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Featured Strategy Lazy Trading ES +44.1% Cumul. Return since Sep 25, 2024 Hypothetical

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The Momentum of Now
(75800796)

Created by: Danny Danny
Started: 08/2012
Stocks
Last trade: 3 days ago

Subscriptions not available

No subscriptions are currently available for this strategy because the strategy manager has capped the maximum number of subscribers.

Subscription terms. Subscriptions to this system cost $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.

18.4%
Annual Return (Compounded)

Rate of Return Calculations

Overview

To comply with NFA regulations, we display Cumulative Rate of Return for strategies with a track record of less than one year. For strategies with longer track records, we display Annualized (Compounded) Rate of Return.

How Annualized (Compounded) Rate of Return is calculated

= ((Ending_equity / Starting_equity) ^ (1 / age_in_years)) - 1

Remember that, following NFA requirements, strategy subscription costs and estimated commissions are included in marked-to-market equity calculations.

All results are hypothetical.

(24.5%)
Max Drawdown
3141
Num Trades
36.7%
Win Trades
1.4 : 1
Profit Factor
55.4%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2012                                                 +3.8%+7.5%+0.9%+1.5%(0.5%)+13.7%
2013+13.7%+0.6%+9.1%(1.7%)  -  (5.6%)(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%)(0.1%)(0.5%)+1.4%+3.9%+2.3%(2.2%)(2.7%)+4.1%
2024(2.2%)+0.9%+0.9%+1.9%(1.2%)(1.5%)(0.3%)(2.1%)+0.4%(0.1%)+1.3%      (2.1%)

Model Account Details

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

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

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

Trading Record

This strategy has placed 5,285 trades in real-life brokerage accounts. The most recent trade in a real-money brokerage account occurred more than 271 days ago.

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Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQuantAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
11/12/24 11:47 SDOW PROSHARES ULTRAPRO SHORT DOW30 SHORT 6,634 46.46 11/18 10:15 48.40 1.72%
Trade id #150066741
Max drawdown($13,373)
Time11/18/24 9:32
Quant open5,634
Worst price48.83
Drawdown as % of equity-1.72%
 ($12,932)
Includes Typical Broker Commissions trade costs of $10.00
11/7/24 10:02 NVD GRANITESHARES 1.5X SHORT NVDA DAILY ETF SHORT 5,404 27.67 11/18 10:15 31.38 3.21%
Trade id #150028128
Max drawdown($25,007)
Time11/18/24 9:53
Quant open5,404
Worst price32.30
Drawdown as % of equity-3.21%
 ($20,045)
Includes Typical Broker Commissions trade costs of $10.00
11/13/24 11:57 VERA VERA THERAPEUTICS INC. CLASS A LONG 617 50.17 11/18 10:14 44.35 0.49%
Trade id #150077509
Max drawdown($3,806)
Time11/18/24 10:10
Quant open617
Worst price44.00
Drawdown as % of equity-0.49%
 ($3,596)
Includes Typical Broker Commissions trade costs of $5.00
11/13/24 11:56 RNA AVIDITY BIOSCIENCES INC. COMMON STOCK LONG 1,113 53.41 11/14 15:11 51.26 0.3%
Trade id #150077490
Max drawdown($2,449)
Time11/14/24 15:06
Quant open1,113
Worst price51.21
Drawdown as % of equity-0.30%
 ($2,404)
Includes Typical Broker Commissions trade costs of $10.00
11/7/24 10:10 ROOT ROOT INC. CLASS A COMMON STOCK LONG 201 78.31 11/14 15:11 77.41 0.17%
Trade id #150028290
Max drawdown($1,358)
Time11/12/24 0:00
Quant open201
Worst price71.55
Drawdown as % of equity-0.17%
 ($185)
Includes Typical Broker Commissions trade costs of $4.02
11/12/24 11:40 MO ALTRIA LONG 1,959 54.14 11/13 15:56 55.21 0.04%
Trade id #150065900
Max drawdown($303)
Time11/12/24 12:31
Quant open1,959
Worst price53.98
Drawdown as % of equity-0.04%
 $2,091
Includes Typical Broker Commissions trade costs of $5.00
11/5/24 10:42 BOIL PROSHARES ULTRA BLOOMBERG NATU SHORT 4,820 37.37 11/12 11:39 40.48 2.73%
Trade id #149986647
Max drawdown($22,176)
Time11/12/24 11:24
Quant open3,620
Worst price43.50
Drawdown as % of equity-2.73%
 ($14,992)
Includes Typical Broker Commissions trade costs of $12.50
11/8/24 11:47 JNK SPDR BLOOMBERG HIGH YIELD BOND LONG 7,635 97.00 11/12 10:32 96.69 0.32%
Trade id #150041502
Max drawdown($2,621)
Time11/12/24 10:07
Quant open7,635
Worst price96.66
Drawdown as % of equity-0.32%
 ($2,400)
Includes Typical Broker Commissions trade costs of $7.50
11/5/24 10:43 YANG DIREXION DAILY FTSE CHINA BEAR 3X SHORT 2,700 67.14 11/8 11:48 71.02 2.7%
Trade id #149986660
Max drawdown($21,498)
Time11/6/24 0:00
Quant open2,700
Worst price75.10
Drawdown as % of equity-2.70%
 ($10,493)
Includes Typical Broker Commissions trade costs of $10.00
11/5/24 10:44 ZSL PROSHARES ULTRASHORT SILVER SHORT 5,170 33.72 11/8 11:46 36.55 2.65%
Trade id #149986675
Max drawdown($21,093)
Time11/6/24 0:00
Quant open5,170
Worst price37.80
Drawdown as % of equity-2.65%
 ($14,639)
Includes Typical Broker Commissions trade costs of $7.50
11/7/24 10:11 TLN TALEN ENERGY CORPORATION LONG 172 198.86 11/8 10:06 204.02 0.01%
Trade id #150028297
Max drawdown($51)
Time11/7/24 10:14
Quant open172
Worst price198.56
Drawdown as % of equity-0.01%
 $885
Includes Typical Broker Commissions trade costs of $3.44
11/7/24 10:11 SMR NUSCALE POWER CORPORATION LONG 944 21.72 11/8 10:06 23.62 0.19%
Trade id #150028294
Max drawdown($1,567)
Time11/8/24 9:30
Quant open944
Worst price20.06
Drawdown as % of equity-0.19%
 $1,789
Includes Typical Broker Commissions trade costs of $5.00
11/5/24 10:40 SLV ISHARES SILVER TRUST LONG 5,614 29.84 11/6 11:25 28.34 1.22%
Trade id #149986636
Max drawdown($9,740)
Time11/6/24 9:35
Quant open5,614
Worst price28.11
Drawdown as % of equity-1.22%
 ($8,426)
Includes Typical Broker Commissions trade costs of $5.00
10/31/24 10:42 USFR WISDOMTREE FLOATING RATE TREASURY FUND LONG 34,050 50.26 11/5 10:42 50.28 0.04%
Trade id #149916797
Max drawdown($340)
Time10/31/24 10:47
Quant open34,050
Worst price50.25
Drawdown as % of equity-0.04%
 $661
Includes Typical Broker Commissions trade costs of $20.50
10/29/24 10:10 BOIL PROSHARES ULTRA BLOOMBERG NATU SHORT 8,310 8.20 10/31 10:41 7.68 0.23%
Trade id #149874267
Max drawdown($1,911)
Time10/29/24 13:16
Quant open8,310
Worst price8.43
Drawdown as % of equity-0.23%
 $4,314
Includes Typical Broker Commissions trade costs of $7.50
10/24/24 10:16 TYL TYLER TECHNOLOGIES LONG 148 631.01 10/31 10:41 610.96 0.49%
Trade id #149817978
Max drawdown($3,908)
Time10/28/24 0:00
Quant open148
Worst price604.60
Drawdown as % of equity-0.49%
 ($2,970)
Includes Typical Broker Commissions trade costs of $2.96
10/23/24 9:47 APH AMPHENOL LONG 1,050 70.17 10/31 10:41 67.35 0.38%
Trade id #149804133
Max drawdown($3,113)
Time10/31/24 10:13
Quant open1,050
Worst price67.20
Drawdown as % of equity-0.38%
 ($2,964)
Includes Typical Broker Commissions trade costs of $7.50
10/22/24 12:45 TCOM TRIP.COM GROUP LTD ADS LONG 296 61.08 10/31 10:41 63.98 0.02%
Trade id #149797576
Max drawdown($168)
Time10/22/24 15:59
Quant open296
Worst price60.51
Drawdown as % of equity-0.02%
 $852
Includes Typical Broker Commissions trade costs of $5.92
10/22/24 12:21 PM PHILIP MORRIS LONG 774 128.48 10/31 10:41 132.35 0.03%
Trade id #149794449
Max drawdown($224)
Time10/22/24 12:28
Quant open774
Worst price128.19
Drawdown as % of equity-0.03%
 $2,990
Includes Typical Broker Commissions trade costs of $5.00
10/22/24 9:30 YANG DIREXION DAILY FTSE CHINA BEAR 3X SHORT 18,710 3.60 10/31 10:41 3.79 0.47%
Trade id #149782562
Max drawdown($3,835)
Time10/31/24 9:59
Quant open18,710
Worst price3.81
Drawdown as % of equity-0.47%
 ($3,469)
Includes Typical Broker Commissions trade costs of $7.50
10/21/24 13:04 BITI PROSHARES SHORT BITCOIN STRATEGY ETF SHORT 20,464 6.81 10/31 10:41 6.62 0.34%
Trade id #149741730
Max drawdown($2,865)
Time10/23/24 0:00
Quant open12,464
Worst price7.22
Drawdown as % of equity-0.34%
 $3,841
Includes Typical Broker Commissions trade costs of $11.00
10/21/24 13:03 ZSL PROSHARES ULTRASHORT SILVER SHORT 12,478 7.90 10/31 10:41 8.51 0.93%
Trade id #149741723
Max drawdown($7,680)
Time10/31/24 10:40
Quant open12,478
Worst price8.51
Drawdown as % of equity-0.93%
 ($7,664)
Includes Typical Broker Commissions trade costs of $10.00
10/17/24 12:19 MSTR MICROSTRATEGY LONG 186 208.04 10/31 10:40 245.38 0.04%
Trade id #149687247
Max drawdown($305)
Time10/17/24 15:33
Quant open63
Worst price191.93
Drawdown as % of equity-0.04%
 $6,942
Includes Typical Broker Commissions trade costs of $3.72
10/4/24 15:44 FAZ DIREXION DAILY FINANCIAL BEAR SHORT 22,300 7.42 10/31 10:40 7.22 0.31%
Trade id #149583738
Max drawdown($2,444)
Time10/7/24 0:00
Quant open6,050
Worst price8.12
Drawdown as % of equity-0.31%
 $4,441
Includes Typical Broker Commissions trade costs of $22.00
10/1/24 13:55 EWTX EDGEWISE THERAPEUTICS INC. LONG 472 27.32 10/31 10:40 33.42 0.07%
Trade id #149553086
Max drawdown($571)
Time10/3/24 0:00
Quant open472
Worst price26.11
Drawdown as % of equity-0.07%
 $2,870
Includes Typical Broker Commissions trade costs of $9.44
9/24/24 13:47 NVD GRANITESHARES 1.5X SHORT NVDA DAILY ETF SHORT 40,172 1.37 10/31 10:40 1.38 0.22%
Trade id #149496132
Max drawdown($1,717)
Time10/2/24 0:00
Quant open8,586
Worst price1.92
Drawdown as % of equity-0.22%
 ($474)
Includes Typical Broker Commissions trade costs of $17.50
9/23/24 13:48 CORZ CORE SCIENTIFIC INC. LONG 975 12.48 10/31 10:40 13.25 0.18%
Trade id #149486128
Max drawdown($1,404)
Time10/1/24 0:00
Quant open975
Worst price11.04
Drawdown as % of equity-0.18%
 $746
Includes Typical Broker Commissions trade costs of $5.00
9/23/24 13:47 CLM CORNERSTONE STRATEGIC VALUE CO LONG 11,486 7.56 10/31 10:40 8.03 0.03%
Trade id #149486124
Max drawdown($229)
Time9/25/24 0:00
Quant open11,486
Worst price7.54
Drawdown as % of equity-0.03%
 $5,358
Includes Typical Broker Commissions trade costs of $10.00
9/18/24 9:39 GLL PROSHARES ULTRASHORT GOLD SHORT 23,300 17.51 10/31 10:40 16.24 0.34%
Trade id #149427437
Max drawdown($2,660)
Time9/18/24 15:56
Quant open7,000
Worst price18.41
Drawdown as % of equity-0.34%
 $29,449
Includes Typical Broker Commissions trade costs of $28.00
9/18/24 9:37 DUST DIREXION DAILY GOLD MINERS BEAR 2X SHORT 15,178 4.93 10/31 10:40 5.01 0.29%
Trade id #149427390
Max drawdown($2,393)
Time10/31/24 10:40
Quant open-8,544
Worst price5.21
Drawdown as % of equity-0.29%
 ($1,272)
Includes Typical Broker Commissions trade costs of $29.12
Next

Statistics

  • Strategy began
    8/4/2012
  • Suggested Minimum Cap
    $800,000
  • Strategy Age (days)
    4491.55
  • Age
    150 months ago
  • What it trades
    Stocks
  • # Trades
    3141
  • # Profitable
    1153
  • % Profitable
    36.70%
  • Avg trade duration
    15.8 days
  • Max peak-to-valley drawdown
    24.45%
  • drawdown period
    Jan 21, 2014 - Aug 04, 2014
  • Annual Return (Compounded)
    18.4%
  • Avg win
    $2,610
  • Avg loss
    $1,240
  • Model Account Values (Raw)
  • Cash
    $1,636,300
  • Margin Used
    $1,692,750
  • Buying Power
    $38,511
  • Ratios
  • W:L ratio
    1.41:1
  • Sharpe Ratio
    0.81
  • Sortino Ratio
    1.17
  • Calmar Ratio
    0.984
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    377.08%
  • Correlation to SP500
    0.06310
  • Return Percent SP500 (cumu) during strategy life
    325.39%
  • Return Statistics
  • Ann Return (w trading costs)
    18.4%
  • Slump
  • Current Slump as Pcnt Equity
    13.00%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.09%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Instruments
  • Short Options - Percent Covered
    n/a
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.184%
  • Instruments
  • Percent Trades Options
    0.04%
  • Percent Trades Stocks
    0.96%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    19.2%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    62.50%
  • Chance of 20% account loss
    29.00%
  • Chance of 30% account loss
    16.00%
  • Chance of 40% account loss
    8.50%
  • Chance of 60% account loss (Monte Carlo)
    n/a
  • 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 Automated
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    3.00%
  • Popularity
  • Popularity (Today)
    395
  • Popularity (Last 6 weeks)
    898
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Popularity
  • C2 Score
    356
  • Popularity (7 days, Percentile 1000 scale)
    772
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $1,242
  • Avg Win
    $2,624
  • Sum Trade PL (losers)
    $2,465,910.000
  • Age
  • Num Months filled monthly returns table
    148
  • Win / Loss
  • Sum Trade PL (winners)
    $3,025,290.000
  • # Winners
    1153
  • Num Months Winners
    83
  • Dividends
  • Dividends Received in Model Acct
    207782
  • Win / Loss
  • # Losers
    1985
  • % Winners
    36.7%
  • Frequency
  • Avg Position Time (mins)
    38052.20
  • Avg Position Time (hrs)
    634.20
  • Avg Trade Length
    26.4 days
  • Last Trade Ago
    3
  • Leverage
  • Daily leverage (average)
    1.77
  • Daily leverage (max)
    7.28
  • Regression
  • Alpha
    0.04
  • Beta
    0.06
  • Treynor Index
    0.71
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.03
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    44.65
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    17.95
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    18.59
  • MAE:Equity, average, winning trades
    0.07
  • MAE:Equity, average, losing trades
    0.01
  • Avg(MAE) / Avg(PL) - All trades
    259.723
  • 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 strat
    0.00
  • Avg(MAE) / Avg(PL) - Winning trades
    20.890
  • Avg(MAE) / Avg(PL) - Losing trades
    -3.880
  • Hold-and-Hope Ratio
    0.004
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.17218
  • SD
    0.20318
  • Sharpe ratio (Glass type estimate)
    0.84739
  • Sharpe ratio (Hedges UMVUE)
    0.84297
  • df
    144.00000
  • t
    2.94563
  • p
    0.38080
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.27373
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.41822
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.27079
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.41515
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.79643
  • Upside Potential Ratio
    3.56942
  • Upside part of mean
    0.34211
  • Downside part of mean
    -0.16993
  • Upside SD
    0.18516
  • Downside SD
    0.09584
  • N nonnegative terms
    83.00000
  • N negative terms
    62.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    145.00000
  • Mean of predictor
    0.10555
  • Mean of criterion
    0.17218
  • SD of predictor
    0.15439
  • SD of criterion
    0.20318
  • Covariance
    -0.00027
  • r
    -0.00871
  • b (slope, estimate of beta)
    -0.01146
  • a (intercept, estimate of alpha)
    0.17339
  • Mean Square Error
    0.04157
  • DF error
    143.00000
  • t(b)
    -0.10410
  • p(b)
    0.50554
  • t(a)
    2.89979
  • p(a)
    0.35137
  • Lowerbound of 95% confidence interval for beta
    -0.22898
  • Upperbound of 95% confidence interval for beta
    0.20607
  • Lowerbound of 95% confidence interval for alpha
    0.05519
  • Upperbound of 95% confidence interval for alpha
    0.29158
  • Treynor index (mean / b)
    -15.02910
  • Jensen alpha (a)
    0.17339
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.15148
  • SD
    0.19429
  • Sharpe ratio (Glass type estimate)
    0.77965
  • Sharpe ratio (Hedges UMVUE)
    0.77558
  • df
    144.00000
  • t
    2.71013
  • p
    0.38985
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.20736
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.34931
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.20467
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.34649
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.52618
  • Upside Potential Ratio
    3.28267
  • Upside part of mean
    0.32582
  • Downside part of mean
    -0.17434
  • Upside SD
    0.17190
  • Downside SD
    0.09925
  • N nonnegative terms
    83.00000
  • N negative terms
    62.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    145.00000
  • Mean of predictor
    0.09289
  • Mean of criterion
    0.15148
  • SD of predictor
    0.15658
  • SD of criterion
    0.19429
  • Covariance
    -0.00020
  • r
    -0.00643
  • b (slope, estimate of beta)
    -0.00798
  • a (intercept, estimate of alpha)
    0.15222
  • Mean Square Error
    0.03801
  • DF error
    143.00000
  • t(b)
    -0.07693
  • p(b)
    0.50409
  • t(a)
    2.67478
  • p(a)
    0.36215
  • Lowerbound of 95% confidence interval for beta
    -0.21309
  • Upperbound of 95% confidence interval for beta
    0.19712
  • Lowerbound of 95% confidence interval for alpha
    0.03973
  • Upperbound of 95% confidence interval for alpha
    0.26472
  • Treynor index (mean / b)
    -18.97690
  • Jensen alpha (a)
    0.15222
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.07654
  • Expected Shortfall on VaR
    0.09774
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02969
  • Expected Shortfall on VaR
    0.05798
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    145.00000
  • Minimum
    0.89129
  • Quartile 1
    0.97829
  • Median
    1.01318
  • Quartile 3
    1.04119
  • Maximum
    1.27878
  • Mean of quarter 1
    0.95481
  • Mean of quarter 2
    0.99554
  • Mean of quarter 3
    1.02847
  • Mean of quarter 4
    1.08960
  • Inter Quartile Range
    0.06290
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    5.00000
  • Percentage of outliers high
    0.03448
  • Mean of outliers high
    1.20712
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.31517
  • VaR(95%) (moments method)
    0.04982
  • Expected Shortfall (moments method)
    0.08244
  • Extreme Value Index (regression method)
    0.18790
  • VaR(95%) (regression method)
    0.04233
  • Expected Shortfall (regression method)
    0.06049
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    21.00000
  • Minimum
    0.00377
  • Quartile 1
    0.01994
  • Median
    0.04039
  • Quartile 3
    0.09035
  • Maximum
    0.16901
  • Mean of quarter 1
    0.01373
  • Mean of quarter 2
    0.03360
  • Mean of quarter 3
    0.07359
  • Mean of quarter 4
    0.13856
  • Inter Quartile Range
    0.07041
  • 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)
    -4.49568
  • VaR(95%) (moments method)
    0.13663
  • Expected Shortfall (moments method)
    0.13666
  • Extreme Value Index (regression method)
    -0.87126
  • VaR(95%) (regression method)
    0.14889
  • Expected Shortfall (regression method)
    0.15694
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.64033
  • Compounded annual return (geometric extrapolation)
    0.19648
  • Calmar ratio (compounded annual return / max draw down)
    1.16257
  • Compounded annual return / average of 25% largest draw downs
    1.41807
  • Compounded annual return / Expected Shortfall lognormal
    2.01023
  • 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
    0.16232
  • SD
    0.15530
  • Sharpe ratio (Glass type estimate)
    1.04520
  • Sharpe ratio (Hedges UMVUE)
    1.04496
  • df
    3173.00000
  • t
    3.63793
  • p
    0.00014
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.48142
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.60882
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.48126
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.60866
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.51849
  • Upside Potential Ratio
    8.57757
  • Upside part of mean
    0.91692
  • Downside part of mean
    -0.75460
  • Upside SD
    0.11307
  • Downside SD
    0.10690
  • N nonnegative terms
    1745.00000
  • N negative terms
    1429.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    3174.00000
  • Mean of predictor
    0.10577
  • Mean of criterion
    0.16232
  • SD of predictor
    0.16898
  • SD of criterion
    0.15530
  • Covariance
    0.00162
  • r
    0.06191
  • b (slope, estimate of beta)
    0.05690
  • a (intercept, estimate of alpha)
    0.15600
  • Mean Square Error
    0.02403
  • DF error
    3172.00000
  • t(b)
    3.49373
  • p(b)
    0.00024
  • t(a)
    3.50660
  • p(a)
    0.00023
  • Lowerbound of 95% confidence interval for beta
    0.02497
  • Upperbound of 95% confidence interval for beta
    0.08884
  • Lowerbound of 95% confidence interval for alpha
    0.06891
  • Upperbound of 95% confidence interval for alpha
    0.24370
  • Treynor index (mean / b)
    2.85269
  • Jensen alpha (a)
    0.15630
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.15020
  • SD
    0.15540
  • Sharpe ratio (Glass type estimate)
    0.96653
  • Sharpe ratio (Hedges UMVUE)
    0.96630
  • df
    3173.00000
  • t
    3.36410
  • p
    0.00039
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.40286
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.53009
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.40269
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.52992
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.38792
  • Upside Potential Ratio
    8.41386
  • Upside part of mean
    0.91052
  • Downside part of mean
    -0.76033
  • Upside SD
    0.11188
  • Downside SD
    0.10822
  • N nonnegative terms
    1745.00000
  • N negative terms
    1429.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    3174.00000
  • Mean of predictor
    0.09141
  • Mean of criterion
    0.15020
  • SD of predictor
    0.16953
  • SD of criterion
    0.15540
  • Covariance
    0.00164
  • r
    0.06241
  • b (slope, estimate of beta)
    0.05721
  • a (intercept, estimate of alpha)
    0.14497
  • Mean Square Error
    0.02406
  • DF error
    3172.00000
  • t(b)
    3.52181
  • p(b)
    0.00022
  • t(a)
    3.25099
  • p(a)
    0.00058
  • Lowerbound of 95% confidence interval for beta
    0.02536
  • Upperbound of 95% confidence interval for beta
    0.08906
  • Lowerbound of 95% confidence interval for alpha
    0.05754
  • Upperbound of 95% confidence interval for alpha
    0.23240
  • Treynor index (mean / b)
    2.62542
  • Jensen alpha (a)
    0.14497
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01510
  • Expected Shortfall on VaR
    0.01904
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00613
  • Expected Shortfall on VaR
    0.01280
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    3174.00000
  • Minimum
    0.93891
  • Quartile 1
    0.99685
  • Median
    1.00063
  • Quartile 3
    1.00461
  • Maximum
    1.05556
  • Mean of quarter 1
    0.98968
  • Mean of quarter 2
    0.99907
  • Mean of quarter 3
    1.00237
  • Mean of quarter 4
    1.01178
  • Inter Quartile Range
    0.00776
  • Number outliers low
    165.00000
  • Percentage of outliers low
    0.05198
  • Mean of outliers low
    0.97725
  • Number of outliers high
    157.00000
  • Percentage of outliers high
    0.04946
  • Mean of outliers high
    1.02356
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.34878
  • VaR(95%) (moments method)
    0.00970
  • Expected Shortfall (moments method)
    0.01786
  • Extreme Value Index (regression method)
    0.14996
  • VaR(95%) (regression method)
    0.00966
  • Expected Shortfall (regression method)
    0.01502
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    89.00000
  • Minimum
    0.00007
  • Quartile 1
    0.00440
  • Median
    0.01834
  • Quartile 3
    0.05508
  • Maximum
    0.19820
  • Mean of quarter 1
    0.00198
  • Mean of quarter 2
    0.01084
  • Mean of quarter 3
    0.03188
  • Mean of quarter 4
    0.10408
  • Inter Quartile Range
    0.05068
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    5.00000
  • Percentage of outliers high
    0.05618
  • Mean of outliers high
    0.17645
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -0.01560
  • VaR(95%) (moments method)
    0.10444
  • Expected Shortfall (moments method)
    0.13448
  • Extreme Value Index (regression method)
    -0.02774
  • VaR(95%) (regression method)
    0.08907
  • Expected Shortfall (regression method)
    0.10889
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.63153
  • Compounded annual return (geometric extrapolation)
    0.19495
  • Calmar ratio (compounded annual return / max draw down)
    0.98360
  • Compounded annual return / average of 25% largest draw downs
    1.87301
  • Compounded annual return / Expected Shortfall lognormal
    10.23900
  • 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
    -0.03702
  • SD
    0.14347
  • Sharpe ratio (Glass type estimate)
    -0.25803
  • Sharpe ratio (Hedges UMVUE)
    -0.25654
  • df
    130.00000
  • t
    -0.18246
  • p
    0.50800
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.02954
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.51443
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.02852
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.51544
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.38698
  • Upside Potential Ratio
    7.62977
  • Upside part of mean
    0.72988
  • Downside part of mean
    -0.76690
  • Upside SD
    0.10620
  • Downside SD
    0.09566
  • N nonnegative terms
    63.00000
  • N negative terms
    68.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.20028
  • Mean of criterion
    -0.03702
  • SD of predictor
    0.13489
  • SD of criterion
    0.14347
  • Covariance
    0.00518
  • r
    0.26788
  • b (slope, estimate of beta)
    0.28491
  • a (intercept, estimate of alpha)
    -0.09408
  • Mean Square Error
    0.01925
  • DF error
    129.00000
  • t(b)
    3.15795
  • p(b)
    0.33153
  • t(a)
    -0.47741
  • p(a)
    0.52673
  • Lowerbound of 95% confidence interval for beta
    0.10641
  • Upperbound of 95% confidence interval for beta
    0.46341
  • Lowerbound of 95% confidence interval for alpha
    -0.48397
  • Upperbound of 95% confidence interval for alpha
    0.29581
  • Treynor index (mean / b)
    -0.12993
  • Jensen alpha (a)
    -0.09408
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.04718
  • SD
    0.14297
  • Sharpe ratio (Glass type estimate)
    -0.33002
  • Sharpe ratio (Hedges UMVUE)
    -0.32811
  • df
    130.00000
  • t
    -0.23336
  • p
    0.51023
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.10151
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.44268
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.10020
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.44398
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.48905
  • Upside Potential Ratio
    7.50687
  • Upside part of mean
    0.72426
  • Downside part of mean
    -0.77145
  • Upside SD
    0.10481
  • Downside SD
    0.09648
  • N nonnegative terms
    63.00000
  • N negative terms
    68.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.19114
  • Mean of criterion
    -0.04718
  • SD of predictor
    0.13507
  • SD of criterion
    0.14297
  • Covariance
    0.00522
  • r
    0.27009
  • b (slope, estimate of beta)
    0.28590
  • a (intercept, estimate of alpha)
    -0.10183
  • Mean Square Error
    0.01910
  • DF error
    129.00000
  • t(b)
    3.18608
  • p(b)
    0.33017
  • t(a)
    -0.51906
  • p(a)
    0.52905
  • VAR (95 Confidence Intrvl)
    0.01500
  • Lowerbound of 95% confidence interval for beta
    0.10836
  • Upperbound of 95% confidence interval for beta
    0.46344
  • Lowerbound of 95% confidence interval for alpha
    -0.48998
  • Upperbound of 95% confidence interval for alpha
    0.28632
  • Treynor index (mean / b)
    -0.16503
  • Jensen alpha (a)
    -0.10183
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01460
  • Expected Shortfall on VaR
    0.01823
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00691
  • Expected Shortfall on VaR
    0.01336
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.97102
  • Quartile 1
    0.99654
  • Median
    1.00003
  • Quartile 3
    1.00349
  • Maximum
    1.04498
  • Mean of quarter 1
    0.99024
  • Mean of quarter 2
    0.99836
  • Mean of quarter 3
    1.00132
  • Mean of quarter 4
    1.00998
  • Inter Quartile Range
    0.00695
  • Number outliers low
    8.00000
  • Percentage of outliers low
    0.06107
  • Mean of outliers low
    0.98088
  • Number of outliers high
    6.00000
  • Percentage of outliers high
    0.04580
  • Mean of outliers high
    1.02447
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.10704
  • VaR(95%) (moments method)
    0.00885
  • Expected Shortfall (moments method)
    0.01296
  • Extreme Value Index (regression method)
    0.07780
  • VaR(95%) (regression method)
    0.00911
  • Expected Shortfall (regression method)
    0.01314
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    5.00000
  • Minimum
    0.00006
  • Quartile 1
    0.00763
  • Median
    0.01700
  • Quartile 3
    0.02787
  • Maximum
    0.09153
  • Mean of quarter 1
    0.00385
  • Mean of quarter 2
    0.01700
  • Mean of quarter 3
    0.02787
  • Mean of quarter 4
    0.09153
  • Inter Quartile Range
    0.02023
  • 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
    0.20000
  • Mean of outliers high
    0.09153
  • 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 Negative
    0.50%
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -392328000
  • Max Equity Drawdown (num days)
    195
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.01918
  • Compounded annual return (geometric extrapolation)
    -0.01909
  • Calmar ratio (compounded annual return / max draw down)
    -0.20860
  • Compounded annual return / average of 25% largest draw downs
    -0.20860
  • Compounded annual return / Expected Shortfall lognormal
    -1.04750

Strategy Description

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


What to expect:

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

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

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


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 auto-traded?

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.

Trade this strategy at Interactive Brokers

Summary Statistics

Strategy began
2012-08-04
Suggested Minimum Capital
$800,000
# Trades
3141
# Profitable
1153
% Profitable
36.7%
Net Dividends
$207,781
Correlation S&P500
0.063
Sharpe Ratio
0.81
Sortino Ratio
1.17
Beta
0.06
Alpha
0.04
Leverage
1.77 Average
7.28 Maximum
Summary
Higher leverage = greater risk.

More information about leverage

Collective2 calculates the maximum leverage used by a strategy in each day. We then display the average of these measurements (i.e. the average daily maximum leverage) and the greatest of these measurements (maximum daily leverage).

Leverage is the ratio of total notional value controlled by a strategy divided by its Model Account equity. Generally higher leverage implies greater risk.

Example of calculation:
The Strategy buys 100 shares of stock at $12 per share.
The Model Account equity during that day is $5,000.
The leverage is: $1200 / $5,000 = 0.24

This is a useful measurement, but it should be considered in context. This measurement doesn't take into account important factors, such as when multiple positions are held that are inversely correlated. Nor does the measurement take into account the volatility of the instruments being held.

In addition, certain asset classes are inherently more leveraged than others. For example, futures contracts are highly leveraged. Forex positions are often even more leveraged than futures.

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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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?

Mark as Private Keep Public

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.