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This is an archived track record. This track record was archived on 1/12/19 15:34 ET. (See latest track record)
These are hypothetical performance results that have certain inherent limitations. Learn more

STOCK MARKET POSTURE
(100120309)

Created by: John-Duarte John-Duarte
Started: 01/2016
Stocks
Last trade: 193 days ago
Trading style: Equity Trend-following

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 $59.00 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.

Trading Category: Equity
Trend-following
Category: Equity

Trend-following

Tries to take advantage of long, medium or short-term moves that seem to play out in various markets. Typically, trend-following analysis is backward looking; that is, it attempts to recognize and profit from already-established trends.
29.5%
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.

(27.2%)
Max Drawdown
28
Num Trades
71.4%
Win Trades
4.0 : 1
Profit Factor
52.4%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2016+3.6%(1.2%)+9.8%(2.3%)(0.5%)(1.7%)+7.5%+1.9%+0.6%(7.6%)+16.5%+4.3%+32.8%
2017(0.6%)+2.7%(0.7%)+1.2%(4.3%)+5.6%+1.1%(2.9%)+10.1%+1.2%+4.1%+0.5%+18.7%
2018(0.4%)(0.4%)(0.4%)(2.7%)+11.7%+8.3%+8.5%  -  +3.1%(13.5%)+16.0%+4.2%+36.1%
2019+0.9%  -    -    -    -    -                                      

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 85 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
1/7/19 13:56 URTY PROSHARES ULTRAPRO RUSSELL2000 LONG 50 56.13 1/10 12:56 60.50 0.21%
Trade id #121826858
Max drawdown($50)
Time1/7/19 14:57
Quant open50
Worst price55.12
Drawdown as % of equity-0.21%
$218
Includes Typical Broker Commissions trade costs of $1.00
12/27/18 15:09 NUGT DIREXION DAILY GOLD MINERS BUL LONG 500 17.08 1/10/19 12:55 17.60 1.89%
Trade id #121686682
Max drawdown($435)
Time12/31/18 9:50
Quant open500
Worst price16.21
Drawdown as % of equity-1.89%
$251
Includes Typical Broker Commissions trade costs of $10.00
12/4/18 12:58 NUGT DIREXION DAILY GOLD MINERS BUL LONG 500 14.60 12/21 12:55 16.05 1.17%
Trade id #121337940
Max drawdown($264)
Time12/6/18 6:36
Quant open500
Worst price14.07
Drawdown as % of equity-1.17%
$716
Includes Typical Broker Commissions trade costs of $10.00
11/28/18 9:30 URTY PROSHARES ULTRAPRO RUSSELL2000 LONG 200 70.44 11/29 15:38 74.33 1.89%
Trade id #121213772
Max drawdown($416)
Time11/28/18 10:31
Quant open200
Worst price68.36
Drawdown as % of equity-1.89%
$775
Includes Typical Broker Commissions trade costs of $4.00
11/13/18 12:46 URTY PROSHARES ULTRAPRO RUSSELL2000 LONG 175 71.15 11/27 9:30 70.49 2.95%
Trade id #120910592
Max drawdown($637)
Time11/20/18 10:15
Quant open70
Worst price65.62
Drawdown as % of equity-2.95%
($119)
Includes Typical Broker Commissions trade costs of $3.50
11/1/18 11:27 URTY PROSHARES ULTRAPRO RUSSELL2000 LONG 200 76.85 11/2 11:45 78.20 0.32%
Trade id #120669774
Max drawdown($64)
Time11/1/18 12:19
Quant open100
Worst price75.45
Drawdown as % of equity-0.32%
$266
Includes Typical Broker Commissions trade costs of $4.00
9/24/18 12:48 TNDM TANDEM DIABETES CARE INC. COM LONG 750 38.71 11/2 11:45 40.41 12.56%
Trade id #120006392
Max drawdown($2,479)
Time10/11/18 9:31
Quant open193
Worst price30.75
Drawdown as % of equity-12.56%
$1,256
Includes Typical Broker Commissions trade costs of $15.00
9/24/18 12:46 IIN INTRICON LONG 600 48.47 10/24 13:51 42.39 20.3%
Trade id #120006373
Max drawdown($4,037)
Time10/23/18 10:34
Quant open600
Worst price41.74
Drawdown as % of equity-20.30%
($3,657)
Includes Typical Broker Commissions trade costs of $8.50
10/1/18 12:52 EGO ELDORADO GOLD LONG 1,200 0.92 10/23 9:57 0.90 0.31%
Trade id #120120349
Max drawdown($65)
Time10/8/18 9:42
Quant open1,200
Worst price0.87
Drawdown as % of equity-0.31%
($30)
Includes Typical Broker Commissions trade costs of $7.00
9/25/18 15:17 NUGT DIREXION DAILY GOLD MINERS BUL LONG 599 14.66 10/15 14:56 16.09 1.69%
Trade id #120030489
Max drawdown($335)
Time10/10/18 10:49
Quant open300
Worst price12.12
Drawdown as % of equity-1.69%
$852
Includes Typical Broker Commissions trade costs of $8.49
9/20/18 10:00 CDNA CAREDX INC LONG 80 26.46 9/21 11:04 25.96 0.31%
Trade id #119946658
Max drawdown($72)
Time9/21/18 9:32
Quant open80
Worst price25.56
Drawdown as % of equity-0.31%
($42)
Includes Typical Broker Commissions trade costs of $1.60
9/20/18 9:57 IIN INTRICON LONG 35 61.62 9/21 9:34 65.58 0.06%
Trade id #119946357
Max drawdown($14)
Time9/20/18 12:21
Quant open35
Worst price61.20
Drawdown as % of equity-0.06%
$137
Includes Typical Broker Commissions trade costs of $0.70
9/19/18 13:05 TNDM TANDEM DIABETES CARE INC. COM LONG 100 39.19 9/21 9:34 43.33 0.28%
Trade id #119934102
Max drawdown($61)
Time9/19/18 14:46
Quant open100
Worst price38.57
Drawdown as % of equity-0.28%
$412
Includes Typical Broker Commissions trade costs of $2.00
9/19/18 9:31 TQQQ PROSHARES ULTRAPRO QQQ LONG 200 67.44 9/21 9:33 70.31 1.05%
Trade id #119926785
Max drawdown($232)
Time9/19/18 10:21
Quant open150
Worst price66.19
Drawdown as % of equity-1.05%
$571
Includes Typical Broker Commissions trade costs of $4.00
8/15/18 14:11 RWM PROSHARES SHORT RUSSELL2000 LONG 750 37.54 9/19 9:30 37.50 2.37%
Trade id #119456869
Max drawdown($516)
Time8/31/18 15:51
Quant open650
Worst price36.82
Drawdown as % of equity-2.37%
($37)
Includes Typical Broker Commissions trade costs of $10.00
8/10/18 14:38 ARWR ARROWHEAD PHARMACEUTICALS INC. LONG 150 16.87 8/15 14:09 15.16 1.28%
Trade id #119387091
Max drawdown($286)
Time8/15/18 13:56
Quant open150
Worst price14.96
Drawdown as % of equity-1.28%
($260)
Includes Typical Broker Commissions trade costs of $3.00
8/8/18 12:11 QLD PROSHARES ULTRA QQQ LONG 75 96.59 8/15 14:09 93.06 1.3%
Trade id #119344250
Max drawdown($294)
Time8/15/18 10:34
Quant open75
Worst price92.66
Drawdown as % of equity-1.30%
($267)
Includes Typical Broker Commissions trade costs of $1.50
8/8/18 12:10 URTY PROSHARES ULTRAPRO RUSSELL2000 LONG 75 103.86 8/15 14:09 99.95 1.56%
Trade id #119344235
Max drawdown($349)
Time8/15/18 11:00
Quant open75
Worst price99.20
Drawdown as % of equity-1.56%
($295)
Includes Typical Broker Commissions trade costs of $1.50
8/8/18 12:08 TNDM TANDEM DIABETES CARE INC. COM LONG 400 32.13 8/15 10:10 32.57 0.07%
Trade id #119344186
Max drawdown($16)
Time8/8/18 12:57
Quant open100
Worst price30.20
Drawdown as % of equity-0.07%
$169
Includes Typical Broker Commissions trade costs of $8.00
8/8/18 12:09 IIN INTRICON LONG 100 65.59 8/15 10:10 66.88 0.32%
Trade id #119344204
Max drawdown($71)
Time8/13/18 15:19
Quant open50
Worst price62.35
Drawdown as % of equity-0.32%
$127
Includes Typical Broker Commissions trade costs of $2.00
8/7/18 12:42 RWM PROSHARES SHORT RUSSELL2000 LONG 250 37.92 8/8 11:45 38.04 0.01%
Trade id #119322380
Max drawdown($1)
Time8/7/18 12:45
Quant open250
Worst price37.92
Drawdown as % of equity-0.01%
$25
Includes Typical Broker Commissions trade costs of $5.00
5/10/18 15:38 URTY PROSHARES ULTRAPRO RUSSELL2000 LONG 240 92.93 8/7 12:20 99.17 1.45%
Trade id #117882587
Max drawdown($261)
Time5/15/18 10:01
Quant open115
Worst price88.23
Drawdown as % of equity-1.45%
$1,491
Includes Typical Broker Commissions trade costs of $4.80
7/12/18 11:34 QLD PROSHARES ULTRA QQQ LONG 20 93.49 8/7 12:19 96.56 0.44%
Trade id #118896413
Max drawdown($92)
Time7/30/18 12:50
Quant open20
Worst price88.88
Drawdown as % of equity-0.44%
$61
Includes Typical Broker Commissions trade costs of $0.40
5/29/18 9:30 TNDM TANDEM DIABETES CARE INC. COM LONG 95 15.69 8/7 12:19 32.21 0.72%
Trade id #118143992
Max drawdown($132)
Time5/29/18 10:18
Quant open50
Worst price11.62
Drawdown as % of equity-0.72%
$1,568
Includes Typical Broker Commissions trade costs of $1.90
5/29/18 9:30 IIN INTRICON LONG 50 31.40 8/7 12:19 62.96 n/a $1,577
Includes Typical Broker Commissions trade costs of $1.00
4/30/18 9:30 URTY PROSHARES ULTRAPRO RUSSELL2000 LONG 130 83.39 5/10 15:36 90.35 4.07%
Trade id #117713439
Max drawdown($685)
Time5/1/18 11:04
Quant open130
Worst price78.12
Drawdown as % of equity-4.07%
$902
Includes Typical Broker Commissions trade costs of $2.60
6/2/16 9:30 URTY PROSHARES ULTRAPRO RUSSELL2000 LONG 130 37.94 12/22/17 13:49 83.86 n/a $5,967
Includes Typical Broker Commissions trade costs of $2.60
1/21/16 9:30 URTY PROSHARES ULTRAPRO RUSSELL2000 LONG 80 50.20 4/5 12:32 65.37 9.79%
Trade id #100126406
Max drawdown($933)
Time2/11/16 8:01
Quant open80
Worst price38.53
Drawdown as % of equity-9.79%
$1,212
Includes Typical Broker Commissions trade costs of $1.60

Statistics

  • Strategy began
    1/21/2016
  • Suggested Minimum Cap
    $10,000
  • Strategy Age (days)
    1254
  • Age
    43 months ago
  • What it trades
    Stocks
  • # Trades
    28
  • # Profitable
    20
  • % Profitable
    71.40%
  • Avg trade duration
    40.9 days
  • Max peak-to-valley drawdown
    27.17%
  • drawdown period
    Sept 25, 2018 - Oct 26, 2018
  • Annual Return (Compounded)
    29.5%
  • Avg win
    $932.15
  • Avg loss
    $583.50
  • Model Account Values (Raw)
  • Cash
    $23,975
  • Margin Used
    $0
  • Buying Power
    $23,975
  • Ratios
  • W:L ratio
    3.99:1
  • Sharpe Ratio
    1.04
  • Sortino Ratio
    1.7
  • Calmar Ratio
    2.02
  • CORRELATION STATISTICS
  • Correlation to SP500
    0.29190
  • Return Statistics
  • Ann Return (w trading costs)
    29.5%
  • Ann Return (Compnd, No Fees)
    28.3%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    17.50%
  • Chance of 20% account loss
    4.00%
  • Chance of 30% account loss
    n/a
  • Chance of 40% account loss
    n/a
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    519
  • Popularity (Last 6 weeks)
    922
  • Trades-Own-System Certification
  • Trades Own System?
    0
  • TOS percent
    n/a
  • Subscription Price
  • Billing Period (days)
    30
  • Trial Days
    0
  • Win / Loss
  • Avg Loss
    $584
  • Avg Win
    $932
  • # Winners
    20
  • # Losers
    8
  • % Winners
    71.4%
  • Frequency
  • Avg Position Time (mins)
    58843.40
  • Avg Position Time (hrs)
    980.72
  • Avg Trade Length
    40.9 days
  • Last Trade Ago
    169
  • Unknown
  • Alpha
    0.05
  • Beta
    0.39
  • Treynor Index
    0.16
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.39233
  • SD
    0.22510
  • Sharpe ratio (Glass type estimate)
    1.74293
  • Sharpe ratio (Hedges UMVUE)
    1.69002
  • df
    25.00000
  • t
    2.56552
  • p
    0.00834
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.31193
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.14320
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.27849
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.10155
  • Statistics related to Sortino ratio
  • Sortino ratio
    5.36932
  • Upside Potential Ratio
    6.84284
  • Upside part of mean
    0.50000
  • Downside part of mean
    -0.10767
  • Upside SD
    0.23708
  • Downside SD
    0.07307
  • N nonnegative terms
    16.00000
  • N negative terms
    10.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    26.00000
  • Mean of predictor
    0.13132
  • Mean of criterion
    0.39233
  • SD of predictor
    0.11179
  • SD of criterion
    0.22510
  • Covariance
    0.01533
  • r
    0.60904
  • b (slope, estimate of beta)
    1.22638
  • a (intercept, estimate of alpha)
    0.23128
  • Mean Square Error
    0.03320
  • DF error
    24.00000
  • t(b)
    3.76190
  • p(b)
    0.00048
  • t(a)
    1.76568
  • p(a)
    0.04508
  • Lowerbound of 95% confidence interval for beta
    0.55355
  • Upperbound of 95% confidence interval for beta
    1.89922
  • Lowerbound of 95% confidence interval for alpha
    -0.03906
  • Upperbound of 95% confidence interval for alpha
    0.50162
  • Treynor index (mean / b)
    0.31991
  • Jensen alpha (a)
    0.23128
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.36306
  • SD
    0.21303
  • Sharpe ratio (Glass type estimate)
    1.70424
  • Sharpe ratio (Hedges UMVUE)
    1.65251
  • df
    25.00000
  • t
    2.50858
  • p
    0.00949
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.27711
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.10117
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.24440
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.06062
  • Statistics related to Sortino ratio
  • Sortino ratio
    4.84000
  • Upside Potential Ratio
    6.30881
  • Upside part of mean
    0.47324
  • Downside part of mean
    -0.11018
  • Upside SD
    0.22135
  • Downside SD
    0.07501
  • N nonnegative terms
    16.00000
  • N negative terms
    10.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    26.00000
  • Mean of predictor
    0.12444
  • Mean of criterion
    0.36306
  • SD of predictor
    0.11050
  • SD of criterion
    0.21303
  • Covariance
    0.01415
  • r
    0.60109
  • b (slope, estimate of beta)
    1.15881
  • a (intercept, estimate of alpha)
    0.21885
  • Mean Square Error
    0.03019
  • DF error
    24.00000
  • t(b)
    3.68471
  • p(b)
    0.00058
  • t(a)
    1.75973
  • p(a)
    0.04560
  • Lowerbound of 95% confidence interval for beta
    0.50973
  • Upperbound of 95% confidence interval for beta
    1.80789
  • Lowerbound of 95% confidence interval for alpha
    -0.03783
  • Upperbound of 95% confidence interval for alpha
    0.47553
  • Treynor index (mean / b)
    0.31330
  • Jensen alpha (a)
    0.21885
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.06844
  • Expected Shortfall on VaR
    0.09184
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01707
  • Expected Shortfall on VaR
    0.03693
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    26.00000
  • Minimum
    0.93410
  • Quartile 1
    1.00000
  • Median
    1.01788
  • Quartile 3
    1.05789
  • Maximum
    1.20431
  • Mean of quarter 1
    0.96966
  • Mean of quarter 2
    1.00781
  • Mean of quarter 3
    1.03724
  • Mean of quarter 4
    1.12181
  • Inter Quartile Range
    0.05789
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.07692
  • Mean of outliers high
    1.17819
  • 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)
    -0.49035
  • VaR(95%) (regression method)
    0.03139
  • Expected Shortfall (regression method)
    0.03972
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    4.00000
  • Minimum
    0.01176
  • Quartile 1
    0.03377
  • Median
    0.05350
  • Quartile 3
    0.07217
  • Maximum
    0.09097
  • Mean of quarter 1
    0.01176
  • Mean of quarter 2
    0.04110
  • Mean of quarter 3
    0.06590
  • Mean of quarter 4
    0.09097
  • Inter Quartile Range
    0.03840
  • 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)
    0.61516
  • Compounded annual return (geometric extrapolation)
    0.47841
  • Calmar ratio (compounded annual return / max draw down)
    5.25917
  • Compounded annual return / average of 25% largest draw downs
    5.25917
  • Compounded annual return / Expected Shortfall lognormal
    5.20898
  • 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
    0.38534
  • SD
    0.21096
  • Sharpe ratio (Glass type estimate)
    1.82663
  • Sharpe ratio (Hedges UMVUE)
    1.82428
  • df
    585.00000
  • t
    2.73179
  • p
    0.00324
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.51116
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.14058
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.50958
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.13898
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.97372
  • Upside Potential Ratio
    10.07180
  • Upside part of mean
    1.30513
  • Downside part of mean
    -0.91979
  • Upside SD
    0.16794
  • Downside SD
    0.12958
  • N nonnegative terms
    275.00000
  • N negative terms
    311.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    586.00000
  • Mean of predictor
    0.13039
  • Mean of criterion
    0.38534
  • SD of predictor
    0.15011
  • SD of criterion
    0.21096
  • Covariance
    0.01016
  • r
    0.32086
  • b (slope, estimate of beta)
    0.45092
  • a (intercept, estimate of alpha)
    0.31000
  • Mean Square Error
    0.03999
  • DF error
    584.00000
  • t(b)
    8.18684
  • p(b)
    0.00000
  • t(a)
    2.43862
  • p(a)
    0.00752
  • Lowerbound of 95% confidence interval for beta
    0.34274
  • Upperbound of 95% confidence interval for beta
    0.55910
  • Lowerbound of 95% confidence interval for alpha
    0.06355
  • Upperbound of 95% confidence interval for alpha
    0.58955
  • Treynor index (mean / b)
    0.85457
  • Jensen alpha (a)
    0.32655
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.36298
  • SD
    0.20989
  • Sharpe ratio (Glass type estimate)
    1.72941
  • Sharpe ratio (Hedges UMVUE)
    1.72719
  • df
    585.00000
  • t
    2.58640
  • p
    0.00497
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.41443
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.04299
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.41292
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.04146
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.75772
  • Upside Potential Ratio
    9.81015
  • Upside part of mean
    1.29125
  • Downside part of mean
    -0.92827
  • Upside SD
    0.16479
  • Downside SD
    0.13162
  • N nonnegative terms
    275.00000
  • N negative terms
    311.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    586.00000
  • Mean of predictor
    0.11904
  • Mean of criterion
    0.36298
  • SD of predictor
    0.15067
  • SD of criterion
    0.20989
  • Covariance
    0.01019
  • r
    0.32230
  • b (slope, estimate of beta)
    0.44898
  • a (intercept, estimate of alpha)
    0.30953
  • Mean Square Error
    0.03954
  • DF error
    584.00000
  • t(b)
    8.22781
  • p(b)
    0.00000
  • t(a)
    2.32513
  • p(a)
    0.01020
  • Lowerbound of 95% confidence interval for beta
    0.34180
  • Upperbound of 95% confidence interval for beta
    0.55615
  • Lowerbound of 95% confidence interval for alpha
    0.04807
  • Upperbound of 95% confidence interval for alpha
    0.57100
  • Treynor index (mean / b)
    0.80847
  • Jensen alpha (a)
    0.30953
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01975
  • Expected Shortfall on VaR
    0.02503
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00833
  • Expected Shortfall on VaR
    0.01696
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    586.00000
  • Minimum
    0.92787
  • Quartile 1
    0.99587
  • Median
    1.00000
  • Quartile 3
    1.00741
  • Maximum
    1.08385
  • Mean of quarter 1
    0.98728
  • Mean of quarter 2
    0.99894
  • Mean of quarter 3
    1.00328
  • Mean of quarter 4
    1.01680
  • Inter Quartile Range
    0.01153
  • Number outliers low
    16.00000
  • Percentage of outliers low
    0.02730
  • Mean of outliers low
    0.96587
  • Number of outliers high
    16.00000
  • Percentage of outliers high
    0.02730
  • Mean of outliers high
    1.04238
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.09775
  • VaR(95%) (moments method)
    0.01092
  • Expected Shortfall (moments method)
    0.01599
  • Extreme Value Index (regression method)
    0.05044
  • VaR(95%) (regression method)
    0.01162
  • Expected Shortfall (regression method)
    0.01671
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    37.00000
  • Minimum
    0.00047
  • Quartile 1
    0.00497
  • Median
    0.01822
  • Quartile 3
    0.03755
  • Maximum
    0.23009
  • Mean of quarter 1
    0.00220
  • Mean of quarter 2
    0.01252
  • Mean of quarter 3
    0.03123
  • Mean of quarter 4
    0.09353
  • Inter Quartile Range
    0.03258
  • 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
    0.08108
  • Mean of outliers high
    0.13971
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -0.70375
  • VaR(95%) (moments method)
    0.08728
  • Expected Shortfall (moments method)
    0.09732
  • Extreme Value Index (regression method)
    -0.16506
  • VaR(95%) (regression method)
    0.09783
  • Expected Shortfall (regression method)
    0.12491
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.62466
  • Compounded annual return (geometric extrapolation)
    0.47829
  • Calmar ratio (compounded annual return / max draw down)
    2.07872
  • Compounded annual return / average of 25% largest draw downs
    5.11356
  • Compounded annual return / Expected Shortfall lognormal
    19.10780
  • 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
    0.27333
  • SD
    0.26970
  • Sharpe ratio (Glass type estimate)
    1.01348
  • Sharpe ratio (Hedges UMVUE)
    1.00762
  • df
    130.00000
  • t
    0.71664
  • p
    0.46864
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.76300
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.78609
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.76689
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.78213
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.64941
  • Upside Potential Ratio
    9.30546
  • Upside part of mean
    1.54205
  • Downside part of mean
    -1.26872
  • Upside SD
    0.21214
  • Downside SD
    0.16571
  • N nonnegative terms
    61.00000
  • N negative terms
    70.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.15733
  • Mean of criterion
    0.27333
  • SD of predictor
    0.18637
  • SD of criterion
    0.26970
  • Covariance
    0.00834
  • r
    0.16596
  • b (slope, estimate of beta)
    0.24016
  • a (intercept, estimate of alpha)
    0.31111
  • Mean Square Error
    0.07128
  • DF error
    129.00000
  • t(b)
    1.91142
  • p(b)
    0.39483
  • t(a)
    0.82286
  • p(a)
    0.45404
  • Lowerbound of 95% confidence interval for beta
    -0.00843
  • Upperbound of 95% confidence interval for beta
    0.48875
  • Lowerbound of 95% confidence interval for alpha
    -0.43694
  • Upperbound of 95% confidence interval for alpha
    1.05917
  • Treynor index (mean / b)
    1.13812
  • Jensen alpha (a)
    0.31111
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.23749
  • SD
    0.26751
  • Sharpe ratio (Glass type estimate)
    0.88780
  • Sharpe ratio (Hedges UMVUE)
    0.88267
  • df
    130.00000
  • t
    0.62777
  • p
    0.47251
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.88780
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.66002
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.89122
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.65655
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.41165
  • Upside Potential Ratio
    9.03537
  • Upside part of mean
    1.52008
  • Downside part of mean
    -1.28259
  • Upside SD
    0.20718
  • Downside SD
    0.16824
  • N nonnegative terms
    61.00000
  • N negative terms
    70.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.17460
  • Mean of criterion
    0.23749
  • SD of predictor
    0.18636
  • SD of criterion
    0.26751
  • Covariance
    0.00836
  • r
    0.16767
  • b (slope, estimate of beta)
    0.24067
  • a (intercept, estimate of alpha)
    0.27951
  • Mean Square Error
    0.07009
  • DF error
    129.00000
  • t(b)
    1.93168
  • p(b)
    0.39376
  • t(a)
    0.74531
  • p(a)
    0.45834
  • Lowerbound of 95% confidence interval for beta
    -0.00584
  • Upperbound of 95% confidence interval for beta
    0.48718
  • Lowerbound of 95% confidence interval for alpha
    -0.46249
  • Upperbound of 95% confidence interval for alpha
    1.02152
  • Treynor index (mean / b)
    0.98678
  • Jensen alpha (a)
    0.27951
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02594
  • Expected Shortfall on VaR
    0.03262
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01160
  • Expected Shortfall on VaR
    0.02285
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.94832
  • Quartile 1
    0.99569
  • Median
    1.00000
  • Quartile 3
    1.00740
  • Maximum
    1.08385
  • Mean of quarter 1
    0.98267
  • Mean of quarter 2
    0.99833
  • Mean of quarter 3
    1.00327
  • Mean of quarter 4
    1.02039
  • Inter Quartile Range
    0.01171
  • Number outliers low
    8.00000
  • Percentage of outliers low
    0.06107
  • Mean of outliers low
    0.96707
  • Number of outliers high
    8.00000
  • Percentage of outliers high
    0.06107
  • Mean of outliers high
    1.04254
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.93225
  • VaR(95%) (moments method)
    0.01331
  • Expected Shortfall (moments method)
    0.01456
  • Extreme Value Index (regression method)
    -0.21306
  • VaR(95%) (regression method)
    0.01514
  • Expected Shortfall (regression method)
    0.01971
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    9.00000
  • Minimum
    0.00047
  • Quartile 1
    0.00168
  • Median
    0.01501
  • Quartile 3
    0.03556
  • Maximum
    0.23009
  • Mean of quarter 1
    0.00094
  • Mean of quarter 2
    0.01395
  • Mean of quarter 3
    0.03373
  • Mean of quarter 4
    0.14376
  • Inter Quartile Range
    0.03388
  • 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
    0.11111
  • Mean of outliers high
    0.23009
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.24410
  • VaR(95%) (moments method)
    0.11064
  • Expected Shortfall (moments method)
    0.19009
  • Extreme Value Index (regression method)
    1.98110
  • VaR(95%) (regression method)
    0.36975
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.28381
  • Compounded annual return (geometric extrapolation)
    0.30395
  • Calmar ratio (compounded annual return / max draw down)
    1.32101
  • Compounded annual return / average of 25% largest draw downs
    2.11428
  • Compounded annual return / Expected Shortfall lognormal
    9.31779

Strategy Description

Welcome to my strategy, investor or trader. My goal is to try to answer this question "What is the US market doing?”, and act appropriately. I am talking about a trend-following methodology. This approach is not perfect, but it is rational because it respond to what prices are doing, not what we think they ought to be doing. To do this, I analyze and evaluate different things before making the decision, for example market trend indicators, economic indicators, sentiment surveys and seasonal patterns. About time duration I look at different time frames, small, medium and large, because each one depends on the other. In 90% of the time, I remain calm and follow the bigger trend off the larger time frame. There is also a second goal, which is getting the maximum return on investment with the lowest possible maximum drawdown. To do this, I try to avoid taking large positions most of the time. Of course these are goals only. No performance can be guaranteed. Generally, these are intermediate-term investments (weeks to months), but I also can do short-term trades. Good luck and good trading!

Summary Statistics

Strategy began
2016-01-21
Suggested Minimum Capital
$15,000
# Trades
28
# Profitable
20
% Profitable
71.4%
Net Dividends
Correlation S&P500
0.292
Sharpe Ratio
1.04
Sortino Ratio
1.70
Beta
0.39
Alpha
0.05

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.

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