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This strategy is no longer supported by its creator.
These are hypothetical performance results that have certain inherent limitations. Learn more
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Emerging S
(82884954)

Created by: GrowthInvestor GrowthInvestor
Started: 09/2013
Stocks
Last trade: 3,045 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 $64.00 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.

-4.7%
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.

-
Max Drawdown
258
Num Trades
64.7%
Win Trades
1.2 : 1
Profit Factor
57.5%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2013                                                        +1.7%+3.6%+7.9%+2.6%+16.8%
2014(0.5%)+4.7%+3.6%+1.0%+1.5%+4.1%+0.8%+2.1%+1.4%+1.8%+4.0%+0.7%+28.1%
2015(7.4%)+3.2%(3.7%)(15%)+0.5%(5.7%)(4.6%)(8%)(14.3%)+13.5%+4.8%+5.1%(30.3%)
2016(2.9%)(5.4%)+1.0%+1.7%+0.7%+5.6%+6.7%(7.3%)(5.9%)(7.6%)+1.7%(8.4%)(19.5%)
2017+2.0%+9.6%+0.9%+0.2%+6.3%(7%)(0.3%)+1.6%+5.1%+6.5%+5.8%+7.5%+44.0%
2018+5.3%(10.9%)(8.4%)+1.2%  -  (8.7%)+4.3%(1.2%)(1.3%)(9.1%)+3.5%(8.3%)(30.3%)
2019+13.2%(2%)+7.8%+7.6%+2.2%  -  (10.6%)+12.5%(1.3%)(9.2%)+2.8%+18.2%
2020(3%)+6.9%(24.7%)+7.6%+20.3%(8.3%)+6.7%  -  (4.5%)+2.7%+15.2%+1.9%+13.8%
2021(4.3%)(9.4%)+10.6%+1.1%(0.1%)(4.8%)+1.5%(7.1%)(0.9%)+8.0%+10.9%+18.4%+21.9%
2022(2.3%)+1.2%+7.7%+4.4%+0.1%(12.9%)+2.5%(10.5%)(1.9%)+9.3%(2.6%)(2.1%)(8.9%)
2023+4.3%(2.9%)(4.1%)+7.1%+3.0%(6.4%)+4.5%(13.9%)(9%)+1.6%+5.5%+14.0%+0.2%
2024(2.4%)+5.7%(6.4%)(5%)                                                (8.3%)

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 272 trades in real-life brokerage accounts. The most recent trade in a real-money brokerage account occurred more than 3248 days ago.

Show AutoTrade data Hide AutoTrade data
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Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
7/21/15 9:30 ALTR ALTAIR ENGINEERING INC. CLASS A LONG 448 49.80 12/24 16:54 53.96 5.1%
Trade id #95980371
Max drawdown($2,647)
Time8/24/15 9:33
Quant open448
Worst price43.89
Drawdown as % of equity-5.10%
 $1,855
Includes Typical Broker Commissions trade costs of $8.96
8/25/15 9:31 SPLS STAPLES LONG 1,604 13.57 9/2 9:31 13.91 1.5%
Trade id #96832155
Max drawdown($753)
Time8/26/15 12:47
Quant open1,604
Worst price13.10
Drawdown as % of equity-1.50%
 $540
Includes Typical Broker Commissions trade costs of $5.00
8/20/15 9:30 ESRX EXPRESS SCRIPTS LONG 247 89.32 8/21 9:31 87.07 1.08%
Trade id #96745007
Max drawdown($573)
Time8/21/15 8:16
Quant open247
Worst price87.00
Drawdown as % of equity-1.08%
 ($561)
Includes Typical Broker Commissions trade costs of $4.94
8/20/15 9:30 BBBY BED BATH & BEYOND LONG 349 62.92 8/21 9:31 62.23 0.47%
Trade id #96744851
Max drawdown($251)
Time8/21/15 9:31
Quant open349
Worst price62.20
Drawdown as % of equity-0.47%
 ($248)
Includes Typical Broker Commissions trade costs of $6.98
8/20/15 9:30 ISRG INTUITIVE SURGICAL LONG 42 522.08 8/21 9:30 509.64 0.98%
Trade id #96744896
Max drawdown($522)
Time8/21/15 9:30
Quant open0
Worst price509.64
Drawdown as % of equity-0.98%
 ($523)
Includes Typical Broker Commissions trade costs of $0.84
8/12/15 9:30 DISCA DISCOVERY COMMUNICATIONS LONG 797 28.50 8/13 9:30 28.88 n/a $298
Includes Typical Broker Commissions trade costs of $5.00
8/7/15 9:30 TSLA TESLA INC. LONG 93 243.58 8/13 9:30 239.86 2%
Trade id #96502067
Max drawdown($1,103)
Time8/12/15 5:09
Quant open93
Worst price231.71
Drawdown as % of equity-2.00%
 ($348)
Includes Typical Broker Commissions trade costs of $1.86
7/27/15 9:30 AAPL APPLE LONG 183 123.09 8/12 9:30 112.53 4%
Trade id #96077947
Max drawdown($2,210)
Time8/12/15 4:02
Quant open183
Worst price111.01
Drawdown as % of equity-4.00%
 ($1,936)
Includes Typical Broker Commissions trade costs of $3.66
8/4/15 9:30 ADP AUTOMATIC DATA PROCESSING LONG 285 80.54 8/10 9:30 81.01 0.43%
Trade id #96397119
Max drawdown($236)
Time8/7/15 11:40
Quant open285
Worst price79.71
Drawdown as % of equity-0.43%
 $128
Includes Typical Broker Commissions trade costs of $5.70
8/4/15 9:31 AKAM AKAMAI TECHNOLOGIES LONG 302 75.82 8/6 9:30 75.98 0.2%
Trade id #96397138
Max drawdown($111)
Time8/4/15 15:23
Quant open302
Worst price75.45
Drawdown as % of equity-0.20%
 $42
Includes Typical Broker Commissions trade costs of $6.04
7/21/15 9:31 DISCA DISCOVERY COMMUNICATIONS LONG 685 32.32 8/3 9:30 33.00 1.74%
Trade id #95980528
Max drawdown($972)
Time7/29/15 9:49
Quant open685
Worst price30.90
Drawdown as % of equity-1.74%
 $461
Includes Typical Broker Commissions trade costs of $5.00
7/24/15 9:30 NTAP NETAPP LONG 724 31.46 7/29 9:30 30.89 1.09%
Trade id #96054360
Max drawdown($608)
Time7/27/15 9:32
Quant open724
Worst price30.62
Drawdown as % of equity-1.09%
 ($418)
Includes Typical Broker Commissions trade costs of $5.00
7/21/15 9:30 WYNN WYNN RESORTS LONG 223 100.09 7/24 9:31 104.84 0.15%
Trade id #95980439
Max drawdown($86)
Time7/22/15 12:19
Quant open223
Worst price99.70
Drawdown as % of equity-0.15%
 $1,055
Includes Typical Broker Commissions trade costs of $4.46
7/21/15 9:30 SBAC SBA COMMUNICATIONS LONG 193 115.89 7/23 9:31 116.29 0.39%
Trade id #95980301
Max drawdown($231)
Time7/21/15 10:20
Quant open193
Worst price114.69
Drawdown as % of equity-0.39%
 $73
Includes Typical Broker Commissions trade costs of $3.86
7/14/15 9:31 FDX FEDEX LONG 127 171.00 7/17 9:31 169.49 0.42%
Trade id #95873571
Max drawdown($250)
Time7/15/15 14:56
Quant open127
Worst price169.03
Drawdown as % of equity-0.42%
 ($195)
Includes Typical Broker Commissions trade costs of $2.54
7/13/15 9:31 BK BANK OF NEW YORK MELLON LONG 517 41.85 7/17 9:31 42.92 n/a $548
Includes Typical Broker Commissions trade costs of $5.00
7/8/15 9:31 COST COSTCO WHOLESALE LONG 163 139.98 7/17 9:31 144.12 0.64%
Trade id #95766430
Max drawdown($370)
Time7/9/15 10:30
Quant open163
Worst price137.71
Drawdown as % of equity-0.64%
 $672
Includes Typical Broker Commissions trade costs of $3.26
7/15/15 9:30 CVX CHEVRON LONG 228 95.04 7/17 9:31 94.23 0.44%
Trade id #95893545
Max drawdown($262)
Time7/15/15 14:57
Quant open228
Worst price93.89
Drawdown as % of equity-0.44%
 ($190)
Includes Typical Broker Commissions trade costs of $4.56
7/8/15 9:31 VZ VERIZON COMMUNICATIONS LONG 485 46.58 7/17 9:30 47.78 0.3%
Trade id #95766478
Max drawdown($169)
Time7/9/15 16:00
Quant open485
Worst price46.23
Drawdown as % of equity-0.30%
 $572
Includes Typical Broker Commissions trade costs of $9.70
7/9/15 9:30 HSIC HENRY SCHEIN LONG 158 144.35 7/14 9:30 147.00 0.34%
Trade id #95793684
Max drawdown($194)
Time7/9/15 14:34
Quant open158
Worst price143.12
Drawdown as % of equity-0.34%
 $416
Includes Typical Broker Commissions trade costs of $3.16
6/24/15 9:31 NUAN NUANCE COMMUNICATIONS LONG 1,312 18.17 7/13 9:31 16.94 4.14%
Trade id #95388294
Max drawdown($2,335)
Time7/7/15 11:08
Quant open1,312
Worst price16.39
Drawdown as % of equity-4.14%
 ($1,619)
Includes Typical Broker Commissions trade costs of $5.00
6/25/15 9:30 CTXS CITRIX SYSTEMS LONG 329 71.82 7/10 9:30 69.49 2.76%
Trade id #95448277
Max drawdown($1,574)
Time7/7/15 10:43
Quant open329
Worst price67.03
Drawdown as % of equity-2.76%
 ($774)
Includes Typical Broker Commissions trade costs of $6.58
6/22/15 9:30 XOM EXXON MOBIL LONG 278 85.39 7/8 9:30 82.25 1.9%
Trade id #95328167
Max drawdown($1,084)
Time7/7/15 10:09
Quant open278
Worst price81.49
Drawdown as % of equity-1.90%
 ($879)
Includes Typical Broker Commissions trade costs of $5.56
6/25/15 9:33 ORCL ORACLE CORP LONG 573 41.24 7/7 9:32 40.04 1.44%
Trade id #95448659
Max drawdown($842)
Time7/6/15 9:34
Quant open573
Worst price39.77
Drawdown as % of equity-1.44%
 ($693)
Includes Typical Broker Commissions trade costs of $5.00
6/24/15 9:31 ADI ANALOG DEVICES LONG 353 67.46 7/2 9:30 64.58 2.18%
Trade id #95388367
Max drawdown($1,284)
Time6/30/15 12:37
Quant open353
Worst price63.82
Drawdown as % of equity-2.18%
 ($1,024)
Includes Typical Broker Commissions trade costs of $7.06
6/22/15 9:31 GILD GILEAD SCIENCES LONG 198 120.77 6/24 9:30 121.89 0.03%
Trade id #95328378
Max drawdown($17)
Time6/22/15 9:45
Quant open198
Worst price120.68
Drawdown as % of equity-0.03%
 $218
Includes Typical Broker Commissions trade costs of $3.96
6/3/15 9:30 PCLN THE PRICELINE GROUP INC. COMMO LONG 20 1196.99 6/24 9:30 1157.77 1.71%
Trade id #94779674
Max drawdown($1,063)
Time6/22/15 10:15
Quant open20
Worst price1143.83
Drawdown as % of equity-1.71%
 ($784)
Includes Typical Broker Commissions trade costs of $0.40
6/19/15 9:30 CHTR CHARTER COMMUNICATIONS LONG 139 170.96 6/23 9:31 170.71 0.34%
Trade id #95172954
Max drawdown($211)
Time6/19/15 9:33
Quant open139
Worst price169.44
Drawdown as % of equity-0.34%
 ($38)
Includes Typical Broker Commissions trade costs of $2.78
6/22/15 9:30 MET METLIFE LONG 422 56.68 6/23 9:31 57.64 0.01%
Trade id #95327978
Max drawdown($4)
Time6/22/15 9:32
Quant open422
Worst price56.67
Drawdown as % of equity-0.01%
 $397
Includes Typical Broker Commissions trade costs of $8.44
6/16/15 9:30 AAPL APPLE LONG 187 127.03 6/19 9:31 127.71 0.2%
Trade id #95045376
Max drawdown($123)
Time6/16/15 10:16
Quant open187
Worst price126.37
Drawdown as % of equity-0.20%
 $123
Includes Typical Broker Commissions trade costs of $3.74
Next

Statistics

  • Strategy began
    9/8/2013
  • Suggested Minimum Cap
    $50,000
  • Strategy Age (days)
    3874.26
  • Age
    129 months ago
  • What it trades
    Stocks
  • # Trades
    258
  • # Profitable
    167
  • % Profitable
    64.70%
  • Avg trade duration
    50.0 days
  • Max peak-to-valley drawdown
    %
  • drawdown period
    Dec , - Dec ,
  • Annual Return (Compounded)
    -4.7%
  • Avg win
    $423.91
  • Avg loss
    $690.04
  • Model Account Values (Raw)
  • Cash
    $28,471
  • Margin Used
    $0
  • Buying Power
    $28,544
  • Ratios
  • W:L ratio
    1.19:1
  • Sharpe Ratio
    0.08
  • Sortino Ratio
    0.11
  • Calmar Ratio
    0.133
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -27.05%
  • Correlation to SP500
    0.48820
  • Return Percent SP500 (cumu) during strategy life
    206.41%
  • Return Statistics
  • Ann Return (w trading costs)
    -4.7%
  • Slump
  • Current Slump as Pcnt Equity
    35.30%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.19%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    -0.047%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    2.0%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    65.50%
  • Chance of 20% account loss
    14.00%
  • 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)
    604
  • Popularity (Last 6 weeks)
    948
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • Popularity (7 days, Percentile 1000 scale)
    880
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $690
  • Avg Win
    $424
  • Sum Trade PL (losers)
    $62,794.000
  • Age
  • Num Months filled monthly returns table
    128
  • Win / Loss
  • Sum Trade PL (winners)
    $70,793.000
  • # Winners
    167
  • Num Months Winners
    74
  • Dividends
  • Dividends Received in Model Acct
    3870
  • Win / Loss
  • # Losers
    91
  • % Winners
    64.7%
  • Frequency
  • Avg Position Time (mins)
    72025.20
  • Avg Position Time (hrs)
    1200.42
  • Avg Trade Length
    50.0 days
  • Last Trade Ago
    3037
  • Regression
  • Alpha
    -0.01
  • Beta
    0.70
  • Treynor Index
    0.01
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.01
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    46.58
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    85.39
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -1.14
  • MAE:Equity, average, winning trades
    0.01
  • MAE:Equity, average, losing trades
    0.02
  • Avg(MAE) / Avg(PL) - All trades
    11.320
  • 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
    0.04
  • Avg(MAE) / Avg(PL) - Winning trades
    0.623
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.355
  • Hold-and-Hope Ratio
    0.039
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.02903
  • SD
    0.16244
  • Sharpe ratio (Glass type estimate)
    0.17873
  • Sharpe ratio (Hedges UMVUE)
    0.17308
  • df
    24.00000
  • t
    0.25798
  • p
    0.39931
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.18194
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.53575
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.18570
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.53186
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.24305
  • Upside Potential Ratio
    1.93288
  • Upside part of mean
    0.23090
  • Downside part of mean
    -0.20186
  • Upside SD
    0.10551
  • Downside SD
    0.11946
  • N nonnegative terms
    14.00000
  • N negative terms
    11.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    25.00000
  • Mean of predictor
    0.08029
  • Mean of criterion
    0.02903
  • SD of predictor
    0.11023
  • SD of criterion
    0.16244
  • Covariance
    0.01064
  • r
    0.59437
  • b (slope, estimate of beta)
    0.87595
  • a (intercept, estimate of alpha)
    -0.04130
  • Mean Square Error
    0.01781
  • DF error
    23.00000
  • t(b)
    3.54453
  • p(b)
    0.00086
  • t(a)
    -0.43673
  • p(a)
    0.66681
  • Lowerbound of 95% confidence interval for beta
    0.36473
  • Upperbound of 95% confidence interval for beta
    1.38717
  • Lowerbound of 95% confidence interval for alpha
    -0.23691
  • Upperbound of 95% confidence interval for alpha
    0.15431
  • Treynor index (mean / b)
    0.03315
  • Jensen alpha (a)
    -0.04130
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.01605
  • SD
    0.16525
  • Sharpe ratio (Glass type estimate)
    0.09712
  • Sharpe ratio (Hedges UMVUE)
    0.09405
  • df
    24.00000
  • t
    0.14019
  • p
    0.44484
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.26204
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.45432
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.26411
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.45221
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.12798
  • Upside Potential Ratio
    1.79701
  • Upside part of mean
    0.22535
  • Downside part of mean
    -0.20930
  • Upside SD
    0.10252
  • Downside SD
    0.12540
  • N nonnegative terms
    14.00000
  • N negative terms
    11.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    25.00000
  • Mean of predictor
    0.07417
  • Mean of criterion
    0.01605
  • SD of predictor
    0.11006
  • SD of criterion
    0.16525
  • Covariance
    0.01052
  • r
    0.57854
  • b (slope, estimate of beta)
    0.86868
  • a (intercept, estimate of alpha)
    -0.04838
  • Mean Square Error
    0.01896
  • DF error
    23.00000
  • t(b)
    3.40163
  • p(b)
    0.00122
  • t(a)
    -0.49745
  • p(a)
    0.68820
  • Lowerbound of 95% confidence interval for beta
    0.34040
  • Upperbound of 95% confidence interval for beta
    1.39696
  • Lowerbound of 95% confidence interval for alpha
    -0.24956
  • Upperbound of 95% confidence interval for alpha
    0.15280
  • Treynor index (mean / b)
    0.01848
  • Jensen alpha (a)
    -0.04838
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.07423
  • Expected Shortfall on VaR
    0.09236
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.03571
  • Expected Shortfall on VaR
    0.07124
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    25.00000
  • Minimum
    0.87420
  • Quartile 1
    0.97516
  • Median
    1.00866
  • Quartile 3
    1.03367
  • Maximum
    1.08221
  • Mean of quarter 1
    0.94486
  • Mean of quarter 2
    0.99793
  • Mean of quarter 3
    1.02459
  • Mean of quarter 4
    1.05534
  • Inter Quartile Range
    0.05852
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.04000
  • Mean of outliers low
    0.87420
  • 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)
    0.11606
  • VaR(95%) (moments method)
    0.05708
  • Expected Shortfall (moments method)
    0.08251
  • Extreme Value Index (regression method)
    0.38296
  • VaR(95%) (regression method)
    0.07972
  • Expected Shortfall (regression method)
    0.15138
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    2.00000
  • Minimum
    0.05904
  • Quartile 1
    0.12106
  • Median
    0.18308
  • Quartile 3
    0.24509
  • Maximum
    0.30711
  • Mean of quarter 1
    0.05904
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.30711
  • Inter Quartile Range
    0.12403
  • 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)
    0.02672
  • Compounded annual return (geometric extrapolation)
    0.02634
  • Calmar ratio (compounded annual return / max draw down)
    0.08577
  • Compounded annual return / average of 25% largest draw downs
    0.08577
  • Compounded annual return / Expected Shortfall lognormal
    0.28520
  • 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
    -0.00990
  • SD
    0.12850
  • Sharpe ratio (Glass type estimate)
    -0.07704
  • Sharpe ratio (Hedges UMVUE)
    -0.07696
  • df
    719.00000
  • t
    -0.11146
  • p
    0.54436
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.43181
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.27772
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.43172
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.27780
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.09920
  • Upside Potential Ratio
    7.02254
  • Upside part of mean
    0.70080
  • Downside part of mean
    -0.71070
  • Upside SD
    0.08081
  • Downside SD
    0.09979
  • N nonnegative terms
    323.00000
  • N negative terms
    397.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    720.00000
  • Mean of predictor
    0.07625
  • Mean of criterion
    -0.00990
  • SD of predictor
    0.12308
  • SD of criterion
    0.12850
  • Covariance
    0.00798
  • r
    0.50476
  • b (slope, estimate of beta)
    0.52697
  • a (intercept, estimate of alpha)
    -0.13800
  • Mean Square Error
    0.01232
  • DF error
    718.00000
  • t(b)
    15.66760
  • p(b)
    0.00000
  • t(a)
    -0.65233
  • p(a)
    0.74280
  • Lowerbound of 95% confidence interval for beta
    0.46093
  • Upperbound of 95% confidence interval for beta
    0.59300
  • Lowerbound of 95% confidence interval for alpha
    -0.20080
  • Upperbound of 95% confidence interval for alpha
    0.10064
  • Treynor index (mean / b)
    -0.01879
  • Jensen alpha (a)
    -0.05008
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.01820
  • SD
    0.12916
  • Sharpe ratio (Glass type estimate)
    -0.14091
  • Sharpe ratio (Hedges UMVUE)
    -0.14077
  • df
    719.00000
  • t
    -0.20386
  • p
    0.58074
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.49569
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.21386
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.49554
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.21401
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.17993
  • Upside Potential Ratio
    6.89599
  • Upside part of mean
    0.69755
  • Downside part of mean
    -0.71575
  • Upside SD
    0.08018
  • Downside SD
    0.10115
  • N nonnegative terms
    323.00000
  • N negative terms
    397.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    720.00000
  • Mean of predictor
    0.06866
  • Mean of criterion
    -0.01820
  • SD of predictor
    0.12322
  • SD of criterion
    0.12916
  • Covariance
    0.00804
  • r
    0.50515
  • b (slope, estimate of beta)
    0.52951
  • a (intercept, estimate of alpha)
    -0.05456
  • Mean Square Error
    0.01244
  • DF error
    718.00000
  • t(b)
    15.68390
  • p(b)
    0.00000
  • t(a)
    -0.70728
  • p(a)
    0.76019
  • Lowerbound of 95% confidence interval for beta
    0.46323
  • Upperbound of 95% confidence interval for beta
    0.59580
  • Lowerbound of 95% confidence interval for alpha
    -0.20600
  • Upperbound of 95% confidence interval for alpha
    0.09689
  • Treynor index (mean / b)
    -0.03437
  • Jensen alpha (a)
    -0.05456
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01144
  • Expected Shortfall on VaR
    0.01431
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00498
  • Expected Shortfall on VaR
    0.01055
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    720.00000
  • Minimum
    0.94642
  • Quartile 1
    0.99810
  • Median
    1.00000
  • Quartile 3
    1.00257
  • Maximum
    1.04103
  • Mean of quarter 1
    0.99228
  • Mean of quarter 2
    0.99951
  • Mean of quarter 3
    1.00101
  • Mean of quarter 4
    1.00719
  • Inter Quartile Range
    0.00447
  • Number outliers low
    48.00000
  • Percentage of outliers low
    0.06667
  • Mean of outliers low
    0.98343
  • Number of outliers high
    34.00000
  • Percentage of outliers high
    0.04722
  • Mean of outliers high
    1.01445
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.36292
  • VaR(95%) (moments method)
    0.00656
  • Expected Shortfall (moments method)
    0.01255
  • Extreme Value Index (regression method)
    0.17768
  • VaR(95%) (regression method)
    0.00754
  • Expected Shortfall (regression method)
    0.01242
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    38.00000
  • Minimum
    0.00003
  • Quartile 1
    0.00172
  • Median
    0.00372
  • Quartile 3
    0.01821
  • Maximum
    0.37316
  • Mean of quarter 1
    0.00097
  • Mean of quarter 2
    0.00270
  • Mean of quarter 3
    0.00765
  • Mean of quarter 4
    0.06888
  • Inter Quartile Range
    0.01649
  • 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
    0.05263
  • Mean of outliers high
    0.22136
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.76416
  • VaR(95%) (moments method)
    0.06906
  • Expected Shortfall (moments method)
    0.30193
  • Extreme Value Index (regression method)
    0.79292
  • VaR(95%) (regression method)
    0.04243
  • Expected Shortfall (regression method)
    0.16547
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.00818
  • Compounded annual return (geometric extrapolation)
    -0.00822
  • Calmar ratio (compounded annual return / max draw down)
    -0.02202
  • Compounded annual return / average of 25% largest draw downs
    -0.11928
  • Compounded annual return / Expected Shortfall lognormal
    -0.57414
  • 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
    -0.71145
  • SD
    0.19231
  • Sharpe ratio (Glass type estimate)
    -3.69956
  • Sharpe ratio (Hedges UMVUE)
    -3.68331
  • df
    171.00000
  • t
    -2.61598
  • p
    0.62408
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -6.49364
  • Upperbound of 95% confidence interval for Sharpe Ratio
    -0.89494
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -6.48246
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.88415
  • Statistics related to Sortino ratio
  • Sortino ratio
    -4.16238
  • Upside Potential Ratio
    3.98770
  • Upside part of mean
    0.68160
  • Downside part of mean
    -1.39305
  • Upside SD
    0.09499
  • Downside SD
    0.17092
  • N nonnegative terms
    59.00000
  • N negative terms
    113.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    172.00000
  • Mean of predictor
    -0.10020
  • Mean of criterion
    -0.71145
  • SD of predictor
    0.15289
  • SD of criterion
    0.19231
  • Covariance
    0.01424
  • r
    0.48429
  • b (slope, estimate of beta)
    0.60913
  • a (intercept, estimate of alpha)
    -0.65042
  • Mean Square Error
    0.02848
  • DF error
    170.00000
  • t(b)
    7.21715
  • p(b)
    0.25786
  • t(a)
    -2.72379
  • p(a)
    0.60225
  • Lowerbound of 95% confidence interval for beta
    0.44252
  • Upperbound of 95% confidence interval for beta
    0.77574
  • Lowerbound of 95% confidence interval for alpha
    -1.12180
  • Upperbound of 95% confidence interval for alpha
    -0.17904
  • Treynor index (mean / b)
    -1.16798
  • Jensen alpha (a)
    -0.65042
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.73081
  • SD
    0.19417
  • Sharpe ratio (Glass type estimate)
    -3.76376
  • Sharpe ratio (Hedges UMVUE)
    -3.74722
  • df
    171.00000
  • t
    -2.66138
  • p
    0.62612
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -6.55869
  • Upperbound of 95% confidence interval for Sharpe Ratio
    -0.95807
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -6.54734
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.94711
  • Statistics related to Sortino ratio
  • Sortino ratio
    -4.20424
  • Upside Potential Ratio
    3.89543
  • Upside part of mean
    0.67713
  • Downside part of mean
    -1.40795
  • Upside SD
    0.09391
  • Downside SD
    0.17383
  • N nonnegative terms
    59.00000
  • N negative terms
    113.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    172.00000
  • Mean of predictor
    -0.11187
  • Mean of criterion
    -0.73081
  • SD of predictor
    0.15328
  • SD of criterion
    0.19417
  • Covariance
    0.01448
  • r
    0.48639
  • b (slope, estimate of beta)
    0.61614
  • a (intercept, estimate of alpha)
    -0.66189
  • Mean Square Error
    0.02895
  • DF error
    170.00000
  • t(b)
    7.25811
  • p(b)
    0.25681
  • t(a)
    -2.74845
  • p(a)
    0.60313
  • VAR (95 Confidence Intrvl)
    0.04100
  • Lowerbound of 95% confidence interval for beta
    0.44857
  • Upperbound of 95% confidence interval for beta
    0.78372
  • Lowerbound of 95% confidence interval for alpha
    -1.13727
  • Upperbound of 95% confidence interval for alpha
    -0.18650
  • Treynor index (mean / b)
    -1.18611
  • Jensen alpha (a)
    -0.66189
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01916
  • Expected Shortfall on VaR
    0.02343
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01097
  • Expected Shortfall on VaR
    0.02176
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    172.00000
  • Minimum
    0.94642
  • Quartile 1
    0.99495
  • Median
    1.00000
  • Quartile 3
    1.00177
  • Maximum
    1.04103
  • Mean of quarter 1
    0.98561
  • Mean of quarter 2
    0.99827
  • Mean of quarter 3
    1.00033
  • Mean of quarter 4
    1.00764
  • Inter Quartile Range
    0.00682
  • Number outliers low
    16.00000
  • Percentage of outliers low
    0.09302
  • Mean of outliers low
    0.97472
  • Number of outliers high
    6.00000
  • Percentage of outliers high
    0.03488
  • Mean of outliers high
    1.02079
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.50288
  • VaR(95%) (moments method)
    0.01533
  • Expected Shortfall (moments method)
    0.03415
  • Extreme Value Index (regression method)
    0.37104
  • VaR(95%) (regression method)
    0.01216
  • Expected Shortfall (regression method)
    0.02144
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    3.00000
  • Minimum
    0.00006
  • Quartile 1
    0.00114
  • Median
    0.00223
  • Quartile 3
    0.16135
  • Maximum
    0.32048
  • Mean of quarter 1
    0.00006
  • Mean of quarter 2
    0.00223
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.32048
  • Inter Quartile Range
    0.16021
  • 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
    0.75%
  • Expected Shortfall (regression method)
    0.00000
  • Max Equity Drawdown (num days)
    257
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.60525
  • Compounded annual return (geometric extrapolation)
    -0.51367
  • Calmar ratio (compounded annual return / max draw down)
    -1.60282
  • Compounded annual return / average of 25% largest draw downs
    -1.60282
  • Compounded annual return / Expected Shortfall lognormal
    -21.92110

Strategy Description

Emerging-S focuses on companies that are about to make an earnings announcement.

System Details:

- System is long only
- Max of 9 positions open at a time (roughly equal amounts)
- Short holding periods (usually 3 days or less)
- Orders sent out in the evening and fulfilled at market open

This system enters into trades 2 trading days before the earnings announcement and exits on the morning before the announcement (announcement is either after market close or before open the next day). The system is 100% mechanical.
Trade this strategy at Interactive Brokers

Summary Statistics

Strategy began
2013-09-08
Suggested Minimum Capital
$6,000
# Trades
258
# Profitable
167
% Profitable
64.7%
Net Dividends
$3,870
Correlation S&P500
0.488
Sharpe Ratio
0.08
Sortino Ratio
0.11
Beta
0.70
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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