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Featured Strategy S2Prox0 Followed by live capital $153,000 Hypothetical

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These are hypothetical performance results that have certain inherent limitations. Learn more
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Ridgewall L/S Equity
(94287575)

Created by: Julian_vanderWalle Julian_vanderWalle
Started: 05/2015
Stocks
Last trade: 3,170 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.

-2.5%
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.

-
Max Drawdown
41
Num Trades
63.4%
Win Trades
1.5 : 1
Profit Factor
46.7%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2015                            (6%)+2.9%+4.9%(2%)(1.6%)+4.6%(1.5%)(0.3%)+0.4%
2016(3.4%)+4.0%+2.0%(0.8%)(0.8%)(1.1%)(0.5%)(0.4%)+1.4%+0.2%(0.6%)+4.1%+3.9%
2017+3.0%+0.9%(0.5%)(2.1%)+1.3%+0.2%+1.5%(1.8%)+3.3%(0.9%)+0.9%+1.0%+6.7%
2018+1.0%(1.9%)(1.5%)+0.4%(1.9%)+0.5%(2.1%)+2.3%(2.9%)(4.2%)+3.3%(0.7%)(7.7%)
2019(0.6%)+3.0%(0.9%)+2.2%(1.6%)  -  (0.6%)+4.2%+0.3%(0.8%)(0.6%)+7.7%
2020(2.7%)(2.7%)(0.5%)+0.7%+3.4%+0.4%+0.9%(0.4%)+1.9%  -  +2.8%(1.5%)+2.1%
2021(1.2%)+2.9%+0.2%(1.3%)+2.6%(1.3%)(0.3%)+0.3%(1.2%)(2.5%)(1.2%)+2.8%(0.3%)
2022+2.5%(3.8%)+6.2%+0.8%+4.5%(5.5%)(0.5%)  -  (1.7%)+0.7%(2%)+1.0%+1.5%
2023+0.4%+1.3%(1.5%)+1.0%(0.5%)(0.9%)+1.5%+1.7%(0.1%)(1.1%)(1.1%)(2.3%)(1.3%)
2024(0.6%)(4.9%)+1.0%+4.0%                                                (0.7%)

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

Show AutoTrade data Hide AutoTrade data
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Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
8/5/15 15:03 SYNA SYNAPTICS LONG 60 77.00 8/20 12:57 69.50 1.86%
Trade id #96459722
Max drawdown($450)
Time8/20/15 12:57
Quant open60
Worst price69.50
Drawdown as % of equity-1.86%
 ($451)
Includes Typical Broker Commissions trade costs of $1.20
8/13/15 10:39 GPRO GOPRO INC. CLASS A COMMON STO LONG 100 60.00 8/20 12:57 50.90 3.81%
Trade id #96620353
Max drawdown($924)
Time8/20/15 12:56
Quant open100
Worst price50.76
Drawdown as % of equity-3.81%
 ($912)
Includes Typical Broker Commissions trade costs of $2.00
8/5/15 15:15 WYNN WYNN RESORTS SHORT 30 101.22 8/13 10:37 96.35 0.45%
Trade id #96459994
Max drawdown($113)
Time8/10/15 8:04
Quant open-30
Worst price105.00
Drawdown as % of equity-0.45%
 $145
Includes Typical Broker Commissions trade costs of $0.60
8/5/15 15:14 MGM MGM RESORTS INTERNATIONAL SHORT 100 22.37 8/13 10:37 22.04 0.15%
Trade id #96459962
Max drawdown($40)
Time8/10/15 15:23
Quant open-100
Worst price22.77
Drawdown as % of equity-0.15%
 $31
Includes Typical Broker Commissions trade costs of $2.00
7/22/15 11:57 GPRO GOPRO INC. CLASS A COMMON STO LONG 100 61.44 8/11 11:31 62.45 0.87%
Trade id #96009917
Max drawdown($205)
Time7/27/15 9:34
Quant open100
Worst price59.38
Drawdown as % of equity-0.87%
 $99
Includes Typical Broker Commissions trade costs of $2.00
8/5/15 15:06 DLPH DELPHI TECHNOLOGIES PLC LONG 60 77.57 8/11 11:31 78.06 0.22%
Trade id #96459761
Max drawdown($54)
Time8/6/15 12:00
Quant open60
Worst price76.67
Drawdown as % of equity-0.22%
 $29
Includes Typical Broker Commissions trade costs of $1.20
8/5/15 15:06 AAPL APPLE LONG 50 115.55 8/11 11:30 115.88 0.31%
Trade id #96459789
Max drawdown($75)
Time8/5/15 16:18
Quant open50
Worst price114.05
Drawdown as % of equity-0.31%
 $16
Includes Typical Broker Commissions trade costs of $1.00
7/21/15 10:06 ALV AUTOLIV LONG 50 108.73 8/11 11:30 103.47 1.68%
Trade id #95981741
Max drawdown($388)
Time7/27/15 14:40
Quant open50
Worst price100.97
Drawdown as % of equity-1.68%
 ($264)
Includes Typical Broker Commissions trade costs of $1.00
8/5/15 15:15 NDLS NOODLES & CO CLASS A SHORT 150 15.76 8/7 12:43 12.57 n/a $475
Includes Typical Broker Commissions trade costs of $3.00
6/19/15 11:32 HII HUNTINGTON INGALLS LONG 50 117.76 8/6 11:16 127.05 1.54%
Trade id #95176685
Max drawdown($363)
Time7/27/15 9:43
Quant open50
Worst price110.50
Drawdown as % of equity-1.54%
 $464
Includes Typical Broker Commissions trade costs of $1.00
6/3/15 13:10 AGU AGRIUM LONG 50 105.14 8/6 9:51 99.95 1.74%
Trade id #94787976
Max drawdown($404)
Time7/28/15 10:14
Quant open50
Worst price97.06
Drawdown as % of equity-1.74%
 ($261)
Includes Typical Broker Commissions trade costs of $1.00
7/31/15 13:14 DBVT DBV TECHNOLOGIES S.A. AMERICAN SHORT 100 43.76 8/5 10:11 43.64 0.41%
Trade id #96199649
Max drawdown($99)
Time8/3/15 9:42
Quant open-100
Worst price44.76
Drawdown as % of equity-0.41%
 $10
Includes Typical Broker Commissions trade costs of $2.00
7/17/15 10:12 FRGI FIESTA RESTAURANT GROUP LONG 100 49.99 7/31 13:11 58.03 1.23%
Trade id #95940389
Max drawdown($308)
Time7/20/15 18:26
Quant open100
Worst price46.91
Drawdown as % of equity-1.23%
 $802
Includes Typical Broker Commissions trade costs of $2.00
5/7/15 9:51 LYB LYONDELLBASELL INDUSTRIES LONG 50 101.41 7/27 9:31 89.04 2.68%
Trade id #94295929
Max drawdown($645)
Time7/24/15 14:55
Quant open50
Worst price88.51
Drawdown as % of equity-2.68%
 ($620)
Includes Typical Broker Commissions trade costs of $1.00
7/17/15 10:12 JCI JOHNSON CONTROLS LONG 100 47.22 7/27 9:31 43.89 1.41%
Trade id #95940401
Max drawdown($333)
Time7/27/15 9:31
Quant open0
Worst price43.89
Drawdown as % of equity-1.41%
 ($335)
Includes Typical Broker Commissions trade costs of $2.00
7/15/15 11:44 MDVN MEDIVATION LONG 80 56.72 7/27 9:31 50.12 2.27%
Trade id #95898032
Max drawdown($536)
Time7/27/15 9:31
Quant open40
Worst price100.01
Drawdown as % of equity-2.27%
 ($530)
Includes Typical Broker Commissions trade costs of $1.60
5/7/15 9:47 JACK JACK IN THE BOX LONG 50 90.18 7/23 9:52 94.67 0.76%
Trade id #94295788
Max drawdown($179)
Time7/6/15 9:31
Quant open50
Worst price86.60
Drawdown as % of equity-0.76%
 $224
Includes Typical Broker Commissions trade costs of $1.00
5/13/15 10:59 BWLD BUFFALO WILD WINGS LONG 40 157.79 7/21 10:01 171.44 0.38%
Trade id #94397602
Max drawdown($90)
Time6/23/15 13:22
Quant open40
Worst price155.54
Drawdown as % of equity-0.38%
 $545
Includes Typical Broker Commissions trade costs of $0.80
7/15/15 11:43 CYBR CYBERARK SOFTWARE LTD. ORDINAR LONG 100 58.54 7/17 10:58 56.28 1.28%
Trade id #95898016
Max drawdown($312)
Time7/16/15 14:05
Quant open100
Worst price55.42
Drawdown as % of equity-1.28%
 ($229)
Includes Typical Broker Commissions trade costs of $2.00
6/3/15 13:10 VFC VF LONG 60 70.80 7/17 10:11 72.26 0.59%
Trade id #94787970
Max drawdown($134)
Time6/29/15 16:54
Quant open60
Worst price68.56
Drawdown as % of equity-0.59%
 $87
Includes Typical Broker Commissions trade costs of $1.20
7/10/15 15:47 GOOG ALPHABET INC CLASS C LONG 10 531.31 7/17 9:30 648.33 0.07%
Trade id #95832058
Max drawdown($16)
Time7/10/15 16:34
Quant open10
Worst price529.67
Drawdown as % of equity-0.07%
 $1,170
Includes Typical Broker Commissions trade costs of $0.20
7/10/15 15:49 SAM BOSTON BEER COMPANY SHORT 15 227.63 7/15 10:46 224.65 0.23%
Trade id #95832079
Max drawdown($56)
Time7/14/15 9:38
Quant open-15
Worst price231.38
Drawdown as % of equity-0.23%
 $45
Includes Typical Broker Commissions trade costs of $0.30
6/19/15 11:23 SBH SALLY BEAUTY HOLDINGS LONG 150 30.51 7/10 15:46 31.51 0.17%
Trade id #95176351
Max drawdown($40)
Time6/23/15 9:33
Quant open150
Worst price30.24
Drawdown as % of equity-0.17%
 $147
Includes Typical Broker Commissions trade costs of $3.00
6/3/15 13:13 GPRO GOPRO INC. CLASS A COMMON STO LONG 50 59.42 6/23 10:49 56.16 1.05%
Trade id #94788055
Max drawdown($246)
Time6/22/15 15:35
Quant open50
Worst price54.50
Drawdown as % of equity-1.05%
 ($164)
Includes Typical Broker Commissions trade costs of $1.00
5/26/15 10:06 GDXJ VANECK JUNIOR GOLD MINERS ETF SHORT 100 25.52 6/22 10:23 25.31 0.31%
Trade id #94619013
Max drawdown($68)
Time6/3/15 6:06
Quant open-100
Worst price26.20
Drawdown as % of equity-0.31%
 $19
Includes Typical Broker Commissions trade costs of $2.00
6/1/15 11:02 AEO AMERICAN EAGLE LONG 300 16.35 6/19 11:33 17.44 0.24%
Trade id #94729099
Max drawdown($54)
Time6/2/15 9:31
Quant open300
Worst price16.17
Drawdown as % of equity-0.24%
 $321
Includes Typical Broker Commissions trade costs of $6.00
6/1/15 11:02 UA UNDERARMOUR CLASS C LONG 160 39.27 6/18 15:53 41.79 0.35%
Trade id #94729043
Max drawdown($78)
Time6/4/15 9:36
Quant open80
Worst price77.55
Drawdown as % of equity-0.35%
 $401
Includes Typical Broker Commissions trade costs of $3.20
5/26/15 10:05 LPTN LPATH INC. CLASS A LONG 714 4.33 6/18 11:47 3.70 2.49%
Trade id #94618997
Max drawdown($570)
Time5/28/15 9:55
Quant open10,000
Worst price0.25
Drawdown as % of equity-2.49%
 ($455)
Includes Typical Broker Commissions trade costs of $5.00
6/3/15 13:13 ANET ARISTA NETWORKS INC LONG 30 73.49 6/8 13:11 78.50 0.18%
Trade id #94788076
Max drawdown($41)
Time6/5/15 8:32
Quant open30
Worst price72.11
Drawdown as % of equity-0.18%
 $149
Includes Typical Broker Commissions trade costs of $0.60
5/21/15 11:12 MNGA TARONIS TECHNOLOGIES INC LONG 1,000 1.46 6/3 13:06 1.30 1.16%
Trade id #94555637
Max drawdown($260)
Time6/2/15 10:24
Quant open1,000
Worst price1.20
Drawdown as % of equity-1.16%
 ($165)
Includes Typical Broker Commissions trade costs of $5.00
Next

Statistics

  • Strategy began
    5/6/2015
  • Suggested Minimum Cap
    $23,477
  • Strategy Age (days)
    3268.93
  • Age
    109 months ago
  • What it trades
    Stocks
  • # Trades
    41
  • # Profitable
    26
  • % Profitable
    63.40%
  • Avg trade duration
    173.7 days
  • Max peak-to-valley drawdown
    %
  • drawdown period
    Dec , - Dec ,
  • Cumul. Return
    -0.9%
  • Avg win
    $268.46
  • Avg loss
    $477.87
  • Model Account Values (Raw)
  • Cash
    $29,125
  • Margin Used
    $7,127
  • Buying Power
    $21,209
  • Ratios
  • W:L ratio
    1.51:1
  • Sharpe Ratio
    -0.03
  • Sortino Ratio
    -0.04
  • Calmar Ratio
    0.614
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    7.14%
  • Correlation to SP500
    0.20900
  • Return Percent SP500 (cumu) during strategy life
    143.76%
  • Return Statistics
  • Ann Return (w trading costs)
    -2.5%
  • Slump
  • Current Slump as Pcnt Equity
    10.80%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.21%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    -0.009%
  • 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
    18.50%
  • Chance of 20% account loss
    n/a
  • Chance of 30% account loss
    n/a
  • 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)
    444
  • Popularity (Last 6 weeks)
    631
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Popularity
  • Popularity (7 days, Percentile 1000 scale)
    491
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $478
  • Avg Win
    $268
  • Sum Trade PL (losers)
    $7,168.000
  • Age
  • Num Months filled monthly returns table
    108
  • Win / Loss
  • Sum Trade PL (winners)
    $6,980.000
  • # Winners
    26
  • Num Months Winners
    51
  • Dividends
  • Dividends Received in Model Acct
    3869
  • Win / Loss
  • # Losers
    15
  • % Winners
    63.4%
  • Frequency
  • Avg Position Time (mins)
    250064.00
  • Avg Position Time (hrs)
    4167.74
  • Avg Trade Length
    173.7 days
  • Last Trade Ago
    3163
  • Regression
  • Alpha
    -0.00
  • Beta
    0.10
  • Treynor Index
    -0.01
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.02
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    34.26
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    24.86
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    0.44
  • MAE:Equity, average, winning trades
    0.01
  • MAE:Equity, average, losing trades
    0.03
  • Avg(MAE) / Avg(PL) - All trades
    -19.665
  • 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
    1.092
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.318
  • Hold-and-Hope Ratio
    -0.063
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.09303
  • SD
    0.15200
  • Sharpe ratio (Glass type estimate)
    0.61203
  • Sharpe ratio (Hedges UMVUE)
    0.44287
  • df
    3.00000
  • t
    0.35336
  • p
    0.37360
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.86166
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.99162
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.97033
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.85607
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.16373
  • Upside Potential Ratio
    3.30659
  • Upside part of mean
    0.26434
  • Downside part of mean
    -0.17131
  • Upside SD
    0.10798
  • Downside SD
    0.07994
  • N nonnegative terms
    2.00000
  • N negative terms
    2.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    4.00000
  • Mean of predictor
    -0.13905
  • Mean of criterion
    0.09303
  • SD of predictor
    0.10649
  • SD of criterion
    0.15200
  • Covariance
    0.00358
  • r
    0.22126
  • b (slope, estimate of beta)
    0.31584
  • a (intercept, estimate of alpha)
    0.13695
  • Mean Square Error
    0.03296
  • DF error
    2.00000
  • t(b)
    0.32087
  • p(b)
    0.38937
  • t(a)
    0.39932
  • p(a)
    0.36413
  • Lowerbound of 95% confidence interval for beta
    -3.91939
  • Upperbound of 95% confidence interval for beta
    4.55107
  • Lowerbound of 95% confidence interval for alpha
    -1.33865
  • Upperbound of 95% confidence interval for alpha
    1.61255
  • Treynor index (mean / b)
    0.29455
  • Jensen alpha (a)
    0.13695
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.08402
  • SD
    0.15151
  • Sharpe ratio (Glass type estimate)
    0.55453
  • Sharpe ratio (Hedges UMVUE)
    0.40126
  • df
    3.00000
  • t
    0.32016
  • p
    0.38493
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.90930
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.93264
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.00865
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.81116
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.02961
  • Upside Potential Ratio
    3.16739
  • Upside part of mean
    0.25846
  • Downside part of mean
    -0.17444
  • Upside SD
    0.10558
  • Downside SD
    0.08160
  • N nonnegative terms
    2.00000
  • N negative terms
    2.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    4.00000
  • Mean of predictor
    -0.14416
  • Mean of criterion
    0.08402
  • SD of predictor
    0.10895
  • SD of criterion
    0.15151
  • Covariance
    0.00353
  • r
    0.21369
  • b (slope, estimate of beta)
    0.29716
  • a (intercept, estimate of alpha)
    0.12686
  • Mean Square Error
    0.03286
  • DF error
    2.00000
  • t(b)
    0.30934
  • p(b)
    0.39316
  • t(a)
    0.36967
  • p(a)
    0.37355
  • Lowerbound of 95% confidence interval for beta
    -3.83610
  • Upperbound of 95% confidence interval for beta
    4.43043
  • Lowerbound of 95% confidence interval for alpha
    -1.34966
  • Upperbound of 95% confidence interval for alpha
    1.60337
  • Treynor index (mean / b)
    0.28273
  • Jensen alpha (a)
    0.12686
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.06288
  • Expected Shortfall on VaR
    0.07973
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.03340
  • Expected Shortfall on VaR
    0.05551
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    4.00000
  • Minimum
    0.95647
  • Quartile 1
    0.98018
  • Median
    1.01573
  • Quartile 3
    1.04413
  • Maximum
    1.04640
  • Mean of quarter 1
    0.95647
  • Mean of quarter 2
    0.98809
  • Mean of quarter 3
    1.04338
  • Mean of quarter 4
    1.04640
  • Inter Quartile Range
    0.06395
  • 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
    2.00000
  • Minimum
    0.01191
  • Quartile 1
    0.01982
  • Median
    0.02772
  • Quartile 3
    0.03563
  • Maximum
    0.04353
  • Mean of quarter 1
    0.01191
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.04353
  • Inter Quartile Range
    0.01581
  • 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)
    0.09546
  • Compounded annual return (geometric extrapolation)
    0.09852
  • Calmar ratio (compounded annual return / max draw down)
    2.26327
  • Compounded annual return / average of 25% largest draw downs
    2.26327
  • Compounded annual return / Expected Shortfall lognormal
    1.23576
  • 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
    0.08017
  • SD
    0.17654
  • Sharpe ratio (Glass type estimate)
    0.45411
  • Sharpe ratio (Hedges UMVUE)
    0.45119
  • df
    117.00000
  • t
    0.26597
  • p
    0.48435
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.89378
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.80016
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.89577
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.79816
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.67206
  • Upside Potential Ratio
    9.26089
  • Upside part of mean
    1.10470
  • Downside part of mean
    -1.02453
  • Upside SD
    0.12919
  • Downside SD
    0.11929
  • N nonnegative terms
    47.00000
  • N negative terms
    71.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    118.00000
  • Mean of predictor
    -0.23851
  • Mean of criterion
    0.08017
  • SD of predictor
    0.16667
  • SD of criterion
    0.17654
  • Covariance
    0.01246
  • r
    0.42337
  • b (slope, estimate of beta)
    0.44843
  • a (intercept, estimate of alpha)
    -0.00300
  • Mean Square Error
    0.02580
  • DF error
    116.00000
  • t(b)
    5.03316
  • p(b)
    0.28831
  • t(a)
    0.68026
  • p(a)
    0.46848
  • Lowerbound of 95% confidence interval for beta
    0.27197
  • Upperbound of 95% confidence interval for beta
    0.62490
  • Lowerbound of 95% confidence interval for alpha
    -0.35770
  • Upperbound of 95% confidence interval for alpha
    0.73194
  • Treynor index (mean / b)
    0.17877
  • Jensen alpha (a)
    0.18712
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.06471
  • SD
    0.17655
  • Sharpe ratio (Glass type estimate)
    0.36652
  • Sharpe ratio (Hedges UMVUE)
    0.36416
  • df
    117.00000
  • t
    0.21466
  • p
    0.48737
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.98104
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.71255
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.98262
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.71095
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.53643
  • Upside Potential Ratio
    9.08940
  • Upside part of mean
    1.09643
  • Downside part of mean
    -1.03173
  • Upside SD
    0.12793
  • Downside SD
    0.12063
  • N nonnegative terms
    47.00000
  • N negative terms
    71.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    118.00000
  • Mean of predictor
    -0.25242
  • Mean of criterion
    0.06471
  • SD of predictor
    0.16722
  • SD of criterion
    0.17655
  • Covariance
    0.01251
  • r
    0.42370
  • b (slope, estimate of beta)
    0.44733
  • a (intercept, estimate of alpha)
    0.17762
  • Mean Square Error
    0.02579
  • DF error
    116.00000
  • t(b)
    5.03792
  • p(b)
    0.28815
  • t(a)
    0.64559
  • p(a)
    0.47008
  • Lowerbound of 95% confidence interval for beta
    0.27147
  • Upperbound of 95% confidence interval for beta
    0.62320
  • Lowerbound of 95% confidence interval for alpha
    -0.36731
  • Upperbound of 95% confidence interval for alpha
    0.72256
  • Treynor index (mean / b)
    0.14465
  • Jensen alpha (a)
    0.17762
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01535
  • Expected Shortfall on VaR
    0.01925
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00767
  • Expected Shortfall on VaR
    0.01502
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    118.00000
  • Minimum
    0.95993
  • Quartile 1
    0.99628
  • Median
    1.00000
  • Quartile 3
    1.00415
  • Maximum
    1.03099
  • Mean of quarter 1
    0.98950
  • Mean of quarter 2
    0.99882
  • Mean of quarter 3
    1.00093
  • Mean of quarter 4
    1.01178
  • Inter Quartile Range
    0.00788
  • Number outliers low
    6.00000
  • Percentage of outliers low
    0.05085
  • Mean of outliers low
    0.97894
  • Number of outliers high
    7.00000
  • Percentage of outliers high
    0.05932
  • Mean of outliers high
    1.02242
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.06016
  • VaR(95%) (moments method)
    0.00920
  • Expected Shortfall (moments method)
    0.01226
  • Extreme Value Index (regression method)
    0.08404
  • VaR(95%) (regression method)
    0.00940
  • Expected Shortfall (regression method)
    0.01348
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    4.00000
  • Minimum
    0.00119
  • Quartile 1
    0.05574
  • Median
    0.07500
  • Quartile 3
    0.07737
  • Maximum
    0.08120
  • Mean of quarter 1
    0.00119
  • Mean of quarter 2
    0.07392
  • Mean of quarter 3
    0.07609
  • Mean of quarter 4
    0.08120
  • Inter Quartile Range
    0.02163
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.25000
  • Mean of outliers low
    0.00119
  • 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)
    0.07562
  • Compounded annual return (geometric extrapolation)
    0.07752
  • Calmar ratio (compounded annual return / max draw down)
    0.95458
  • Compounded annual return / average of 25% largest draw downs
    0.95458
  • Compounded annual return / Expected Shortfall lognormal
    4.02629
  • Analysis based on DAILY values, last 6 months only
  • RATIO STATISTICS
  • Ratio statistics of excess log return rates
  • Statistics related to linear regression on benchmark
  • VAR (95 Confidence Intrvl)
    0.01800
  • DRAW DOWN STATISTICS
  • Risk estimates based on draw downs (based on Extreme Value T
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • Last 4 Months - Pcnt Negative
    0.50%
  • Max Equity Drawdown (num days)
    14

Strategy Description

I theory, all traders want low drawdowns and significantly better than average returns. I seek to do this just like everyone else. Usually I will have multiple positions at the same time. The balance between long and short will be determined by where I think the general market is going in the short and medium term. If price action is bullish I will tend to have more long positions than short positions and vice versa when I am bearish. The strategy on the long side is very simple. I tend to buy stocks that are in long term up trends but that have recently sold off. However the up trend must still be intact for me to buy. On the short side I do precisely the opposite and short stocks that have had a significant rally but that are clearly still in long term downtrends. Also, on the short side I will sometimes short very overbought small caps. I have a combination of 3 indicators that I use in conjunction to assist me in identifying when I should go short. This is not a perfect system and results are not guaranteed but the goal is: to have more wins than losses, to have better returns than the S & P, and the lower drawdowns as well.
Trade this strategy at Interactive Brokers

Summary Statistics

Strategy began
2015-05-06
Suggested Minimum Capital
$25,000
# Trades
41
# Profitable
26
% Profitable
63.4%
Net Dividends
$3,868
Correlation S&P500
0.209
Sharpe Ratio
-0.03
Sortino Ratio
-0.04
Beta
0.10
Alpha
-0.00

Latest Activity

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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.

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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.

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