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These are hypothetical performance results that have certain inherent limitations. Learn more

Topaz NQ100 M
(25860974)

Created by: ReneKoch ReneKoch
Started: 04/2007
Stocks
Last trade: 1,908 days ago

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.

19.5%
Annual Return (Compounded)

Rate of Return Calculations

Overview

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

How Annualized (Compounded) Rate of Return is calculated

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

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

All results are hypothetical.

-
Max Drawdown
3636
Num Trades
72.1%
Win Trades
1.2 : 1
Profit Factor
42.1%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2007                     (1.7%)+7.2%+1.5%(0.4%)+10.0%+8.0%+10.6%+0.3%(1.4%)+38.4%
2008(12%)+10.5%+11.8%+3.8%+1.8%(9.7%)+5.4%+7.2%(10.3%)(15.9%)+0.5%+11.6%(0.9%)
2009+15.4%+9.5%+2.4%+8.4%+7.1%+5.3%+7.5%+5.9%+11.4%(2%)+13.2%+4.8%+132.9%
2010(12.1%)+17.6%+3.3%+2.1%+5.6%(10.6%)+7.3%+2.5%+9.5%+2.9%+2.6%+8.2%+41.6%
2011+5.6%+0.2%+0.4%+4.1%+7.0%(6%)(3.5%)(16.7%)(13.4%)+3.4%+1.4%(10.5%)(27.4%)
2012+7.7%(0.2%)(2.1%)(7.5%)(5%)+4.3%+4.3%+1.1%+5.2%(3.6%)(0.3%)+12.8%+15.9%
2013+4.3%+7.5%+2.0%+2.7%+3.8%+9.5%+0.8%+3.8%+0.7%+3.8%+4.6%(2.1%)+49.6%
2014(11%)+2.9%+4.8%+13.1%+6.3%(0.4%)(0.4%)(2.7%)(2.6%)(10.9%)+1.2%(4.5%)(6.6%)
2015+3.6%+9.2%+3.7%+2.6%+6.2%(7.9%)+8.9%(21.8%)(6.9%)+13.8%(0.7%)(3.7%)+1.5%
2016(4.1%)(12.5%)+8.4%  -    -    -    -    -    -    -    -    -  (9%)
2017  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2018  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2019  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2020  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2021  -    -    -    -    -    -                                      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 4,001 trades in real-life brokerage accounts. The most recent trade in a real-money brokerage account occurred more than 2077 days ago.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
3/21/16 10:15 AMZN AMAZON.COM LONG 159 542.55 3/22 9:55 556.19 0.09%
Trade id #101377193
Max drawdown($631)
Time3/21/16 10:34
Quant open159
Worst price538.58
Drawdown as % of equity-0.09%
$2,166
Includes Typical Broker Commissions trade costs of $3.18
3/16/16 12:16 BMRN BIOMARIN PHARMACEUTICAL LONG 2,132 78.81 3/22 9:30 78.39 1.38%
Trade id #101280468
Max drawdown($8,824)
Time3/17/16 11:13
Quant open2,132
Worst price74.67
Drawdown as % of equity-1.38%
($903)
Includes Typical Broker Commissions trade costs of $10.00
3/17/16 9:57 ALXN ALEXION PHARMACEUTICALS LONG 660 127.50 3/21 9:52 130.72 0.34%
Trade id #101310859
Max drawdown($2,204)
Time3/17/16 11:22
Quant open660
Worst price124.16
Drawdown as % of equity-0.34%
$2,120
Includes Typical Broker Commissions trade costs of $5.00
3/16/16 13:15 CELG CELGENE LONG 1,745 96.30 3/18 13:07 98.71 0.52%
Trade id #101282399
Max drawdown($3,336)
Time3/17/16 10:23
Quant open1,745
Worst price94.39
Drawdown as % of equity-0.52%
$4,195
Includes Typical Broker Commissions trade costs of $10.00
3/16/16 11:20 INCY INCYTE LONG 2,682 62.67 3/18 12:05 64.80 0.99%
Trade id #101278377
Max drawdown($6,361)
Time3/17/16 11:10
Quant open2,682
Worst price60.30
Drawdown as % of equity-0.99%
$5,710
Includes Typical Broker Commissions trade costs of $10.00
3/16/16 11:55 VRTX VERTEX LONG 2,158 77.85 3/18 12:04 80.85 0.65%
Trade id #101279596
Max drawdown($4,210)
Time3/17/16 10:13
Quant open2,158
Worst price75.90
Drawdown as % of equity-0.65%
$6,467
Includes Typical Broker Commissions trade costs of $10.00
3/15/16 9:30 ALXN ALEXION PHARMACEUTICALS LONG 590 132.67 3/16 9:50 136.00 0.19%
Trade id #101240846
Max drawdown($1,268)
Time3/15/16 10:28
Quant open590
Worst price130.52
Drawdown as % of equity-0.19%
$1,960
Includes Typical Broker Commissions trade costs of $5.00
3/15/16 9:49 REGN REGENERON PHARMACEUTICALS LONG 214 365.81 3/16 9:32 375.78 0.22%
Trade id #101241891
Max drawdown($1,419)
Time3/15/16 10:23
Quant open214
Worst price359.17
Drawdown as % of equity-0.22%
$2,131
Includes Typical Broker Commissions trade costs of $4.28
3/10/16 11:17 LBTYK LIBERTY GLOBAL PLC CLASS C ORD LONG 2,672 30.83 3/14 12:48 31.60 0.22%
Trade id #101151760
Max drawdown($1,379)
Time3/10/16 14:12
Quant open2,378
Worst price34.06
Drawdown as % of equity-0.22%
$2,063
Includes Typical Broker Commissions trade costs of $5.00
3/10/16 10:37 LBTYA LIBERTY GLOBAL PLC CLASS A ORD LONG 2,610 31.55 3/14 12:46 32.34 0.25%
Trade id #101149240
Max drawdown($1,579)
Time3/10/16 14:12
Quant open2,323
Worst price34.77
Drawdown as % of equity-0.25%
$2,065
Includes Typical Broker Commissions trade costs of $5.00
3/10/16 12:39 ALXN ALEXION PHARMACEUTICALS LONG 606 135.63 3/11 13:57 139.04 0.06%
Trade id #101154952
Max drawdown($375)
Time3/10/16 13:59
Quant open606
Worst price135.01
Drawdown as % of equity-0.06%
$2,061
Includes Typical Broker Commissions trade costs of $5.00
3/10/16 10:58 VRTX VERTEX LONG 988 83.34 3/11 11:38 85.43 0.34%
Trade id #101150289
Max drawdown($2,153)
Time3/10/16 12:45
Quant open988
Worst price81.16
Drawdown as % of equity-0.34%
$2,060
Includes Typical Broker Commissions trade costs of $5.00
3/9/16 9:49 INCY INCYTE LONG 1,196 68.60 3/10 9:30 70.43 0.14%
Trade id #101115830
Max drawdown($920)
Time3/9/16 9:53
Quant open1,196
Worst price67.83
Drawdown as % of equity-0.14%
$2,184
Includes Typical Broker Commissions trade costs of $5.00
3/8/16 9:33 DLTR DOLLAR TREE STORES LONG 1,012 75.83 3/10 9:30 78.25 0.09%
Trade id #101076811
Max drawdown($597)
Time3/8/16 9:45
Quant open1,012
Worst price75.24
Drawdown as % of equity-0.09%
$2,439
Includes Typical Broker Commissions trade costs of $5.00
3/3/16 12:14 DLTR DOLLAR TREE STORES LONG 892 76.67 3/4 10:00 78.60 0.03%
Trade id #100972930
Max drawdown($178)
Time3/3/16 12:21
Quant open892
Worst price76.47
Drawdown as % of equity-0.03%
$1,717
Includes Typical Broker Commissions trade costs of $5.00
2/11/16 9:30 AVGO BROADCOM LIMITED ORDINARY SHARES LONG 696 116.62 2/12 11:19 119.55 0.27%
Trade id #100578943
Max drawdown($1,649)
Time2/11/16 12:20
Quant open696
Worst price114.25
Drawdown as % of equity-0.27%
$2,034
Includes Typical Broker Commissions trade costs of $5.00
2/11/16 9:30 DLTR DOLLAR TREE STORES LONG 1,106 72.92 2/12 10:26 74.76 0.02%
Trade id #100578966
Max drawdown($132)
Time2/12/16 9:34
Quant open1,106
Worst price72.80
Drawdown as % of equity-0.02%
$2,030
Includes Typical Broker Commissions trade costs of $5.00
2/11/16 13:57 LRCX LAM RESEARCH LONG 1,283 63.28 2/12 9:30 64.95 0.04%
Trade id #100587645
Max drawdown($230)
Time2/11/16 14:37
Quant open1,283
Worst price63.10
Drawdown as % of equity-0.04%
$2,138
Includes Typical Broker Commissions trade costs of $5.00
2/11/16 11:04 MU MICRON TECHNOLOGY LONG 8,527 9.53 2/12 9:30 9.90 0.11%
Trade id #100582719
Max drawdown($682)
Time2/11/16 14:31
Quant open8,527
Worst price9.45
Drawdown as % of equity-0.11%
$3,193
Includes Typical Broker Commissions trade costs of $5.00
2/11/16 10:10 MNST MONSTER BEVERAGE LONG 716 113.37 2/12 9:30 121.87 0.03%
Trade id #100580873
Max drawdown($207)
Time2/11/16 10:12
Quant open716
Worst price113.08
Drawdown as % of equity-0.03%
$6,081
Includes Typical Broker Commissions trade costs of $5.00
2/11/16 9:39 SWKS SKYWORKS SOLUTIONS LONG 1,459 55.67 2/12 9:30 57.12 0.28%
Trade id #100579363
Max drawdown($1,707)
Time2/11/16 9:51
Quant open1,459
Worst price54.50
Drawdown as % of equity-0.28%
$2,111
Includes Typical Broker Commissions trade costs of $5.00
2/11/16 9:30 INTC INTEL LONG 2,911 27.81 2/12 9:30 28.56 0.06%
Trade id #100578962
Max drawdown($378)
Time2/11/16 9:40
Quant open2,911
Worst price27.68
Drawdown as % of equity-0.06%
$2,178
Includes Typical Broker Commissions trade costs of $5.00
2/10/16 9:38 VIAB VIACOM INC CLASS B LONG 2,569 31.01 2/11 10:10 31.80 0.47%
Trade id #100552501
Max drawdown($2,877)
Time2/11/16 7:47
Quant open2,569
Worst price29.89
Drawdown as % of equity-0.47%
$2,025
Includes Typical Broker Commissions trade costs of $5.00
2/5/16 9:58 TRIP TRIPADVISOR LONG 1,532 59.72 2/11 9:30 60.92 1.55%
Trade id #100374192
Max drawdown($9,559)
Time2/10/16 15:34
Quant open1,532
Worst price53.48
Drawdown as % of equity-1.55%
$1,833
Includes Typical Broker Commissions trade costs of $5.00
2/3/16 10:10 BIDU BAIDU LONG 1,162 149.97 2/11 9:30 141.52 1.53%
Trade id #100327500
Max drawdown($10,071)
Time2/8/16 8:32
Quant open1,162
Worst price141.30
Drawdown as % of equity-1.53%
($9,832)
Includes Typical Broker Commissions trade costs of $10.00
2/5/16 10:05 CTSH COGNIZANT TECH SOLUTION LONG 1,563 58.54 2/11 9:30 52.22 1.91%
Trade id #100374554
Max drawdown($11,441)
Time2/9/16 13:40
Quant open1,563
Worst price51.22
Drawdown as % of equity-1.91%
($9,883)
Includes Typical Broker Commissions trade costs of $5.00
2/4/16 11:09 ATVI ACTIVISION BLIZZARD LONG 5,799 31.38 2/11 9:30 29.34 3.25%
Trade id #100354869
Max drawdown($19,325)
Time2/9/16 9:33
Quant open5,799
Worst price28.05
Drawdown as % of equity-3.25%
($11,877)
Includes Typical Broker Commissions trade costs of $10.00
2/5/16 9:33 MNST MONSTER BEVERAGE LONG 726 126.00 2/11 9:30 114.88 1.32%
Trade id #100372953
Max drawdown($8,073)
Time2/11/16 9:30
Quant open0
Worst price114.88
Drawdown as % of equity-1.32%
($8,078)
Includes Typical Broker Commissions trade costs of $5.00
2/4/16 9:31 LVNTA LIBERTY VENTURES LONG 5,050 36.03 2/11 9:30 33.86 3.13%
Trade id #100351088
Max drawdown($18,580)
Time2/9/16 9:35
Quant open5,050
Worst price32.35
Drawdown as % of equity-3.13%
($10,964)
Includes Typical Broker Commissions trade costs of $10.00
2/4/16 11:59 ESRX EXPRESS SCRIPTS LONG 1,339 67.57 2/10 9:30 67.65 0.44%
Trade id #100356139
Max drawdown($2,704)
Time2/9/16 9:32
Quant open1,339
Worst price65.55
Drawdown as % of equity-0.44%
$102
Includes Typical Broker Commissions trade costs of $5.00

Statistics

  • Strategy began
    4/2/2007
  • Suggested Minimum Cap
    $100,000
  • Strategy Age (days)
    5180.66
  • Age
    173 months ago
  • What it trades
    Stocks
  • # Trades
    3636
  • # Profitable
    2623
  • % Profitable
    72.10%
  • Avg trade duration
    4.1 days
  • Max peak-to-valley drawdown
    %
  • drawdown period
    Dec , - Dec ,
  • Annual Return (Compounded)
    19.5%
  • Avg win
    $1,236
  • Avg loss
    $2,677
  • Model Account Values (Raw)
  • Cash
    $676,922
  • Margin Used
    $0
  • Buying Power
    $676,922
  • Ratios
  • W:L ratio
    1.21:1
  • Sharpe Ratio
    0.4
  • Sortino Ratio
    0.59
  • Calmar Ratio
    0.286
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    351.13%
  • Correlation to SP500
    0.36390
  • Return Percent SP500 (cumu) during strategy life
    198.16%
  • Return Statistics
  • Ann Return (w trading costs)
    19.5%
  • Slump
  • Current Slump as Pcnt Equity
    43.00%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.41%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.195%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    14.4%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    64.50%
  • Chance of 20% account loss
    34.00%
  • Chance of 30% account loss
    20.00%
  • Chance of 40% account loss
    8.00%
  • Chance of 60% account loss (Monte Carlo)
    n/a
  • Chance of 70% account loss (Monte Carlo)
    n/a
  • Chance of 80% account loss (Monte Carlo)
    n/a
  • Chance of 90% account loss (Monte Carlo)
    n/a
  • Chance of 100% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    2.00%
  • Popularity
  • Popularity (Today)
    659
  • Popularity (Last 6 weeks)
    950
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • Popularity (7 days, Percentile 1000 scale)
    899
  • Management
  • No Subs Allowed Flag (1: no subs)
    0
  • Strat abandoned?
    0
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $2,677
  • Avg Win
    $1,237
  • Sum Trade PL (losers)
    $2,711,980.000
  • Age
  • Num Months filled monthly returns table
    171
  • Win / Loss
  • Sum Trade PL (winners)
    $3,243,720.000
  • # Winners
    2623
  • Num Months Winners
    72
  • Dividends
  • Dividends Received in Model Acct
    45178
  • Win / Loss
  • # Losers
    1013
  • % Winners
    72.1%
  • Frequency
  • Avg Position Time (mins)
    5900.72
  • Avg Position Time (hrs)
    98.34
  • Avg Trade Length
    4.1 days
  • Last Trade Ago
    1903
  • Regression
  • Alpha
    0.02
  • Beta
    0.47
  • Treynor Index
    0.07
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.01
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    68.60
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    85.80
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    0.16
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.01
  • Avg(MAE) / Avg(PL) - All trades
    18.924
  • 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
    0.876
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.727
  • Hold-and-Hope Ratio
    0.053
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.22684
  • SD
    0.24771
  • Sharpe ratio (Glass type estimate)
    0.91575
  • Sharpe ratio (Hedges UMVUE)
    0.90937
  • df
    108.00000
  • t
    2.75993
  • p
    0.37166
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.25204
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.57538
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.24784
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.57090
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.43310
  • Upside Potential Ratio
    2.86618
  • Upside part of mean
    0.45368
  • Downside part of mean
    -0.22684
  • Upside SD
    0.20008
  • Downside SD
    0.15829
  • N nonnegative terms
    77.00000
  • N negative terms
    32.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    109.00000
  • Mean of predictor
    0.03715
  • Mean of criterion
    0.22684
  • SD of predictor
    0.15840
  • SD of criterion
    0.24771
  • Covariance
    0.01682
  • r
    0.42860
  • b (slope, estimate of beta)
    0.67027
  • a (intercept, estimate of alpha)
    0.20195
  • Mean Square Error
    0.05056
  • DF error
    107.00000
  • t(b)
    4.90707
  • p(b)
    0.23574
  • t(a)
    2.70058
  • p(a)
    0.34091
  • Lowerbound of 95% confidence interval for beta
    0.39949
  • Upperbound of 95% confidence interval for beta
    0.94106
  • Lowerbound of 95% confidence interval for alpha
    0.05371
  • Upperbound of 95% confidence interval for alpha
    0.35018
  • Treynor index (mean / b)
    0.33843
  • Jensen alpha (a)
    0.20195
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.19414
  • SD
    0.25057
  • Sharpe ratio (Glass type estimate)
    0.77480
  • Sharpe ratio (Hedges UMVUE)
    0.76941
  • df
    108.00000
  • t
    2.33513
  • p
    0.39038
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.11459
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.43151
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.11104
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.42777
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.12536
  • Upside Potential Ratio
    2.52054
  • Upside part of mean
    0.43482
  • Downside part of mean
    -0.24068
  • Upside SD
    0.18865
  • Downside SD
    0.17251
  • N nonnegative terms
    77.00000
  • N negative terms
    32.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    109.00000
  • Mean of predictor
    0.02447
  • Mean of criterion
    0.19414
  • SD of predictor
    0.16032
  • SD of criterion
    0.25057
  • Covariance
    0.01876
  • r
    0.46702
  • b (slope, estimate of beta)
    0.72990
  • a (intercept, estimate of alpha)
    0.17628
  • Mean Square Error
    0.04955
  • DF error
    107.00000
  • t(b)
    5.46322
  • p(b)
    0.21388
  • t(a)
    2.38441
  • p(a)
    0.35821
  • Lowerbound of 95% confidence interval for beta
    0.46505
  • Upperbound of 95% confidence interval for beta
    0.99475
  • Lowerbound of 95% confidence interval for alpha
    0.02972
  • Upperbound of 95% confidence interval for alpha
    0.32284
  • Treynor index (mean / b)
    0.26598
  • Jensen alpha (a)
    0.17628
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.09769
  • Expected Shortfall on VaR
    0.12424
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02927
  • Expected Shortfall on VaR
    0.06743
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    109.00000
  • Minimum
    0.73930
  • Quartile 1
    0.97752
  • Median
    1.02630
  • Quartile 3
    1.06110
  • Maximum
    1.23787
  • Mean of quarter 1
    0.92788
  • Mean of quarter 2
    1.01170
  • Mean of quarter 3
    1.04302
  • Mean of quarter 4
    1.09974
  • Inter Quartile Range
    0.08358
  • Number outliers low
    2.00000
  • Percentage of outliers low
    0.01835
  • Mean of outliers low
    0.78654
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.01835
  • Mean of outliers high
    1.22792
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.27265
  • VaR(95%) (moments method)
    0.06669
  • Expected Shortfall (moments method)
    0.11356
  • Extreme Value Index (regression method)
    0.14818
  • VaR(95%) (regression method)
    0.07411
  • Expected Shortfall (regression method)
    0.11603
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    13.00000
  • Minimum
    0.00331
  • Quartile 1
    0.04300
  • Median
    0.08812
  • Quartile 3
    0.15455
  • Maximum
    0.33462
  • Mean of quarter 1
    0.01904
  • Mean of quarter 2
    0.08283
  • Mean of quarter 3
    0.13351
  • Mean of quarter 4
    0.30344
  • Inter Quartile Range
    0.11155
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.15385
  • Mean of outliers high
    0.33171
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -10.22960
  • VaR(95%) (moments method)
    0.26742
  • Expected Shortfall (moments method)
    0.26742
  • Extreme Value Index (regression method)
    -3.65345
  • VaR(95%) (regression method)
    0.46797
  • Expected Shortfall (regression method)
    0.46839
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.59274
  • Compounded annual return (geometric extrapolation)
    0.22641
  • Calmar ratio (compounded annual return / max draw down)
    0.67660
  • Compounded annual return / average of 25% largest draw downs
    0.74614
  • Compounded annual return / Expected Shortfall lognormal
    1.82230
  • 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
    0.23366
  • SD
    0.26405
  • Sharpe ratio (Glass type estimate)
    0.88490
  • Sharpe ratio (Hedges UMVUE)
    0.88469
  • df
    3148.00000
  • t
    2.67733
  • p
    0.00373
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.23666
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.53300
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.23652
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.53286
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.30352
  • Upside Potential Ratio
    6.85354
  • Upside part of mean
    1.22850
  • Downside part of mean
    -0.99484
  • Upside SD
    0.19423
  • Downside SD
    0.17925
  • N nonnegative terms
    1466.00000
  • N negative terms
    1683.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    3149.00000
  • Mean of predictor
    0.05293
  • Mean of criterion
    0.23366
  • SD of predictor
    0.21507
  • SD of criterion
    0.26405
  • Covariance
    0.02407
  • r
    0.42378
  • b (slope, estimate of beta)
    0.52028
  • a (intercept, estimate of alpha)
    0.44300
  • Mean Square Error
    0.05722
  • DF error
    3147.00000
  • t(b)
    26.24690
  • p(b)
    -0.00000
  • t(a)
    2.60686
  • p(a)
    0.00459
  • Lowerbound of 95% confidence interval for beta
    0.48142
  • Upperbound of 95% confidence interval for beta
    0.55915
  • Lowerbound of 95% confidence interval for alpha
    0.05109
  • Upperbound of 95% confidence interval for alpha
    0.36114
  • Treynor index (mean / b)
    0.44909
  • Jensen alpha (a)
    0.20612
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.19898
  • SD
    0.26285
  • Sharpe ratio (Glass type estimate)
    0.75700
  • Sharpe ratio (Hedges UMVUE)
    0.75682
  • df
    3148.00000
  • t
    2.29035
  • p
    0.01103
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.10888
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.40502
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.10875
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.40489
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.07658
  • Upside Potential Ratio
    6.54971
  • Upside part of mean
    1.21052
  • Downside part of mean
    -1.01155
  • Upside SD
    0.18715
  • Downside SD
    0.18482
  • N nonnegative terms
    1466.00000
  • N negative terms
    1683.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    3149.00000
  • Mean of predictor
    0.02978
  • Mean of criterion
    0.19898
  • SD of predictor
    0.21532
  • SD of criterion
    0.26285
  • Covariance
    0.02411
  • r
    0.42603
  • b (slope, estimate of beta)
    0.52006
  • a (intercept, estimate of alpha)
    0.18349
  • Mean Square Error
    0.05657
  • DF error
    3147.00000
  • t(b)
    26.41690
  • p(b)
    -0.00000
  • t(a)
    2.33412
  • p(a)
    0.00983
  • Lowerbound of 95% confidence interval for beta
    0.48146
  • Upperbound of 95% confidence interval for beta
    0.55866
  • Lowerbound of 95% confidence interval for alpha
    0.02935
  • Upperbound of 95% confidence interval for alpha
    0.33762
  • Treynor index (mean / b)
    0.38260
  • Jensen alpha (a)
    0.18349
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02248
  • Expected Shortfall on VaR
    0.02823
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00673
  • Expected Shortfall on VaR
    0.01514
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    3149.00000
  • Minimum
    0.86155
  • Quartile 1
    0.99916
  • Median
    1.00000
  • Quartile 3
    1.00282
  • Maximum
    1.20336
  • Mean of quarter 1
    0.98861
  • Mean of quarter 2
    0.99989
  • Mean of quarter 3
    1.00100
  • Mean of quarter 4
    1.01334
  • Inter Quartile Range
    0.00365
  • Number outliers low
    361.00000
  • Percentage of outliers low
    0.11464
  • Mean of outliers low
    0.97850
  • Number of outliers high
    371.00000
  • Percentage of outliers high
    0.11782
  • Mean of outliers high
    1.02244
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.94426
  • VaR(95%) (moments method)
    0.00764
  • Expected Shortfall (moments method)
    0.15325
  • Extreme Value Index (regression method)
    0.41629
  • VaR(95%) (regression method)
    0.00877
  • Expected Shortfall (regression method)
    0.02032
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    159.00000
  • Minimum
    0.00000
  • Quartile 1
    0.00113
  • Median
    0.00415
  • Quartile 3
    0.01722
  • Maximum
    0.41050
  • Mean of quarter 1
    0.00046
  • Mean of quarter 2
    0.00253
  • Mean of quarter 3
    0.00903
  • Mean of quarter 4
    0.08981
  • Inter Quartile Range
    0.01609
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    23.00000
  • Percentage of outliers high
    0.14465
  • Mean of outliers high
    0.13630
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.72687
  • VaR(95%) (moments method)
    0.08246
  • Expected Shortfall (moments method)
    0.33459
  • Extreme Value Index (regression method)
    0.30056
  • VaR(95%) (regression method)
    0.08611
  • Expected Shortfall (regression method)
    0.16295
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.63033
  • Compounded annual return (geometric extrapolation)
    0.23235
  • Calmar ratio (compounded annual return / max draw down)
    0.56602
  • Compounded annual return / average of 25% largest draw downs
    2.58720
  • Compounded annual return / Expected Shortfall lognormal
    8.22958
  • 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
    0.08442
  • SD
    0.23239
  • Sharpe ratio (Glass type estimate)
    0.36327
  • Sharpe ratio (Hedges UMVUE)
    0.36167
  • df
    171.00000
  • t
    0.25687
  • p
    0.48750
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.40933
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.13482
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.41040
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.13374
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.48890
  • Upside Potential Ratio
    7.04685
  • Upside part of mean
    1.21682
  • Downside part of mean
    -1.13240
  • Upside SD
    0.15458
  • Downside SD
    0.17267
  • N nonnegative terms
    70.00000
  • N negative terms
    102.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    172.00000
  • Mean of predictor
    0.17297
  • Mean of criterion
    0.08442
  • SD of predictor
    0.16783
  • SD of criterion
    0.23239
  • Covariance
    0.01808
  • r
    0.46344
  • b (slope, estimate of beta)
    0.64174
  • a (intercept, estimate of alpha)
    -0.02658
  • Mean Square Error
    0.04266
  • DF error
    170.00000
  • t(b)
    6.81909
  • p(b)
    0.26828
  • t(a)
    -0.09086
  • p(a)
    0.50348
  • Lowerbound of 95% confidence interval for beta
    0.45597
  • Upperbound of 95% confidence interval for beta
    0.82751
  • Lowerbound of 95% confidence interval for alpha
    -0.60405
  • Upperbound of 95% confidence interval for alpha
    0.55089
  • Treynor index (mean / b)
    0.13155
  • Jensen alpha (a)
    -0.02658
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.05738
  • SD
    0.23361
  • Sharpe ratio (Glass type estimate)
    0.24564
  • Sharpe ratio (Hedges UMVUE)
    0.24456
  • df
    171.00000
  • t
    0.17369
  • p
    0.49155
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.52661
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.01725
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.52737
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.01648
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.32602
  • Upside Potential Ratio
    6.84652
  • Upside part of mean
    1.20504
  • Downside part of mean
    -1.14766
  • Upside SD
    0.15260
  • Downside SD
    0.17601
  • N nonnegative terms
    70.00000
  • N negative terms
    102.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    172.00000
  • Mean of predictor
    0.15893
  • Mean of criterion
    0.05738
  • SD of predictor
    0.16775
  • SD of criterion
    0.23361
  • Covariance
    0.01820
  • r
    0.46456
  • b (slope, estimate of beta)
    0.64695
  • a (intercept, estimate of alpha)
    -0.04544
  • Mean Square Error
    0.04305
  • DF error
    170.00000
  • t(b)
    6.83994
  • p(b)
    0.26772
  • t(a)
    -0.15466
  • p(a)
    0.50593
  • VAR (95 Confidence Intrvl)
    0.07400
  • Lowerbound of 95% confidence interval for beta
    0.46024
  • Upperbound of 95% confidence interval for beta
    0.83366
  • Lowerbound of 95% confidence interval for alpha
    -0.62541
  • Upperbound of 95% confidence interval for alpha
    0.53453
  • Treynor index (mean / b)
    0.08870
  • Jensen alpha (a)
    -0.04544
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02034
  • Expected Shortfall on VaR
    0.02547
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00828
  • Expected Shortfall on VaR
    0.01778
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    172.00000
  • Minimum
    0.94363
  • Quartile 1
    0.99823
  • Median
    1.00000
  • Quartile 3
    1.00284
  • Maximum
    1.03844
  • Mean of quarter 1
    0.98711
  • Mean of quarter 2
    0.99979
  • Mean of quarter 3
    1.00076
  • Mean of quarter 4
    1.01344
  • Inter Quartile Range
    0.00461
  • Number outliers low
    18.00000
  • Percentage of outliers low
    0.10465
  • Mean of outliers low
    0.97556
  • Number of outliers high
    23.00000
  • Percentage of outliers high
    0.13372
  • Mean of outliers high
    1.02031
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.58388
  • VaR(95%) (moments method)
    0.00903
  • Expected Shortfall (moments method)
    0.02587
  • Extreme Value Index (regression method)
    0.29043
  • VaR(95%) (regression method)
    0.01419
  • Expected Shortfall (regression method)
    0.02783
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    6.00000
  • Minimum
    0.00290
  • Quartile 1
    0.00410
  • Median
    0.00724
  • Quartile 3
    0.01494
  • Maximum
    0.19415
  • Mean of quarter 1
    0.00342
  • Mean of quarter 2
    0.00461
  • Mean of quarter 3
    0.00986
  • Mean of quarter 4
    0.10539
  • Inter Quartile Range
    0.01083
  • 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
    0.16667
  • Mean of outliers high
    0.19415
  • 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)
    157
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.06848
  • Compounded annual return (geometric extrapolation)
    0.06965
  • Calmar ratio (compounded annual return / max draw down)
    0.35876
  • Compounded annual return / average of 25% largest draw downs
    0.66091
  • Compounded annual return / Expected Shortfall lognormal
    2.73436

Strategy Description


Topaz NQ100 M


The name "topaz" is derived from the Greek topazos
"to seek ," which was the name of an island in the Red Sea
that was difficult to find ... in ancient times.


(from Wikipedia)


The Name

Topaz: a gemstone
NQ100: it trades Nasdaq-100 stocks.
M: it is designed for manual trading


What to expect

Topaz generates between 5 and 40 limit orders once a day. Positions are held at least one night and a maximum of 12 days.
While trades will be filled during the day it is possible to trade it with a one time effort per day.

WARNING: Do not trade this system if did not fully read and understand all trading instructions. Ignoring some of these instructions may cause severe losses in your trading account.


Read More


Detailed description:
http://www.finantic.de/products/topaz

FAQ:
http://www.finantic.de/products/faq/c2/

Summary Statistics

Strategy began
2007-04-02
Suggested Minimum Capital
$25,000
# Trades
3636
# Profitable
2623
% Profitable
72.1%
Net Dividends
Correlation S&P500
0.364
Sharpe Ratio
0.40
Sortino Ratio
0.59
Beta
0.47
Alpha
0.02

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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