Collective2 Collective2
Featured Strategy IC Algotrading Followed by live capital $349,000 Hypothetical

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Global Investing Report-Sector Leaders
(67958124)

Created by: GlobalInvestingRep GlobalInvestingRep
Started: 11/2011
Stocks
Last trade: 3,018 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 $49.00 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.

8.6%
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.

(88.8%)
Max Drawdown
242
Num Trades
48.3%
Win Trades
1.6 : 1
Profit Factor
52.0%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2011                                                                      (16.8%)(7.4%)(22.9%)
2012+28.2%+3.2%+3.3%(13.3%)(1.1%)(9.7%)(4.2%)+3.0%+19.8%+0.8%+7.3%+11.0%+50.2%
2013+5.9%(3.2%)+0.5%+12.9%+35.6%(0.8%)+11.2%(6.9%)+7.7%(4.6%)+2.2%+5.0%+78.7%
2014(0.6%)+8.4%(8.9%)  -  +0.7%+6.3%(9.2%)(1.6%)(8.8%)+2.1%+7.9%(5.1%)(10.4%)
2015(1.8%)+1.4%(1.8%)(7.7%)(12.6%)(3.4%)(3.3%)+7.6%(13.6%)(11.1%)(25.9%)(3.6%)(56.4%)
2016(41.3%)(25.3%)+30.9%(8.3%)+45.6%+28.8%+7.7%(1.8%)+8.8%+5.1%(17%)(11.7%)(12.6%)
2017+22.6%+15.8%+4.2%(13.5%)+16.2%+9.0%+5.6%(8.3%)+0.2%+16.3%+17.3%+3.2%+121.2%
2018(6.7%)(12.5%)(9.3%)(11.5%)(11.7%)+18.2%+9.1%(18.9%)+7.2%(24.5%)+34.7%(16.3%)(44.9%)
2019+16.6%(10.8%)(4.1%)+28.2%(7.4%)  -  (18.9%)+3.0%+20.7%+4.2%+31.8%
2020+14.6%(9.7%)(5.8%)+6.9%+44.5%+2.4%+11.4%+13.3%(6%)(6.8%)+10.1%+4.8%+96.6%
2021+16.5%(3.1%)(3.1%)+11.5%+0.4%(7.6%)(10.7%)+8.6%(13.6%)+10.3%+11.4%(1.8%)+14.5%
2022(15%)+5.5%(4.7%)(5.7%)+15.4%(0.7%)+1.6%(7.4%)(10.2%)(16.1%)+19.9%+6.2%(16.6%)
2023+16.1%(6.1%)+8.6%+3.2%(1.7%)+9.4%+9.0%(4.6%)(6.6%)(0.4%)+14.7%(11.1%)+29.6%
2024+1.5%+5.8%+2.1%(8.1%)                                                +0.8%

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 300 trades in real-life brokerage accounts. To see live brokerage data, select Show AutoTrade Data, and click on a Live AutoTrade Indicator symbol.

Show AutoTrade data Hide AutoTrade data
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Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
11/18/15 9:52 STZ CONSTELLATION BRANDS LONG 32 139.11 1/11/16 10:03 146.68 0.91%
Trade id #98427670
Max drawdown($120)
Time12/14/15 11:19
Quant open32
Worst price135.34
Drawdown as % of equity-0.91%
 $241
Includes Typical Broker Commissions trade costs of $0.64
11/20/15 10:40 LUV SOUTHWEST AIRLINES LONG 198 47.29 11/25 10:22 46.20 2.76%
Trade id #98469177
Max drawdown($372)
Time11/24/15 10:58
Quant open198
Worst price45.41
Drawdown as % of equity-2.76%
 ($220)
Includes Typical Broker Commissions trade costs of $3.96
11/9/15 13:45 TREE LENDINGTREE INC. COMMON STOCK LONG 43 128.25 11/13 15:45 116.41 4.5%
Trade id #98258624
Max drawdown($577)
Time11/13/15 13:59
Quant open43
Worst price114.82
Drawdown as % of equity-4.50%
 ($510)
Includes Typical Broker Commissions trade costs of $0.86
11/6/15 9:45 SBNY SIGNATURE BANK LONG 35 160.27 11/13 15:45 151.11 2.77%
Trade id #98222351
Max drawdown($356)
Time11/13/15 14:27
Quant open35
Worst price150.09
Drawdown as % of equity-2.77%
 ($322)
Includes Typical Broker Commissions trade costs of $0.70
10/20/15 9:46 BYD BOYD GAMING LONG 195 18.41 11/13 15:45 19.88 0.56%
Trade id #97892099
Max drawdown($93)
Time10/21/15 13:32
Quant open195
Worst price17.93
Drawdown as % of equity-0.56%
 $283
Includes Typical Broker Commissions trade costs of $3.90
10/29/15 9:51 RH RH LONG 66 102.78 11/12 10:41 100.19 1.58%
Trade id #98083949
Max drawdown($214)
Time11/12/15 9:36
Quant open66
Worst price99.53
Drawdown as % of equity-1.58%
 ($172)
Includes Typical Broker Commissions trade costs of $1.32
10/29/15 12:30 NCLH NORWEGIAN CRUISE LINE HOLDINGS LONG 111 63.23 11/10 9:37 58.33 3.87%
Trade id #98089000
Max drawdown($544)
Time11/10/15 9:37
Quant open0
Worst price58.33
Drawdown as % of equity-3.87%
 ($546)
Includes Typical Broker Commissions trade costs of $2.22
11/2/15 12:53 AQXP AQUINOX PHARMACEUTICALS INC. LONG 688 16.41 11/6 9:43 13.68 13.94%
Trade id #98146091
Max drawdown($2,345)
Time11/3/15 7:12
Quant open688
Worst price13.00
Drawdown as % of equity-13.94%
 ($1,883)
Includes Typical Broker Commissions trade costs of $5.00
10/21/15 10:16 WNS WNS HOLDINGS LONG 107 31.65 11/5 10:12 32.63 0.67%
Trade id #97919007
Max drawdown($110)
Time10/21/15 15:17
Quant open107
Worst price30.62
Drawdown as % of equity-0.67%
 $103
Includes Typical Broker Commissions trade costs of $2.14
10/23/15 9:43 PAYX PAYCHEX LONG 217 51.74 11/2 12:19 51.86 0.43%
Trade id #97974305
Max drawdown($71)
Time10/23/15 12:03
Quant open217
Worst price51.41
Drawdown as % of equity-0.43%
 $22
Includes Typical Broker Commissions trade costs of $4.34
10/16/15 10:47 MXL MAXLINEAR INC. COMMON STOCK LONG 529 13.16 10/29 12:29 13.27 0.4%
Trade id #97843434
Max drawdown($63)
Time10/16/15 15:50
Quant open529
Worst price13.04
Drawdown as % of equity-0.40%
 $53
Includes Typical Broker Commissions trade costs of $5.00
9/24/15 15:34 DNO UNITED STATES SHORT OIL LONG 112 64.22 10/29 9:49 62.08 4.81%
Trade id #97428438
Max drawdown($756)
Time10/9/15 9:38
Quant open112
Worst price57.47
Drawdown as % of equity-4.81%
 ($242)
Includes Typical Broker Commissions trade costs of $2.24
9/23/15 15:45 EUM PROSHARES SHORT MSCI EMERGING LONG 480 30.11 10/23 9:36 26.78 9.72%
Trade id #97404377
Max drawdown($1,608)
Time10/23/15 9:32
Quant open480
Worst price26.76
Drawdown as % of equity-9.72%
 ($1,608)
Includes Typical Broker Commissions trade costs of $9.60
9/3/15 11:32 BBP BIOSHARES BIOTECHNOLOGY PRODUC LONG 260 32.95 9/24 15:08 30.50 3.96%
Trade id #97032160
Max drawdown($727)
Time9/24/15 11:18
Quant open260
Worst price30.15
Drawdown as % of equity-3.96%
 ($642)
Includes Typical Broker Commissions trade costs of $5.20
8/27/15 9:36 TBF PROSHARES SHORT 20+ YEAR TREAS LONG 528 25.05 9/24 10:28 25.07 0.96%
Trade id #96884126
Max drawdown($190)
Time8/31/15 9:32
Quant open528
Worst price24.69
Drawdown as % of equity-0.96%
 $3
Includes Typical Broker Commissions trade costs of $7.78
9/11/15 15:50 FDN FIRST TRUST DOW JONES INTERNET LONG 117 68.47 9/24 10:16 67.39 0.75%
Trade id #97188651
Max drawdown($138)
Time9/24/15 9:51
Quant open117
Worst price67.29
Drawdown as % of equity-0.75%
 ($128)
Includes Typical Broker Commissions trade costs of $2.34
9/8/15 15:45 ITB I SHARES US HOME CONSTRUCTION LONG 302 28.35 9/23 15:40 27.13 2.51%
Trade id #97106057
Max drawdown($459)
Time9/22/15 13:31
Quant open302
Worst price26.83
Drawdown as % of equity-2.51%
 ($374)
Includes Typical Broker Commissions trade costs of $6.04
9/1/15 15:33 EUM PROSHARES SHORT MSCI EMERGING LONG 282 30.43 9/11 15:45 29.47 1.92%
Trade id #96986473
Max drawdown($372)
Time9/9/15 9:40
Quant open282
Worst price29.11
Drawdown as % of equity-1.92%
 ($277)
Includes Typical Broker Commissions trade costs of $5.64
8/27/15 14:15 HEWI ISHARES CH MSCI ITALY LONG 370 23.86 9/1 15:29 22.79 2.03%
Trade id #96899753
Max drawdown($396)
Time9/1/15 15:29
Quant open0
Worst price22.79
Drawdown as % of equity-2.03%
 ($403)
Includes Typical Broker Commissions trade costs of $7.40
7/30/15 11:54 EUM PROSHARES SHORT MSCI EMERGING LONG 341 27.30 8/27 11:05 29.09 0.9%
Trade id #96164669
Max drawdown($167)
Time7/31/15 11:43
Quant open341
Worst price26.81
Drawdown as % of equity-0.90%
 $604
Includes Typical Broker Commissions trade costs of $6.82
7/28/15 9:59 RWM PROSHARES SHORT RUSSELL2000 LONG 155 59.88 8/27 10:12 63.27 1.38%
Trade id #96103912
Max drawdown($257)
Time7/31/15 12:19
Quant open155
Worst price58.22
Drawdown as % of equity-1.38%
 $522
Includes Typical Broker Commissions trade costs of $3.10
7/24/15 10:47 MBB ISHARES BARCLAYS MBS BOND LONG 92 109.07 8/27 9:50 109.09 0.25%
Trade id #96057528
Max drawdown($46)
Time8/5/15 10:14
Quant open92
Worst price108.56
Drawdown as % of equity-0.25%
 $0
Includes Typical Broker Commissions trade costs of $1.84
8/10/15 13:44 EWI ISHARES MSCI ITALY ETF LONG 589 15.86 8/12 10:57 15.42 1.41%
Trade id #96542913
Max drawdown($270)
Time8/12/15 10:27
Quant open589
Worst price15.40
Drawdown as % of equity-1.41%
 ($264)
Includes Typical Broker Commissions trade costs of $5.00
6/4/15 10:28 XPH SPDR S&P PHARMACEUTICALS LONG 116 62.84 7/27 9:47 64.65 1.14%
Trade id #94808938
Max drawdown($218)
Time6/29/15 15:48
Quant open58
Worst price121.92
Drawdown as % of equity-1.14%
 $208
Includes Typical Broker Commissions trade costs of $2.32
7/14/15 11:34 HEDJ WISDOMTREE EUROPE HDGD EQY FND LONG 179 64.18 7/24 10:39 64.16 0.21%
Trade id #95877134
Max drawdown($41)
Time7/15/15 14:53
Quant open179
Worst price63.95
Drawdown as % of equity-0.21%
 ($8)
Includes Typical Broker Commissions trade costs of $3.58
7/15/15 10:39 KRE SPDR S&P REGIONAL BANKING ETF LONG 157 44.91 7/24 10:27 44.10 0.75%
Trade id #95896170
Max drawdown($144)
Time7/24/15 9:38
Quant open157
Worst price43.99
Drawdown as % of equity-0.75%
 ($130)
Includes Typical Broker Commissions trade costs of $3.14
7/2/15 9:36 INDA ISHARES MSCI INDIA ETF LONG 389 30.83 7/24 10:12 30.77 1.79%
Trade id #95674461
Max drawdown($334)
Time7/8/15 16:00
Quant open389
Worst price29.97
Drawdown as % of equity-1.79%
 ($31)
Includes Typical Broker Commissions trade costs of $7.78
6/16/15 11:32 IJT ISHARES S&P SMALLCAP 600 GROWT LONG 53 132.63 7/15 10:27 132.88 1.08%
Trade id #95050364
Max drawdown($207)
Time7/7/15 11:37
Quant open53
Worst price128.71
Drawdown as % of equity-1.08%
 $12
Includes Typical Broker Commissions trade costs of $1.06
7/8/15 10:25 PSQ PROSHARES SHORT QQQ LONG 213 56.47 7/13 9:54 55.22 1.48%
Trade id #95769073
Max drawdown($281)
Time7/13/15 9:51
Quant open213
Worst price55.15
Drawdown as % of equity-1.48%
 ($270)
Includes Typical Broker Commissions trade costs of $4.26
6/5/15 10:01 PGJ INVESCO GOLDEN DRAGON CHINA ETF LONG 255 34.85 6/29 15:33 32.68 3.03%
Trade id #94834816
Max drawdown($599)
Time6/29/15 9:31
Quant open255
Worst price32.50
Drawdown as % of equity-3.03%
 ($558)
Includes Typical Broker Commissions trade costs of $5.10
Next

Statistics

  • Strategy began
    11/14/2011
  • Suggested Minimum Cap
    $10,000
  • Strategy Age (days)
    4529.65
  • Age
    151 months ago
  • What it trades
    Stocks
  • # Trades
    242
  • # Profitable
    117
  • % Profitable
    48.30%
  • Avg trade duration
    54.9 days
  • Max peak-to-valley drawdown
    88.85%
  • drawdown period
    March 06, 2014 - Feb 08, 2016
  • Annual Return (Compounded)
    8.6%
  • Avg win
    $521.31
  • Avg loss
    $332.05
  • Model Account Values (Raw)
  • Cash
    $4,695
  • Margin Used
    $0
  • Buying Power
    $22,734
  • Ratios
  • W:L ratio
    1.56:1
  • Sharpe Ratio
    0.3
  • Sortino Ratio
    0.43
  • Calmar Ratio
    0.246
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -137.29%
  • Correlation to SP500
    0.34810
  • Return Percent SP500 (cumu) during strategy life
    304.37%
  • Return Statistics
  • Ann Return (w trading costs)
    8.6%
  • Slump
  • Current Slump as Pcnt Equity
    14.40%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.00%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.086%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    10.2%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    100.00%
  • Chance of 20% account loss
    100.00%
  • Chance of 30% account loss
    100.00%
  • Chance of 40% account loss
    100.00%
  • Chance of 60% account loss (Monte Carlo)
    100.00%
  • Chance of 70% account loss (Monte Carlo)
    100.00%
  • Chance of 80% account loss (Monte Carlo)
    100.00%
  • Chance of 90% account loss (Monte Carlo)
    n/a
  • Chance of 100% account loss (Monte Carlo)
    100.00%
  • Automation
  • Percentage Signals Automated
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    100.00%
  • 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
    $332
  • Avg Win
    $521
  • Sum Trade PL (losers)
    $41,506.000
  • Age
  • Num Months filled monthly returns table
    150
  • Win / Loss
  • Sum Trade PL (winners)
    $60,993.000
  • # Winners
    117
  • Num Months Winners
    78
  • Dividends
  • Dividends Received in Model Acct
    3847
  • Win / Loss
  • # Losers
    125
  • % Winners
    48.4%
  • Frequency
  • Avg Position Time (mins)
    79027.90
  • Avg Position Time (hrs)
    1317.13
  • Avg Trade Length
    54.9 days
  • Last Trade Ago
    3011
  • Regression
  • Alpha
    0.01
  • Beta
    0.92
  • Treynor Index
    0.04
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.03
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    64.88
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    36.31
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    0.27
  • MAE:Equity, average, winning trades
    0.02
  • MAE:Equity, average, losing trades
    0.03
  • Avg(MAE) / Avg(PL) - All trades
    3.562
  • 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
    0.03
  • Avg(MAE) / Avg(PL) - Winning trades
    0.313
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.371
  • Hold-and-Hope Ratio
    0.272
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.21715
  • SD
    0.43054
  • Sharpe ratio (Glass type estimate)
    0.50436
  • Sharpe ratio (Hedges UMVUE)
    0.50024
  • df
    92.00000
  • t
    1.40409
  • p
    0.08183
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.20477
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.21081
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.20750
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.20798
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.90452
  • Upside Potential Ratio
    2.67277
  • Upside part of mean
    0.64165
  • Downside part of mean
    -0.42450
  • Upside SD
    0.36009
  • Downside SD
    0.24007
  • N nonnegative terms
    49.00000
  • N negative terms
    44.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    93.00000
  • Mean of predictor
    0.15818
  • Mean of criterion
    0.21715
  • SD of predictor
    0.17513
  • SD of criterion
    0.43054
  • Covariance
    0.03525
  • r
    0.46752
  • b (slope, estimate of beta)
    1.14934
  • a (intercept, estimate of alpha)
    0.03534
  • Mean Square Error
    0.14644
  • DF error
    91.00000
  • t(b)
    5.04516
  • p(b)
    0.00000
  • t(a)
    0.24869
  • p(a)
    0.40208
  • Lowerbound of 95% confidence interval for beta
    0.69682
  • Upperbound of 95% confidence interval for beta
    1.60186
  • Lowerbound of 95% confidence interval for alpha
    -0.24694
  • Upperbound of 95% confidence interval for alpha
    0.31762
  • Treynor index (mean / b)
    0.18893
  • Jensen alpha (a)
    0.03534
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.12939
  • SD
    0.41401
  • Sharpe ratio (Glass type estimate)
    0.31253
  • Sharpe ratio (Hedges UMVUE)
    0.30998
  • df
    92.00000
  • t
    0.87005
  • p
    0.19327
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.39380
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.01718
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.39549
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.01544
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.48169
  • Upside Potential Ratio
    2.18254
  • Upside part of mean
    0.58626
  • Downside part of mean
    -0.45687
  • Upside SD
    0.31433
  • Downside SD
    0.26861
  • N nonnegative terms
    49.00000
  • N negative terms
    44.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    93.00000
  • Mean of predictor
    0.14249
  • Mean of criterion
    0.12939
  • SD of predictor
    0.16894
  • SD of criterion
    0.41401
  • Covariance
    0.03111
  • r
    0.44480
  • b (slope, estimate of beta)
    1.09003
  • a (intercept, estimate of alpha)
    -0.02593
  • Mean Square Error
    0.13900
  • DF error
    91.00000
  • t(b)
    4.73758
  • p(b)
    0.00000
  • t(a)
    -0.18805
  • p(a)
    0.57437
  • Lowerbound of 95% confidence interval for beta
    0.63300
  • Upperbound of 95% confidence interval for beta
    1.54705
  • Lowerbound of 95% confidence interval for alpha
    -0.29981
  • Upperbound of 95% confidence interval for alpha
    0.24795
  • Treynor index (mean / b)
    0.11870
  • Jensen alpha (a)
    -0.02593
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.16956
  • Expected Shortfall on VaR
    0.20925
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.07907
  • Expected Shortfall on VaR
    0.15230
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    93.00000
  • Minimum
    0.65136
  • Quartile 1
    0.94483
  • Median
    1.00574
  • Quartile 3
    1.08639
  • Maximum
    1.49775
  • Mean of quarter 1
    0.88493
  • Mean of quarter 2
    0.98200
  • Mean of quarter 3
    1.04746
  • Mean of quarter 4
    1.17319
  • Inter Quartile Range
    0.14156
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.01075
  • Mean of outliers low
    0.65136
  • Number of outliers high
    3.00000
  • Percentage of outliers high
    0.03226
  • Mean of outliers high
    1.43727
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.09151
  • VaR(95%) (moments method)
    0.11656
  • Expected Shortfall (moments method)
    0.16200
  • Extreme Value Index (regression method)
    0.36879
  • VaR(95%) (regression method)
    0.12066
  • Expected Shortfall (regression method)
    0.20533
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    10.00000
  • Minimum
    0.00705
  • Quartile 1
    0.05568
  • Median
    0.08100
  • Quartile 3
    0.20666
  • Maximum
    0.66949
  • Mean of quarter 1
    0.03743
  • Mean of quarter 2
    0.06485
  • Mean of quarter 3
    0.14365
  • Mean of quarter 4
    0.36567
  • Inter Quartile Range
    0.15098
  • 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
    0.10000
  • Mean of outliers high
    0.66949
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.54852
  • VaR(95%) (moments method)
    0.46922
  • Expected Shortfall (moments method)
    1.05723
  • Extreme Value Index (regression method)
    5.64085
  • VaR(95%) (regression method)
    2.55435
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.30761
  • Compounded annual return (geometric extrapolation)
    0.17034
  • Calmar ratio (compounded annual return / max draw down)
    0.25444
  • Compounded annual return / average of 25% largest draw downs
    0.46584
  • Compounded annual return / Expected Shortfall lognormal
    0.81406
  • 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
    0.18796
  • SD
    0.34798
  • Sharpe ratio (Glass type estimate)
    0.54015
  • Sharpe ratio (Hedges UMVUE)
    0.53995
  • df
    2038.00000
  • t
    1.50686
  • p
    0.06600
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.16268
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.24285
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.16281
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.24272
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.77984
  • Upside Potential Ratio
    7.81656
  • Upside part of mean
    1.88398
  • Downside part of mean
    -1.69602
  • Upside SD
    0.25114
  • Downside SD
    0.24102
  • N nonnegative terms
    1067.00000
  • N negative terms
    972.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    2039.00000
  • Mean of predictor
    0.17482
  • Mean of criterion
    0.18796
  • SD of predictor
    0.19210
  • SD of criterion
    0.34798
  • Covariance
    0.02378
  • r
    0.35575
  • b (slope, estimate of beta)
    0.64443
  • a (intercept, estimate of alpha)
    0.07500
  • Mean Square Error
    0.10582
  • DF error
    2037.00000
  • t(b)
    17.18010
  • p(b)
    -0.00000
  • t(a)
    0.64473
  • p(a)
    0.25959
  • Lowerbound of 95% confidence interval for beta
    0.57087
  • Upperbound of 95% confidence interval for beta
    0.71799
  • Lowerbound of 95% confidence interval for alpha
    -0.15374
  • Upperbound of 95% confidence interval for alpha
    0.30434
  • Treynor index (mean / b)
    0.29167
  • Jensen alpha (a)
    0.07530
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.12724
  • SD
    0.34875
  • Sharpe ratio (Glass type estimate)
    0.36486
  • Sharpe ratio (Hedges UMVUE)
    0.36473
  • df
    2038.00000
  • t
    1.01786
  • p
    0.15443
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.33783
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.06749
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.33793
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.06739
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.51061
  • Upside Potential Ratio
    7.43744
  • Upside part of mean
    1.85344
  • Downside part of mean
    -1.72620
  • Upside SD
    0.24397
  • Downside SD
    0.24921
  • N nonnegative terms
    1067.00000
  • N negative terms
    972.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    2039.00000
  • Mean of predictor
    0.15592
  • Mean of criterion
    0.12724
  • SD of predictor
    0.19528
  • SD of criterion
    0.34875
  • Covariance
    0.02442
  • r
    0.35854
  • b (slope, estimate of beta)
    0.64032
  • a (intercept, estimate of alpha)
    0.02740
  • Mean Square Error
    0.10604
  • DF error
    2037.00000
  • t(b)
    17.33430
  • p(b)
    -0.00000
  • t(a)
    0.23449
  • p(a)
    0.40731
  • Lowerbound of 95% confidence interval for beta
    0.56788
  • Upperbound of 95% confidence interval for beta
    0.71276
  • Lowerbound of 95% confidence interval for alpha
    -0.20180
  • Upperbound of 95% confidence interval for alpha
    0.25661
  • Treynor index (mean / b)
    0.19872
  • Jensen alpha (a)
    0.02740
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.03435
  • Expected Shortfall on VaR
    0.04297
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01430
  • Expected Shortfall on VaR
    0.02967
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    2039.00000
  • Minimum
    0.85020
  • Quartile 1
    0.99204
  • Median
    1.00071
  • Quartile 3
    1.00945
  • Maximum
    1.13602
  • Mean of quarter 1
    0.97722
  • Mean of quarter 2
    0.99714
  • Mean of quarter 3
    1.00462
  • Mean of quarter 4
    1.02432
  • Inter Quartile Range
    0.01741
  • Number outliers low
    75.00000
  • Percentage of outliers low
    0.03678
  • Mean of outliers low
    0.94237
  • Number of outliers high
    73.00000
  • Percentage of outliers high
    0.03580
  • Mean of outliers high
    1.06115
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.31532
  • VaR(95%) (moments method)
    0.02212
  • Expected Shortfall (moments method)
    0.03850
  • Extreme Value Index (regression method)
    0.21368
  • VaR(95%) (regression method)
    0.02046
  • Expected Shortfall (regression method)
    0.03211
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    33.00000
  • Minimum
    0.00186
  • Quartile 1
    0.01890
  • Median
    0.03958
  • Quartile 3
    0.10704
  • Maximum
    0.68184
  • Mean of quarter 1
    0.00816
  • Mean of quarter 2
    0.02792
  • Mean of quarter 3
    0.09217
  • Mean of quarter 4
    0.25945
  • Inter Quartile Range
    0.08814
  • 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
    0.09091
  • Mean of outliers high
    0.45378
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.60044
  • VaR(95%) (moments method)
    0.29672
  • Expected Shortfall (moments method)
    0.76212
  • Extreme Value Index (regression method)
    1.48762
  • VaR(95%) (regression method)
    0.25416
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.30132
  • Compounded annual return (geometric extrapolation)
    0.16784
  • Calmar ratio (compounded annual return / max draw down)
    0.24615
  • Compounded annual return / average of 25% largest draw downs
    0.64688
  • Compounded annual return / Expected Shortfall lognormal
    3.90551
  • 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
    0.60658
  • SD
    0.73077
  • Sharpe ratio (Glass type estimate)
    0.83005
  • Sharpe ratio (Hedges UMVUE)
    0.82525
  • df
    130.00000
  • t
    0.58693
  • p
    0.47430
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.94516
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.60212
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.94837
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.59887
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.17402
  • Upside Potential Ratio
    9.15657
  • Upside part of mean
    4.73092
  • Downside part of mean
    -4.12434
  • Upside SD
    0.51421
  • Downside SD
    0.51667
  • N nonnegative terms
    72.00000
  • N negative terms
    59.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.78309
  • Mean of criterion
    0.60658
  • SD of predictor
    0.39489
  • SD of criterion
    0.73077
  • Covariance
    0.11156
  • r
    0.38659
  • b (slope, estimate of beta)
    0.71541
  • a (intercept, estimate of alpha)
    0.04635
  • Mean Square Error
    0.45774
  • DF error
    129.00000
  • t(b)
    4.76095
  • p(b)
    0.26017
  • t(a)
    0.04808
  • p(a)
    0.49730
  • Lowerbound of 95% confidence interval for beta
    0.41811
  • Upperbound of 95% confidence interval for beta
    1.01272
  • Lowerbound of 95% confidence interval for alpha
    -1.86098
  • Upperbound of 95% confidence interval for alpha
    1.95368
  • Treynor index (mean / b)
    0.84787
  • Jensen alpha (a)
    0.04635
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.33858
  • SD
    0.73661
  • Sharpe ratio (Glass type estimate)
    0.45965
  • Sharpe ratio (Hedges UMVUE)
    0.45699
  • df
    130.00000
  • t
    0.32502
  • p
    0.48575
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.31357
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.23118
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.31537
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.22936
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.62595
  • Upside Potential Ratio
    8.51214
  • Upside part of mean
    4.60434
  • Downside part of mean
    -4.26575
  • Upside SD
    0.49629
  • Downside SD
    0.54091
  • N nonnegative terms
    72.00000
  • N negative terms
    59.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.70424
  • Mean of criterion
    0.33858
  • SD of predictor
    0.39644
  • SD of criterion
    0.73661
  • Covariance
    0.11027
  • r
    0.37762
  • b (slope, estimate of beta)
    0.70166
  • a (intercept, estimate of alpha)
    -0.15555
  • Mean Square Error
    0.46883
  • DF error
    129.00000
  • t(b)
    4.63191
  • p(b)
    0.26544
  • t(a)
    -0.15967
  • p(a)
    0.50895
  • VAR (95 Confidence Intrvl)
    0.03400
  • Lowerbound of 95% confidence interval for beta
    0.40194
  • Upperbound of 95% confidence interval for beta
    1.00137
  • Lowerbound of 95% confidence interval for alpha
    -2.08301
  • Upperbound of 95% confidence interval for alpha
    1.77191
  • Treynor index (mean / b)
    0.48255
  • Jensen alpha (a)
    -0.15555
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.07092
  • Expected Shortfall on VaR
    0.08829
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.03397
  • Expected Shortfall on VaR
    0.06715
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.85488
  • Quartile 1
    0.97551
  • Median
    1.00459
  • Quartile 3
    1.02850
  • Maximum
    1.11404
  • Mean of quarter 1
    0.94469
  • Mean of quarter 2
    0.99356
  • Mean of quarter 3
    1.01596
  • Mean of quarter 4
    1.05588
  • Inter Quartile Range
    0.05299
  • Number outliers low
    2.00000
  • Percentage of outliers low
    0.01527
  • Mean of outliers low
    0.86159
  • Number of outliers high
    3.00000
  • Percentage of outliers high
    0.02290
  • Mean of outliers high
    1.11286
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.09821
  • VaR(95%) (moments method)
    0.05527
  • Expected Shortfall (moments method)
    0.07759
  • Extreme Value Index (regression method)
    0.12134
  • VaR(95%) (regression method)
    0.05530
  • Expected Shortfall (regression method)
    0.07833
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    5.00000
  • Minimum
    0.03516
  • Quartile 1
    0.10310
  • Median
    0.10691
  • Quartile 3
    0.10704
  • Maximum
    0.36211
  • Mean of quarter 1
    0.06913
  • Mean of quarter 2
    0.10691
  • Mean of quarter 3
    0.10704
  • Mean of quarter 4
    0.36211
  • Inter Quartile Range
    0.00394
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.20000
  • Mean of outliers low
    0.03516
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.20000
  • Mean of outliers high
    0.36211
  • 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
    0.25%
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -437751000
  • Max Equity Drawdown (num days)
    704
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.40222
  • Compounded annual return (geometric extrapolation)
    0.44266
  • Calmar ratio (compounded annual return / max draw down)
    1.22245
  • Compounded annual return / average of 25% largest draw downs
    1.22245
  • Compounded annual return / Expected Shortfall lognormal
    5.01361

Strategy Description

Invests in un-leveraged ETF's, and occasionally in individual stocks, of leading sectors of the markets utilizing primarily technical analysis and intermarket analysis for investment decisions.

An exchange-traded fund (ETF) is an investment fund traded on stock exchanges, much like stocks. An ETF holds assets such as stocks, commodities, or bonds, and trades close to its net asset value over the course of the trading day. Most ETFs track an index, such as a stock index or bond index. ETFs are attractive as investments because of their low costs, tax efficiency, and stock-like features

Our strategy can be summed up relatively easy.

1. We only invest in un-leveraged ETF's and occasionally individual stocks.

2. We primarily utilize technical analysis to make investment decisions. In finance, technical analysis is a security analysis discipline used for forecasting the direction of prices through the study of past market data, primarily price and volume.

3. We also utilize intermarket analysis in our decision making. Intermarket Analysis is the analysis of more than one related asset class or financial market to determine the strength or weakness of the financial markets or asset classes being considered. Instead of looking at financial markets or asset classes on an individual basis, this type of analysis looks at several strongly correlated markets or asset classes such as stocks, bonds and commodities.

4. We believe in letting our profits run but attempt to avoid large drawdowns.

5. We are not hyper traders and our average holding period will usually run about 2-4 weeks.

Our methodology has changed over the last few months and the resulting improvement in performance is reflected in the more recent results. Previously we were more engaged in selecting individual stocks and trading more frequently. We had also previously utilized sentiment in our trading. It is our belief that the change in methodology will result in improved performance and reduced drawdowns.

Since the transition to only un-leveraged ETFs on 07/09/2012, the maximum drawdown has been 10.62% and 13 out of 17 months (76.5%) from August 2012 to December 2013 have been profitable.

Please feel free to contact us if you have questions.
Trade this strategy at Interactive Brokers

Summary Statistics

Strategy began
2011-11-14
Suggested Minimum Capital
$15,000
# Trades
242
# Profitable
117
% Profitable
48.3%
Net Dividends
$3,847
Correlation S&P500
0.348
Sharpe Ratio
0.30
Sortino Ratio
0.43
Beta
0.92
Alpha
0.01

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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