Collective2 Collective2
Featured Strategy Easiest Rank on Leaderboard #10 Hypothetical

Welcome to Collective2

Follow these tips for a better experience

Ok, let's start

Close
Add to Watch List Create new Watch List
Add
Enter a name for your Watch List.
Watch List name must be less than 60 characters.
You have reached the maximum number of custom Watch Lists.
You have reached the maximum number of strategies in this Watch List.
Strategy added to Watch List. Go to Watch List

Sim is unavailable for this strategy, because you've recently "Simmed" it.

You already have a live, full-featured subscription to this strategy.

Okay, no problem

Reach out to us when you are ready. You can schedule your free training session at any time by clicking the button.

Remember, this training is free, low pressure, and (we hope!) fun.

Got it

Later

You can find it here.

Got it

Video Saved for Later

You can watch this video later. Just click this button at the top of the screen whenever you're ready to watch it.

Got it
Watchlist Watchlist
These are hypothetical performance results that have certain inherent limitations. Learn more
Listing Edit Subscribers Broadcast Share System Watchlist Watchlist More...

House Patterns
(91958605)

Created by: RobCrawford RobCrawford
Started: 01/2015
Stocks
Last trade: 2,282 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 $100.00 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.

2.0%
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.

(52.9%)
Max Drawdown
113
Num Trades
45.1%
Win Trades
1.3 : 1
Profit Factor
18.0%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2015(3.8%)+14.6%+25.9%(6.9%)+17.4%(0.4%)+0.7%+7.0%+4.8%+11.4%(1.9%)(6.3%)+74.8%
2016(17.3%)+4.0%+1.3%+16.5%(12.2%)+10.8%+6.8%+0.4%+9.4%(14%)(13.5%)(6.2%)(19.2%)
2017+4.3%(11.1%)+1.3%(4.9%)(12.5%)+6.8%(3.2%)(1%)+1.0%(4.1%)+6.4%(1.5%)(18.9%)
2018+5.7%(1.1%)  -    -    -    -    -    -    -    -    -    -  +4.5%
2019  -    -    -    -    -    -    -    -    -    -    -  0.0
2020  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2021  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2022  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2023  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2024  -    -    -    -                                                  0.0

Model Account Details

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

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

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

Trading Record

This strategy has placed 187 trades in real-life brokerage accounts. The most recent trade in a real-money brokerage account occurred more than 2526 days ago.

Show AutoTrade data Hide AutoTrade data
Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
8/23/17 15:56 RGLD ROYAL GOLD LONG 80 87.52 1/24/18 12:36 89.09 4.47%
Trade id #113304598
Max drawdown($741)
Time12/28/17 10:04
Quant open80
Worst price78.25
Drawdown as % of equity-4.47%
 $124
Includes Typical Broker Commissions trade costs of $1.60
8/29/17 9:43 NEM NEWMONT CORP LONG 150 38.31 1/24/18 12:36 41.30 1.29%
Trade id #113405421
Max drawdown($210)
Time12/26/17 7:31
Quant open150
Worst price36.91
Drawdown as % of equity-1.29%
 $446
Includes Typical Broker Commissions trade costs of $3.00
9/6/17 15:48 CTRL CONTROL4 CORPORATION COMMON ST LONG 240 25.56 1/24/18 12:36 31.02 n/a $1,305
Includes Typical Broker Commissions trade costs of $4.80
7/25/17 11:41 YY YY INC. LONG 50 72.40 8/29 10:24 68.67 1.24%
Trade id #112771239
Max drawdown($198)
Time8/29/17 9:33
Quant open50
Worst price68.44
Drawdown as % of equity-1.24%
 ($188)
Includes Typical Broker Commissions trade costs of $1.00
7/7/17 11:20 LGIH LGI HOMES INC. COMMON STOCK LONG 160 42.16 8/29 9:42 41.55 1.43%
Trade id #112469757
Max drawdown($228)
Time8/29/17 9:31
Quant open160
Worst price40.73
Drawdown as % of equity-1.43%
 ($101)
Includes Typical Broker Commissions trade costs of $3.20
7/7/17 11:12 MTH MERITAGE HOMES LONG 160 42.35 8/23 15:48 41.25 1.71%
Trade id #112469560
Max drawdown($272)
Time7/28/17 11:12
Quant open160
Worst price40.65
Drawdown as % of equity-1.71%
 ($179)
Includes Typical Broker Commissions trade costs of $3.20
3/6/17 10:11 PHM PULTEGROUP LONG 280 22.80 8/23 15:48 24.96 n/a $598
Includes Typical Broker Commissions trade costs of $5.60
5/24/17 15:53 KBH KB HOME LONG 240 21.31 8/10 15:49 22.53 n/a $288
Includes Typical Broker Commissions trade costs of $4.80
5/8/17 9:46 NTRI NUTRISYSTEM LONG 150 49.40 6/27 15:49 52.40 5.05%
Trade id #111456727
Max drawdown($735)
Time6/12/17 10:31
Quant open150
Worst price44.50
Drawdown as % of equity-5.05%
 $447
Includes Typical Broker Commissions trade costs of $3.00
5/23/17 9:52 MOMO HELLO GROUP INC ADS LONG 150 39.37 6/27 15:48 37.02 4.25%
Trade id #111728436
Max drawdown($652)
Time6/15/17 9:31
Quant open150
Worst price35.02
Drawdown as % of equity-4.25%
 ($355)
Includes Typical Broker Commissions trade costs of $3.00
5/24/17 9:51 YY YY INC. LONG 100 57.76 6/27 15:48 56.55 2.96%
Trade id #111747325
Max drawdown($454)
Time6/15/17 10:30
Quant open100
Worst price53.21
Drawdown as % of equity-2.96%
 ($123)
Includes Typical Broker Commissions trade costs of $2.00
3/1/17 9:31 NSP INSPERITY LONG 70 84.90 5/23 9:48 76.85 3.7%
Trade id #109948252
Max drawdown($564)
Time5/23/17 9:48
Quant open0
Worst price76.85
Drawdown as % of equity-3.70%
 ($565)
Includes Typical Broker Commissions trade costs of $1.40
5/15/17 13:50 MKSI MKS INSTRUMENTS LONG 70 82.05 5/17 15:48 78.60 1.63%
Trade id #111604702
Max drawdown($252)
Time5/17/17 14:48
Quant open70
Worst price78.45
Drawdown as % of equity-1.63%
 ($243)
Includes Typical Broker Commissions trade costs of $1.40
5/16/17 9:39 MOMO HELLO GROUP INC ADS LONG 120 41.45 5/17 15:47 40.11 1.04%
Trade id #111616834
Max drawdown($161)
Time5/17/17 15:45
Quant open120
Worst price40.10
Drawdown as % of equity-1.04%
 ($162)
Includes Typical Broker Commissions trade costs of $2.40
3/10/17 9:41 CELG CELGENE LONG 70 126.35 5/8 9:47 121.05 2.35%
Trade id #110168623
Max drawdown($372)
Time5/8/17 9:47
Quant open70
Worst price121.03
Drawdown as % of equity-2.35%
 ($372)
Includes Typical Broker Commissions trade costs of $1.40
3/27/17 10:30 AAOI APPLIED OPTOELECTRONICS INC. LONG 90 56.68 4/4 13:42 51.31 2.92%
Trade id #110445351
Max drawdown($483)
Time4/4/17 13:42
Quant open0
Worst price51.31
Drawdown as % of equity-2.92%
 ($485)
Includes Typical Broker Commissions trade costs of $1.80
3/10/17 9:30 DD DU PONT DE NEMOURS & CO LONG 70 80.76 4/3 10:07 79.52 1.12%
Trade id #110166829
Max drawdown($192)
Time3/21/17 17:50
Quant open70
Worst price78.01
Drawdown as % of equity-1.12%
 ($88)
Includes Typical Broker Commissions trade costs of $1.40
3/15/17 15:49 USCR US CONCRETE LONG 50 69.90 3/24 9:39 63.65 1.85%
Trade id #110257907
Max drawdown($317)
Time3/24/17 9:37
Quant open50
Worst price63.55
Drawdown as % of equity-1.85%
 ($314)
Includes Typical Broker Commissions trade costs of $1.00
3/15/17 14:30 KEYS KEYSIGHT TECHNOLOGIES INC LONG 120 38.99 3/21 9:41 38.43 0.67%
Trade id #110253689
Max drawdown($118)
Time3/21/17 6:30
Quant open120
Worst price38.00
Drawdown as % of equity-0.67%
 ($69)
Includes Typical Broker Commissions trade costs of $2.40
3/1/17 9:34 YRD YIREN DIGITAL LTD LONG 240 24.10 3/9 15:43 28.03 0.13%
Trade id #109948426
Max drawdown($21)
Time3/1/17 9:37
Quant open240
Worst price24.01
Drawdown as % of equity-0.13%
 $938
Includes Typical Broker Commissions trade costs of $4.80
3/1/17 9:32 WAL WESTERN ALLIANCE BANCORP LONG 120 53.41 3/9 15:42 51.52 1.65%
Trade id #109948312
Max drawdown($284)
Time3/6/17 10:39
Quant open120
Worst price51.04
Drawdown as % of equity-1.65%
 ($229)
Includes Typical Broker Commissions trade costs of $2.40
3/6/17 15:45 CFG CITIZENS FINANCIAL GROUP INC LONG 100 38.35 3/9 15:42 37.70 0.46%
Trade id #110058623
Max drawdown($80)
Time3/9/17 14:58
Quant open100
Worst price37.54
Drawdown as % of equity-0.46%
 ($67)
Includes Typical Broker Commissions trade costs of $2.00
2/10/17 9:52 WB WEIBO CORPORATION AMERICAN DEP LONG 120 53.69 3/9 11:07 47.90 3.86%
Trade id #109461879
Max drawdown($695)
Time3/9/17 11:07
Quant open0
Worst price47.90
Drawdown as % of equity-3.86%
 ($697)
Includes Typical Broker Commissions trade costs of $2.40
12/19/16 10:58 SLCA US SILICA HOLDINGS LONG 120 53.03 2/24/17 13:07 50.27 1.86%
Trade id #108049798
Max drawdown($331)
Time2/24/17 13:07
Quant open0
Worst price50.27
Drawdown as % of equity-1.86%
 ($333)
Includes Typical Broker Commissions trade costs of $2.40
12/8/16 9:57 TRGP TARGA RESOURCES LONG 120 54.00 2/21/17 15:43 58.40 n/a $526
Includes Typical Broker Commissions trade costs of $2.40
1/20/17 15:40 TKR TIMKEN LONG 150 42.78 2/21 15:43 44.58 0.66%
Trade id #108908424
Max drawdown($113)
Time1/23/17 12:11
Quant open150
Worst price42.02
Drawdown as % of equity-0.66%
 $266
Includes Typical Broker Commissions trade costs of $3.00
12/8/16 15:56 SUPN SUPERNUS PHARMACEUTICALS LONG 240 22.36 2/21/17 15:42 25.82 n/a $827
Includes Typical Broker Commissions trade costs of $4.80
11/22/16 11:30 ELF E.L.F. BEAUTY INC LONG 210 29.48 1/18/17 15:48 27.99 2.28%
Trade id #107401175
Max drawdown($397)
Time1/18/17 14:51
Quant open210
Worst price27.59
Drawdown as % of equity-2.28%
 ($317)
Includes Typical Broker Commissions trade costs of $4.20
12/23/16 11:11 ORBK ORBOTECH LONG 180 33.76 1/12/17 11:02 32.27 1.55%
Trade id #108168814
Max drawdown($269)
Time1/12/17 11:02
Quant open0
Worst price32.27
Drawdown as % of equity-1.55%
 ($273)
Includes Typical Broker Commissions trade costs of $3.60
11/21/16 15:37 HQY HEALTHEQUITY INC. COMMON STOC LONG 150 41.17 12/16 15:57 41.00 2.72%
Trade id #107373340
Max drawdown($474)
Time12/6/16 16:17
Quant open150
Worst price38.00
Drawdown as % of equity-2.72%
 ($28)
Includes Typical Broker Commissions trade costs of $3.00
Next

Statistics

  • Strategy began
    1/19/2015
  • Suggested Minimum Cap
    $10,000
  • Strategy Age (days)
    3380.36
  • Age
    113 months ago
  • What it trades
    Stocks
  • # Trades
    113
  • # Profitable
    51
  • % Profitable
    45.10%
  • Avg trade duration
    34.6 days
  • Max peak-to-valley drawdown
    52.94%
  • drawdown period
    Sept 22, 2016 - June 09, 2017
  • Annual Return (Compounded)
    2.0%
  • Avg win
    $565.39
  • Avg loss
    $351.84
  • Model Account Values (Raw)
  • Cash
    $17,370
  • Margin Used
    $0
  • Buying Power
    $17,370
  • Ratios
  • W:L ratio
    1.34:1
  • Sharpe Ratio
    0.08
  • Sortino Ratio
    0.12
  • Calmar Ratio
    0.414
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -126.23%
  • Correlation to SP500
    0.12270
  • Return Percent SP500 (cumu) during strategy life
    151.09%
  • Return Statistics
  • Ann Return (w trading costs)
    2.0%
  • Slump
  • Current Slump as Pcnt Equity
    81.30%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.82%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.020%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    6.1%
  • 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)
    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
    6.67%
  • 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
    $352
  • Avg Win
    $565
  • Sum Trade PL (losers)
    $21,814.000
  • Age
  • Num Months filled monthly returns table
    112
  • Win / Loss
  • Sum Trade PL (winners)
    $28,835.000
  • # Winners
    51
  • Num Months Winners
    20
  • Dividends
  • Dividends Received in Model Acct
    349
  • Win / Loss
  • # Losers
    62
  • % Winners
    45.1%
  • Frequency
  • Avg Position Time (mins)
    49816.60
  • Avg Position Time (hrs)
    830.28
  • Avg Trade Length
    34.6 days
  • Last Trade Ago
    2280
  • Regression
  • Alpha
    0.00
  • Beta
    0.13
  • Treynor Index
    0.04
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.02
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    93.07
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    24.66
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    3.27
  • MAE:Equity, average, winning trades
    0.02
  • MAE:Equity, average, losing trades
    0.03
  • Avg(MAE) / Avg(PL) - All trades
    -35.063
  • 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
    0.461
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.233
  • Hold-and-Hope Ratio
    -0.029
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.16463
  • SD
    0.30949
  • Sharpe ratio (Glass type estimate)
    0.53193
  • Sharpe ratio (Hedges UMVUE)
    0.52259
  • df
    43.00000
  • t
    1.01857
  • p
    0.15705
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.50076
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.55859
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.50691
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.55209
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.18038
  • Upside Potential Ratio
    2.76576
  • Upside part of mean
    0.38574
  • Downside part of mean
    -0.22111
  • Upside SD
    0.27643
  • Downside SD
    0.13947
  • N nonnegative terms
    21.00000
  • N negative terms
    23.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    44.00000
  • Mean of predictor
    0.21390
  • Mean of criterion
    0.16463
  • SD of predictor
    0.26246
  • SD of criterion
    0.30949
  • Covariance
    0.00251
  • r
    0.03089
  • b (slope, estimate of beta)
    0.03643
  • a (intercept, estimate of alpha)
    0.15684
  • Mean Square Error
    0.09797
  • DF error
    42.00000
  • t(b)
    0.20032
  • p(b)
    0.42110
  • t(a)
    0.93339
  • p(a)
    0.17798
  • Lowerbound of 95% confidence interval for beta
    -0.33060
  • Upperbound of 95% confidence interval for beta
    0.40346
  • Lowerbound of 95% confidence interval for alpha
    -0.18226
  • Upperbound of 95% confidence interval for alpha
    0.49593
  • Treynor index (mean / b)
    4.51882
  • Jensen alpha (a)
    0.15684
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.12270
  • SD
    0.28053
  • Sharpe ratio (Glass type estimate)
    0.43738
  • Sharpe ratio (Hedges UMVUE)
    0.42970
  • df
    43.00000
  • t
    0.83752
  • p
    0.20347
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.59281
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.46259
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.59788
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.45728
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.82895
  • Upside Potential Ratio
    2.39032
  • Upside part of mean
    0.35381
  • Downside part of mean
    -0.23111
  • Upside SD
    0.23718
  • Downside SD
    0.14802
  • N nonnegative terms
    21.00000
  • N negative terms
    23.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    44.00000
  • Mean of predictor
    0.18285
  • Mean of criterion
    0.12270
  • SD of predictor
    0.23561
  • SD of criterion
    0.28053
  • Covariance
    0.00386
  • r
    0.05843
  • b (slope, estimate of beta)
    0.06957
  • a (intercept, estimate of alpha)
    0.10998
  • Mean Square Error
    0.08030
  • DF error
    42.00000
  • t(b)
    0.37934
  • p(b)
    0.35317
  • t(a)
    0.72479
  • p(a)
    0.23630
  • Lowerbound of 95% confidence interval for beta
    -0.30055
  • Upperbound of 95% confidence interval for beta
    0.43970
  • Lowerbound of 95% confidence interval for alpha
    -0.19624
  • Upperbound of 95% confidence interval for alpha
    0.41619
  • Treynor index (mean / b)
    1.76361
  • Jensen alpha (a)
    0.10998
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.11572
  • Expected Shortfall on VaR
    0.14476
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.04342
  • Expected Shortfall on VaR
    0.08708
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    44.00000
  • Minimum
    0.83651
  • Quartile 1
    0.98834
  • Median
    1.00000
  • Quartile 3
    1.04639
  • Maximum
    1.45936
  • Mean of quarter 1
    0.93229
  • Mean of quarter 2
    0.99888
  • Mean of quarter 3
    1.02045
  • Mean of quarter 4
    1.11257
  • Inter Quartile Range
    0.05805
  • Number outliers low
    3.00000
  • Percentage of outliers low
    0.06818
  • Mean of outliers low
    0.87423
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.04545
  • Mean of outliers high
    1.29730
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.35263
  • VaR(95%) (moments method)
    0.06299
  • Expected Shortfall (moments method)
    0.07660
  • Extreme Value Index (regression method)
    0.14459
  • VaR(95%) (regression method)
    0.07720
  • Expected Shortfall (regression method)
    0.11930
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    3.00000
  • Minimum
    0.00552
  • Quartile 1
    0.10910
  • Median
    0.21268
  • Quartile 3
    0.27580
  • Maximum
    0.33892
  • Mean of quarter 1
    0.00552
  • Mean of quarter 2
    0.21268
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.33892
  • Inter Quartile Range
    0.16670
  • 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)
    0.20103
  • Compounded annual return (geometric extrapolation)
    0.16254
  • Calmar ratio (compounded annual return / max draw down)
    0.47957
  • Compounded annual return / average of 25% largest draw downs
    0.47957
  • Compounded annual return / Expected Shortfall lognormal
    1.12281
  • 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
    0.14862
  • SD
    0.23817
  • Sharpe ratio (Glass type estimate)
    0.62401
  • Sharpe ratio (Hedges UMVUE)
    0.62353
  • df
    976.00000
  • t
    1.20501
  • p
    0.11425
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.39146
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.63919
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.39181
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.63888
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.89778
  • Upside Potential Ratio
    7.55021
  • Upside part of mean
    1.24989
  • Downside part of mean
    -1.10127
  • Upside SD
    0.17131
  • Downside SD
    0.16554
  • N nonnegative terms
    383.00000
  • N negative terms
    594.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    977.00000
  • Mean of predictor
    0.26011
  • Mean of criterion
    0.14862
  • SD of predictor
    0.25805
  • SD of criterion
    0.23817
  • Covariance
    0.00804
  • r
    0.13075
  • b (slope, estimate of beta)
    0.12068
  • a (intercept, estimate of alpha)
    0.11700
  • Mean Square Error
    0.05581
  • DF error
    975.00000
  • t(b)
    4.11811
  • p(b)
    0.00002
  • t(a)
    0.95639
  • p(a)
    0.16956
  • Lowerbound of 95% confidence interval for beta
    0.06317
  • Upperbound of 95% confidence interval for beta
    0.17819
  • Lowerbound of 95% confidence interval for alpha
    -0.12331
  • Upperbound of 95% confidence interval for alpha
    0.35778
  • Treynor index (mean / b)
    1.23155
  • Jensen alpha (a)
    0.11723
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.12018
  • SD
    0.23861
  • Sharpe ratio (Glass type estimate)
    0.50368
  • Sharpe ratio (Hedges UMVUE)
    0.50329
  • df
    976.00000
  • t
    0.97263
  • p
    0.16549
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.51167
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.51876
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.51192
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.51850
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.71061
  • Upside Potential Ratio
    7.30497
  • Upside part of mean
    1.23543
  • Downside part of mean
    -1.11525
  • Upside SD
    0.16831
  • Downside SD
    0.16912
  • N nonnegative terms
    383.00000
  • N negative terms
    594.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    977.00000
  • Mean of predictor
    0.22596
  • Mean of criterion
    0.12018
  • SD of predictor
    0.26257
  • SD of criterion
    0.23861
  • Covariance
    0.00813
  • r
    0.12973
  • b (slope, estimate of beta)
    0.11789
  • a (intercept, estimate of alpha)
    0.09354
  • Mean Square Error
    0.05603
  • DF error
    975.00000
  • t(b)
    4.08527
  • p(b)
    0.00002
  • t(a)
    0.76202
  • p(a)
    0.22312
  • Lowerbound of 95% confidence interval for beta
    0.06126
  • Upperbound of 95% confidence interval for beta
    0.17452
  • Lowerbound of 95% confidence interval for alpha
    -0.14735
  • Upperbound of 95% confidence interval for alpha
    0.33443
  • Treynor index (mean / b)
    1.01943
  • Jensen alpha (a)
    0.09354
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02351
  • Expected Shortfall on VaR
    0.02949
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01082
  • Expected Shortfall on VaR
    0.02220
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    977.00000
  • Minimum
    0.89324
  • Quartile 1
    0.99594
  • Median
    1.00000
  • Quartile 3
    1.00609
  • Maximum
    1.08256
  • Mean of quarter 1
    0.98430
  • Mean of quarter 2
    0.99920
  • Mean of quarter 3
    1.00171
  • Mean of quarter 4
    1.01757
  • Inter Quartile Range
    0.01015
  • Number outliers low
    60.00000
  • Percentage of outliers low
    0.06141
  • Mean of outliers low
    0.96693
  • Number of outliers high
    61.00000
  • Percentage of outliers high
    0.06244
  • Mean of outliers high
    1.03350
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.24488
  • VaR(95%) (moments method)
    0.01296
  • Expected Shortfall (moments method)
    0.02183
  • Extreme Value Index (regression method)
    0.07926
  • VaR(95%) (regression method)
    0.01492
  • Expected Shortfall (regression method)
    0.02273
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    24.00000
  • Minimum
    0.00414
  • Quartile 1
    0.00968
  • Median
    0.02126
  • Quartile 3
    0.06442
  • Maximum
    0.38569
  • Mean of quarter 1
    0.00657
  • Mean of quarter 2
    0.01511
  • Mean of quarter 3
    0.04306
  • Mean of quarter 4
    0.18353
  • Inter Quartile Range
    0.05473
  • 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
    0.12500
  • Mean of outliers high
    0.26552
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.34819
  • VaR(95%) (moments method)
    0.20328
  • Expected Shortfall (moments method)
    0.35333
  • Extreme Value Index (regression method)
    0.89198
  • VaR(95%) (regression method)
    0.23673
  • Expected Shortfall (regression method)
    1.80944
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.19767
  • Compounded annual return (geometric extrapolation)
    0.15961
  • Calmar ratio (compounded annual return / max draw down)
    0.41384
  • Compounded annual return / average of 25% largest draw downs
    0.86970
  • Compounded annual return / Expected Shortfall lognormal
    5.41256
  • 0.00000
  • 0.00000
  • Analysis based on DAILY values, last 6 months only
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.02791
  • SD
    0.00000
  • Sharpe ratio (Glass type estimate)
    0.00000
  • Sharpe ratio (Hedges UMVUE)
    0.00000
  • df
    0.00000
  • t
    0.00000
  • p
    0.00000
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.00000
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.00000
  • Statistics related to Sortino ratio
  • Sortino ratio
    -16.18640
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    0.00000
  • Downside part of mean
    -0.02791
  • Upside SD
    0.00000
  • Downside SD
    0.00172
  • N nonnegative terms
    0.00000
  • N negative terms
    131.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.78564
  • Mean of criterion
    -0.02791
  • SD of predictor
    0.43329
  • SD of criterion
    0.00000
  • Covariance
    0.00000
  • r
    0.00000
  • b (slope, estimate of beta)
    0.00000
  • a (intercept, estimate of alpha)
    0.00000
  • Mean Square Error
    0.00000
  • DF error
    0.00000
  • t(b)
    0.00000
  • p(b)
    0.00000
  • t(a)
    0.00000
  • p(a)
    0.00000
  • Lowerbound of 95% confidence interval for beta
    0.00000
  • Upperbound of 95% confidence interval for beta
    0.00000
  • Lowerbound of 95% confidence interval for alpha
    0.00000
  • Upperbound of 95% confidence interval for alpha
    0.00000
  • Treynor index (mean / b)
    0.00000
  • Jensen alpha (a)
    0.00000
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.02791
  • SD
    0.00000
  • Sharpe ratio (Glass type estimate)
    -9748420000000000.00000
  • Sharpe ratio (Hedges UMVUE)
    -9692070000000000.00000
  • df
    130.00000
  • t
    -6893170000000000.00000
  • p
    1.00000
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -10870200000000000.00000
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -8513980000000000.00000
  • Statistics related to Sortino ratio
  • Sortino ratio
    -16.18640
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    0.00000
  • Downside part of mean
    -0.02791
  • Upside SD
    0.00000
  • Downside SD
    0.00172
  • N nonnegative terms
    0.00000
  • N negative terms
    131.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.68963
  • Mean of criterion
    -0.02791
  • SD of predictor
    0.43965
  • SD of criterion
    0.00000
  • Covariance
    -0.00000
  • r
    -0.00000
  • b (slope, estimate of beta)
    -0.00000
  • a (intercept, estimate of alpha)
    -0.02791
  • Mean Square Error
    0.00000
  • DF error
    129.00000
  • t(b)
    -0.00000
  • p(b)
    0.50000
  • t(a)
    -6834350000000000.00000
  • p(a)
    1.00000
  • VAR (95 Confidence Intrvl)
    0.02400
  • Lowerbound of 95% confidence interval for beta
    -0.00000
  • Upperbound of 95% confidence interval for beta
    0.00000
  • Lowerbound of 95% confidence interval for alpha
    -0.02791
  • Upperbound of 95% confidence interval for alpha
    -0.02791
  • Treynor index (mean / b)
    57730199999999989092313821347840.00000
  • Jensen alpha (a)
    -0.02791
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00011
  • Expected Shortfall on VaR
    0.00011
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00000
  • Expected Shortfall on VaR
    0.00000
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    1.00000
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.00000
  • Mean of quarter 1
    1.00000
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.00000
  • Inter Quartile Range
    0.00000
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    0.00000
  • Minimum
    0.00000
  • Quartile 1
    0.00000
  • Median
    0.00000
  • Quartile 3
    0.00000
  • Maximum
    0.00000
  • Mean of quarter 1
    0.00000
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.00000
  • Inter Quartile Range
    0.00000
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Last 4 Months - Pcnt Negative
    n/a
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -542083000
  • Max Equity Drawdown (num days)
    260
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.00000
  • Compounded annual return (geometric extrapolation)
    0.00000
  • Calmar ratio (compounded annual return / max draw down)
    0.00000
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    0.00000

Strategy Description

Trading is based on proprietary algorithms combined with discretionary buy/sell decisions. Trades will last from a few days to several weeks, and sometimes longer. In addition to algorithms, trading will be informed by chart patterns, Investors Business Daily (CANSLIM), Wyckoff (price/volume) and Elliott Wave.

A few notes: the system will use margin and will sometimes sell one stock to move into a second stock the same or next day. Please be aware of your broker's settle time requirements if using a cash account.

Hold times will typically be a few days to several weeks, longer for a strong trade. The intent is to sell losers quickly, though they may be re-entered.

Some pyramiding on the way up may be done in a longer trade, but strategy does not include averaging down.

In markets believed to be weak, long trades using reverse ETF's will be used. However no shorting will be done.

Trades will be made at the open, intraday or at the close.
Trade this strategy at Interactive Brokers

Summary Statistics

Strategy began
2015-01-19
Suggested Minimum Capital
$15,000
# Trades
113
# Profitable
51
% Profitable
45.1%
Net Dividends
$348
Correlation S&P500
0.123
Sharpe Ratio
0.08
Sortino Ratio
0.12
Beta
0.13
Alpha
0.00

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.

Okay, gotcha.

Not available

This feature isn't available under your current Trade Leader Plan.

Want to see available plans and features?

Please hold...

Strategy is now visible

This strategy is now visible to the public. New subscribers will be able to follow it.

If you designate your strategy as Private, it will no longer be visible to the public.

No subscribers and simulations will be allowed. If you have subscribers, the strategy will still be visible to them.
If you have simulations, they will be stopped.

Continue to designate your strategy as Private?

Mark as Private Keep Public

Strategy is no longer visible

This strategy is no longer visible to anyone except current subscribers.

(Current subscribers will remain subscribed. You can see who is subscribed, and control their subscriptions, on your Subscriber Management screen.)

Finally, please note that you can restore public visibility at any time.

This strategy is no longer visible to the public. No subscribers will be allowed.

You can restore public visibility at any time.

Suggested Minimum Capital

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