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These are hypothetical performance results that have certain inherent limitations. Learn more

Trades-Own-Strategy Certification

This system has earned Trades-Own-Strategy (TOS) Certification. This means that the manager of this system trades his own strategy in a real-life, funded brokerage account.

Trades-Own-Strategy (TOS) Certification Details
Certification process started 09/20/2017
Most recent certification approved 9/25/17 9:31 ET
Trades at broker Interactive Brokers (Direct Connection non-US)
Scaling percentage used 11%
# trading signals issued by system since certification 100
# trading signals executed in manager's Interactive Brokers (Direct Connection non-US) account 100
Percent signals followed since 09/20/2017 100%
This information was last updated 12/13/17 10:09 ET

Warning: System trading results are still hypothetical.

Even though the system developer is currently trading his own system in a real-life brokerage account, the trading results presented on this Web site must still be regarded as purely hypothetical results. This is because (among other reasons) the system developer may not have traded all signals, particularly those that occurred before 09/20/2017, and the system developer's results may not match the system results presented here. In addition, not all subscribers have received the same trades or prices as the system manager has. For these reasons, and others, it is extremely important you remember the following:

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.

You may be interested to learn more technical details about how Collective2 calculates the hypothetical results you see on this web site.

DIVERSE (113178999)

Created by: CharlesTines CharlesTines
Started: 08/2017
Stocks
Last trade: 10 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.

9.9%
Cumul. Return
2.7%
Max Drawdown
63
Num Trades
55.6%
Win Trades
2.8 : 1
Profit Factor
100.0%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2017                                                 +1.8%+1.8%+1.9%+3.9%+0.1%+9.9%

Model Account Details

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

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

System developer has asked us to delay this information by 168 hours.

Trading Record

This strategy has placed 118 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
11/20/17 9:35 JLL JONES LANG LASALLE LONG 54 152.22 12/4 9:32 153.37 0.08%
Trade id #114938877
Max drawdown($220)
Time11/22/17 15:12
Quant open49
Worst price147.89
Drawdown as % of equity-0.08%
$61
Includes Typical Broker Commissions trade costs of $1.08
11/27/17 9:35 TTI TETRA TECHNOLOGIES LONG 2,000 4.15 12/4 9:32 4.11 0.18%
Trade id #115054988
Max drawdown($500)
Time11/29/17 12:12
Quant open2,000
Worst price3.90
Drawdown as % of equity-0.18%
($83)
Includes Typical Broker Commissions trade costs of $5.00
11/20/17 9:35 SCVL SHOE CARNIVAL LONG 307 26.85 12/4 9:32 25.92 0.16%
Trade id #114938875
Max drawdown($438)
Time12/1/17 11:30
Quant open307
Worst price25.42
Drawdown as % of equity-0.16%
($293)
Includes Typical Broker Commissions trade costs of $6.14
11/27/17 9:35 EVLV EVINE LIVE INC. CLASS A COMMON LONG 5,697 1.49 12/4 9:31 1.43 0.5%
Trade id #115054993
Max drawdown($1,374)
Time11/30/17 9:48
Quant open5,697
Worst price1.25
Drawdown as % of equity-0.50%
($337)
Includes Typical Broker Commissions trade costs of $5.00
12/1/17 11:34 XIV VELOCITYSHARES DAILY INVERSE V LONG 429 108.03 12/1 11:35 106.78 0.2%
Trade id #115144618
Max drawdown($538)
Time12/1/17 11:35
Quant open0
Worst price106.78
Drawdown as % of equity-0.20%
($547)
Includes Typical Broker Commissions trade costs of $8.58
11/30/17 15:42 XIV VELOCITYSHARES DAILY INVERSE V LONG 417 118.26 12/1 11:13 111.35 1.05%
Trade id #115127542
Max drawdown($2,881)
Time12/1/17 11:13
Quant open0
Worst price111.35
Drawdown as % of equity-1.05%
($2,889)
Includes Typical Broker Commissions trade costs of $8.34
11/15/17 13:30 XIV VELOCITYSHARES DAILY INVERSE V LONG 414 104.37 11/30 9:42 119.44 0.14%
Trade id #114872369
Max drawdown($360)
Time11/15/17 16:01
Quant open414
Worst price103.50
Drawdown as % of equity-0.14%
$6,231
Includes Typical Broker Commissions trade costs of $8.28
10/23/17 9:35 VRS VERSO CORP LONG 1,874 7.24 11/27 9:31 9.43 0.14%
Trade id #114420862
Max drawdown($364)
Time10/27/17 10:19
Quant open1,214
Worst price6.85
Drawdown as % of equity-0.14%
$4,099
Includes Typical Broker Commissions trade costs of $15.78
11/13/17 9:35 ZAGG ZAGG LONG 484 19.40 11/27 9:31 22.49 0.01%
Trade id #114824755
Max drawdown($24)
Time11/13/17 9:42
Quant open484
Worst price19.35
Drawdown as % of equity-0.01%
$1,484
Includes Typical Broker Commissions trade costs of $9.68
11/20/17 9:35 PBF PBF ENERGY LONG 225 32.97 11/27 9:31 33.12 0.02%
Trade id #114938879
Max drawdown($56)
Time11/20/17 10:05
Quant open225
Worst price32.72
Drawdown as % of equity-0.02%
$30
Includes Typical Broker Commissions trade costs of $4.50
11/13/17 9:35 RCKY ROCKY BRANDS LONG 515 18.05 11/27 9:31 19.43 n/a $705
Includes Typical Broker Commissions trade costs of $7.65
11/13/17 9:35 BOOT BOOT BARN HOLDINGS INC LONG 776 11.99 11/20 9:31 13.73 0.13%
Trade id #114824769
Max drawdown($341)
Time11/14/17 11:46
Quant open776
Worst price11.55
Drawdown as % of equity-0.13%
$1,345
Includes Typical Broker Commissions trade costs of $5.00
10/25/17 15:55 XIV VELOCITYSHARES DAILY INVERSE V LONG 434 103.81 11/15 9:31 104.30 0.03%
Trade id #114529100
Max drawdown($89)
Time10/25/17 15:57
Quant open414
Worst price103.46
Drawdown as % of equity-0.03%
$206
Includes Typical Broker Commissions trade costs of $8.68
10/30/17 9:35 KRA KRATON CORP LONG 249 49.40 11/13 9:31 48.29 0.11%
Trade id #114592704
Max drawdown($277)
Time11/13/17 9:31
Quant open0
Worst price48.29
Drawdown as % of equity-0.11%
($282)
Includes Typical Broker Commissions trade costs of $4.98
11/6/17 9:35 PBF PBF ENERGY LONG 403 31.35 11/13 9:31 31.39 0.15%
Trade id #114700734
Max drawdown($390)
Time11/9/17 12:16
Quant open403
Worst price30.38
Drawdown as % of equity-0.15%
$8
Includes Typical Broker Commissions trade costs of $8.06
10/30/17 9:35 SMMF SUMMIT FINANCIAL GROUP LONG 269 27.82 11/6 9:31 27.06 0.11%
Trade id #114592716
Max drawdown($279)
Time11/1/17 15:56
Quant open269
Worst price26.78
Drawdown as % of equity-0.11%
($209)
Includes Typical Broker Commissions trade costs of $5.38
10/30/17 9:35 VSH VISHAY INTERTECHNOLOGY LONG 342 21.75 11/6 9:31 21.50 0.11%
Trade id #114592702
Max drawdown($290)
Time11/2/17 10:04
Quant open342
Worst price20.90
Drawdown as % of equity-0.11%
($91)
Includes Typical Broker Commissions trade costs of $6.84
10/30/17 9:35 CAR AVIS BUDGET GROUP LONG 180 41.39 11/6 9:31 40.86 0.04%
Trade id #114592708
Max drawdown($115)
Time11/6/17 9:31
Quant open180
Worst price40.75
Drawdown as % of equity-0.04%
($99)
Includes Typical Broker Commissions trade costs of $3.60
10/23/17 9:35 MDCA MDC PARTNERS LONG 693 12.20 10/30 9:31 10.85 0.38%
Trade id #114420854
Max drawdown($1,004)
Time10/27/17 15:58
Quant open693
Worst price10.75
Drawdown as % of equity-0.38%
($941)
Includes Typical Broker Commissions trade costs of $5.00
10/23/17 9:35 MOD MODINE MANUFACTURING LONG 396 21.35 10/30 9:31 21.00 0.08%
Trade id #114420866
Max drawdown($198)
Time10/25/17 9:45
Quant open396
Worst price20.85
Drawdown as % of equity-0.08%
($147)
Includes Typical Broker Commissions trade costs of $7.92
10/2/17 9:35 ASIX ADVANSIX INC LONG 175 40.17 10/30 9:31 44.51 0.01%
Trade id #113970416
Max drawdown($24)
Time10/2/17 9:37
Quant open175
Worst price40.03
Drawdown as % of equity-0.01%
$757
Includes Typical Broker Commissions trade costs of $3.50
10/23/17 9:35 PPC PILGRIMS PRIDE CORPORATION COM LONG 270 31.10 10/30 9:31 31.30 0.1%
Trade id #114420850
Max drawdown($256)
Time10/25/17 10:48
Quant open270
Worst price30.15
Drawdown as % of equity-0.10%
$49
Includes Typical Broker Commissions trade costs of $5.40
10/24/17 9:35 XIV VELOCITYSHARES DAILY INVERSE V LONG 413 111.71 10/25 11:04 103.25 1.34%
Trade id #114461611
Max drawdown($3,494)
Time10/25/17 11:04
Quant open0
Worst price103.25
Drawdown as % of equity-1.34%
($3,502)
Includes Typical Broker Commissions trade costs of $8.26
8/16/17 13:15 XIV VELOCITYSHARES DAILY INVERSE V LONG 443 84.48 10/23 15:58 109.03 n/a $10,867
Includes Typical Broker Commissions trade costs of $8.86
10/16/17 9:35 BGCP BGC PARTNERS LONG 524 16.00 10/23 9:31 15.80 0.06%
Trade id #114295293
Max drawdown($157)
Time10/19/17 9:45
Quant open524
Worst price15.70
Drawdown as % of equity-0.06%
($110)
Includes Typical Broker Commissions trade costs of $5.00
10/16/17 9:35 SNX SYNNEX LONG 63 134.50 10/23 9:31 130.84 0.12%
Trade id #114295303
Max drawdown($319)
Time10/19/17 12:08
Quant open63
Worst price129.44
Drawdown as % of equity-0.12%
($232)
Includes Typical Broker Commissions trade costs of $1.26
10/16/17 9:35 MU MICRON TECHNOLOGY LONG 207 40.91 10/23 9:31 41.86 0.09%
Trade id #114295282
Max drawdown($229)
Time10/19/17 9:46
Quant open207
Worst price39.80
Drawdown as % of equity-0.09%
$193
Includes Typical Broker Commissions trade costs of $4.14
10/16/17 9:35 VSH VISHAY INTERTECHNOLOGY LONG 400 21.00 10/23 9:31 21.40 0.02%
Trade id #114295271
Max drawdown($60)
Time10/16/17 10:11
Quant open400
Worst price20.85
Drawdown as % of equity-0.02%
$152
Includes Typical Broker Commissions trade costs of $8.00
10/9/17 9:35 SKYW SKYWEST LONG 176 46.28 10/16 9:31 46.12 0.06%
Trade id #114108942
Max drawdown($163)
Time10/11/17 9:37
Quant open176
Worst price45.35
Drawdown as % of equity-0.06%
($33)
Includes Typical Broker Commissions trade costs of $3.52
10/2/17 9:35 UCTT ULTRA CLEAN HOLDINGS LONG 267 31.17 10/16 9:31 33.77 0.15%
Trade id #113970414
Max drawdown($399)
Time10/5/17 10:33
Quant open228
Worst price29.46
Drawdown as % of equity-0.15%
$689
Includes Typical Broker Commissions trade costs of $5.34

Statistics

  • Strategy began
    8/16/2017
  • Starting Unit Size
    $5,000
  • Strategy Age (days)
    119.51
  • Age
    120 days ago
  • What it trades
    Stocks
  • # Trades
    63
  • # Profitable
    35
  • % Profitable
    55.60%
  • Avg trade duration
    18.3 days
  • Max peak-to-valley drawdown
    2.69%
  • drawdown period
    Oct 16, 2017 - Oct 25, 2017
  • Cumul. Return
    9.9%
  • Avg win
    $1,144
  • Avg loss
    $548.75
  • Model Account Values (Raw)
  • Cash
    $131,592
  • Margin Used
    $0
  • Buying Power
    $147,751
  • Ratios
  • W:L ratio
    2.78:1
  • Sharpe Ratio
    3.958
  • Sortino Ratio
    6.278
  • Calmar Ratio
    15.388
  • CORRELATION STATISTICS
  • Correlation to SP500
    0.54500
  • Return Statistics
  • Ann Return (w trading costs)
    32.4%
  • Ann Return (Compnd, No Fees)
    33.9%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    n/a
  • Chance of 20% account loss
    n/a
  • Chance of 30% account loss
    n/a
  • Chance of 40% account loss
    n/a
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    650
  • Popularity (Last 6 weeks)
    925
  • C2 Score
    81.4
  • Trades-Own-System Certification
  • Trades Own System?
    184162
  • TOS percent
    11%
  • Subscription Price
  • Billing Period (days)
    30
  • Trial Days
    0
  • Win / Loss
  • Avg Loss
    $574
  • Avg Win
    $1,144
  • # Winners
    35
  • # Losers
    28
  • % Winners
    55.6%
  • Frequency
  • Avg Position Time (mins)
    26332.10
  • Avg Position Time (hrs)
    438.87
  • Avg Trade Length
    18.3 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
    0.27201
  • SD
    0.05395
  • Sharpe ratio (Glass type estimate)
    5.04230
  • Sharpe ratio (Hedges UMVUE)
    2.84481
  • df
    2.00000
  • t
    2.52115
  • p
    0.06392
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.12536
  • Upperbound of 95% confidence interval for Sharpe Ratio
    10.89630
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.96539
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    7.65501
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.00000
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    0.27201
  • Downside part of mean
    0.00000
  • Upside SD
    0.09003
  • Downside SD
    0.00000
  • N nonnegative terms
    3.00000
  • N negative terms
    0.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    3.00000
  • Mean of predictor
    0.18773
  • Mean of criterion
    0.27201
  • SD of predictor
    0.02448
  • SD of criterion
    0.05395
  • Covariance
    0.00106
  • r
    0.80123
  • b (slope, estimate of beta)
    1.76535
  • a (intercept, estimate of alpha)
    -0.05940
  • Mean Square Error
    0.00208
  • DF error
    1.00000
  • t(b)
    1.33907
  • p(b)
    0.20418
  • t(a)
    -0.22517
  • p(a)
    0.57050
  • Lowerbound of 95% confidence interval for beta
    -14.98580
  • Upperbound of 95% confidence interval for beta
    18.51650
  • Lowerbound of 95% confidence interval for alpha
    -3.41121
  • Upperbound of 95% confidence interval for alpha
    3.29241
  • Treynor index (mean / b)
    0.15408
  • Jensen alpha (a)
    -0.05940
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.26804
  • SD
    0.05294
  • Sharpe ratio (Glass type estimate)
    5.06296
  • Sharpe ratio (Hedges UMVUE)
    2.85647
  • df
    2.00000
  • t
    2.53148
  • p
    0.06350
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.11772
  • Upperbound of 95% confidence interval for Sharpe Ratio
    10.93190
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.96036
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    7.67330
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.00000
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    0.26804
  • Downside part of mean
    0.00000
  • Upside SD
    0.08863
  • Downside SD
    0.00000
  • N nonnegative terms
    3.00000
  • N negative terms
    0.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    3.00000
  • Mean of predictor
    0.18608
  • Mean of criterion
    0.26804
  • SD of predictor
    0.02407
  • SD of criterion
    0.05294
  • Covariance
    0.00102
  • r
    0.80035
  • b (slope, estimate of beta)
    1.76058
  • a (intercept, estimate of alpha)
    -0.05957
  • Mean Square Error
    0.00201
  • DF error
    1.00000
  • t(b)
    1.33497
  • p(b)
    0.20465
  • t(a)
    -0.22798
  • p(a)
    0.57135
  • Lowerbound of 95% confidence interval for beta
    -14.99660
  • Upperbound of 95% confidence interval for beta
    18.51770
  • Lowerbound of 95% confidence interval for alpha
    -3.37986
  • Upperbound of 95% confidence interval for alpha
    3.26071
  • Treynor index (mean / b)
    0.15224
  • Jensen alpha (a)
    -0.05957
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00280
  • Expected Shortfall on VaR
    0.00913
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00000
  • Expected Shortfall on VaR
    0.00000
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    3.00000
  • Minimum
    1.00508
  • Quartile 1
    1.01665
  • Median
    1.02821
  • Quartile 3
    1.03146
  • Maximum
    1.03471
  • Mean of quarter 1
    1.00508
  • Mean of quarter 2
    1.02821
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    1.03471
  • Inter Quartile Range
    0.01481
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    0.00000
  • Minimum
    0.00000
  • Quartile 1
    0.00000
  • Median
    0.00000
  • Quartile 3
    0.00000
  • Maximum
    0.00000
  • Mean of quarter 1
    0.00000
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.00000
  • Inter Quartile Range
    0.00000
  • 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)
    0.27722
  • Compounded annual return (geometric extrapolation)
    0.30740
  • Calmar ratio (compounded annual return / max draw down)
    0.00000
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    33.67120
  • 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
    0.29432
  • SD
    0.07370
  • Sharpe ratio (Glass type estimate)
    3.99350
  • Sharpe ratio (Hedges UMVUE)
    3.95773
  • df
    84.00000
  • t
    2.27464
  • p
    0.01274
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.48855
  • Upperbound of 95% confidence interval for Sharpe Ratio
    7.47551
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.46504
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    7.45042
  • Statistics related to Sortino ratio
  • Sortino ratio
    6.27802
  • Upside Potential Ratio
    13.11830
  • Upside part of mean
    0.61501
  • Downside part of mean
    -0.32068
  • Upside SD
    0.05917
  • Downside SD
    0.04688
  • N nonnegative terms
    55.00000
  • N negative terms
    30.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    85.00000
  • Mean of predictor
    0.23612
  • Mean of criterion
    0.29432
  • SD of predictor
    0.06240
  • SD of criterion
    0.07370
  • Covariance
    0.00244
  • r
    0.53030
  • b (slope, estimate of beta)
    0.62630
  • a (intercept, estimate of alpha)
    0.14600
  • Mean Square Error
    0.00395
  • DF error
    83.00000
  • t(b)
    5.69858
  • p(b)
    0.00000
  • t(a)
    1.29173
  • p(a)
    0.10002
  • Lowerbound of 95% confidence interval for beta
    0.40771
  • Upperbound of 95% confidence interval for beta
    0.84490
  • Lowerbound of 95% confidence interval for alpha
    -0.07904
  • Upperbound of 95% confidence interval for alpha
    0.37193
  • Treynor index (mean / b)
    0.46994
  • Jensen alpha (a)
    0.14644
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.29148
  • SD
    0.07371
  • Sharpe ratio (Glass type estimate)
    3.95454
  • Sharpe ratio (Hedges UMVUE)
    3.91912
  • df
    84.00000
  • t
    2.25245
  • p
    0.01345
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.45070
  • Upperbound of 95% confidence interval for Sharpe Ratio
    7.43563
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.42743
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    7.41082
  • Statistics related to Sortino ratio
  • Sortino ratio
    6.18878
  • Upside Potential Ratio
    13.02120
  • Upside part of mean
    0.61327
  • Downside part of mean
    -0.32179
  • Upside SD
    0.05895
  • Downside SD
    0.04710
  • N nonnegative terms
    55.00000
  • N negative terms
    30.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    85.00000
  • Mean of predictor
    0.23409
  • Mean of criterion
    0.29148
  • SD of predictor
    0.06240
  • SD of criterion
    0.07371
  • Covariance
    0.00244
  • r
    0.53119
  • b (slope, estimate of beta)
    0.62747
  • a (intercept, estimate of alpha)
    0.14459
  • Mean Square Error
    0.00395
  • DF error
    83.00000
  • t(b)
    5.71183
  • p(b)
    0.00000
  • t(a)
    1.27670
  • p(a)
    0.10263
  • Lowerbound of 95% confidence interval for beta
    0.40898
  • Upperbound of 95% confidence interval for beta
    0.84597
  • Lowerbound of 95% confidence interval for alpha
    -0.08067
  • Upperbound of 95% confidence interval for alpha
    0.36985
  • Treynor index (mean / b)
    0.46452
  • Jensen alpha (a)
    0.14459
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00636
  • Expected Shortfall on VaR
    0.00824
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00219
  • Expected Shortfall on VaR
    0.00482
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    85.00000
  • Minimum
    0.98657
  • Quartile 1
    0.99896
  • Median
    1.00175
  • Quartile 3
    1.00379
  • Maximum
    1.01329
  • Mean of quarter 1
    0.99547
  • Mean of quarter 2
    1.00023
  • Mean of quarter 3
    1.00266
  • Mean of quarter 4
    1.00640
  • Inter Quartile Range
    0.00483
  • Number outliers low
    3.00000
  • Percentage of outliers low
    0.03529
  • Mean of outliers low
    0.98847
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.01176
  • Mean of outliers high
    1.01329
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.35302
  • VaR(95%) (moments method)
    0.00382
  • Expected Shortfall (moments method)
    0.00732
  • Extreme Value Index (regression method)
    -0.18272
  • VaR(95%) (regression method)
    0.00515
  • Expected Shortfall (regression method)
    0.00697
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    11.00000
  • Minimum
    0.00002
  • Quartile 1
    0.00222
  • Median
    0.00308
  • Quartile 3
    0.01770
  • Maximum
    0.02199
  • Mean of quarter 1
    0.00086
  • Mean of quarter 2
    0.00297
  • Mean of quarter 3
    0.01169
  • Mean of quarter 4
    0.02099
  • Inter Quartile Range
    0.01548
  • 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)
    -0.26747
  • VaR(95%) (moments method)
    0.02159
  • Expected Shortfall (moments method)
    0.02220
  • Extreme Value Index (regression method)
    1.92988
  • VaR(95%) (regression method)
    0.02227
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.30570
  • Compounded annual return (geometric extrapolation)
    0.33840
  • Calmar ratio (compounded annual return / max draw down)
    15.38780
  • Compounded annual return / average of 25% largest draw downs
    16.12420
  • Compounded annual return / Expected Shortfall lognormal
    41.04480

Strategy Description

I keep a wide range of investments and have tried to provide several strategies to suit the growth and volatility goals of my subscribers.

Not Your Father’s VIX my most aggressive and highest growth strategy. Even with its high growth I would only use it as a portion of a my own portfolio. It holds XIV, VXX, cash, or gold. My algorithm runs all day on google servers, buying and selling without me present - simply sending alerts to my phone for verification. It is not uncommon for this strategy to go up or down 3% in a matter of minutes. This strategy can go months without a trade then have several in a matter of hours.

Compact portfolio also provides high growth but with more diversification. This is an algorithmic stock screen that relies on finding good businesses that are undervalued then looks to see if the price and volume patterns indicate an approaching move. A handful of stocks are selected each week, and these stocks are held for as many weeks as they continue to pass the screen. Depending on overall market indicators this strategy may also hold a number of other ETFs including volatility, commodity, precious metal, stock, and bond ETFs.

Diverse portfolio is designed to be very conservative. I actively trade with only 30% of this portfolio. The other 70% is allocated to long term hedges of bonds, gold, and commodities. The drawdowns of this portfolio have been very small, and it is a good place to start for new subscribers and traders. It also is the best value because it has most of the signals from both of the strategies above.

Safety Factor is my most recently published strategy and currently free. Similar to how I use safety factors when I build structural equipment, this strategy looks to only buy stocks that trade for less than ½ of what I believe a proper evaluation of the business should be.

If you have any questions please let me know!

Summary Statistics

Strategy began
2017-08-16
Minimum Capital Required
$5,000
# Trades
63
# Profitable
35
% Profitable
55.6%
Net Dividends
Correlation S&P500
0.545
Sharpe Ratio
3.958

Latest Activity

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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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