The Momentum of Now
(75800796)
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.
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 markedtomarket equity calculations.
All results are hypothetical.
Jan  Feb  Mar  Apr  May  Jun  Jul  Aug  Sep  Oct  Nov  Dec  YTD  

2012  +3.8%  +7.5%  +0.9%  +1.5%  (0.5%)  +13.7%  
2013  +13.7%  +0.6%  +9.1%  (1.7%)  (0.1%)  (5.5%)  (2.8%)  (2.4%)  +22.1%  +8.3%  +21.0%  (0.5%)  +75.2% 
2014  +10.3%  (2.3%)  (2.3%)  (3.1%)  +1.4%  (1.3%)  (8.6%)  +4.2%  (0.7%)  +2.8%  +3.2%  +2.5%  +5.2% 
2015  (1.3%)  +7.0%  +4.6%  (5.5%)  +20.6%  +2.7%  +17.5%  (4.2%)  +3.6%  (1.9%)  +2.6%  +1.8%  +54.5% 
2016  (0.2%)  (4.9%)  (5.4%)  +3.8%  (3.9%)  +3.4%  (0.5%)  +0.6%  +1.8%  +0.5%  +9.3%  (2.5%)  +1.1% 
2017  (2%)  +8.7%  +1.0%  +5.4%  +10.5%  (7.3%)  +6.9%  +6.6%  +2.7%  +2.6%  (3.1%)  (1.4%)  +33.3% 
2018  +9.1%  (1.4%)  +1.2%  (2.6%)  +15.7%  (2.2%)  (5.7%)  +7.9%  (5%)  (7.5%)  (0.4%)  +0.5%  +7.3% 
2019  (0.1%)  +4.2%  (4%)  +3.2%    +2.2%  +1.4%  (2.8%)  (2.9%)  (0.8%)  +0.3%  +7.2%  +7.7% 
2020  +2.5%  (4.4%)  +5.8%  (2.4%)  (3.1%)  +4.2%  +3.9%  +6.9%  (8.4%)  (2.4%)    +16.7%  +18.3% 
2021  (4.3%)  +0.3%  +1.1%  +2.3%  +1.6%  +1.4%  (7%)  +4.0%  +2.3%  (2.2%)  (4.6%)  (0.3%)  (5.7%) 
2022  +10.8%  +6.3%  +3.6%  +10.8%  (2.4%)  +9.5%  (5.6%)  +0.7%  +4.0%  +0.1%  (3.1%)  +1.1%  +40.3% 
2023  (1.2%)  +1.3%  +1.3%  +1.7%  (1%)  (0.7%)  +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.
Started  $100,000  
Buy Power  $24,592  
Cash  $1  
Equity  $1  
Cumulative $  $755,449  
Includes dividends and cashsettled expirations:  $114,419  Itemized 
Total System Equity  $855,449  
Margined  $1  
Open P/L  $1,491  
Data has been delayed by 24 hours for nonsubscribers 
System developer has asked us to delay this information by 24 hours.
Trading Record
Statistics

Strategy began8/4/2012

Suggested Minimum Cap$800,000

Strategy Age (days)3957.42

Age132 months ago

What it tradesStocks

# Trades2796

# Profitable1029

% Profitable36.80%

Avg trade duration17.8 days

Max peaktovalley drawdown24.45%

drawdown periodJan 21, 2014  Aug 04, 2014

Annual Return (Compounded)21.1%

Avg win$2,527

Avg loss$1,109
 Model Account Values (Raw)

Cash$148,897

Margin Used$120,882

Buying Power$24,592
 Ratios

W:L ratio1.39:1

Sharpe Ratio0.89

Sortino Ratio1.28

Calmar Ratio1.118
 CORRELATION STATISTICS

Return of Strat Pcnt  Return of SP500 Pcnt (cumu)491.72%

Correlation to SP5000.06130

Return Percent SP500 (cumu) during strategy life207.25%
 Return Statistics

Ann Return (w trading costs)21.1%
 Slump

Current Slump as Pcnt Equity4.60%
 Instruments

Percent Trades Futuresn/a
 Slump

Current Slump, time of slump as pcnt of strategy life0.02%
 Instruments

Short Options  Percent Coveredn/a
 Return Statistics

Return Pcnt (Compound or Annual, agebased, NFA compliant)0.211%
 Instruments

Percent Trades Options0.02%

Percent Trades Stocks0.98%

Percent Trades Forexn/a
 Return Statistics

Ann Return (Compnd, No Fees)21.9%
 Risk of Ruin (MonteCarlo)

Chance of 10% account loss53.50%

Chance of 20% account loss30.00%

Chance of 30% account loss18.00%

Chance of 40% account loss9.50%

Chance of 60% account loss (Monte Carlo)0.50%

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

Chance of 100% account loss (Monte Carlo)100.00%
 Automation

Percentage Signals Automatedn/a
 Risk of Ruin (MonteCarlo)

Chance of 50% account loss1.00%
 Popularity

Popularity (Today)634

Popularity (Last 6 weeks)974
 Trading Style

Any stock shorts? 0/11
 Popularity

C2 Score907

Popularity (7 days, Percentile 1000 scale)932
 TradesOwnSystem Certification

Trades Own System?

TOS percentn/a
 Win / Loss

Avg Loss$1,109

Avg Win$2,528

Sum Trade PL (losers)$1,959,860.000
 Age

Num Months filled monthly returns table131
 Win / Loss

Sum Trade PL (winners)$2,600,870.000

# Winners1029

Num Months Winners75
 Dividends

Dividends Received in Model Acct114419
 AUM

AUM (AutoTrader live capital)1845300
 Win / Loss

# Losers1767

% Winners36.8%
 Frequency

Avg Position Time (mins)38235.80

Avg Position Time (hrs)637.26

Avg Trade Length26.6 days

Last Trade Ago3
 Leverage

Daily leverage (average)1.64

Daily leverage (max)3.69
 Regression

Alpha0.05

Beta0.06

Treynor Index0.83
 Maximum Adverse Excursion (MAE)

MAE:Equity, average, all trades0.00

MAE:PL  Winning Trades  this strat Percentile of All Strats44.65

MAE:PL  worst single value for strategy

MAE:PL  Losing Trades  this strat Percentile of All Strats17.95

MAE:PL (avg, winning trades)

MAE:PL (avg, losing trades)

MAE:PL (avg, all trades)1038390000000.00

MAE:Equity, average, winning trades0.00

MAE:Equity, average, losing trades0.00

Avg(MAE) / Avg(PL)  All trades7.824

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 strat0.00

Avg(MAE) / Avg(PL)  Winning trades0.219

Avg(MAE) / Avg(PL)  Losing trades1.217

HoldandHope Ratio0.128
 Analysis based on MONTHLY values, full history
 RATIO STATISTICS
 Ratio statistics of excess return rates
 Statistics related to Sharpe ratio

Mean0.19727

SD0.21253

Sharpe ratio (Glass type estimate)0.92820

Sharpe ratio (Hedges UMVUE)0.92271

df127.00000

t3.03150

p0.33651

Lowerbound of 95% confidence interval for Sharpe Ratio0.31561

Upperbound of 95% confidence interval for Sharpe Ratio1.53730

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.31196

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation1.53346
 Statistics related to Sortino ratio

Sortino ratio2.00013

Upside Potential Ratio3.75905

Upside part of mean0.37075

Downside part of mean0.17348

Upside SD0.19578

Downside SD0.09863

N nonnegative terms74.00000

N negative terms54.00000
 Statistics related to linear regression on benchmark

N of observations128.00000

Mean of predictor0.08836

Mean of criterion0.19727

SD of predictor0.15697

SD of criterion0.21253

Covariance0.00019

r0.00565

b (slope, estimate of beta)0.00765

a (intercept, estimate of alpha)0.19659

Mean Square Error0.04553

DF error126.00000

t(b)0.06344

p(b)0.49717

t(a)2.96998

p(a)0.37211

Lowerbound of 95% confidence interval for beta0.23104

Upperbound of 95% confidence interval for beta0.24635

Lowerbound of 95% confidence interval for alpha0.06560

Upperbound of 95% confidence interval for alpha0.32759

Treynor index (mean / b)25.78250

Jensen alpha (a)0.19659
 Ratio statistics of excess log return rates
 Statistics related to Sharpe ratio

Mean0.17441

SD0.20306

Sharpe ratio (Glass type estimate)0.85895

Sharpe ratio (Hedges UMVUE)0.85386

df127.00000

t2.80531

p0.34773

Lowerbound of 95% confidence interval for Sharpe Ratio0.24800

Upperbound of 95% confidence interval for Sharpe Ratio1.46665

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.24463

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation1.46310
 Statistics related to Sortino ratio

Sortino ratio1.70571

Upside Potential Ratio3.44817

Upside part of mean0.35259

Downside part of mean0.17817

Upside SD0.18163

Downside SD0.10225

N nonnegative terms74.00000

N negative terms54.00000
 Statistics related to linear regression on benchmark

N of observations128.00000

Mean of predictor0.07543

Mean of criterion0.17441

SD of predictor0.15958

SD of criterion0.20306

Covariance0.00024

r0.00740

b (slope, estimate of beta)0.00942

a (intercept, estimate of alpha)0.17370

Mean Square Error0.04156

DF error126.00000

t(b)0.08307

p(b)0.49630

t(a)2.75719

p(a)0.38073

Lowerbound of 95% confidence interval for beta0.21490

Upperbound of 95% confidence interval for beta0.23374

Lowerbound of 95% confidence interval for alpha0.04903

Upperbound of 95% confidence interval for alpha0.29838

Treynor index (mean / b)18.52320

Jensen alpha (a)0.17370
 Risk estimates for a oneperiod unit investment (parametric)
 assuming log normal returns and losses (using central moments from Sharpe statistics)

VaR(95%)0.07862

Expected Shortfall on VaR0.10070
 assuming Pareto losses only (using partial moments from Sortino statistics)

VaR(95%)0.03001

Expected Shortfall on VaR0.05901
 ORDER STATISTICS
 Quartiles of return rates

Number of observations128.00000

Minimum0.89129

Quartile 10.97883

Median1.01497

Quartile 31.04509

Maximum1.27878

Mean of quarter 10.95289

Mean of quarter 20.99589

Mean of quarter 31.03088

Mean of quarter 41.09541

Inter Quartile Range0.06626

Number outliers low0.00000

Percentage of outliers low0.00000

Mean of outliers low0.00000

Number of outliers high5.00000

Percentage of outliers high0.03906

Mean of outliers high1.20712
 Risk estimates for a oneperiod unit investment (based on Ex

Extreme Value Index (moments method)0.27651

VaR(95%) (moments method)0.05018

Expected Shortfall (moments method)0.08095

Extreme Value Index (regression method)0.05914

VaR(95%) (regression method)0.04568

Expected Shortfall (regression method)0.06236
 DRAW DOWN STATISTICS
 Quartiles of draw downs

Number of observations19.00000

Minimum0.00377

Quartile 10.02046

Median0.04039

Quartile 30.10219

Maximum0.16901

Mean of quarter 10.01334

Mean of quarter 20.03360

Mean of quarter 30.07043

Mean of quarter 40.13856

Inter Quartile Range0.08172

Number outliers low0.00000

Percentage of outliers low0.00000

Mean of outliers low0.00000

Number of outliers high0.00000

Percentage of outliers high0.00000

Mean of outliers high0.00000
 Risk estimates based on draw downs (based on Extreme Value T

Extreme Value Index (moments method)2.15872

VaR(95%) (moments method)0.15121

Expected Shortfall (moments method)0.15240

Extreme Value Index (regression method)0.31356

VaR(95%) (regression method)0.15159

Expected Shortfall (regression method)0.16525
 COMBINED STATISTICS

Annualized return (arithmetic extrapolation)0.71762

Compounded annual return (geometric extrapolation)0.22424

Calmar ratio (compounded annual return / max draw down)1.32680

Compounded annual return / average of 25% largest draw downs1.61839

Compounded annual return / Expected Shortfall lognormal2.22677

0.00000

0.00000
 Analysis based on DAILY values, full history
 RATIO STATISTICS
 Ratio statistics of excess return rates
 Statistics related to Sharpe ratio

Mean0.18526

SD0.16103

Sharpe ratio (Glass type estimate)1.15051

Sharpe ratio (Hedges UMVUE)1.15021

df2806.00000

t3.76584

p0.00008

Lowerbound of 95% confidence interval for Sharpe Ratio0.55087

Upperbound of 95% confidence interval for Sharpe Ratio1.74997

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.55066

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation1.74976
 Statistics related to Sortino ratio

Sortino ratio1.67178

Upside Potential Ratio8.78929

Upside part of mean0.97401

Downside part of mean0.78874

Upside SD0.11735

Downside SD0.11082

N nonnegative terms1544.00000

N negative terms1263.00000
 Statistics related to linear regression on benchmark

N of observations2807.00000

Mean of predictor0.09187

Mean of criterion0.18526

SD of predictor0.17402

SD of criterion0.16103

Covariance0.00166

r0.05924

b (slope, estimate of beta)0.05481

a (intercept, estimate of alpha)0.18000

Mean Square Error0.02585

DF error2805.00000

t(b)3.14281

p(b)0.00085

t(a)3.66732

p(a)0.00012

Lowerbound of 95% confidence interval for beta0.02062

Upperbound of 95% confidence interval for beta0.08901

Lowerbound of 95% confidence interval for alpha0.08386

Upperbound of 95% confidence interval for alpha0.27659

Treynor index (mean / b)3.37985

Jensen alpha (a)0.18023
 Ratio statistics of excess log return rates
 Statistics related to Sharpe ratio

Mean0.17221

SD0.16115

Sharpe ratio (Glass type estimate)1.06863

Sharpe ratio (Hedges UMVUE)1.06835

df2806.00000

t3.49783

p0.00024

Lowerbound of 95% confidence interval for Sharpe Ratio0.46910

Upperbound of 95% confidence interval for Sharpe Ratio1.66799

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.46890

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation1.66779
 Statistics related to Sortino ratio

Sortino ratio1.53467

Upside Potential Ratio8.61850

Upside part of mean0.96711

Downside part of mean0.79490

Upside SD0.11611

Downside SD0.11221

N nonnegative terms1544.00000

N negative terms1263.00000
 Statistics related to linear regression on benchmark

N of observations2807.00000

Mean of predictor0.07665

Mean of criterion0.17221

SD of predictor0.17461

SD of criterion0.16115

Covariance0.00168

r0.05972

b (slope, estimate of beta)0.05512

a (intercept, estimate of alpha)0.16799

Mean Square Error0.02589

DF error2805.00000

t(b)3.16868

p(b)0.00077

t(a)3.41626

p(a)0.00032

Lowerbound of 95% confidence interval for beta0.02101

Upperbound of 95% confidence interval for beta0.08923

Lowerbound of 95% confidence interval for alpha0.07157

Upperbound of 95% confidence interval for alpha0.26440

Treynor index (mean / b)3.12433

Jensen alpha (a)0.16799
 Risk estimates for a oneperiod unit investment (parametric)
 assuming log normal returns and losses (using central moments from Sharpe statistics)

VaR(95%)0.01560

Expected Shortfall on VaR0.01968
 assuming Pareto losses only (using partial moments from Sortino statistics)

VaR(95%)0.00641

Expected Shortfall on VaR0.01335
 ORDER STATISTICS
 Quartiles of return rates

Number of observations2807.00000

Minimum0.93891

Quartile 10.99667

Median1.00077

Quartile 31.00512

Maximum1.05556

Mean of quarter 10.98925

Mean of quarter 20.99899

Mean of quarter 31.00266

Mean of quarter 41.01235

Inter Quartile Range0.00845

Number outliers low128.00000

Percentage of outliers low0.04560

Mean of outliers low0.97536

Number of outliers high117.00000

Percentage of outliers high0.04168

Mean of outliers high1.02539
 Risk estimates for a oneperiod unit investment (based on Ex

Extreme Value Index (moments method)0.34384

VaR(95%) (moments method)0.01014

Expected Shortfall (moments method)0.01854

Extreme Value Index (regression method)0.14026

VaR(95%) (regression method)0.00994

Expected Shortfall (regression method)0.01527
 DRAW DOWN STATISTICS
 Quartiles of draw downs

Number of observations83.00000

Minimum0.00007

Quartile 10.00530

Median0.01880

Quartile 30.05159

Maximum0.19820

Mean of quarter 10.00226

Mean of quarter 20.01155

Mean of quarter 30.03102

Mean of quarter 40.10378

Inter Quartile Range0.04630

Number outliers low0.00000

Percentage of outliers low0.00000

Mean of outliers low0.00000

Number of outliers high7.00000

Percentage of outliers high0.08434

Mean of outliers high0.16131
 Risk estimates based on draw downs (based on Extreme Value T

Extreme Value Index (moments method)0.01657

VaR(95%) (moments method)0.10553

Expected Shortfall (moments method)0.13858

Extreme Value Index (regression method)0.06591

VaR(95%) (regression method)0.08859

Expected Shortfall (regression method)0.10710
 COMBINED STATISTICS

Annualized return (arithmetic extrapolation)0.70317

Compounded annual return (geometric extrapolation)0.22155

Calmar ratio (compounded annual return / max draw down)1.11779

Compounded annual return / average of 25% largest draw downs2.13479

Compounded annual return / Expected Shortfall lognormal11.25980

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

Mean0.03371

SD0.04637

Sharpe ratio (Glass type estimate)0.72690

Sharpe ratio (Hedges UMVUE)0.72270

df130.00000

t0.51400

p0.47748

Lowerbound of 95% confidence interval for Sharpe Ratio2.04764

Upperbound of 95% confidence interval for Sharpe Ratio3.49879

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation2.05050

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation3.49590
 Statistics related to Sortino ratio

Sortino ratio0.99975

Upside Potential Ratio8.57241

Upside part of mean0.28904

Downside part of mean0.25533

Upside SD0.03165

Downside SD0.03372

N nonnegative terms72.00000

N negative terms59.00000
 Statistics related to linear regression on benchmark

N of observations131.00000

Mean of predictor0.10497

Mean of criterion0.03371

SD of predictor0.16478

SD of criterion0.04637

Covariance0.00130

r0.16975

b (slope, estimate of beta)0.04777

a (intercept, estimate of alpha)0.03872

Mean Square Error0.00210

DF error129.00000

t(b)1.95638

p(b)0.60755

t(a)0.59638

p(a)0.46663

Lowerbound of 95% confidence interval for beta0.09608

Upperbound of 95% confidence interval for beta0.00054

Lowerbound of 95% confidence interval for alpha0.08974

Upperbound of 95% confidence interval for alpha0.16719

Treynor index (mean / b)0.70564

Jensen alpha (a)0.03872
 Ratio statistics of excess log return rates
 Statistics related to Sharpe ratio

Mean0.03264

SD0.04640

Sharpe ratio (Glass type estimate)0.70340

Sharpe ratio (Hedges UMVUE)0.69934

df130.00000

t0.49738

p0.47821

Lowerbound of 95% confidence interval for Sharpe Ratio2.07105

Upperbound of 95% confidence interval for Sharpe Ratio3.47520

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation2.07377

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation3.47244
 Statistics related to Sortino ratio

Sortino ratio0.96506

Upside Potential Ratio8.53146

Upside part of mean0.28851

Downside part of mean0.25588

Upside SD0.03157

Downside SD0.03382

N nonnegative terms72.00000

N negative terms59.00000
 Statistics related to linear regression on benchmark

N of observations131.00000

Mean of predictor0.09149

Mean of criterion0.03264

SD of predictor0.16459

SD of criterion0.04640

Covariance0.00131

r0.17124

b (slope, estimate of beta)0.04827

a (intercept, estimate of alpha)0.03705

Mean Square Error0.00211

DF error129.00000

t(b)1.97405

p(b)0.60848

t(a)0.57060

p(a)0.46807

VAR (95 Confidence Intrvl)0.01600

Lowerbound of 95% confidence interval for beta0.09665

Upperbound of 95% confidence interval for beta0.00011

Lowerbound of 95% confidence interval for alpha0.09142

Upperbound of 95% confidence interval for alpha0.16553

Treynor index (mean / b)0.67610

Jensen alpha (a)0.03705
 Risk estimates for a oneperiod unit investment (parametric)
 assuming log normal returns and losses (using central moments from Sharpe statistics)

VaR(95%)0.00458

Expected Shortfall on VaR0.00577
 assuming Pareto losses only (using partial moments from Sortino statistics)

VaR(95%)0.00209

Expected Shortfall on VaR0.00424
 ORDER STATISTICS
 Quartiles of return rates

Number of observations131.00000

Minimum0.99147

Quartile 10.99897

Median1.00038

Quartile 31.00205

Maximum1.00879

Mean of quarter 10.99660

Mean of quarter 20.99977

Mean of quarter 31.00102

Mean of quarter 41.00357

Inter Quartile Range0.00309

Number outliers low5.00000

Percentage of outliers low0.03817

Mean of outliers low0.99218

Number of outliers high1.00000

Percentage of outliers high0.00763

Mean of outliers high1.00879
 Risk estimates for a oneperiod unit investment (based on Ex

Extreme Value Index (moments method)0.18104

VaR(95%) (moments method)0.00280

Expected Shortfall (moments method)0.00361

Extreme Value Index (regression method)0.42298

VaR(95%) (regression method)0.00368

Expected Shortfall (regression method)0.00449
 DRAW DOWN STATISTICS
 Quartiles of draw downs

Number of observations7.00000

Minimum0.00053

Quartile 10.00288

Median0.00842

Quartile 30.01856

Maximum0.02070

Mean of quarter 10.00142

Mean of quarter 20.00593

Mean of quarter 30.01832

Mean of quarter 40.01975

Inter Quartile Range0.01568

Number outliers low0.00000

Percentage of outliers low0.00000

Mean of outliers low0.00000

Number of outliers high0.00000

Percentage of outliers high0.00000

Mean of outliers high0.00000
 Risk estimates based on draw downs (based on Extreme Value T

Extreme Value Index (moments method)0.00000

VaR(95%) (moments method)0.00000

Expected Shortfall (moments method)0.00000

Extreme Value Index (regression method)0.00000

VaR(95%) (regression method)0.00000

Last 4 Months  Pcnt Negative0.50%

Expected Shortfall (regression method)0.00000

Strat Max DD how much worse than SP500 max DD during strat life?363488000

Max Equity Drawdown (num days)195
 COMBINED STATISTICS

Annualized return (arithmetic extrapolation)0.06147

Compounded annual return (geometric extrapolation)0.06241

Calmar ratio (compounded annual return / max draw down)3.01521

Compounded annual return / average of 25% largest draw downs3.16051

Compounded annual return / Expected Shortfall lognormal10.81540
Strategy Description
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.
Frequently asked questions:
Where can I learn more about your strategy?
I send out a newsletter each Sunday that discusses Trend Following trading and my thoughts on the market. By joining my system, you will receive this newsletter at no extra cost.
Does this system need to be autotraded?
No. Most signals will be sent out after the market has closed, 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. The portfolio of stocks held contains longs and shorts, potentially lowering the correlation to the S&P 500.
Do you use leverage?
Rarely, but yes during strongly trending markets.
Do you use stops?
No, trades are exited based on end of day closing prices.
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 17 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.
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 underor overcompensated 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 rescaled downward to make current goforward 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 pertrade 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.
Not available
This feature isn't available under your current Trade Leader Plan.
Strategy is now visible
This strategy is now visible to the public. New subscribers will be able to follow it.
If you designate your strategy as Private, it will no longer be visible to the public.
No subscribers and simulations will be allowed. If you have subscribers, the strategy will still be visible to them.
If you have simulations, they will be stopped.
Continue to designate your strategy as Private?
Strategy is no longer visible
This strategy is no longer visible to anyone except current subscribers.
(Current subscribers will remain subscribed. You can see who is subscribed, and control their subscriptions, on your Subscriber Management screen.)
Finally, please note that you can restore public visibility at any time.
This strategy is no longer visible to the public. No subscribers will be allowed.
You can restore public visibility at any time.
Suggested Minimum Capital
This is our estimate of the minimum amount of capital to follow a strategy, assuming you use the smallest reasonable AutoTrade Scaling % for the strategy.