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This is an archived track record. This track record was archived on 8/17/18 5:27 ET. (See latest track record)
These are hypothetical performance results that have certain inherent limitations. Learn more

Sustainable Stocks
(100291771)

Created by: TonWinter TonWinter
Started: 10/2016
Stocks
Last trade: 94 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 $39.00 per month.

-10.9%
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.

(40.3%)
Max Drawdown
108
Num Trades
66.7%
Win Trades
0.9 : 1
Profit Factor
53.8%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2016                                                               +5.7%(1.9%)(5.3%)(1.8%)
2017+1.5%+2.1%+6.3%(4.9%)+6.3%+2.0%+2.6%(0.3%)+0.6%+0.7%(1%)+2.5%+19.3%
2018+2.2%(27.4%)(5.2%)(2.3%)+1.2%(2.5%)+1.5%+0.2%  -    -    -        (31%)

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 168 hours.

Trading Record

This strategy has placed 71 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
8/15/18 15:32 ASML1821I195 ASML Sep21'18 195 call LONG 1 8.10 8/17 5:27 8.70 n/a $58
Includes Typical Broker Commissions trade costs of $2.00
2/6/18 10:06 BOTZ GLOBAL X ROBOTICS & ARTIFICIAL INTELLIGENCE LONG 100 24.77 8/17 5:27 21.70 n/a ($309)
Includes Typical Broker Commissions trade costs of $2.00
2/1/18 12:58 JPNL DIREXION DAILY JAPAN BULL 3X LONG 32 90.65 8/6 13:34 66.62 6.01%
Trade id #116228935
Max drawdown($889)
Time7/11/18 7:18
Quant open32
Worst price62.84
Drawdown as % of equity-6.01%
($770)
Includes Typical Broker Commissions trade costs of $0.64
7/27/18 12:05 EA1817H130 EA Aug17'18 130 call LONG 2 5.20 8/3 9:30 3.60 5.37%
Trade id #119162055
Max drawdown($768)
Time7/31/18 10:22
Quant open2
Worst price1.36
Drawdown as % of equity-5.37%
($323)
Includes Typical Broker Commissions trade costs of $2.80
7/27/18 15:05 HD1817H195 HD Aug17'18 195 call LONG 1 5.23 8/2 10:07 3.70 1.23%
Trade id #119168383
Max drawdown($176)
Time8/2/18 9:38
Quant open1
Worst price3.47
Drawdown as % of equity-1.23%
($155)
Includes Typical Broker Commissions trade costs of $2.00
7/26/18 9:30 MXIM1817H55 MXIM Aug17'18 55 call LONG 2 5.00 7/27 9:31 5.40 0.53%
Trade id #119133877
Max drawdown($80)
Time7/26/18 12:46
Quant open2
Worst price4.60
Drawdown as % of equity-0.53%
$77
Includes Typical Broker Commissions trade costs of $2.80
1/31/18 9:30 NAIL MARKET VECTORS HOMEBUILDR & SPS BULL 3X LONG 34 90.50 7/20 9:57 60.03 9.49%
Trade id #116197282
Max drawdown($1,326)
Time6/28/18 10:53
Quant open34
Worst price51.49
Drawdown as % of equity-9.49%
($1,037)
Includes Typical Broker Commissions trade costs of $0.68
2/2/18 11:13 UPRO PROSHARES ULTRAPRO S&P500 LONG 174 50.25 7/10 13:38 49.89 4.65%
Trade id #116250477
Max drawdown($649)
Time6/28/18 10:38
Quant open135
Worst price45.44
Drawdown as % of equity-4.65%
($66)
Includes Typical Broker Commissions trade costs of $3.48
5/2/18 15:45 LBJ DIREXION DAILY LATIN AMERICA B LONG 40 33.44 5/11 14:01 33.56 0.96%
Trade id #117762779
Max drawdown($138)
Time5/8/18 11:41
Quant open40
Worst price29.99
Drawdown as % of equity-0.96%
$4
Includes Typical Broker Commissions trade costs of $0.80
1/8/18 14:22 UPW PROSHARES ULTRA UTILITIES LONG 156 45.45 5/1 15:37 43.04 3.87%
Trade id #115754967
Max drawdown($591)
Time2/6/18 11:27
Quant open78
Worst price37.86
Drawdown as % of equity-3.87%
($379)
Includes Typical Broker Commissions trade costs of $3.12
3/5/18 11:46 DAXXF ISHARES DAX DE LONG 28 133.55 3/9 11:00 133.55 n/a ($1)
Includes Typical Broker Commissions trade costs of $0.56
2/7/18 15:52 ZIV VELOCITYSHARES DAILY INVERSE V LONG 10 68.66 2/21 9:30 69.45 0.59%
Trade id #116377483
Max drawdown($76)
Time2/9/18 13:40
Quant open10
Worst price61.00
Drawdown as % of equity-0.59%
$8
Includes Typical Broker Commissions trade costs of $0.20
1/31/18 10:02 SPY SPDR S&P 500 LONG 10 282.48 2/20 15:47 271.53 1.68%
Trade id #116198787
Max drawdown($297)
Time2/5/18 23:48
Quant open10
Worst price252.70
Drawdown as % of equity-1.68%
($110)
Includes Typical Broker Commissions trade costs of $0.20
2/8/18 9:52 BRZU DIREXION DAILY BRAZIL BULL 3X LONG 60 50.70 2/20 15:46 54.49 3.41%
Trade id #116390935
Max drawdown($475)
Time2/9/18 12:49
Quant open60
Worst price42.77
Drawdown as % of equity-3.41%
$226
Includes Typical Broker Commissions trade costs of $1.20
1/16/18 15:33 XIV VELOCITYSHARES DAILY INVERSE V LONG 130 37.07 2/7 15:50 6.34 26.59%
Trade id #115914057
Max drawdown($4,121)
Time2/7/18 5:20
Quant open130
Worst price5.37
Drawdown as % of equity-26.59%
($3,998)
Includes Typical Broker Commissions trade costs of $2.60
1/19/18 14:27 UUP INVESCO DB US DOLLAR INDEX LONG 126 23.62 2/1 12:57 23.18 0.32%
Trade id #115988209
Max drawdown($67)
Time1/25/18 10:32
Quant open126
Worst price23.09
Drawdown as % of equity-0.32%
($58)
Includes Typical Broker Commissions trade costs of $2.52
12/21/17 10:40 DRN DIREXION DAILY REAL ES BULL 3X LONG 180 21.86 1/24/18 15:55 20.40 2.46%
Trade id #115463654
Max drawdown($506)
Time1/18/18 15:45
Quant open180
Worst price19.04
Drawdown as % of equity-2.46%
($266)
Includes Typical Broker Commissions trade costs of $3.60
11/21/17 9:30 BOTZ GLOBAL X ROBOTICS & ARTIFICIAL INTELLIGENCE LONG 374 24.77 1/22/18 9:53 27.11 2.01%
Trade id #114957430
Max drawdown($399)
Time12/26/17 9:31
Quant open374
Worst price23.70
Drawdown as % of equity-2.01%
$869
Includes Typical Broker Commissions trade costs of $7.48
11/29/17 15:54 SOXL DIREXION DAILY SEMICONDCT BULL LONG 31 141.74 1/2/18 12:12 146.27 2.05%
Trade id #115106854
Max drawdown($381)
Time12/5/17 9:31
Quant open21
Worst price125.07
Drawdown as % of equity-2.05%
$139
Includes Typical Broker Commissions trade costs of $0.62
12/29/17 15:14 QLD PROSHARES ULTRA QQQ LONG 80 73.83 1/2/18 11:11 75.40 0.41%
Trade id #115603876
Max drawdown($81)
Time12/29/17 18:18
Quant open80
Worst price72.81
Drawdown as % of equity-0.41%
$124
Includes Typical Broker Commissions trade costs of $1.60
11/29/17 10:29 XIV VELOCITYSHARES DAILY INVERSE V LONG 78 125.29 12/28 11:04 128.60 2.31%
Trade id #115097629
Max drawdown($442)
Time12/1/17 11:34
Quant open28
Worst price102.82
Drawdown as % of equity-2.31%
$257
Includes Typical Broker Commissions trade costs of $1.56
12/18/17 10:21 USLV VELOCITYSHARES 3X LONG SILVER LONG 300 10.02 12/28 9:34 11.08 0.2%
Trade id #115407428
Max drawdown($39)
Time12/19/17 12:19
Quant open300
Worst price9.89
Drawdown as % of equity-0.20%
$312
Includes Typical Broker Commissions trade costs of $6.00
11/29/17 15:54 GDXJ VANECK VECTORS JUNIOR GOLD MIN LONG 94 31.77 12/18 10:20 31.89 0.97%
Trade id #115106842
Max drawdown($181)
Time12/7/17 15:17
Quant open94
Worst price29.84
Drawdown as % of equity-0.97%
$9
Includes Typical Broker Commissions trade costs of $1.88
12/4/17 11:37 EDC DIREXION DAILY EMRG MKTS BULL LONG 18 113.71 12/13 15:57 115.46 0.76%
Trade id #115175216
Max drawdown($140)
Time12/7/17 9:32
Quant open18
Worst price105.88
Drawdown as % of equity-0.76%
$32
Includes Typical Broker Commissions trade costs of $0.36
11/6/17 12:47 XLV HEALTH CARE SELECT SECTOR SPDR LONG 24 81.45 12/1 11:09 83.28 0.13%
Trade id #114706371
Max drawdown($24)
Time11/15/17 9:57
Quant open24
Worst price80.44
Drawdown as % of equity-0.13%
$44
Includes Typical Broker Commissions trade costs of $0.48
10/30/17 10:53 ZIV VELOCITYSHARES DAILY INVERSE V LONG 68 80.70 11/29 10:28 80.01 1.75%
Trade id #114594571
Max drawdown($330)
Time11/15/17 9:40
Quant open50
Worst price74.10
Drawdown as % of equity-1.75%
($48)
Includes Typical Broker Commissions trade costs of $1.36
11/13/17 12:28 LABU DIREXION DAILY S&P BIOTECH BULL LONG 42 71.12 11/28 12:33 68.42 1.87%
Trade id #114828815
Max drawdown($353)
Time11/15/17 9:57
Quant open42
Worst price62.70
Drawdown as % of equity-1.87%
($114)
Includes Typical Broker Commissions trade costs of $0.84
11/17/17 11:19 ERX DIREXION DAILY ENERGY BULL 3X LONG 70 28.40 11/28 12:21 28.47 0.22%
Trade id #114916560
Max drawdown($43)
Time11/20/17 10:36
Quant open70
Worst price27.78
Drawdown as % of equity-0.22%
$4
Includes Typical Broker Commissions trade costs of $1.40
10/24/17 15:32 EWZ ISHARES MSCI BRAZIL ETF LONG 150 41.46 11/22 10:24 40.01 3.34%
Trade id #114470343
Max drawdown($631)
Time11/15/17 8:02
Quant open150
Worst price37.25
Drawdown as % of equity-3.34%
($220)
Includes Typical Broker Commissions trade costs of $3.00
11/8/17 15:27 XLF FINANCIAL SELECT SECTOR SPDR LONG 150 26.21 11/21 12:31 26.34 0.28%
Trade id #114755215
Max drawdown($52)
Time11/15/17 9:40
Quant open150
Worst price25.86
Drawdown as % of equity-0.28%
$17
Includes Typical Broker Commissions trade costs of $3.00

Statistics

  • Strategy began
    10/17/2016
  • Suggested Minimum Cap
    $16,000
  • Strategy Age (days)
    761.23
  • Age
    25 months ago
  • What it trades
    Stocks
  • # Trades
    108
  • # Profitable
    72
  • % Profitable
    66.70%
  • Avg trade duration
    18.2 days
  • Max peak-to-valley drawdown
    40.33%
  • drawdown period
    Jan 23, 2018 - Feb 09, 2018
  • Annual Return (Compounded)
    -10.9%
  • Avg win
    $134.08
  • Avg loss
    $313.50
  • Model Account Values (Raw)
  • Cash
    $14,460
  • Margin Used
    $0
  • Buying Power
    $14,460
  • Ratios
  • W:L ratio
    0.86:1
  • Sharpe Ratio
    -0.258
  • Sortino Ratio
    -0.313
  • Calmar Ratio
    -0.162
  • CORRELATION STATISTICS
  • Correlation to SP500
    0.38500
  • Return Statistics
  • Ann Return (w trading costs)
    -10.9%
  • Ann Return (Compnd, No Fees)
    -4.7%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    100.00%
  • Chance of 20% account loss
    70.50%
  • Chance of 30% account loss
    26.50%
  • Chance of 40% account loss
    5.50%
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    477
  • Trades-Own-System Certification
  • Trades Own System?
    0
  • TOS percent
    n/a
  • Subscription Price
  • Billing Period (days)
    30
  • Trial Days
    20
  • Win / Loss
  • Avg Loss
    $314
  • Avg Win
    $134
  • # Winners
    72
  • # Losers
    36
  • % Winners
    66.7%
  • Frequency
  • Avg Position Time (mins)
    26257.20
  • Avg Position Time (hrs)
    437.62
  • Avg Trade Length
    18.2 days
  • Last Trade Ago
    92
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.02115
  • SD
    0.21126
  • Sharpe ratio (Glass type estimate)
    -0.10012
  • Sharpe ratio (Hedges UMVUE)
    -0.09631
  • df
    20.00000
  • t
    -0.13245
  • p
    0.51480
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.58083
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.38301
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.57820
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.38558
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.11089
  • Upside Potential Ratio
    1.00032
  • Upside part of mean
    0.19081
  • Downside part of mean
    -0.21196
  • Upside SD
    0.07847
  • Downside SD
    0.19075
  • N nonnegative terms
    15.00000
  • N negative terms
    6.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    21.00000
  • Mean of predictor
    0.16294
  • Mean of criterion
    -0.02115
  • SD of predictor
    0.08266
  • SD of criterion
    0.21126
  • Covariance
    0.01086
  • r
    0.62194
  • b (slope, estimate of beta)
    1.58950
  • a (intercept, estimate of alpha)
    -0.28014
  • Mean Square Error
    0.02881
  • DF error
    19.00000
  • t(b)
    3.46198
  • p(b)
    0.13132
  • t(a)
    -1.88624
  • p(a)
    0.74602
  • Lowerbound of 95% confidence interval for beta
    0.62853
  • Upperbound of 95% confidence interval for beta
    2.55047
  • Lowerbound of 95% confidence interval for alpha
    -0.59100
  • Upperbound of 95% confidence interval for alpha
    0.03071
  • Treynor index (mean / b)
    -0.01331
  • Jensen alpha (a)
    -0.28014
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.04570
  • SD
    0.23521
  • Sharpe ratio (Glass type estimate)
    -0.19430
  • Sharpe ratio (Hedges UMVUE)
    -0.18691
  • df
    20.00000
  • t
    -0.25704
  • p
    0.52869
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.67470
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.29089
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.66963
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.29581
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.21094
  • Upside Potential Ratio
    0.86681
  • Upside part of mean
    0.18781
  • Downside part of mean
    -0.23351
  • Upside SD
    0.07695
  • Downside SD
    0.21667
  • N nonnegative terms
    15.00000
  • N negative terms
    6.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    21.00000
  • Mean of predictor
    0.15865
  • Mean of criterion
    -0.04570
  • SD of predictor
    0.08211
  • SD of criterion
    0.23521
  • Covariance
    0.01209
  • r
    0.62577
  • b (slope, estimate of beta)
    1.79254
  • a (intercept, estimate of alpha)
    -0.33008
  • Mean Square Error
    0.03543
  • DF error
    19.00000
  • t(b)
    3.49694
  • p(b)
    0.12942
  • t(a)
    -2.01403
  • p(a)
    0.75897
  • Lowerbound of 95% confidence interval for beta
    0.71965
  • Upperbound of 95% confidence interval for beta
    2.86543
  • Lowerbound of 95% confidence interval for alpha
    -0.67311
  • Upperbound of 95% confidence interval for alpha
    0.01295
  • Treynor index (mean / b)
    -0.02550
  • Jensen alpha (a)
    -0.33008
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.10908
  • Expected Shortfall on VaR
    0.13373
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02587
  • Expected Shortfall on VaR
    0.06407
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    21.00000
  • Minimum
    0.75796
  • Quartile 1
    0.99283
  • Median
    1.01337
  • Quartile 3
    1.02223
  • Maximum
    1.05306
  • Mean of quarter 1
    0.93818
  • Mean of quarter 2
    1.00894
  • Mean of quarter 3
    1.01714
  • Mean of quarter 4
    1.04071
  • Inter Quartile Range
    0.02941
  • Number outliers low
    2.00000
  • Percentage of outliers low
    0.09524
  • Mean of outliers low
    0.84890
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.91341
  • VaR(95%) (moments method)
    0.04963
  • Expected Shortfall (moments method)
    0.63924
  • Extreme Value Index (regression method)
    1.45272
  • VaR(95%) (regression method)
    0.08338
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    4.00000
  • Minimum
    0.00717
  • Quartile 1
    0.00954
  • Median
    0.01761
  • Quartile 3
    0.09526
  • Maximum
    0.30640
  • Mean of quarter 1
    0.00717
  • Mean of quarter 2
    0.01033
  • Mean of quarter 3
    0.02488
  • Mean of quarter 4
    0.30640
  • Inter Quartile Range
    0.08572
  • 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
    0.25000
  • Mean of outliers high
    0.30640
  • 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)
    -0.04392
  • Compounded annual return (geometric extrapolation)
    -0.04467
  • Calmar ratio (compounded annual return / max draw down)
    -0.14580
  • Compounded annual return / average of 25% largest draw downs
    -0.14580
  • Compounded annual return / Expected Shortfall lognormal
    -0.33408
  • 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
    -0.03508
  • SD
    0.22850
  • Sharpe ratio (Glass type estimate)
    -0.15353
  • Sharpe ratio (Hedges UMVUE)
    -0.15329
  • df
    475.00000
  • t
    -0.20694
  • p
    0.58193
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.60760
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.30067
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.60742
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.30085
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.18633
  • Upside Potential Ratio
    5.00911
  • Upside part of mean
    0.94312
  • Downside part of mean
    -0.97820
  • Upside SD
    0.12907
  • Downside SD
    0.18828
  • N nonnegative terms
    267.00000
  • N negative terms
    209.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    476.00000
  • Mean of predictor
    0.16501
  • Mean of criterion
    -0.03508
  • SD of predictor
    0.10553
  • SD of criterion
    0.22850
  • Covariance
    0.00963
  • r
    0.39941
  • b (slope, estimate of beta)
    0.86483
  • a (intercept, estimate of alpha)
    -0.14300
  • Mean Square Error
    0.04398
  • DF error
    474.00000
  • t(b)
    9.48518
  • p(b)
    0.00000
  • t(a)
    -1.13744
  • p(a)
    0.87204
  • Lowerbound of 95% confidence interval for beta
    0.68567
  • Upperbound of 95% confidence interval for beta
    1.04399
  • Lowerbound of 95% confidence interval for alpha
    -0.48493
  • Upperbound of 95% confidence interval for alpha
    0.12935
  • Treynor index (mean / b)
    -0.04056
  • Jensen alpha (a)
    -0.17779
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.06222
  • SD
    0.23570
  • Sharpe ratio (Glass type estimate)
    -0.26397
  • Sharpe ratio (Hedges UMVUE)
    -0.26355
  • df
    475.00000
  • t
    -0.35579
  • p
    0.63892
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.71803
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.19037
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.71775
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.19065
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.31399
  • Upside Potential Ratio
    4.71832
  • Upside part of mean
    0.93495
  • Downside part of mean
    -0.99717
  • Upside SD
    0.12724
  • Downside SD
    0.19815
  • N nonnegative terms
    267.00000
  • N negative terms
    209.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    476.00000
  • Mean of predictor
    0.15938
  • Mean of criterion
    -0.06222
  • SD of predictor
    0.10587
  • SD of criterion
    0.23570
  • Covariance
    0.00966
  • r
    0.38693
  • b (slope, estimate of beta)
    0.86143
  • a (intercept, estimate of alpha)
    -0.19952
  • Mean Square Error
    0.04734
  • DF error
    474.00000
  • t(b)
    9.13554
  • p(b)
    0.00000
  • t(a)
    -1.23070
  • p(a)
    0.89048
  • Lowerbound of 95% confidence interval for beta
    0.67615
  • Upperbound of 95% confidence interval for beta
    1.04672
  • Lowerbound of 95% confidence interval for alpha
    -0.51808
  • Upperbound of 95% confidence interval for alpha
    0.11904
  • Treynor index (mean / b)
    -0.07223
  • Jensen alpha (a)
    -0.19952
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02390
  • Expected Shortfall on VaR
    0.02981
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00760
  • Expected Shortfall on VaR
    0.01736
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    476.00000
  • Minimum
    0.83328
  • Quartile 1
    0.99696
  • Median
    1.00006
  • Quartile 3
    1.00447
  • Maximum
    1.06105
  • Mean of quarter 1
    0.98597
  • Mean of quarter 2
    0.99909
  • Mean of quarter 3
    1.00174
  • Mean of quarter 4
    1.01265
  • Inter Quartile Range
    0.00752
  • Number outliers low
    33.00000
  • Percentage of outliers low
    0.06933
  • Mean of outliers low
    0.96836
  • Number of outliers high
    30.00000
  • Percentage of outliers high
    0.06303
  • Mean of outliers high
    1.02547
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.61670
  • VaR(95%) (moments method)
    0.01265
  • Expected Shortfall (moments method)
    0.03718
  • Extreme Value Index (regression method)
    0.40448
  • VaR(95%) (regression method)
    0.01195
  • Expected Shortfall (regression method)
    0.02456
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    25.00000
  • Minimum
    0.00010
  • Quartile 1
    0.00141
  • Median
    0.00478
  • Quartile 3
    0.03350
  • Maximum
    0.34049
  • Mean of quarter 1
    0.00055
  • Mean of quarter 2
    0.00343
  • Mean of quarter 3
    0.01963
  • Mean of quarter 4
    0.10781
  • Inter Quartile Range
    0.03209
  • 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
    0.04000
  • Mean of outliers high
    0.34049
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.60366
  • VaR(95%) (moments method)
    0.10878
  • Expected Shortfall (moments method)
    0.29611
  • Extreme Value Index (regression method)
    0.72878
  • VaR(95%) (regression method)
    0.11522
  • Expected Shortfall (regression method)
    0.42592
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.05883
  • Compounded annual return (geometric extrapolation)
    -0.06032
  • Calmar ratio (compounded annual return / max draw down)
    -0.17716
  • Compounded annual return / average of 25% largest draw downs
    -0.55950
  • Compounded annual return / Expected Shortfall lognormal
    -2.02377
  • 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
    -0.07315
  • SD
    0.25281
  • Sharpe ratio (Glass type estimate)
    -0.28937
  • Sharpe ratio (Hedges UMVUE)
    -0.28769
  • df
    130.00000
  • t
    -0.20461
  • p
    0.50897
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.06091
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.48315
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.05972
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.48433
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.36980
  • Upside Potential Ratio
    7.07917
  • Upside part of mean
    1.40038
  • Downside part of mean
    -1.47353
  • Upside SD
    0.15592
  • Downside SD
    0.19782
  • N nonnegative terms
    69.00000
  • N negative terms
    62.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.11161
  • Mean of criterion
    -0.07315
  • SD of predictor
    0.13448
  • SD of criterion
    0.25281
  • Covariance
    0.02226
  • r
    0.65460
  • b (slope, estimate of beta)
    1.23052
  • a (intercept, estimate of alpha)
    -0.21049
  • Mean Square Error
    0.03681
  • DF error
    129.00000
  • t(b)
    9.83467
  • p(b)
    0.11532
  • t(a)
    -0.77478
  • p(a)
    0.54329
  • Lowerbound of 95% confidence interval for beta
    0.98297
  • Upperbound of 95% confidence interval for beta
    1.47808
  • Lowerbound of 95% confidence interval for alpha
    -0.74803
  • Upperbound of 95% confidence interval for alpha
    0.32704
  • Treynor index (mean / b)
    -0.05945
  • Jensen alpha (a)
    -0.21049
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.10523
  • SD
    0.25492
  • Sharpe ratio (Glass type estimate)
    -0.41281
  • Sharpe ratio (Hedges UMVUE)
    -0.41042
  • df
    130.00000
  • t
    -0.29190
  • p
    0.51280
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.18435
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.36018
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.18268
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.36183
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.52127
  • Upside Potential Ratio
    6.87751
  • Upside part of mean
    1.38840
  • Downside part of mean
    -1.49364
  • Upside SD
    0.15419
  • Downside SD
    0.20188
  • N nonnegative terms
    69.00000
  • N negative terms
    62.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.10261
  • Mean of criterion
    -0.10523
  • SD of predictor
    0.13461
  • SD of criterion
    0.25492
  • Covariance
    0.02249
  • r
    0.65552
  • b (slope, estimate of beta)
    1.24136
  • a (intercept, estimate of alpha)
    -0.23260
  • Mean Square Error
    0.03735
  • DF error
    129.00000
  • t(b)
    9.85889
  • p(b)
    0.11488
  • t(a)
    -0.85013
  • p(a)
    0.54747
  • Lowerbound of 95% confidence interval for beta
    0.99224
  • Upperbound of 95% confidence interval for beta
    1.49048
  • Lowerbound of 95% confidence interval for alpha
    -0.77394
  • Upperbound of 95% confidence interval for alpha
    0.30873
  • Treynor index (mean / b)
    -0.08477
  • Jensen alpha (a)
    -0.23260
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02596
  • Expected Shortfall on VaR
    0.03234
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01244
  • Expected Shortfall on VaR
    0.02523
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.93562
  • Quartile 1
    0.99262
  • Median
    1.00086
  • Quartile 3
    1.00902
  • Maximum
    1.04250
  • Mean of quarter 1
    0.97994
  • Mean of quarter 2
    0.99779
  • Mean of quarter 3
    1.00399
  • Mean of quarter 4
    1.01729
  • Inter Quartile Range
    0.01641
  • Number outliers low
    4.00000
  • Percentage of outliers low
    0.03053
  • Mean of outliers low
    0.94957
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.00763
  • Mean of outliers high
    1.04250
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.17974
  • VaR(95%) (moments method)
    0.01927
  • Expected Shortfall (moments method)
    0.02941
  • Extreme Value Index (regression method)
    0.14568
  • VaR(95%) (regression method)
    0.01948
  • Expected Shortfall (regression method)
    0.02902
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    2.00000
  • Minimum
    0.02135
  • Quartile 1
    0.04938
  • Median
    0.07740
  • Quartile 3
    0.10543
  • Maximum
    0.13345
  • Mean of quarter 1
    0.02135
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.13345
  • Inter Quartile Range
    0.05605
  • 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)
    -0.10251
  • Compounded annual return (geometric extrapolation)
    -0.09988
  • Calmar ratio (compounded annual return / max draw down)
    -0.74845
  • Compounded annual return / average of 25% largest draw downs
    -0.74845
  • Compounded annual return / Expected Shortfall lognormal
    -3.08900

Strategy Description

What can you expect:

The system generates about 150 trades a year. Every mondaymorning, I run stock scans through 10,000 stocks to find just that stocks that are ready to move.

What does the system trades:

The system trades liquid US stocks. And during strong bear markets short in an ETF.

FAQ:
1. Does this system need to be auto-traded?
Not necessary because there are few transactions. And all signals will be emailed mondaymorning. Mostly before stock markets opens. So you should have time to enter the trades manually before the market opens.

2. Do you short stocks?
Only during strong bear markets the system trades short ETF's.

3. Does the system use leverage?
Only during strongly trending markets.

4. Do you use stops?
No. The system performs best without stop losses.

5. How has the system performed during backtesting?
I can send you an email withe the results since 1999. Pleas send the email to [email protected]

6. What will happen during bear markets?
During strong bear markets the system will invest in short ETF's.

Summary Statistics

Strategy began
2016-10-17
Suggested Minimum Capital
$25,000
# Trades
108
# Profitable
72
% Profitable
66.7%
Net Dividends
Correlation S&P500
0.385
Sharpe Ratio
-0.258

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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Suggested Minimum Capital

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