 9:45 SCZ ISHARES MSCI EAFE SMALL CAP IN LONG 66 60.02 11/29 10:30 61.13 0.02%
Trade id #126037682
Max drawdown($21)
Time11/13/19 0:00
Quant open66
Worst price59.69
Drawdown as % of equity-0.02%
 $72
Includes Typical Broker Commissions trade costs of $1.32
9/12/19 12:34 QLD PROSHARES ULTRA QQQ LONG 52 100.09 10/10 10:21 96.50 0.52%
Trade id #125330984
Max drawdown($543)
Time10/3/19 0:00
Quant open52
Worst price89.65
Drawdown as % of equity-0.52%
 ($188)
Includes Typical Broker Commissions trade costs of $1.04
10/10/19 10:09 SPY SPDR S&P 500 SHORT 52 292.81 10/10 10:11 292.71 0.01%
Trade id #125719950
Max drawdown($12)
Time10/10/19 10:11
Quant open52
Worst price293.05
Drawdown as % of equity-0.01%
 $4
Includes Typical Broker Commissions trade costs of $1.04
9/9/19 12:05 SSO PROSHARES ULTRA S&P 500 LONG 100 131.24 10/10 10:10 124.78 1.25%
Trade id #125276653
Max drawdown($1,301)
Time10/3/19 0:00
Quant open100
Worst price118.22
Drawdown as % of equity-1.25%
 ($648)
Includes Typical Broker Commissions trade costs of $2.00
6/28/19 10:42 SPY SPDR S&P 500 LONG 107 293.12 10/10 10:09 296.22 0.59%
Trade id #124267989
Max drawdown($621)
Time8/5/19 0:00
Quant open59
Worst price281.72
Drawdown as % of equity-0.59%
 $330
Includes Typical Broker Commissions trade costs of $2.14
Next

Statistics

  • Strategy began
    11/3/2014
  • Suggested Minimum Cap
    $100,000
  • Strategy Age (days)
    3697.03
  • Age
    124 months ago
  • What it trades
    Stocks
  • # Trades
    158
  • # Profitable
    77
  • % Profitable
    48.70%
  • Avg trade duration
    93.0 days
  • Max peak-to-valley drawdown
    31.29%
  • drawdown period
    May 22, 2015 - Jan 20, 2016
  • Annual Return (Compounded)
    0.7%
  • Avg win
    $715.65
  • Avg loss
    $742.00
  • Model Account Values (Raw)
  • Cash
    $110,964
  • Margin Used
    $0
  • Buying Power
    $110,964
  • Ratios
  • W:L ratio
    1.18:1
  • Sharpe Ratio
    -0.1
  • Sortino Ratio
    -0.13
  • Calmar Ratio
    0.057
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -193.26%
  • Correlation to SP500
    0.34040
  • Return Percent SP500 (cumu) during strategy life
    199.34%
  • Return Statistics
  • Ann Return (w trading costs)
    0.7%
  • Slump
  • Current Slump as Pcnt Equity
    7.20%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.68%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.007%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    1.0%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    58.50%
  • Chance of 20% account loss
    16.50%
  • Chance of 30% account loss
    1.00%
  • 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
    $742
  • Avg Win
    $716
  • Sum Trade PL (losers)
    $60,102.000
  • Age
  • Num Months filled monthly returns table
    122
  • Win / Loss
  • Sum Trade PL (winners)
    $55,105.000
  • # Winners
    77
  • Num Months Winners
    45
  • Dividends
  • Dividends Received in Model Acct
    15959
  • Win / Loss
  • # Losers
    81
  • % Winners
    48.7%
  • Frequency
  • Avg Position Time (mins)
    133887.00
  • Avg Position Time (hrs)
    2231.45
  • Avg Trade Length
    93.0 days
  • Last Trade Ago
    1609
  • Leverage
  • Daily leverage (average)
    1.00
  • Daily leverage (max)
    1.55
  • Regression
  • Alpha
    -0.01
  • Beta
    0.15
  • Treynor Index
    -0.02
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.01
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    21.85
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    45.05
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -0.75
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.01
  • Avg(MAE) / Avg(PL) - All trades
    -21.710
  • 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
    0.01
  • Avg(MAE) / Avg(PL) - Winning trades
    0.492
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.605
  • Hold-and-Hope Ratio
    -0.046
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.00122
  • SD
    0.13849
  • Sharpe ratio (Glass type estimate)
    -0.00884
  • Sharpe ratio (Hedges UMVUE)
    -0.00875
  • df
    72.00000
  • t
    -0.02180
  • p
    0.50867
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.80347
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.78584
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.80340
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.78591
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.01086
  • Upside Potential Ratio
    1.41429
  • Upside part of mean
    0.15944
  • Downside part of mean
    -0.16067
  • Upside SD
    0.07879
  • Downside SD
    0.11274
  • N nonnegative terms
    41.00000
  • N negative terms
    32.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    73.00000
  • Mean of predictor
    0.15649
  • Mean of criterion
    -0.00122
  • SD of predictor
    0.22913
  • SD of criterion
    0.13849
  • Covariance
    0.01988
  • r
    0.62641
  • b (slope, estimate of beta)
    0.37862
  • a (intercept, estimate of alpha)
    -0.06047
  • Mean Square Error
    0.01182
  • DF error
    71.00000
  • t(b)
    6.77130
  • p(b)
    0.00000
  • t(a)
    -1.34572
  • p(a)
    0.90866
  • Lowerbound of 95% confidence interval for beta
    0.26713
  • Upperbound of 95% confidence interval for beta
    0.49011
  • Lowerbound of 95% confidence interval for alpha
    -0.15007
  • Upperbound of 95% confidence interval for alpha
    0.02913
  • Treynor index (mean / b)
    -0.00323
  • Jensen alpha (a)
    -0.06047
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.01100
  • SD
    0.14217
  • Sharpe ratio (Glass type estimate)
    -0.07735
  • Sharpe ratio (Hedges UMVUE)
    -0.07655
  • df
    72.00000
  • t
    -0.19079
  • p
    0.57539
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.87185
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.71765
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.87130
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.71820
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.09271
  • Upside Potential Ratio
    1.31588
  • Upside part of mean
    0.15609
  • Downside part of mean
    -0.16708
  • Upside SD
    0.07665
  • Downside SD
    0.11862
  • N nonnegative terms
    41.00000
  • N negative terms
    32.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    73.00000
  • Mean of predictor
    0.12789
  • Mean of criterion
    -0.01100
  • SD of predictor
    0.24065
  • SD of criterion
    0.14217
  • Covariance
    0.02219
  • r
    0.64866
  • b (slope, estimate of beta)
    0.38320
  • a (intercept, estimate of alpha)
    -0.06000
  • Mean Square Error
    0.01187
  • DF error
    71.00000
  • t(b)
    7.18147
  • p(b)
    0.00000
  • t(a)
    -1.34235
  • p(a)
    0.90812
  • Lowerbound of 95% confidence interval for beta
    0.27680
  • Upperbound of 95% confidence interval for beta
    0.48959
  • Lowerbound of 95% confidence interval for alpha
    -0.14913
  • Upperbound of 95% confidence interval for alpha
    0.02913
  • Treynor index (mean / b)
    -0.02870
  • Jensen alpha (a)
    -0.06000
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.06613
  • Expected Shortfall on VaR
    0.08191
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02780
  • Expected Shortfall on VaR
    0.05958
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    73.00000
  • Minimum
    0.86215
  • Quartile 1
    0.99857
  • Median
    1.00714
  • Quartile 3
    1.02191
  • Maximum
    1.08206
  • Mean of quarter 1
    0.95213
  • Mean of quarter 2
    1.00168
  • Mean of quarter 3
    1.01602
  • Mean of quarter 4
    1.04186
  • Inter Quartile Range
    0.02335
  • Number outliers low
    10.00000
  • Percentage of outliers low
    0.13699
  • Mean of outliers low
    0.92227
  • Number of outliers high
    4.00000
  • Percentage of outliers high
    0.05479
  • Mean of outliers high
    1.07198
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -2.96941
  • VaR(95%) (moments method)
    0.00755
  • Expected Shortfall (moments method)
    0.00759
  • Extreme Value Index (regression method)
    -0.03678
  • VaR(95%) (regression method)
    0.05774
  • Expected Shortfall (regression method)
    0.08995
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    3.00000
  • Minimum
    0.05542
  • Quartile 1
    0.09993
  • Median
    0.14445
  • Quartile 3
    0.20452
  • Maximum
    0.26460
  • Mean of quarter 1
    0.05542
  • Mean of quarter 2
    0.14445
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.26460
  • Inter Quartile Range
    0.10459
  • 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)
    0.01781
  • Compounded annual return (geometric extrapolation)
    0.01705
  • Calmar ratio (compounded annual return / max draw down)
    0.06445
  • Compounded annual return / average of 25% largest draw downs
    0.06445
  • Compounded annual return / Expected Shortfall lognormal
    0.20821
  • 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
    -0.00645
  • SD
    0.09686
  • Sharpe ratio (Glass type estimate)
    -0.06655
  • Sharpe ratio (Hedges UMVUE)
    -0.06652
  • df
    1608.00000
  • t
    -0.16492
  • p
    0.50206
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.85745
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.72435
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.85742
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.72438
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.08571
  • Upside Potential Ratio
    6.50206
  • Upside part of mean
    0.48899
  • Downside part of mean
    -0.49543
  • Upside SD
    0.06099
  • Downside SD
    0.07520
  • N nonnegative terms
    789.00000
  • N negative terms
    820.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1609.00000
  • Mean of predictor
    0.17532
  • Mean of criterion
    -0.00645
  • SD of predictor
    0.22606
  • SD of criterion
    0.09686
  • Covariance
    0.00697
  • r
    0.31824
  • b (slope, estimate of beta)
    0.13636
  • a (intercept, estimate of alpha)
    -0.03000
  • Mean Square Error
    0.00844
  • DF error
    1607.00000
  • t(b)
    13.45700
  • p(b)
    0.30088
  • t(a)
    -0.81796
  • p(a)
    0.51299
  • Lowerbound of 95% confidence interval for beta
    0.11648
  • Upperbound of 95% confidence interval for beta
    0.15623
  • Lowerbound of 95% confidence interval for alpha
    -0.10314
  • Upperbound of 95% confidence interval for alpha
    0.04243
  • Treynor index (mean / b)
    -0.04727
  • Jensen alpha (a)
    -0.03035
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.01116
  • SD
    0.09723
  • Sharpe ratio (Glass type estimate)
    -0.11475
  • Sharpe ratio (Hedges UMVUE)
    -0.11470
  • df
    1608.00000
  • t
    -0.28436
  • p
    0.50355
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.90566
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.67616
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.90560
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.67621
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.14687
  • Upside Potential Ratio
    6.41213
  • Upside part of mean
    0.48709
  • Downside part of mean
    -0.49824
  • Upside SD
    0.06064
  • Downside SD
    0.07596
  • N nonnegative terms
    789.00000
  • N negative terms
    820.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1609.00000
  • Mean of predictor
    0.14951
  • Mean of criterion
    -0.01116
  • SD of predictor
    0.22757
  • SD of criterion
    0.09723
  • Covariance
    0.00709
  • r
    0.32049
  • b (slope, estimate of beta)
    0.13693
  • a (intercept, estimate of alpha)
    -0.03163
  • Mean Square Error
    0.00849
  • DF error
    1607.00000
  • t(b)
    13.56320
  • p(b)
    0.29952
  • t(a)
    -0.85008
  • p(a)
    0.51350
  • Lowerbound of 95% confidence interval for beta
    0.11713
  • Upperbound of 95% confidence interval for beta
    0.15673
  • Lowerbound of 95% confidence interval for alpha
    -0.10461
  • Upperbound of 95% confidence interval for alpha
    0.04135
  • Treynor index (mean / b)
    -0.08148
  • Jensen alpha (a)
    -0.03163
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00987
  • Expected Shortfall on VaR
    0.01235
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00434
  • Expected Shortfall on VaR
    0.00914
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    1609.00000
  • Minimum
    0.95648
  • Quartile 1
    0.99817
  • Median
    1.00003
  • Quartile 3
    1.00271
  • Maximum
    1.02903
  • Mean of quarter 1
    0.99314
  • Mean of quarter 2
    0.99952
  • Mean of quarter 3
    1.00125
  • Mean of quarter 4
    1.00643
  • Inter Quartile Range
    0.00454
  • Number outliers low
    94.00000
  • Percentage of outliers low
    0.05842
  • Mean of outliers low
    0.98472
  • Number of outliers high
    69.00000
  • Percentage of outliers high
    0.04288
  • Mean of outliers high
    1.01329
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.35943
  • VaR(95%) (moments method)
    0.00605
  • Expected Shortfall (moments method)
    0.01145
  • Extreme Value Index (regression method)
    0.20821
  • VaR(95%) (regression method)
    0.00640
  • Expected Shortfall (regression method)
    0.01061
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    16.00000
  • Minimum
    0.00010
  • Quartile 1
    0.00165
  • Median
    0.00288
  • Quartile 3
    0.01828
  • Maximum
    0.29724
  • Mean of quarter 1
    0.00086
  • Mean of quarter 2
    0.00221
  • Mean of quarter 3
    0.00602
  • Mean of quarter 4
    0.14371
  • Inter Quartile Range
    0.01663
  • 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
    0.18750
  • Mean of outliers high
    0.17731
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -0.76584
  • VaR(95%) (moments method)
    0.12285
  • Expected Shortfall (moments method)
    0.14264
  • Extreme Value Index (regression method)
    0.25896
  • VaR(95%) (regression method)
    0.24614
  • Expected Shortfall (regression method)
    0.46108
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.01764
  • Compounded annual return (geometric extrapolation)
    0.01689
  • Calmar ratio (compounded annual return / max draw down)
    0.05683
  • Compounded annual return / average of 25% largest draw downs
    0.11754
  • Compounded annual return / Expected Shortfall lognormal
    1.36736
  • 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
    -0.02791
  • SD
    0.00000
  • Sharpe ratio (Glass type estimate)
    0.00000
  • Sharpe ratio (Hedges UMVUE)
    0.00000
  • df
    0.00000
  • t
    0.00000
  • p
    0.00000
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.00000
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.00000
  • Statistics related to Sortino ratio
  • Sortino ratio
    -16.18640
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    0.00000
  • Downside part of mean
    -0.02791
  • Upside SD
    0.00000
  • Downside SD
    0.00172
  • N nonnegative terms
    0.00000
  • N negative terms
    131.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    1.00030
  • Mean of criterion
    -0.02791
  • SD of predictor
    0.44409
  • SD of criterion
    0.00000
  • Covariance
    0.00000
  • r
    0.00000
  • b (slope, estimate of beta)
    0.00000
  • a (intercept, estimate of alpha)
    0.00000
  • Mean Square Error
    0.00000
  • DF error
    0.00000
  • t(b)
    0.00000
  • p(b)
    0.00000
  • t(a)
    0.00000
  • p(a)
    0.00000
  • Lowerbound of 95% confidence interval for beta
    0.00000
  • Upperbound of 95% confidence interval for beta
    0.00000
  • Lowerbound of 95% confidence interval for alpha
    0.00000
  • Upperbound of 95% confidence interval for alpha
    0.00000
  • Treynor index (mean / b)
    0.00000
  • Jensen alpha (a)
    0.00000
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.02791
  • SD
    0.00000
  • Sharpe ratio (Glass type estimate)
    -9748420000000000.00000
  • Sharpe ratio (Hedges UMVUE)
    -9692070000000000.00000
  • df
    130.00000
  • t
    -6893170000000000.00000
  • p
    1.00000
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -10870200000000000.00000
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -8513980000000000.00000
  • Statistics related to Sortino ratio
  • Sortino ratio
    -16.18640
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    0.00000
  • Downside part of mean
    -0.02791
  • Upside SD
    0.00000
  • Downside SD
    0.00172
  • N nonnegative terms
    0.00000
  • N negative terms
    131.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.89899
  • Mean of criterion
    -0.02791
  • SD of predictor
    0.45000
  • SD of criterion
    0.00000
  • Covariance
    0.00000
  • r
    0.00000
  • b (slope, estimate of beta)
    0.00000
  • a (intercept, estimate of alpha)
    -0.02791
  • Mean Square Error
    0.00000
  • DF error
    129.00000
  • t(b)
    0.00000
  • p(b)
    0.50000
  • t(a)
    -6814510000000000.00000
  • p(a)
    1.00000
  • VAR (95 Confidence Intrvl)
    0.01000
  • Lowerbound of 95% confidence interval for beta
    -0.00000
  • Upperbound of 95% confidence interval for beta
    0.00000
  • Lowerbound of 95% confidence interval for alpha
    -0.02791
  • Upperbound of 95% confidence interval for alpha
    -0.02791
  • Treynor index (mean / b)
    -141315000000000003143543606476800.00000
  • Jensen alpha (a)
    -0.02791
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00011
  • Expected Shortfall on VaR
    0.00011
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00000
  • Expected Shortfall on VaR
    0.00000
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    1.00000
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.00000
  • Mean of quarter 1
    1.00000
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.00000
  • Inter Quartile Range
    0.00000
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    0.00000
  • Minimum
    0.00000
  • Quartile 1
    0.00000
  • Median
    0.00000
  • Quartile 3
    0.00000
  • Maximum
    0.00000
  • Mean of quarter 1
    0.00000
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.00000
  • Inter Quartile Range
    0.00000
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Last 4 Months - Pcnt Negative
    n/a
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -368861000
  • Max Equity Drawdown (num days)
    243
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.00000
  • Compounded annual return (geometric extrapolation)
    0.00000
  • Calmar ratio (compounded annual return / max draw down)
    0.00000
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    0.00000

Strategy Description

Momentum is the one anomaly of the markets that defies the efficient market hypothesis. It continues to persist even though its presence is well known. This trading system is based on published research spanning decades. Asset classes included are equities (North American and International), bonds, real estate and commodities.
Trade this strategy at Interactive Brokers

Summary Statistics

Strategy began
2014-11-03
Suggested Minimum Capital
$15,000
# Trades
158
# Profitable
77
% Profitable
48.7%
Net Dividends
$15,959
Correlation S&P500
0.340
Sharpe Ratio
-0.10
Sortino Ratio
-0.13
Beta
0.15
Alpha
-0.01
Leverage
1.00 Average
1.55 Maximum
Summary
Higher leverage = greater risk.

More information about leverage

Collective2 calculates the maximum leverage used by a strategy in each day. We then display the average of these measurements (i.e. the average daily maximum leverage) and the greatest of these measurements (maximum daily leverage).

Leverage is the ratio of total notional value controlled by a strategy divided by its Model Account equity. Generally higher leverage implies greater risk.

Example of calculation:
The Strategy buys 100 shares of stock at $12 per share.
The Model Account equity during that day is $5,000.
The leverage is: $1200 / $5,000 = 0.24

This is a useful measurement, but it should be considered in context. This measurement doesn't take into account important factors, such as when multiple positions are held that are inversely correlated. Nor does the measurement take into account the volatility of the instruments being held.

In addition, certain asset classes are inherently more leveraged than others. For example, futures contracts are highly leveraged. Forex positions are often even more leveraged than futures.

Latest Activity

#PERSONNAME#
subscribed on started simulation #SUBSCRIBEDDATE#

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

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

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

About the results you see on this Web site

Past results are not necessarily indicative of future results.

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

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

Material assumptions and methods used when calculating results

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

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

Trading is risky

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

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Suggested Minimum Capital

This is our estimate of the minimum amount of capital to follow a strategy, assuming you use the smallest reasonable AutoTrade Scaling % for the strategy.