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The Momentum of Now
(75800796)

Created by: Danny Danny
Started: 08/2012
Stocks
Last trade: 3 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 $50.00 per month.

27.1%
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.

(24.1%)
Max Drawdown
1343
Num Trades
35.9%
Win Trades
1.5 : 1
Profit Factor
57.0%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2012                                                 +3.9%+7.6%+1.0%+1.6%(0.4%)+14.1%
2013+13.8%+0.7%+9.1%(1.6%)+0.1%(5.4%)(2.6%)(2.3%)+22.0%+8.2%+20.9%(0.5%)+75.9%
2014+10.3%(2.2%)(2.2%)(3%)+1.4%(1.2%)(8.4%)+4.2%(0.6%)+2.8%+3.2%+2.5%+5.6%
2015(1.2%)+7.0%+4.6%(5.4%)+20.3%+2.7%+17.4%(4.1%)+3.6%(1.8%)+2.6%+1.8%+54.4%
2016(0.2%)(4.8%)(5.3%)+3.8%(3.9%)+3.4%(0.5%)+0.7%+1.8%+0.5%+9.2%(2.4%)+1.3%
2017(2%)+8.6%+1.0%+5.3%+10.4%(7.2%)+6.9%+6.6%+2.7%+2.6%(3%)(1.3%)+33.1%
2018+9.0%(1.4%)+1.2%(2.6%)+15.5%(2.2%)(5.6%)+7.9%(4.9%)(7.4%)(0.4%)+0.5%+7.4%
2019  -  +1.5%                                                            +1.4%

Model Account Details

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

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

System developer has asked us to delay this information by 24 hours.

Trading Record

This strategy has placed 2,131 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
2/7/19 9:30 ATVI ACTIVISION BLIZZARD SHORT 246 43.21 2/15 9:30 45.47 0.16%
Trade id #122412793
Max drawdown($831)
Time2/14/19 11:59
Quant open-246
Worst price46.59
Drawdown as % of equity-0.16%
($561)
Includes Typical Broker Commissions trade costs of $4.92
1/14/19 9:30 TWLO TWILIO INC LONG 78 95.12 2/14 9:30 105.50 0.21%
Trade id #121949767
Max drawdown($1,048)
Time2/4/19 11:55
Quant open78
Worst price81.68
Drawdown as % of equity-0.21%
$808
Includes Typical Broker Commissions trade costs of $1.56
1/22/19 9:30 PBH PRESTIGE CONSUMER HEALTHCARE INC SHORT 353 27.60 2/13 9:30 29.10 0.12%
Trade id #122105187
Max drawdown($631)
Time2/12/19 9:41
Quant open-353
Worst price29.39
Drawdown as % of equity-0.12%
($537)
Includes Typical Broker Commissions trade costs of $7.06
2/12/19 9:30 OHI OMEGA HEALTHCARE LONG 649 37.50 2/12 9:30 37.08 0.05%
Trade id #122474555
Max drawdown($273)
Time2/12/19 9:30
Quant open0
Worst price37.08
Drawdown as % of equity-0.05%
($278)
Includes Typical Broker Commissions trade costs of $5.00
1/15/19 9:30 LOPE GRAND CANYON EDUCATION SHORT 168 92.09 2/12 9:30 94.78 0.11%
Trade id #121977189
Max drawdown($559)
Time1/23/19 10:15
Quant open-168
Worst price95.42
Drawdown as % of equity-0.11%
($455)
Includes Typical Broker Commissions trade costs of $3.36
10/15/18 9:30 BIL SPDR BARCLAYS 1-3 MONTH T-BILL LONG 1,379 91.51 2/12/19 9:30 91.50 0.02%
Trade id #120349456
Max drawdown($96)
Time2/4/19 18:03
Quant open1,379
Worst price91.44
Drawdown as % of equity-0.02%
($19)
Includes Typical Broker Commissions trade costs of $5.00
1/15/19 9:30 APYX APYX MEDICAL CORP LONG 781 8.30 2/7 9:30 8.10 0.04%
Trade id #121977229
Max drawdown($187)
Time1/15/19 10:33
Quant open781
Worst price8.06
Drawdown as % of equity-0.04%
($161)
Includes Typical Broker Commissions trade costs of $5.00
1/15/19 9:30 EWZ ISHARES MSCI BRAZIL ETF LONG 494 42.97 2/7 9:30 43.40 0.1%
Trade id #121977205
Max drawdown($489)
Time1/22/19 14:31
Quant open494
Worst price41.98
Drawdown as % of equity-0.10%
$202
Includes Typical Broker Commissions trade costs of $9.88
2/4/19 9:30 MYGN MYRIAD GENETICS SHORT 403 26.92 2/6 9:54 29.45 0.2%
Trade id #122340372
Max drawdown($1,020)
Time2/6/19 9:54
Quant open0
Worst price29.45
Drawdown as % of equity-0.20%
($1,028)
Includes Typical Broker Commissions trade costs of $8.06
1/28/19 9:31 CAG CONAGRA BRANDS INC SHORT 682 21.04 2/6 9:30 22.11 0.16%
Trade id #122214468
Max drawdown($804)
Time2/5/19 12:18
Quant open-682
Worst price22.22
Drawdown as % of equity-0.16%
($735)
Includes Typical Broker Commissions trade costs of $5.00
1/16/19 9:30 MCS MARCUS LONG 461 42.99 2/1 12:01 40.36 0.24%
Trade id #122003148
Max drawdown($1,214)
Time2/1/19 12:01
Quant open0
Worst price40.36
Drawdown as % of equity-0.24%
($1,223)
Includes Typical Broker Commissions trade costs of $9.22
1/22/19 9:30 AMRN AMARIN LONG 377 17.00 1/30 9:30 16.58 0.09%
Trade id #122105206
Max drawdown($426)
Time1/28/19 9:51
Quant open377
Worst price15.87
Drawdown as % of equity-0.09%
($166)
Includes Typical Broker Commissions trade costs of $7.54
1/16/19 9:30 ORLY O'REILLY AUTOMOTIVE LONG 51 344.73 1/28 9:30 336.16 0.14%
Trade id #122003112
Max drawdown($682)
Time1/25/19 11:04
Quant open51
Worst price331.34
Drawdown as % of equity-0.14%
($438)
Includes Typical Broker Commissions trade costs of $1.02
1/4/19 9:30 CMCM CHEETAH MOBILE INC SHORT 997 6.00 1/22 9:30 6.55 0.17%
Trade id #121781443
Max drawdown($827)
Time1/18/19 11:04
Quant open-997
Worst price6.83
Drawdown as % of equity-0.17%
($553)
Includes Typical Broker Commissions trade costs of $5.00
1/14/19 9:30 WB WEIBO CORPORATION AMERICAN DEP SHORT 138 56.25 1/22 9:30 58.53 0.14%
Trade id #121949738
Max drawdown($705)
Time1/18/19 13:16
Quant open-138
Worst price61.36
Drawdown as % of equity-0.14%
($318)
Includes Typical Broker Commissions trade costs of $2.76
11/13/18 9:30 CADE CADENCE BANCORPORATION SHORT 696 21.68 1/17/19 9:30 18.40 n/a $2,278
Includes Typical Broker Commissions trade costs of $5.00
12/11/18 9:30 RARX RA PHARMACEUTICALS INC. COMMON STOCK LONG 326 17.01 1/15/19 9:30 19.35 0.11%
Trade id #121440448
Max drawdown($580)
Time12/24/18 10:01
Quant open326
Worst price15.23
Drawdown as % of equity-0.11%
$756
Includes Typical Broker Commissions trade costs of $6.52
12/10/18 9:30 SVXY PROSHARES SHORT VIX SHORT-TERM SHORT 264 45.90 1/9/19 9:30 44.78 0.06%
Trade id #121421820
Max drawdown($316)
Time12/12/18 11:18
Quant open-264
Worst price47.10
Drawdown as % of equity-0.06%
$290
Includes Typical Broker Commissions trade costs of $5.28
12/21/18 9:30 SOGO SOGOU INC SHORT 1,433 5.42 1/8/19 9:30 5.78 0.11%
Trade id #121615767
Max drawdown($544)
Time1/7/19 11:50
Quant open-1,433
Worst price5.80
Drawdown as % of equity-0.11%
($521)
Includes Typical Broker Commissions trade costs of $5.00
12/24/18 9:30 IPAR INTER PARFUMS LONG 241 62.98 1/8/19 9:30 62.41 0.12%
Trade id #121641470
Max drawdown($592)
Time12/24/18 11:34
Quant open241
Worst price60.52
Drawdown as % of equity-0.12%
($142)
Includes Typical Broker Commissions trade costs of $4.82
12/17/18 9:30 PBYI PUMA BIOTECHNOLOGY SHORT 326 22.34 1/8/19 9:30 23.91 0.23%
Trade id #121525214
Max drawdown($1,176)
Time12/17/18 16:10
Quant open-326
Worst price25.95
Drawdown as % of equity-0.23%
($519)
Includes Typical Broker Commissions trade costs of $6.52
11/27/18 9:30 CNDT CONDUENT INC SHORT 695 13.20 1/8/19 9:30 11.45 n/a $1,211
Includes Typical Broker Commissions trade costs of $5.00
11/12/18 9:30 CFX COLFAX SHORT 451 27.98 1/8/19 9:30 21.96 n/a $2,706
Includes Typical Broker Commissions trade costs of $9.02
1/2/19 9:30 IQ IQIYI INC. AMERICAN DEPOSITARY SHARES SHORT 472 14.55 1/7 11:18 16.99 0.23%
Trade id #121742903
Max drawdown($1,154)
Time1/7/19 11:18
Quant open0
Worst price16.99
Drawdown as % of equity-0.23%
($1,163)
Includes Typical Broker Commissions trade costs of $9.44
12/20/18 9:30 DESP DESPEGAR.COM CORP SHORT 774 12.97 1/7/19 9:30 13.36 0.06%
Trade id #121591816
Max drawdown($304)
Time1/7/19 9:30
Quant open0
Worst price13.36
Drawdown as % of equity-0.06%
($309)
Includes Typical Broker Commissions trade costs of $5.00
12/6/18 9:30 GIS GENERAL MILLS SHORT 464 40.34 1/7/19 9:30 39.81 0.01%
Trade id #121373689
Max drawdown($37)
Time12/21/18 10:19
Quant open-464
Worst price40.42
Drawdown as % of equity-0.01%
$237
Includes Typical Broker Commissions trade costs of $9.28
11/19/18 9:30 DF DEAN FOODS SHORT 1,337 5.77 1/7/19 9:30 4.42 n/a $1,800
Includes Typical Broker Commissions trade costs of $5.00
12/31/18 9:30 BHF BRIGHTHOUSE FINANCIAL INC. COMMON STOCK SHORT 303 31.26 1/7/19 9:30 32.56 0.11%
Trade id #121719457
Max drawdown($530)
Time1/4/19 13:08
Quant open-303
Worst price33.01
Drawdown as % of equity-0.11%
($400)
Includes Typical Broker Commissions trade costs of $6.06
12/10/18 9:30 OIS OIL STATES INTERNATIONAL SHORT 426 19.73 1/7/19 9:30 16.42 0.02%
Trade id #121421826
Max drawdown($97)
Time12/10/18 9:39
Quant open-426
Worst price19.96
Drawdown as % of equity-0.02%
$1,401
Includes Typical Broker Commissions trade costs of $8.52
10/25/18 9:30 KO COCA-COLA LONG 723 46.65 1/7/19 9:30 47.57 0.14%
Trade id #120535634
Max drawdown($715)
Time12/26/18 10:55
Quant open723
Worst price45.66
Drawdown as % of equity-0.14%
$660
Includes Typical Broker Commissions trade costs of $5.00

Statistics

  • Strategy began
    8/4/2012
  • Suggested Minimum Cap
    $35,000
  • Strategy Age (days)
    2388.87
  • Age
    80 months ago
  • What it trades
    Stocks
  • # Trades
    1343
  • # Profitable
    482
  • % Profitable
    35.90%
  • Avg trade duration
    31.1 days
  • Max peak-to-valley drawdown
    24.06%
  • drawdown period
    Jan 21, 2014 - Aug 04, 2014
  • Annual Return (Compounded)
    27.1%
  • Avg win
    $2,706
  • Avg loss
    $1,087
  • Model Account Values (Raw)
  • Cash
    $89,394
  • Margin Used
    $32,625
  • Buying Power
    $79,292
  • Ratios
  • W:L ratio
    1.49:1
  • Sharpe Ratio
    1.334
  • Sortino Ratio
    1.952
  • Calmar Ratio
    1.464
  • CORRELATION STATISTICS
  • Correlation to SP500
    0.18000
  • Return Statistics
  • Ann Return (w trading costs)
    27.1%
  • Ann Return (Compnd, No Fees)
    28.3%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    43.00%
  • Chance of 20% account loss
    21.50%
  • Chance of 30% account loss
    5.50%
  • Chance of 40% account loss
    1.00%
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    923
  • Popularity (Last 6 weeks)
    977
  • C2 Score
    95.5
  • 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
    $1,087
  • Avg Win
    $2,706
  • # Winners
    482
  • # Losers
    861
  • % Winners
    35.9%
  • Frequency
  • Avg Position Time (mins)
    44837.30
  • Avg Position Time (hrs)
    747.29
  • Avg Trade Length
    31.1 days
  • Last Trade Ago
    1
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.25169
  • SD
    0.24214
  • Sharpe ratio (Glass type estimate)
    1.03941
  • Sharpe ratio (Hedges UMVUE)
    1.02912
  • df
    76.00000
  • t
    2.63294
  • p
    0.00512
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.24501
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.82727
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.23827
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.81996
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.37253
  • Upside Potential Ratio
    4.13467
  • Upside part of mean
    0.43862
  • Downside part of mean
    -0.18693
  • Upside SD
    0.22781
  • Downside SD
    0.10608
  • N nonnegative terms
    45.00000
  • N negative terms
    32.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    77.00000
  • Mean of predictor
    0.07938
  • Mean of criterion
    0.25169
  • SD of predictor
    0.12111
  • SD of criterion
    0.24214
  • Covariance
    0.00269
  • r
    0.09187
  • b (slope, estimate of beta)
    0.18368
  • a (intercept, estimate of alpha)
    0.23711
  • Mean Square Error
    0.05891
  • DF error
    75.00000
  • t(b)
    0.79899
  • p(b)
    0.21341
  • t(a)
    2.43079
  • p(a)
    0.00873
  • Lowerbound of 95% confidence interval for beta
    -0.27429
  • Upperbound of 95% confidence interval for beta
    0.64166
  • Lowerbound of 95% confidence interval for alpha
    0.04279
  • Upperbound of 95% confidence interval for alpha
    0.43142
  • Treynor index (mean / b)
    1.37022
  • Jensen alpha (a)
    0.23711
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.22198
  • SD
    0.22974
  • Sharpe ratio (Glass type estimate)
    0.96619
  • Sharpe ratio (Hedges UMVUE)
    0.95663
  • df
    76.00000
  • t
    2.44748
  • p
    0.00835
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.17436
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.75194
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.16809
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.74517
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.01477
  • Upside Potential Ratio
    3.76117
  • Upside part of mean
    0.41439
  • Downside part of mean
    -0.19241
  • Upside SD
    0.20991
  • Downside SD
    0.11017
  • N nonnegative terms
    45.00000
  • N negative terms
    32.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    77.00000
  • Mean of predictor
    0.07173
  • Mean of criterion
    0.22198
  • SD of predictor
    0.12136
  • SD of criterion
    0.22974
  • Covariance
    0.00268
  • r
    0.09619
  • b (slope, estimate of beta)
    0.18209
  • a (intercept, estimate of alpha)
    0.20892
  • Mean Square Error
    0.05299
  • DF error
    75.00000
  • t(b)
    0.83689
  • p(b)
    0.20266
  • t(a)
    2.26576
  • p(a)
    0.01318
  • Lowerbound of 95% confidence interval for beta
    -0.25134
  • Upperbound of 95% confidence interval for beta
    0.61551
  • Lowerbound of 95% confidence interval for alpha
    0.02523
  • Upperbound of 95% confidence interval for alpha
    0.39260
  • Treynor index (mean / b)
    1.21908
  • Jensen alpha (a)
    0.20892
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.08661
  • Expected Shortfall on VaR
    0.11131
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.03203
  • Expected Shortfall on VaR
    0.06307
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    77.00000
  • Minimum
    0.89129
  • Quartile 1
    0.97824
  • Median
    1.01873
  • Quartile 3
    1.05167
  • Maximum
    1.27878
  • Mean of quarter 1
    0.94990
  • Mean of quarter 2
    0.99773
  • Mean of quarter 3
    1.03642
  • Mean of quarter 4
    1.11302
  • Inter Quartile Range
    0.07344
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    4.00000
  • Percentage of outliers high
    0.05195
  • Mean of outliers high
    1.22021
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.25167
  • VaR(95%) (moments method)
    0.05288
  • Expected Shortfall (moments method)
    0.08451
  • Extreme Value Index (regression method)
    0.02765
  • VaR(95%) (regression method)
    0.05350
  • Expected Shortfall (regression method)
    0.07391
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    13.00000
  • Minimum
    0.00377
  • Quartile 1
    0.02099
  • Median
    0.04039
  • Quartile 3
    0.11403
  • Maximum
    0.16901
  • Mean of quarter 1
    0.01292
  • Mean of quarter 2
    0.03641
  • Mean of quarter 3
    0.08995
  • Mean of quarter 4
    0.14898
  • Inter Quartile Range
    0.09304
  • 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)
    -3.03640
  • VaR(95%) (moments method)
    0.15347
  • Expected Shortfall (moments method)
    0.15376
  • Extreme Value Index (regression method)
    -0.63735
  • VaR(95%) (regression method)
    0.16554
  • Expected Shortfall (regression method)
    0.17538
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.61870
  • Compounded annual return (geometric extrapolation)
    0.28388
  • Calmar ratio (compounded annual return / max draw down)
    1.67966
  • Compounded annual return / average of 25% largest draw downs
    1.90548
  • Compounded annual return / Expected Shortfall lognormal
    2.55039
  • 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
    0.24003
  • SD
    0.17980
  • Sharpe ratio (Glass type estimate)
    1.33497
  • Sharpe ratio (Hedges UMVUE)
    1.33438
  • df
    1697.00000
  • t
    3.39853
  • p
    0.44772
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.56359
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.10599
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.56318
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.10558
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.95192
  • Upside Potential Ratio
    9.21823
  • Upside part of mean
    1.13356
  • Downside part of mean
    -0.89354
  • Upside SD
    0.13194
  • Downside SD
    0.12297
  • N nonnegative terms
    953.00000
  • N negative terms
    745.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1698.00000
  • Mean of predictor
    0.08673
  • Mean of criterion
    0.24003
  • SD of predictor
    0.12940
  • SD of criterion
    0.17980
  • Covariance
    0.00397
  • r
    0.17066
  • b (slope, estimate of beta)
    0.23713
  • a (intercept, estimate of alpha)
    0.21900
  • Mean Square Error
    0.03140
  • DF error
    1696.00000
  • t(b)
    7.13266
  • p(b)
    0.41467
  • t(a)
    3.14995
  • p(a)
    0.46187
  • Lowerbound of 95% confidence interval for beta
    0.17192
  • Upperbound of 95% confidence interval for beta
    0.30234
  • Lowerbound of 95% confidence interval for alpha
    0.08281
  • Upperbound of 95% confidence interval for alpha
    0.35611
  • Treynor index (mean / b)
    1.01221
  • Jensen alpha (a)
    0.21946
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.22373
  • SD
    0.17993
  • Sharpe ratio (Glass type estimate)
    1.24349
  • Sharpe ratio (Hedges UMVUE)
    1.24294
  • df
    1697.00000
  • t
    3.16564
  • p
    0.45127
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.47230
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.01435
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.47192
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.01397
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.79573
  • Upside Potential Ratio
    9.02839
  • Upside part of mean
    1.12487
  • Downside part of mean
    -0.90114
  • Upside SD
    0.13047
  • Downside SD
    0.12459
  • N nonnegative terms
    953.00000
  • N negative terms
    745.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1698.00000
  • Mean of predictor
    0.07833
  • Mean of criterion
    0.22373
  • SD of predictor
    0.12956
  • SD of criterion
    0.17993
  • Covariance
    0.00399
  • r
    0.17120
  • b (slope, estimate of beta)
    0.23776
  • a (intercept, estimate of alpha)
    0.20511
  • Mean Square Error
    0.03144
  • DF error
    1696.00000
  • t(b)
    7.15594
  • p(b)
    0.41440
  • t(a)
    2.94269
  • p(a)
    0.46436
  • Lowerbound of 95% confidence interval for beta
    0.17259
  • Upperbound of 95% confidence interval for beta
    0.30292
  • Lowerbound of 95% confidence interval for alpha
    0.06840
  • Upperbound of 95% confidence interval for alpha
    0.34182
  • Treynor index (mean / b)
    0.94103
  • Jensen alpha (a)
    0.20511
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01728
  • Expected Shortfall on VaR
    0.02182
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00715
  • Expected Shortfall on VaR
    0.01483
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    1698.00000
  • Minimum
    0.93891
  • Quartile 1
    0.99629
  • Median
    1.00099
  • Quartile 3
    1.00617
  • Maximum
    1.05556
  • Mean of quarter 1
    0.98781
  • Mean of quarter 2
    0.99889
  • Mean of quarter 3
    1.00332
  • Mean of quarter 4
    1.01407
  • Inter Quartile Range
    0.00988
  • Number outliers low
    77.00000
  • Percentage of outliers low
    0.04535
  • Mean of outliers low
    0.97319
  • Number of outliers high
    70.00000
  • Percentage of outliers high
    0.04122
  • Mean of outliers high
    1.02787
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.24337
  • VaR(95%) (moments method)
    0.01091
  • Expected Shortfall (moments method)
    0.01807
  • Extreme Value Index (regression method)
    0.09992
  • VaR(95%) (regression method)
    0.01138
  • Expected Shortfall (regression method)
    0.01711
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    65.00000
  • Minimum
    0.00007
  • Quartile 1
    0.00341
  • Median
    0.01360
  • Quartile 3
    0.03963
  • Maximum
    0.19548
  • Mean of quarter 1
    0.00176
  • Mean of quarter 2
    0.00842
  • Mean of quarter 3
    0.02456
  • Mean of quarter 4
    0.10969
  • Inter Quartile Range
    0.03622
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    7.00000
  • Percentage of outliers high
    0.10769
  • Mean of outliers high
    0.15557
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -1.17061
  • VaR(95%) (moments method)
    0.09753
  • Expected Shortfall (moments method)
    0.10325
  • Extreme Value Index (regression method)
    -0.84550
  • VaR(95%) (regression method)
    0.08752
  • Expected Shortfall (regression method)
    0.09483
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.63391
  • Compounded annual return (geometric extrapolation)
    0.28613
  • Calmar ratio (compounded annual return / max draw down)
    1.46376
  • Compounded annual return / average of 25% largest draw downs
    2.60865
  • Compounded annual return / Expected Shortfall lognormal
    13.11070
  • 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
    -0.09877
  • SD
    0.09474
  • Sharpe ratio (Glass type estimate)
    -1.04259
  • Sharpe ratio (Hedges UMVUE)
    -1.03656
  • df
    130.00000
  • t
    -0.73722
  • p
    0.53226
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.81536
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.73405
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.81123
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.73811
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.23481
  • Upside Potential Ratio
    5.72035
  • Upside part of mean
    0.45756
  • Downside part of mean
    -0.55633
  • Upside SD
    0.05045
  • Downside SD
    0.07999
  • N nonnegative terms
    72.00000
  • N negative terms
    59.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.05608
  • Mean of criterion
    -0.09877
  • SD of predictor
    0.19145
  • SD of criterion
    0.09474
  • Covariance
    -0.00051
  • r
    -0.02827
  • b (slope, estimate of beta)
    -0.01399
  • a (intercept, estimate of alpha)
    -0.09955
  • Mean Square Error
    0.00904
  • DF error
    129.00000
  • t(b)
    -0.32126
  • p(b)
    0.51800
  • t(a)
    -0.74039
  • p(a)
    0.54138
  • Lowerbound of 95% confidence interval for beta
    -0.10016
  • Upperbound of 95% confidence interval for beta
    0.07217
  • Lowerbound of 95% confidence interval for alpha
    -0.36559
  • Upperbound of 95% confidence interval for alpha
    0.16648
  • Treynor index (mean / b)
    7.05960
  • Jensen alpha (a)
    -0.09955
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.10326
  • SD
    0.09519
  • Sharpe ratio (Glass type estimate)
    -1.08475
  • Sharpe ratio (Hedges UMVUE)
    -1.07848
  • df
    130.00000
  • t
    -0.76704
  • p
    0.53356
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.85764
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.69224
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.85339
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.69642
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.28001
  • Upside Potential Ratio
    5.65561
  • Upside part of mean
    0.45625
  • Downside part of mean
    -0.55951
  • Upside SD
    0.05025
  • Downside SD
    0.08067
  • N nonnegative terms
    72.00000
  • N negative terms
    59.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.07427
  • Mean of criterion
    -0.10326
  • SD of predictor
    0.19142
  • SD of criterion
    0.09519
  • Covariance
    -0.00050
  • r
    -0.02734
  • b (slope, estimate of beta)
    -0.01360
  • a (intercept, estimate of alpha)
    -0.10427
  • Mean Square Error
    0.00913
  • DF error
    129.00000
  • t(b)
    -0.31066
  • p(b)
    0.51740
  • t(a)
    -0.77162
  • p(a)
    0.54312
  • Lowerbound of 95% confidence interval for beta
    -0.10019
  • Upperbound of 95% confidence interval for beta
    0.07300
  • Lowerbound of 95% confidence interval for alpha
    -0.37163
  • Upperbound of 95% confidence interval for alpha
    0.16309
  • Treynor index (mean / b)
    7.59448
  • Jensen alpha (a)
    -0.10427
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01002
  • Expected Shortfall on VaR
    0.01244
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00451
  • Expected Shortfall on VaR
    0.00948
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.97407
  • Quartile 1
    0.99805
  • Median
    1.00087
  • Quartile 3
    1.00253
  • Maximum
    1.01392
  • Mean of quarter 1
    0.99247
  • Mean of quarter 2
    0.99943
  • Mean of quarter 3
    1.00161
  • Mean of quarter 4
    1.00547
  • Inter Quartile Range
    0.00448
  • Number outliers low
    11.00000
  • Percentage of outliers low
    0.08397
  • Mean of outliers low
    0.98538
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.01527
  • Mean of outliers high
    1.01236
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.41362
  • VaR(95%) (moments method)
    0.00682
  • Expected Shortfall (moments method)
    0.01393
  • Extreme Value Index (regression method)
    0.22671
  • VaR(95%) (regression method)
    0.00765
  • Expected Shortfall (regression method)
    0.01308
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    2.00000
  • Minimum
    0.01506
  • Quartile 1
    0.04767
  • Median
    0.08028
  • Quartile 3
    0.11289
  • Maximum
    0.14550
  • Mean of quarter 1
    0.01506
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.14550
  • Inter Quartile Range
    0.06522
  • 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)
    -0.07395
  • Compounded annual return (geometric extrapolation)
    -0.07258
  • Calmar ratio (compounded annual return / max draw down)
    -0.49886
  • Compounded annual return / average of 25% largest draw downs
    -0.49886
  • Compounded annual return / Expected Shortfall lognormal
    -5.83265

Strategy Description

Combines the art of trading the most explosive breakouts the market has to offer with the science of turtle trader position sizing and risk management.


What to expect:

Every day, I run stock scans that comb through 10,000 stocks to find just one or two that are ready to move right now.

I also use a sophisticated risk management strategy that was developed by William Eckhardt, who taught a group of traders now known as The Turtles.

The system buys strong, liquid US stocks and ETFs, and short sells the weakest. Losses are cut very short, which contributes to a lower win rate.

For more information on my trading style, please visit Twitter.com/ChartingTrends


Frequently asked questions:

Does this system need to be auto-traded?

No. All signals will be sent out after the market has closed, mostly on the weekends, so you should have time to enter the trades manually in the evening or in the morning before the market opens.


Do you short stocks?

Yes.


Do you use leverage?

Rarely, but yes during strongly trending markets.


Do you use stops?

Yes. All signals come with a stop loss order attached.


How has the system performed during backtesting?

My system is not an algorithm or black box. It is a rules based, discretionary strategy that I have developed through 10 years of intensive study.


What will happen during bear markets?

I can short stocks and ETFs, so the system is not dependant on a rising stock market. The system is more likely to struggle during a choppy, range bound market.

Summary Statistics

Strategy began
2012-08-04
Suggested Minimum Capital
$35,000
# Trades
1343
# Profitable
482
% Profitable
35.9%
Net Dividends
Correlation S&P500
0.180
Sharpe Ratio
1.334

Latest Activity

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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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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.