Collective2 Collective2
Featured Strategy Easiest Rank on Leaderboard #7 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
This strategy is no longer supported by its creator.
These are hypothetical performance results that have certain inherent limitations. Learn more
Watchlist Watchlist More...

Breakout 5
(92218304)

Created by: As_K As_K
Started: 01/2015
Stocks
Last trade: 3,014 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.

9.9%
Cumul. Return

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 Cumulative Rate of Return is calculated

= (Ending_equity - Starting_equity) / Starting_equity

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

All results are hypothetical.

(31.8%)
Max Drawdown
140
Num Trades
50.0%
Win Trades
1.2 : 1
Profit Factor
6.2%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2015  -  +11.6%+3.2%+12.3%+5.8%+6.0%(10.6%)(4.4%)(17%)+7.1%+4.3%(3.3%)+11.1%
2016(2.6%)  -    -    -    -    -    -    -    -    -    -    -  (2.6%)
2017  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2018  -    -    -    -    -    -    -    -    -    -    -    -  0.0
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.

Trading Record

Download CSV
Long
Short
Both
Win
Loss
Both
Show More details Show Fewer details
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
1/19/16 9:30 MEET THE MEET GROUP INC LONG 885 3.42 1/25 9:31 3.28 1.6%
Trade id #100053693
Max drawdown($460)
Time1/20/16 9:31
Quant open885
Worst price2.90
Drawdown as % of equity-1.60%
 ($129)
Includes Typical Broker Commissions trade costs of $5.00
1/19/16 9:30 RIC RICHMONT MINES LONG 942 3.08 1/25 9:30 3.34 0.23%
Trade id #100053654
Max drawdown($65)
Time1/19/16 10:11
Quant open942
Worst price3.01
Drawdown as % of equity-0.23%
 $240
Includes Typical Broker Commissions trade costs of $5.00
1/11/16 9:31 NHTC NATURAL HEALTH TRENDS LONG 126 23.95 1/25 9:30 19.44 3.63%
Trade id #99144035
Max drawdown($1,014)
Time1/13/16 11:46
Quant open126
Worst price15.90
Drawdown as % of equity-3.63%
 ($571)
Includes Typical Broker Commissions trade costs of $2.52
1/11/16 9:31 CINR CINER RESOURCES LP LONG 140 21.65 1/25 9:30 21.20 1.38%
Trade id #99143932
Max drawdown($398)
Time1/20/16 11:01
Quant open140
Worst price18.80
Drawdown as % of equity-1.38%
 ($66)
Includes Typical Broker Commissions trade costs of $2.80
1/11/16 9:31 SDS PROSHARES ULTRASHORT S&P500 LONG 652 22.19 1/25 9:30 22.79 1.13%
Trade id #99144037
Max drawdown($319)
Time1/13/16 4:30
Quant open652
Worst price21.70
Drawdown as % of equity-1.13%
 $386
Includes Typical Broker Commissions trade costs of $5.00
1/19/16 9:30 HALL HALLMARK FINANCIAL LONG 277 10.66 1/25 9:30 10.78 0.37%
Trade id #100053713
Max drawdown($105)
Time1/20/16 10:35
Quant open277
Worst price10.28
Drawdown as % of equity-0.37%
 $27
Includes Typical Broker Commissions trade costs of $5.54
1/4/16 9:32 WLKP WESTLAKE CHEMICAL PARTNERS LONG 266 21.81 1/19 9:34 20.74 1.26%
Trade id #99007249
Max drawdown($372)
Time1/8/16 11:57
Quant open266
Worst price20.41
Drawdown as % of equity-1.26%
 ($289)
Includes Typical Broker Commissions trade costs of $5.32
1/11/16 9:30 LDL LYDALL INC. LONG 96 30.51 1/19 9:31 28.36 1.13%
Trade id #99143890
Max drawdown($320)
Time1/15/16 12:39
Quant open96
Worst price27.17
Drawdown as % of equity-1.13%
 ($208)
Includes Typical Broker Commissions trade costs of $1.92
1/11/16 9:31 RTEC RUDOLPH TECHNOLOGIES LONG 244 12.15 1/19 9:30 12.72 0.72%
Trade id #99144010
Max drawdown($200)
Time1/13/16 14:45
Quant open244
Worst price11.33
Drawdown as % of equity-0.72%
 $134
Includes Typical Broker Commissions trade costs of $4.88
1/4/16 9:32 SCNB SUFFOLK BANCORP LONG 208 27.35 1/11 9:31 27.12 0.24%
Trade id #99007284
Max drawdown($70)
Time1/8/16 16:00
Quant open208
Worst price27.01
Drawdown as % of equity-0.24%
 ($52)
Includes Typical Broker Commissions trade costs of $4.16
1/4/16 9:30 HOFT HOOKER FURNISHINGS CORP LONG 234 24.95 1/11 9:31 29.41 0.74%
Trade id #99006903
Max drawdown($210)
Time1/5/16 12:06
Quant open234
Worst price24.05
Drawdown as % of equity-0.74%
 $1,039
Includes Typical Broker Commissions trade costs of $4.68
12/28/15 9:30 HSII HEIDRICK & STRUGGLES LONG 215 27.97 1/11/16 9:31 25.76 2.54%
Trade id #98935106
Max drawdown($728)
Time1/6/16 9:31
Quant open215
Worst price24.58
Drawdown as % of equity-2.54%
 ($479)
Includes Typical Broker Commissions trade costs of $4.30
1/4/16 9:31 TLMR TALMER BANCORP INC. COMMON CL LONG 326 17.82 1/11 9:31 17.13 1.47%
Trade id #99006972
Max drawdown($432)
Time1/11/16 9:31
Quant open326
Worst price16.49
Drawdown as % of equity-1.47%
 ($232)
Includes Typical Broker Commissions trade costs of $6.52
12/28/15 9:31 GIG GIGCAPITAL4 INC. COMMON STOCK LONG 1,892 3.24 1/4/16 9:32 2.99 4.04%
Trade id #98935164
Max drawdown($1,191)
Time1/4/16 9:32
Quant open1,892
Worst price2.61
Drawdown as % of equity-4.04%
 ($478)
Includes Typical Broker Commissions trade costs of $5.00
12/28/15 9:30 NCS NCI BUILDING SYSTEMS LONG 491 12.33 1/4/16 9:32 12.11 0.45%
Trade id #98935101
Max drawdown($132)
Time1/4/16 9:31
Quant open491
Worst price12.06
Drawdown as % of equity-0.45%
 ($118)
Includes Typical Broker Commissions trade costs of $9.82
12/28/15 9:30 CPF CENTRAL PACIFIC FINANCIAL LONG 274 22.02 1/4/16 9:32 21.58 0.59%
Trade id #98935035
Max drawdown($175)
Time1/4/16 9:31
Quant open274
Worst price21.38
Drawdown as % of equity-0.59%
 ($126)
Includes Typical Broker Commissions trade costs of $5.48
12/21/15 9:30 EMCI EMC INSURANCE GROUP LONG 239 24.49 1/4/16 9:32 24.59 0.36%
Trade id #98861789
Max drawdown($105)
Time12/22/15 10:54
Quant open239
Worst price24.05
Drawdown as % of equity-0.36%
 $19
Includes Typical Broker Commissions trade costs of $4.78
12/14/15 9:30 CNTY CENTURY CASINOS LONG 789 7.33 12/28 9:31 6.88 1.2%
Trade id #98764101
Max drawdown($362)
Time12/28/15 9:31
Quant open789
Worst price6.87
Drawdown as % of equity-1.20%
 ($360)
Includes Typical Broker Commissions trade costs of $5.00
11/30/15 9:30 PARR PAR PACIFIC HLDGS INC LONG 243 25.14 12/28 9:31 23.41 3.35%
Trade id #98563890
Max drawdown($1,005)
Time12/7/15 14:51
Quant open243
Worst price21.00
Drawdown as % of equity-3.35%
 ($425)
Includes Typical Broker Commissions trade costs of $4.86
12/21/15 9:30 CARO CAROLINA FINANCIAL LONG 350 16.60 12/28 9:30 18.35 1.26%
Trade id #98861731
Max drawdown($371)
Time12/23/15 9:33
Quant open350
Worst price15.54
Drawdown as % of equity-1.26%
 $606
Includes Typical Broker Commissions trade costs of $7.00
12/7/15 9:31 ZAGG ZAGG LONG 535 11.31 12/28 9:30 11.25 2.27%
Trade id #98663666
Max drawdown($652)
Time12/21/15 12:46
Quant open535
Worst price10.09
Drawdown as % of equity-2.27%
 ($37)
Includes Typical Broker Commissions trade costs of $5.00
12/14/15 9:31 HSII HEIDRICK & STRUGGLES LONG 215 27.65 12/21 9:31 27.32 0.69%
Trade id #98764187
Max drawdown($199)
Time12/18/15 13:34
Quant open215
Worst price26.72
Drawdown as % of equity-0.69%
 ($75)
Includes Typical Broker Commissions trade costs of $4.30
12/14/15 9:30 PLAB PHOTRONICS LONG 479 12.50 12/21 9:30 12.52 0.36%
Trade id #98764148
Max drawdown($105)
Time12/15/15 13:49
Quant open479
Worst price12.28
Drawdown as % of equity-0.36%
 $0
Includes Typical Broker Commissions trade costs of $9.58
11/16/15 9:30 OME OMEGA PROTEIN LONG 249 22.52 12/14 9:31 20.97 1.57%
Trade id #98387751
Max drawdown($465)
Time12/14/15 9:31
Quant open249
Worst price20.65
Drawdown as % of equity-1.57%
 ($391)
Includes Typical Broker Commissions trade costs of $4.98
11/23/15 9:30 RMAX RE/MAX HOLDINGS INC LONG 163 36.35 12/14 9:31 38.25 0.03%
Trade id #98486169
Max drawdown($9)
Time11/24/15 9:32
Quant open163
Worst price36.29
Drawdown as % of equity-0.03%
 $307
Includes Typical Broker Commissions trade costs of $3.26
11/23/15 9:31 UVE UNIVERSAL INSURANCE LONG 319 19.06 12/14 9:30 21.96 0.12%
Trade id #98486269
Max drawdown($35)
Time11/23/15 9:36
Quant open319
Worst price18.95
Drawdown as % of equity-0.12%
 $919
Includes Typical Broker Commissions trade costs of $6.38
11/30/15 9:30 HEOP HERITAGE OAKS BANCORP LONG 714 8.50 12/7 9:30 8.31 0.73%
Trade id #98563923
Max drawdown($221)
Time12/1/15 9:32
Quant open714
Worst price8.19
Drawdown as % of equity-0.73%
 ($141)
Includes Typical Broker Commissions trade costs of $5.00
11/9/15 9:30 RAIL FREIGHTCAR AMERICA LONG 253 23.00 11/30 9:30 24.14 1.22%
Trade id #98245125
Max drawdown($351)
Time11/9/15 11:30
Quant open253
Worst price21.61
Drawdown as % of equity-1.22%
 $283
Includes Typical Broker Commissions trade costs of $5.06
11/16/15 9:30 BBSI BARRETT BUSINESS SERVICES LONG 142 39.47 11/30 9:30 43.43 0.53%
Trade id #98387797
Max drawdown($146)
Time11/16/15 9:55
Quant open142
Worst price38.44
Drawdown as % of equity-0.53%
 $559
Includes Typical Broker Commissions trade costs of $2.84
11/16/15 9:32 VLRS CONTROLADORA VUELA COMPAA DE A LONG 328 16.98 11/23 9:30 18.90 0.47%
Trade id #98388005
Max drawdown($131)
Time11/16/15 11:35
Quant open328
Worst price16.58
Drawdown as % of equity-0.47%
 $623
Includes Typical Broker Commissions trade costs of $6.56
Next

Statistics

  • Strategy began
    1/31/2015
  • Suggested Minimum Cap
    $25,000
  • Strategy Age (days)
    3367.91
  • Age
    112 months ago
  • What it trades
    Stocks
  • # Trades
    140
  • # Profitable
    70
  • % Profitable
    50.00%
  • Avg trade duration
    13.3 days
  • Max peak-to-valley drawdown
    31.77%
  • drawdown period
    June 29, 2015 - Sept 30, 2015
  • Cumul. Return
    9.8%
  • Avg win
    $325.30
  • Avg loss
    $331.23
  • Model Account Values (Raw)
  • Cash
    $29,021
  • Margin Used
    $0
  • Buying Power
    $29,021
  • Ratios
  • W:L ratio
    1.17:1
  • Sharpe Ratio
    -0.09
  • Sortino Ratio
    -0.13
  • Calmar Ratio
    0.222
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    15.76%
  • Correlation to SP500
    0.10550
  • Return Percent SP500 (cumu) during strategy life
    155.64%
  • Return Statistics
  • Ann Return (w trading costs)
    9.9%
  • Slump
  • Current Slump as Pcnt Equity
    36.20%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.96%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.099%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    1.6%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    55.50%
  • Chance of 20% account loss
    24.50%
  • Chance of 30% account loss
    3.50%
  • Chance of 40% account loss
    n/a
  • Chance of 60% account loss (Monte Carlo)
    n/a
  • Chance of 70% account loss (Monte Carlo)
    n/a
  • Chance of 80% account loss (Monte Carlo)
    n/a
  • Chance of 90% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    703
  • 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
    $331
  • Avg Win
    $325
  • Sum Trade PL (losers)
    $23,186.000
  • Age
  • Num Months filled monthly returns table
    112
  • Win / Loss
  • Sum Trade PL (winners)
    $22,771.000
  • # Winners
    70
  • Num Months Winners
    7
  • Dividends
  • Dividends Received in Model Acct
    4438
  • Win / Loss
  • # Losers
    70
  • % Winners
    50.0%
  • Frequency
  • Avg Position Time (mins)
    19180.90
  • Avg Position Time (hrs)
    319.68
  • Avg Trade Length
    13.3 days
  • Last Trade Ago
    3010
  • Regression
  • Alpha
    -0.00
  • Beta
    0.05
  • Treynor Index
    -0.05
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.01
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    35.18
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    33.89
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -0.34
  • MAE:Equity, average, winning trades
    0.01
  • MAE:Equity, average, losing trades
    0.02
  • Avg(MAE) / Avg(PL) - All trades
    -26.497
  • MAE:Equity, losing trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, win trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, 95th Percentile Value for this strat
    0.01
  • Avg(MAE) / Avg(PL) - Winning trades
    0.691
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.559
  • Hold-and-Hope Ratio
    -0.038
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.17534
  • SD
    0.26804
  • Sharpe ratio (Glass type estimate)
    0.65414
  • Sharpe ratio (Hedges UMVUE)
    0.60833
  • df
    11.00000
  • t
    0.65414
  • p
    0.26323
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.33874
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.61828
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.36805
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.58471
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.10429
  • Upside Potential Ratio
    2.92764
  • Upside part of mean
    0.46485
  • Downside part of mean
    -0.28951
  • Upside SD
    0.20787
  • Downside SD
    0.15878
  • N nonnegative terms
    6.00000
  • N negative terms
    6.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    12.00000
  • Mean of predictor
    -0.04575
  • Mean of criterion
    0.17534
  • SD of predictor
    0.14127
  • SD of criterion
    0.26804
  • Covariance
    0.02018
  • r
    0.53298
  • b (slope, estimate of beta)
    1.01125
  • a (intercept, estimate of alpha)
    0.22160
  • Mean Square Error
    0.05658
  • DF error
    10.00000
  • t(b)
    1.99195
  • p(b)
    0.03719
  • t(a)
    0.92720
  • p(a)
    0.18783
  • Lowerbound of 95% confidence interval for beta
    -0.11990
  • Upperbound of 95% confidence interval for beta
    2.14240
  • Lowerbound of 95% confidence interval for alpha
    -0.31092
  • Upperbound of 95% confidence interval for alpha
    0.75412
  • Treynor index (mean / b)
    0.17339
  • Jensen alpha (a)
    0.22160
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.14150
  • SD
    0.26709
  • Sharpe ratio (Glass type estimate)
    0.52979
  • Sharpe ratio (Hedges UMVUE)
    0.49268
  • df
    11.00000
  • t
    0.52979
  • p
    0.30339
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.45406
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.49023
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.47807
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.46343
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.84481
  • Upside Potential Ratio
    2.65263
  • Upside part of mean
    0.44430
  • Downside part of mean
    -0.30280
  • Upside SD
    0.19750
  • Downside SD
    0.16749
  • N nonnegative terms
    6.00000
  • N negative terms
    6.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    12.00000
  • Mean of predictor
    -0.05506
  • Mean of criterion
    0.14150
  • SD of predictor
    0.14245
  • SD of criterion
    0.26709
  • Covariance
    0.02033
  • r
    0.53431
  • b (slope, estimate of beta)
    1.00179
  • a (intercept, estimate of alpha)
    0.19666
  • Mean Square Error
    0.05607
  • DF error
    10.00000
  • t(b)
    1.99889
  • p(b)
    0.03676
  • t(a)
    0.82496
  • p(a)
    0.21432
  • Lowerbound of 95% confidence interval for beta
    -0.11489
  • Upperbound of 95% confidence interval for beta
    2.11848
  • Lowerbound of 95% confidence interval for alpha
    -0.33450
  • Upperbound of 95% confidence interval for alpha
    0.72782
  • Treynor index (mean / b)
    0.14125
  • Jensen alpha (a)
    0.19666
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.10866
  • Expected Shortfall on VaR
    0.13657
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.05596
  • Expected Shortfall on VaR
    0.10503
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    12.00000
  • Minimum
    0.87610
  • Quartile 1
    0.97377
  • Median
    1.01551
  • Quartile 3
    1.06416
  • Maximum
    1.12857
  • Mean of quarter 1
    0.91425
  • Mean of quarter 2
    0.99091
  • Mean of quarter 3
    1.05050
  • Mean of quarter 4
    1.10611
  • Inter Quartile Range
    0.09039
  • 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)
    -1.29214
  • VaR(95%) (moments method)
    0.09957
  • Expected Shortfall (moments method)
    0.10594
  • Extreme Value Index (regression method)
    0.35958
  • VaR(95%) (regression method)
    0.12313
  • Expected Shortfall (regression method)
    0.21044
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    1.00000
  • Minimum
    0.23692
  • Quartile 1
    0.23692
  • Median
    0.23692
  • Quartile 3
    0.23692
  • Maximum
    0.23692
  • 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
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.16352
  • Compounded annual return (geometric extrapolation)
    0.16352
  • Calmar ratio (compounded annual return / max draw down)
    0.69020
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    1.19734
  • 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
    0.16125
  • SD
    0.21723
  • Sharpe ratio (Glass type estimate)
    0.74230
  • Sharpe ratio (Hedges UMVUE)
    0.74069
  • df
    346.00000
  • t
    0.74553
  • p
    0.22823
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.21048
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.69403
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.21156
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.69294
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.14875
  • Upside Potential Ratio
    9.20228
  • Upside part of mean
    1.29174
  • Downside part of mean
    -1.13048
  • Upside SD
    0.16561
  • Downside SD
    0.14037
  • N nonnegative terms
    156.00000
  • N negative terms
    191.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    347.00000
  • Mean of predictor
    -0.05791
  • Mean of criterion
    0.16125
  • SD of predictor
    0.15803
  • SD of criterion
    0.21723
  • Covariance
    0.01114
  • r
    0.32454
  • b (slope, estimate of beta)
    0.44612
  • a (intercept, estimate of alpha)
    0.02300
  • Mean Square Error
    0.04234
  • DF error
    345.00000
  • t(b)
    6.37310
  • p(b)
    0.00000
  • t(a)
    0.91297
  • p(a)
    0.18095
  • Lowerbound of 95% confidence interval for beta
    0.30844
  • Upperbound of 95% confidence interval for beta
    0.58381
  • Lowerbound of 95% confidence interval for alpha
    -0.21597
  • Upperbound of 95% confidence interval for alpha
    0.59014
  • Treynor index (mean / b)
    0.36145
  • Jensen alpha (a)
    0.18709
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.13794
  • SD
    0.21555
  • Sharpe ratio (Glass type estimate)
    0.63994
  • Sharpe ratio (Hedges UMVUE)
    0.63855
  • df
    346.00000
  • t
    0.64272
  • p
    0.26042
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.31253
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.59158
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.31350
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.59060
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.96989
  • Upside Potential Ratio
    8.98898
  • Upside part of mean
    1.27841
  • Downside part of mean
    -1.14048
  • Upside SD
    0.16173
  • Downside SD
    0.14222
  • N nonnegative terms
    156.00000
  • N negative terms
    191.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    347.00000
  • Mean of predictor
    -0.07039
  • Mean of criterion
    0.13794
  • SD of predictor
    0.15831
  • SD of criterion
    0.21555
  • Covariance
    0.01116
  • r
    0.32694
  • b (slope, estimate of beta)
    0.44515
  • a (intercept, estimate of alpha)
    0.16927
  • Mean Square Error
    0.04162
  • DF error
    345.00000
  • t(b)
    6.42573
  • p(b)
    0.00000
  • t(a)
    0.83315
  • p(a)
    0.20267
  • Lowerbound of 95% confidence interval for beta
    0.30889
  • Upperbound of 95% confidence interval for beta
    0.58140
  • Lowerbound of 95% confidence interval for alpha
    -0.23034
  • Upperbound of 95% confidence interval for alpha
    0.56889
  • Treynor index (mean / b)
    0.30987
  • Jensen alpha (a)
    0.16927
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01854
  • Expected Shortfall on VaR
    0.02329
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00797
  • Expected Shortfall on VaR
    0.01622
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    347.00000
  • Minimum
    0.95447
  • Quartile 1
    0.99641
  • Median
    1.00000
  • Quartile 3
    1.00460
  • Maximum
    1.10037
  • Mean of quarter 1
    0.98778
  • Mean of quarter 2
    0.99917
  • Mean of quarter 3
    1.00165
  • Mean of quarter 4
    1.01340
  • Inter Quartile Range
    0.00819
  • Number outliers low
    18.00000
  • Percentage of outliers low
    0.05187
  • Mean of outliers low
    0.97378
  • Number of outliers high
    16.00000
  • Percentage of outliers high
    0.04611
  • Mean of outliers high
    1.02892
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.04003
  • VaR(95%) (moments method)
    0.00980
  • Expected Shortfall (moments method)
    0.01394
  • Extreme Value Index (regression method)
    -0.05768
  • VaR(95%) (regression method)
    0.01239
  • Expected Shortfall (regression method)
    0.01730
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    17.00000
  • Minimum
    0.00016
  • Quartile 1
    0.00110
  • Median
    0.00578
  • Quartile 3
    0.01412
  • Maximum
    0.28790
  • Mean of quarter 1
    0.00044
  • Mean of quarter 2
    0.00349
  • Mean of quarter 3
    0.01183
  • Mean of quarter 4
    0.08536
  • Inter Quartile Range
    0.01302
  • 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
    0.05882
  • Mean of outliers high
    0.28790
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    1.13391
  • VaR(95%) (moments method)
    0.06913
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    3.21761
  • VaR(95%) (regression method)
    0.07985
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.15949
  • Compounded annual return (geometric extrapolation)
    0.15938
  • Calmar ratio (compounded annual return / max draw down)
    0.55360
  • Compounded annual return / average of 25% largest draw downs
    1.86714
  • Compounded annual return / Expected Shortfall lognormal
    6.84451
  • 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
    -0.25300
  • SD
    0.23761
  • Sharpe ratio (Glass type estimate)
    -1.06481
  • Sharpe ratio (Hedges UMVUE)
    -1.06013
  • df
    171.00000
  • t
    -0.75293
  • p
    0.53658
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.83744
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.71077
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.83421
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.71395
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.44042
  • Upside Potential Ratio
    7.92525
  • Upside part of mean
    1.39204
  • Downside part of mean
    -1.64504
  • Upside SD
    0.15957
  • Downside SD
    0.17565
  • N nonnegative terms
    65.00000
  • N negative terms
    107.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    172.00000
  • Mean of predictor
    -0.21932
  • Mean of criterion
    -0.25300
  • SD of predictor
    0.19469
  • SD of criterion
    0.23761
  • Covariance
    0.01651
  • r
    0.35692
  • b (slope, estimate of beta)
    0.43559
  • a (intercept, estimate of alpha)
    -0.15747
  • Mean Square Error
    0.04955
  • DF error
    170.00000
  • t(b)
    4.98177
  • p(b)
    0.32154
  • t(a)
    -0.49928
  • p(a)
    0.51913
  • Lowerbound of 95% confidence interval for beta
    0.26299
  • Upperbound of 95% confidence interval for beta
    0.60820
  • Lowerbound of 95% confidence interval for alpha
    -0.78007
  • Upperbound of 95% confidence interval for alpha
    0.46513
  • Treynor index (mean / b)
    -0.58083
  • Jensen alpha (a)
    -0.15747
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.28123
  • SD
    0.23801
  • Sharpe ratio (Glass type estimate)
    -1.18159
  • Sharpe ratio (Hedges UMVUE)
    -1.17640
  • df
    171.00000
  • t
    -0.83551
  • p
    0.54056
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.95454
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.59474
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.95101
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.59821
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.58003
  • Upside Potential Ratio
    7.75021
  • Upside part of mean
    1.37946
  • Downside part of mean
    -1.66069
  • Upside SD
    0.15770
  • Downside SD
    0.17799
  • N nonnegative terms
    65.00000
  • N negative terms
    107.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    172.00000
  • Mean of predictor
    -0.23828
  • Mean of criterion
    -0.28123
  • SD of predictor
    0.19511
  • SD of criterion
    0.23801
  • Covariance
    0.01664
  • r
    0.35840
  • b (slope, estimate of beta)
    0.43722
  • a (intercept, estimate of alpha)
    -0.17705
  • Mean Square Error
    0.04966
  • DF error
    170.00000
  • t(b)
    5.00553
  • p(b)
    0.32080
  • t(a)
    -0.56056
  • p(a)
    0.52148
  • VAR (95 Confidence Intrvl)
    0.01500
  • Lowerbound of 95% confidence interval for beta
    0.26479
  • Upperbound of 95% confidence interval for beta
    0.60964
  • Lowerbound of 95% confidence interval for alpha
    -0.80053
  • Upperbound of 95% confidence interval for alpha
    0.44644
  • Treynor index (mean / b)
    -0.64323
  • Jensen alpha (a)
    -0.17705
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02169
  • Expected Shortfall on VaR
    0.02691
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01260
  • Expected Shortfall on VaR
    0.02356
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    172.00000
  • Minimum
    0.95447
  • Quartile 1
    0.99291
  • Median
    1.00000
  • Quartile 3
    1.00481
  • Maximum
    1.03933
  • Mean of quarter 1
    0.98374
  • Mean of quarter 2
    0.99721
  • Mean of quarter 3
    1.00115
  • Mean of quarter 4
    1.01508
  • Inter Quartile Range
    0.01190
  • Number outliers low
    6.00000
  • Percentage of outliers low
    0.03488
  • Mean of outliers low
    0.96485
  • Number of outliers high
    6.00000
  • Percentage of outliers high
    0.03488
  • Mean of outliers high
    1.03167
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.05639
  • VaR(95%) (moments method)
    0.01564
  • Expected Shortfall (moments method)
    0.02158
  • Extreme Value Index (regression method)
    0.03642
  • VaR(95%) (regression method)
    0.01597
  • Expected Shortfall (regression method)
    0.02185
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    1.00000
  • Minimum
    0.20405
  • Quartile 1
    0.20405
  • Median
    0.20405
  • Quartile 3
    0.20405
  • Maximum
    0.20405
  • 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
  • Max Equity Drawdown (num days)
    93
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.25369
  • Compounded annual return (geometric extrapolation)
    -0.23760
  • Calmar ratio (compounded annual return / max draw down)
    -1.16443
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    -8.83008

Strategy Description

This is a 100% mechanical system, no discretionary inputs, no emotions involved. This counts for stock picks as well as for market timing.
Market timing is based on S&P, S&P EPS & VIX MACD behavior. In bull markets the system holds 5 stocks (long positions only) in portfolio, in bear markets the system is long SDS ETF with 50% of portfolio value (this is an inverse/leveraged ETF and is similar to 100% short SPY or any other SP500 tracking ETF).
Stock picks in bull market conditions result from weekly filtering and ranking of all US stocks. Both fundamental and technical data are processed to look for GARP and break-out stocks. Only top 5 stocks are kept in portfolio. Each stock/position is allocated 20% of portfolio value, no margin or leverage is used. Buy/sell signals are generated during the weekend and are posted on C2 site not later than 24 hours prior markets open first trading day of the week. All orders are market(-on-open) orders. Weekly turnover is roughly 40%, so an average of 2 sell signals and 2 buy signals per week are to be expected. No stop-loss is used as back tests indicated degraded performance without significant volatility or drawdown improvements.
Performance as published on this site can be considered as out-of-sample performance, however keep in mind that this is still no real trading performance but simulated or hypothetical performance which does not account for potential risks involved in real trading.
Also note that I'm not a professional trader. The publication of this system/portfolio and the associated buy/sell signals are not to be considered as investment advice.
Trade this strategy at Interactive Brokers

Summary Statistics

Strategy began
2015-01-31
Suggested Minimum Capital
$6,500
# Trades
140
# Profitable
70
% Profitable
50.0%
Net Dividends
$4,438
Correlation S&P500
0.105
Sharpe Ratio
-0.09
Sortino Ratio
-0.13
Beta
0.05
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.