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The Momentum of Now
(75800796)

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

Subscriptions not available

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

Subscription terms. Subscriptions to this system cost $50.00 per month.

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.

23.2%
Annual Return (Compounded)

Rate of Return Calculations

Overview

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

How Annualized (Compounded) Rate of Return is calculated

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

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

All results are hypothetical.

(24.1%)
Max Drawdown
1823
Num Trades
34.9%
Win Trades
1.4 : 1
Profit Factor
56.2%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2012                                                 +3.9%+7.6%+1.0%+1.6%(0.4%)+14.1%
2013+13.8%+0.7%+9.1%(1.6%)+0.1%(5.4%)(2.6%)(2.3%)+22.0%+8.2%+20.9%(0.5%)+75.9%
2014+10.3%(2.2%)(2.2%)(3%)+1.4%(1.2%)(8.4%)+4.2%(0.6%)+2.8%+3.2%+2.5%+5.6%
2015(1.2%)+7.0%+4.6%(5.4%)+20.3%+2.7%+17.4%(4.1%)+3.6%(1.8%)+2.6%+1.8%+54.4%
2016(0.2%)(4.8%)(5.3%)+3.8%(3.9%)+3.4%(0.5%)+0.7%+1.8%+0.5%+9.2%(2.4%)+1.3%
2017(2%)+8.6%+1.0%+5.3%+10.4%(7.2%)+6.9%+6.6%+2.7%+2.6%(3%)(1.3%)+33.1%
2018+9.0%(1.4%)+1.2%(2.6%)+15.5%(2.2%)(5.6%)+7.9%(4.9%)(7.4%)(0.4%)+0.5%+7.4%
2019  -  +4.1%(3.9%)+3.2%  -  +2.2%+1.4%(2.7%)(2.9%)(0.7%)+0.3%+7.1%+7.8%
2020+2.5%(4.4%)+5.7%(2.4%)(3%)+4.1%+0.6%                              +2.7%

Model Account Details

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

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

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

Trading Record

This strategy has placed 2,901 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
7/1/20 9:30 CLDX CELLDEX THERAPEUTICS LONG 831 13.41 7/10 11:29 11.66 0.27%
Trade id #129842186
Max drawdown($1,479)
Time7/10/20 11:29
Quant open831
Worst price11.63
Drawdown as % of equity-0.27%
($1,463)
Includes Typical Broker Commissions trade costs of $5.00
6/29/20 9:30 PTGX PROTAGONIST THERAPEUTICS INC. COMMON STOCK LONG 456 18.83 7/10 9:30 17.44 0.16%
Trade id #129800085
Max drawdown($834)
Time6/29/20 15:10
Quant open456
Worst price17.00
Drawdown as % of equity-0.16%
($643)
Includes Typical Broker Commissions trade costs of $9.12
7/2/20 9:30 MGNX MACROGENICS INC. COMMON STOCK LONG 548 29.66 7/8 9:30 30.46 0.11%
Trade id #129876398
Max drawdown($594)
Time7/6/20 0:00
Quant open548
Worst price28.57
Drawdown as % of equity-0.11%
$434
Includes Typical Broker Commissions trade costs of $5.00
6/26/20 9:30 AGRX AGILE THERAPEUTICS INC. COMMO LONG 2,846 2.98 7/8 9:30 2.66 0.17%
Trade id #129772753
Max drawdown($910)
Time7/7/20 0:00
Quant open2,846
Worst price2.66
Drawdown as % of equity-0.17%
($905)
Includes Typical Broker Commissions trade costs of $5.00
7/6/20 9:30 MARK REMARK HOLDINGS INC LONG 3,958 2.54 7/6 9:48 2.64 0.09%
Trade id #129922107
Max drawdown($514)
Time7/6/20 9:34
Quant open3,958
Worst price2.41
Drawdown as % of equity-0.09%
$391
Includes Typical Broker Commissions trade costs of $5.00
6/12/20 9:30 ZIV VELOCITYSHARES DAILY INVERSE V SHORT 414 27.96 7/2 9:30 29.64 0.13%
Trade id #129528639
Max drawdown($695)
Time7/2/20 9:30
Quant open414
Worst price29.64
Drawdown as % of equity-0.13%
($704)
Includes Typical Broker Commissions trade costs of $8.28
7/1/20 9:30 SRNE SORRENTO THERAPEUTICS INC. C LONG 1,859 6.21 7/1 12:09 6.85 0.07%
Trade id #129842168
Max drawdown($353)
Time7/1/20 9:54
Quant open1,859
Worst price6.02
Drawdown as % of equity-0.07%
$1,190
Includes Typical Broker Commissions trade costs of $5.00
6/15/20 9:30 JNUG DIREXION DAILY JR GOLD BULL 2X SHORT 57 81.49 6/30 10:37 106.97 0.28%
Trade id #129554929
Max drawdown($1,458)
Time6/30/20 10:37
Quant open57
Worst price107.08
Drawdown as % of equity-0.28%
($1,453)
Includes Typical Broker Commissions trade costs of $1.14
6/16/20 9:30 VIR VIR BIOTECHNOLOGY INC. LONG 189 36.00 6/30 9:30 36.59 0.06%
Trade id #129577374
Max drawdown($308)
Time6/16/20 9:42
Quant open189
Worst price34.37
Drawdown as % of equity-0.06%
$108
Includes Typical Broker Commissions trade costs of $3.78
6/25/20 9:30 ACMR ACM RESEARCH INC. CLASS A COMMON STOCK LONG 109 63.55 6/30 9:30 58.51 0.15%
Trade id #129754341
Max drawdown($797)
Time6/29/20 0:00
Quant open109
Worst price56.23
Drawdown as % of equity-0.15%
($551)
Includes Typical Broker Commissions trade costs of $2.18
6/22/20 9:30 MYOK MYOKARDIA INC. COMMON STOCK LONG 101 100.88 6/30 9:30 95.94 0.1%
Trade id #129684798
Max drawdown($514)
Time6/29/20 0:00
Quant open101
Worst price95.79
Drawdown as % of equity-0.10%
($501)
Includes Typical Broker Commissions trade costs of $2.02
6/23/20 9:30 ALLO ALLOGENE THERAPEUTICS INC LONG 176 43.13 6/30 9:30 41.72 0.06%
Trade id #129703044
Max drawdown($288)
Time6/29/20 0:00
Quant open176
Worst price41.49
Drawdown as % of equity-0.06%
($252)
Includes Typical Broker Commissions trade costs of $3.52
6/29/20 9:30 ADAP ADAPTIMMUNE THERAPEUTICS PLC AMERICAN DEPOSITARY S LONG 1,191 9.69 6/29 9:30 0.00 0.15%
Trade id #129800074
Max drawdown($809)
Time6/30/20 0:00
Quant open1,191
Worst price9.01
Drawdown as % of equity-0.15%
($11,548)
Includes Typical Broker Commissions trade costs of $2.50
6/26/20 9:30 RLMD RELMADA THERAPEUTICS INC LONG 386 50.75 6/26 10:18 44.12 0.5%
Trade id #129772746
Max drawdown($2,602)
Time6/26/20 10:18
Quant open386
Worst price44.01
Drawdown as % of equity-0.50%
($2,567)
Includes Typical Broker Commissions trade costs of $7.72
6/22/20 9:30 CIDM CINEDIGM CORP. CLASS A COMMON LONG 2,227 2.37 6/26 10:03 1.83 0.23%
Trade id #129684799
Max drawdown($1,202)
Time6/26/20 10:03
Quant open2,227
Worst price1.83
Drawdown as % of equity-0.23%
($1,206)
Includes Typical Broker Commissions trade costs of $5.00
6/22/20 9:30 DKNG DRAFTKINGS INC. CLASS A COMMON STOCK LONG 169 42.94 6/25 9:30 36.86 0.21%
Trade id #129684787
Max drawdown($1,088)
Time6/24/20 0:00
Quant open169
Worst price36.50
Drawdown as % of equity-0.21%
($1,031)
Includes Typical Broker Commissions trade costs of $3.38
6/23/20 9:30 TECH BIO-TECHNE CORP COMMON STOCK LONG 118 265.00 6/25 9:30 253.93 0.34%
Trade id #129703024
Max drawdown($1,773)
Time6/24/20 0:00
Quant open118
Worst price249.97
Drawdown as % of equity-0.34%
($1,308)
Includes Typical Broker Commissions trade costs of $2.36
6/24/20 9:30 GNPX GENPREX INC. COMMON STOCK LONG 4,269 3.19 6/24 14:03 3.36 0.05%
Trade id #129722993
Max drawdown($274)
Time6/24/20 9:58
Quant open4,269
Worst price3.13
Drawdown as % of equity-0.05%
$721
Includes Typical Broker Commissions trade costs of $5.00
6/22/20 9:30 APLT APPLIED THERAPEUTICS INC LONG 159 48.43 6/24 9:30 43.30 0.17%
Trade id #129684809
Max drawdown($863)
Time6/23/20 0:00
Quant open159
Worst price43.00
Drawdown as % of equity-0.17%
($819)
Includes Typical Broker Commissions trade costs of $3.18
6/19/20 9:30 TW TRADEWEB MARKETS INC. CLASS A COMMON STOCK LONG 406 64.63 6/24 9:30 62.10 0.27%
Trade id #129658359
Max drawdown($1,374)
Time6/23/20 0:00
Quant open406
Worst price61.25
Drawdown as % of equity-0.27%
($1,037)
Includes Typical Broker Commissions trade costs of $8.12
6/22/20 9:30 CODX CO-DIAGNOSTICS INC. COMMON STOCK LONG 701 17.17 6/23 15:57 18.81 0.16%
Trade id #129684805
Max drawdown($799)
Time6/22/20 10:32
Quant open701
Worst price16.03
Drawdown as % of equity-0.16%
$1,145
Includes Typical Broker Commissions trade costs of $5.00
6/15/20 9:30 CCXI CHEMOCENTRYX LONG 140 63.77 6/22 9:30 58.44 0.15%
Trade id #129554914
Max drawdown($768)
Time6/19/20 0:00
Quant open140
Worst price58.28
Drawdown as % of equity-0.15%
($749)
Includes Typical Broker Commissions trade costs of $2.80
6/15/20 9:30 NVAX NOVAVAX LONG 227 45.94 6/15 10:13 50.41 0.04%
Trade id #129554959
Max drawdown($213)
Time6/15/20 10:09
Quant open227
Worst price45.00
Drawdown as % of equity-0.04%
$1,010
Includes Typical Broker Commissions trade costs of $4.54
6/1/20 9:30 LABD DIREXION DAILY S&P BIOTECH BEAR 3X SHORT 2,160 4.74 6/12 9:30 4.88 0.21%
Trade id #129286132
Max drawdown($1,080)
Time6/11/20 0:00
Quant open2,160
Worst price5.24
Drawdown as % of equity-0.21%
($307)
Includes Typical Broker Commissions trade costs of $5.00
6/1/20 9:30 VHT VANGUARD HEALTH CARE ETF LONG 135 195.58 6/11 12:15 188.43 0.19%
Trade id #129286115
Max drawdown($941)
Time6/11/20 12:11
Quant open135
Worst price188.61
Drawdown as % of equity-0.19%
($968)
Includes Typical Broker Commissions trade costs of $2.70
6/2/20 9:30 WING WINGSTOP INC. COMMON STOCK LONG 108 123.47 6/8 9:30 119.59 0.11%
Trade id #129308156
Max drawdown($525)
Time6/5/20 0:00
Quant open108
Worst price118.60
Drawdown as % of equity-0.11%
($421)
Includes Typical Broker Commissions trade costs of $2.16
6/2/20 9:30 ZAGG ZAGG SHORT 2,391 2.78 6/5 11:29 3.22 0.2%
Trade id #129308164
Max drawdown($1,002)
Time6/5/20 11:27
Quant open2,391
Worst price3.20
Drawdown as % of equity-0.20%
($1,065)
Includes Typical Broker Commissions trade costs of $5.00
6/2/20 9:30 CHGG CHEGG INC LONG 153 62.68 6/5 9:30 57.60 0.16%
Trade id #129308140
Max drawdown($783)
Time6/5/20 9:30
Quant open153
Worst price57.56
Drawdown as % of equity-0.16%
($780)
Includes Typical Broker Commissions trade costs of $3.06
6/1/20 9:30 SGEN SEATTLE GENETICS LONG 83 156.90 6/5 9:30 149.01 0.13%
Trade id #129286124
Max drawdown($663)
Time6/4/20 0:00
Quant open83
Worst price148.91
Drawdown as % of equity-0.13%
($657)
Includes Typical Broker Commissions trade costs of $1.66
5/14/20 9:30 HALL HALLMARK FINANCIAL SHORT 1,026 2.72 6/4 9:30 3.09 0.16%
Trade id #129018596
Max drawdown($819)
Time6/3/20 0:00
Quant open1,026
Worst price3.52
Drawdown as % of equity-0.16%
($385)
Includes Typical Broker Commissions trade costs of $5.00

Statistics

  • Strategy began
    8/4/2012
  • Suggested Minimum Cap
    $35,000
  • Strategy Age (days)
    2900.2
  • Age
    97 months ago
  • What it trades
    Stocks
  • # Trades
    1823
  • # Profitable
    636
  • % Profitable
    34.90%
  • Avg trade duration
    27.3 days
  • Max peak-to-valley drawdown
    24.06%
  • drawdown period
    Jan 21, 2014 - Aug 04, 2014
  • Annual Return (Compounded)
    23.2%
  • Avg win
    $2,570
  • Avg loss
    $1,042
  • Model Account Values (Raw)
  • Cash
    $434,585
  • Margin Used
    $180,600
  • Buying Power
    $304,259
  • Ratios
  • W:L ratio
    1.43:1
  • Sharpe Ratio
    0.98
  • Sortino Ratio
    1.42
  • Calmar Ratio
    1.256
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    298.22%
  • Correlation to SP500
    0.12080
  • Return Percent SP500 (cumu) during strategy life
    126.83%
  • Return Statistics
  • Ann Return (w trading costs)
    23.2%
  • Slump
  • Current Slump as Pcnt Equity
    12.70%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.26%
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.232%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    24.2%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    47.50%
  • Chance of 20% account loss
    23.50%
  • Chance of 30% account loss
    8.00%
  • Chance of 40% account loss
    2.00%
  • Chance of 100% account loss (Monte Carlo)
    100.00%
  • Chance of 70% account loss (Monte Carlo)
    n/a
  • Chance of 80% account loss (Monte Carlo)
    n/a
  • Chance of 60% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 90% account loss (Monte Carlo)
    n/a
  • Chance of 50% account loss
    1.00%
  • Popularity
  • Popularity (Today)
    902
  • Popularity (Last 6 weeks)
    969
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Popularity
  • C2 Score
    919
  • Popularity (7 days, Percentile 1000 scale)
    927
  • Management
  • No Subs Allowed Flag (1: no subs)
    0
  • Strat abandoned?
    0
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $1,042
  • Avg Win
    $2,571
  • Sum Trade PL (losers)
    $1,237,290.000
  • AUM
  • AUM (AutoTrader num accounts)
    4
  • Age
  • Num Months filled monthly returns table
    96
  • Win / Loss
  • Sum Trade PL (winners)
    $1,635,120.000
  • # Winners
    636
  • Num Months Winners
    55
  • Dividends
  • Dividends Received in Model Acct
    61768
  • AUM
  • AUM (AutoTrader live capital)
    699431
  • Win / Loss
  • # Losers
    1187
  • % Winners
    34.9%
  • Frequency
  • Avg Position Time (mins)
    27128.00
  • Avg Position Time (hrs)
    452.13
  • Avg Trade Length
    18.8 days
  • Last Trade Ago
    0
  • Leverage
  • Daily leverage (average)
    1.64
  • Daily leverage (max)
    3.69
  • Regression
  • Alpha
    0.05
  • Beta
    0.13
  • Treynor Index
    0.45
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.00
  • 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)
    -0.37
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.00
  • Avg(MAE) / Avg(PL) - All trades
    5.367
  • 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
    0.171
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.153
  • Hold-and-Hope Ratio
    0.162
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.21751
  • SD
    0.22537
  • Sharpe ratio (Glass type estimate)
    0.96515
  • Sharpe ratio (Hedges UMVUE)
    0.95735
  • df
    93.00000
  • t
    2.70128
  • p
    0.00410
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.24881
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.67651
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.24368
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.67102
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.16366
  • Upside Potential Ratio
    3.96994
  • Upside part of mean
    0.39910
  • Downside part of mean
    -0.18159
  • Upside SD
    0.20997
  • Downside SD
    0.10053
  • N nonnegative terms
    54.00000
  • N negative terms
    40.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    94.00000
  • Mean of predictor
    0.08681
  • Mean of criterion
    0.21751
  • SD of predictor
    0.15120
  • SD of criterion
    0.22537
  • Covariance
    0.00169
  • r
    0.04957
  • b (slope, estimate of beta)
    0.07388
  • a (intercept, estimate of alpha)
    0.21110
  • Mean Square Error
    0.05122
  • DF error
    92.00000
  • t(b)
    0.47603
  • p(b)
    0.31759
  • t(a)
    2.57519
  • p(a)
    0.00581
  • Lowerbound of 95% confidence interval for beta
    -0.23437
  • Upperbound of 95% confidence interval for beta
    0.38214
  • Lowerbound of 95% confidence interval for alpha
    0.04829
  • Upperbound of 95% confidence interval for alpha
    0.37391
  • Treynor index (mean / b)
    2.94398
  • Jensen alpha (a)
    0.21110
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.19194
  • SD
    0.21418
  • Sharpe ratio (Glass type estimate)
    0.89613
  • Sharpe ratio (Hedges UMVUE)
    0.88888
  • df
    93.00000
  • t
    2.50810
  • p
    0.00694
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.18182
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.60582
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.17704
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.60072
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.84199
  • Upside Potential Ratio
    3.63139
  • Upside part of mean
    0.37839
  • Downside part of mean
    -0.18646
  • Upside SD
    0.19390
  • Downside SD
    0.10420
  • N nonnegative terms
    54.00000
  • N negative terms
    40.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    94.00000
  • Mean of predictor
    0.07475
  • Mean of criterion
    0.19194
  • SD of predictor
    0.15450
  • SD of criterion
    0.21418
  • Covariance
    0.00171
  • r
    0.05174
  • b (slope, estimate of beta)
    0.07173
  • a (intercept, estimate of alpha)
    0.18657
  • Mean Square Error
    0.04625
  • DF error
    92.00000
  • t(b)
    0.49697
  • p(b)
    0.31020
  • t(a)
    2.40455
  • p(a)
    0.00910
  • Lowerbound of 95% confidence interval for beta
    -0.21494
  • Upperbound of 95% confidence interval for beta
    0.35840
  • Lowerbound of 95% confidence interval for alpha
    0.03247
  • Upperbound of 95% confidence interval for alpha
    0.34068
  • Treynor index (mean / b)
    2.67572
  • Jensen alpha (a)
    0.18657
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.08214
  • Expected Shortfall on VaR
    0.10531
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.03171
  • Expected Shortfall on VaR
    0.06130
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    94.00000
  • Minimum
    0.89129
  • Quartile 1
    0.97773
  • Median
    1.01804
  • Quartile 3
    1.04689
  • Maximum
    1.27878
  • Mean of quarter 1
    0.95258
  • Mean of quarter 2
    0.99479
  • Mean of quarter 3
    1.03384
  • Mean of quarter 4
    1.10009
  • Inter Quartile Range
    0.06916
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    4.00000
  • Percentage of outliers high
    0.04255
  • Mean of outliers high
    1.22021
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.24902
  • VaR(95%) (moments method)
    0.05071
  • Expected Shortfall (moments method)
    0.07949
  • Extreme Value Index (regression method)
    0.13262
  • VaR(95%) (regression method)
    0.04825
  • Expected Shortfall (regression method)
    0.06872
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    13.00000
  • Minimum
    0.00377
  • Quartile 1
    0.02099
  • Median
    0.04039
  • Quartile 3
    0.11403
  • Maximum
    0.16901
  • Mean of quarter 1
    0.01292
  • Mean of quarter 2
    0.03641
  • Mean of quarter 3
    0.08995
  • Mean of quarter 4
    0.14898
  • Inter Quartile Range
    0.09304
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -3.03640
  • VaR(95%) (moments method)
    0.15347
  • Expected Shortfall (moments method)
    0.15376
  • Extreme Value Index (regression method)
    -0.63735
  • VaR(95%) (regression method)
    0.16554
  • Expected Shortfall (regression method)
    0.17538
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.58676
  • Compounded annual return (geometric extrapolation)
    0.24588
  • Calmar ratio (compounded annual return / max draw down)
    1.45484
  • Compounded annual return / average of 25% largest draw downs
    1.65044
  • Compounded annual return / Expected Shortfall lognormal
    2.33478
  • 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
    0.20885
  • SD
    0.16966
  • Sharpe ratio (Glass type estimate)
    1.23102
  • Sharpe ratio (Hedges UMVUE)
    1.23057
  • df
    2059.00000
  • t
    3.45182
  • p
    0.00028
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.53090
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.93089
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.53058
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.93056
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.79564
  • Upside Potential Ratio
    9.01424
  • Upside part of mean
    1.04846
  • Downside part of mean
    -0.83961
  • Upside SD
    0.12413
  • Downside SD
    0.11631
  • N nonnegative terms
    1146.00000
  • N negative terms
    914.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    2060.00000
  • Mean of predictor
    0.09044
  • Mean of criterion
    0.20885
  • SD of predictor
    0.16961
  • SD of criterion
    0.16966
  • Covariance
    0.00345
  • r
    0.12004
  • b (slope, estimate of beta)
    0.12007
  • a (intercept, estimate of alpha)
    0.19800
  • Mean Square Error
    0.02838
  • DF error
    2058.00000
  • t(b)
    5.48515
  • p(b)
    0.00000
  • t(a)
    3.29358
  • p(a)
    0.00050
  • Lowerbound of 95% confidence interval for beta
    0.07714
  • Upperbound of 95% confidence interval for beta
    0.16300
  • Lowerbound of 95% confidence interval for alpha
    0.08010
  • Upperbound of 95% confidence interval for alpha
    0.31589
  • Treynor index (mean / b)
    1.73939
  • Jensen alpha (a)
    0.19799
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.19436
  • SD
    0.16978
  • Sharpe ratio (Glass type estimate)
    1.14480
  • Sharpe ratio (Hedges UMVUE)
    1.14439
  • df
    2059.00000
  • t
    3.21006
  • p
    0.00067
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.44483
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.84453
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.44453
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.84424
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.64987
  • Upside Potential Ratio
    8.83470
  • Upside part of mean
    1.04076
  • Downside part of mean
    -0.84640
  • Upside SD
    0.12279
  • Downside SD
    0.11780
  • N nonnegative terms
    1146.00000
  • N negative terms
    914.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    2060.00000
  • Mean of predictor
    0.07597
  • Mean of criterion
    0.19436
  • SD of predictor
    0.17036
  • SD of criterion
    0.16978
  • Covariance
    0.00347
  • r
    0.12014
  • b (slope, estimate of beta)
    0.11973
  • a (intercept, estimate of alpha)
    0.18527
  • Mean Square Error
    0.02842
  • DF error
    2058.00000
  • t(b)
    5.48987
  • p(b)
    0.00000
  • t(a)
    3.08025
  • p(a)
    0.00105
  • Lowerbound of 95% confidence interval for beta
    0.07696
  • Upperbound of 95% confidence interval for beta
    0.16250
  • Lowerbound of 95% confidence interval for alpha
    0.06731
  • Upperbound of 95% confidence interval for alpha
    0.30322
  • Treynor index (mean / b)
    1.62333
  • Jensen alpha (a)
    0.18527
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01638
  • Expected Shortfall on VaR
    0.02067
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00677
  • Expected Shortfall on VaR
    0.01405
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    2060.00000
  • Minimum
    0.93891
  • Quartile 1
    0.99640
  • Median
    1.00090
  • Quartile 3
    1.00569
  • Maximum
    1.05556
  • Mean of quarter 1
    0.98856
  • Mean of quarter 2
    0.99893
  • Mean of quarter 3
    1.00296
  • Mean of quarter 4
    1.01316
  • Inter Quartile Range
    0.00929
  • Number outliers low
    90.00000
  • Percentage of outliers low
    0.04369
  • Mean of outliers low
    0.97411
  • Number of outliers high
    84.00000
  • Percentage of outliers high
    0.04078
  • Mean of outliers high
    1.02668
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.29753
  • VaR(95%) (moments method)
    0.01065
  • Expected Shortfall (moments method)
    0.01849
  • Extreme Value Index (regression method)
    0.14021
  • VaR(95%) (regression method)
    0.01058
  • Expected Shortfall (regression method)
    0.01621
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    65.00000
  • Minimum
    0.00007
  • Quartile 1
    0.00341
  • Median
    0.01360
  • Quartile 3
    0.03963
  • Maximum
    0.19820
  • Mean of quarter 1
    0.00176
  • Mean of quarter 2
    0.00842
  • Mean of quarter 3
    0.02456
  • Mean of quarter 4
    0.10986
  • Inter Quartile Range
    0.03622
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    7.00000
  • Percentage of outliers high
    0.10769
  • Mean of outliers high
    0.15595
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -1.15662
  • VaR(95%) (moments method)
    0.09767
  • Expected Shortfall (moments method)
    0.10352
  • Extreme Value Index (regression method)
    -0.56478
  • VaR(95%) (regression method)
    0.08824
  • Expected Shortfall (regression method)
    0.09976
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.60296
  • Compounded annual return (geometric extrapolation)
    0.24890
  • Calmar ratio (compounded annual return / max draw down)
    1.25583
  • Compounded annual return / average of 25% largest draw downs
    2.26571
  • Compounded annual return / Expected Shortfall lognormal
    12.04220
  • 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
    0.08156
  • SD
    0.13084
  • Sharpe ratio (Glass type estimate)
    0.62336
  • Sharpe ratio (Hedges UMVUE)
    0.61976
  • df
    130.00000
  • t
    0.44078
  • p
    0.48068
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.15057
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.39512
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.15307
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.39259
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.84820
  • Upside Potential Ratio
    8.15120
  • Upside part of mean
    0.78380
  • Downside part of mean
    -0.70224
  • Upside SD
    0.08813
  • Downside SD
    0.09616
  • N nonnegative terms
    72.00000
  • N negative terms
    59.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.00961
  • Mean of criterion
    0.08156
  • SD of predictor
    0.46028
  • SD of criterion
    0.13084
  • Covariance
    -0.00146
  • r
    -0.02420
  • b (slope, estimate of beta)
    -0.00688
  • a (intercept, estimate of alpha)
    0.08163
  • Mean Square Error
    0.01724
  • DF error
    129.00000
  • t(b)
    -0.27488
  • p(b)
    0.51540
  • t(a)
    0.43957
  • p(a)
    0.47539
  • Lowerbound of 95% confidence interval for beta
    -0.05638
  • Upperbound of 95% confidence interval for beta
    0.04263
  • Lowerbound of 95% confidence interval for alpha
    -0.28578
  • Upperbound of 95% confidence interval for alpha
    0.44903
  • Treynor index (mean / b)
    -11.85860
  • Jensen alpha (a)
    0.08163
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.07301
  • SD
    0.13125
  • Sharpe ratio (Glass type estimate)
    0.55629
  • Sharpe ratio (Hedges UMVUE)
    0.55307
  • df
    130.00000
  • t
    0.39335
  • p
    0.48276
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.21731
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.32795
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.21955
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.32569
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.75106
  • Upside Potential Ratio
    8.02232
  • Upside part of mean
    0.77986
  • Downside part of mean
    -0.70685
  • Upside SD
    0.08755
  • Downside SD
    0.09721
  • N nonnegative terms
    72.00000
  • N negative terms
    59.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.09652
  • Mean of criterion
    0.07301
  • SD of predictor
    0.46381
  • SD of criterion
    0.13125
  • Covariance
    -0.00147
  • r
    -0.02409
  • b (slope, estimate of beta)
    -0.00682
  • a (intercept, estimate of alpha)
    0.07235
  • Mean Square Error
    0.01735
  • DF error
    129.00000
  • t(b)
    -0.27369
  • p(b)
    0.51533
  • t(a)
    0.38839
  • p(a)
    0.47825
  • VAR (95 Confidence Intrvl)
    0.01600
  • Lowerbound of 95% confidence interval for beta
    -0.05610
  • Upperbound of 95% confidence interval for beta
    0.04246
  • Lowerbound of 95% confidence interval for alpha
    -0.29623
  • Upperbound of 95% confidence interval for alpha
    0.44094
  • Treynor index (mean / b)
    -10.71020
  • Jensen alpha (a)
    0.07235
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01297
  • Expected Shortfall on VaR
    0.01631
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00572
  • Expected Shortfall on VaR
    0.01180
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.96290
  • Quartile 1
    0.99609
  • Median
    1.00071
  • Quartile 3
    1.00408
  • Maximum
    1.02078
  • Mean of quarter 1
    0.99077
  • Mean of quarter 2
    0.99890
  • Mean of quarter 3
    1.00245
  • Mean of quarter 4
    1.00962
  • Inter Quartile Range
    0.00799
  • Number outliers low
    3.00000
  • Percentage of outliers low
    0.02290
  • Mean of outliers low
    0.97150
  • Number of outliers high
    4.00000
  • Percentage of outliers high
    0.03053
  • Mean of outliers high
    1.01805
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.44437
  • VaR(95%) (moments method)
    0.01016
  • Expected Shortfall (moments method)
    0.01992
  • Extreme Value Index (regression method)
    0.40130
  • VaR(95%) (regression method)
    0.00744
  • Expected Shortfall (regression method)
    0.01231
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    5.00000
  • Minimum
    0.00061
  • Quartile 1
    0.00481
  • Median
    0.01512
  • Quartile 3
    0.04059
  • Maximum
    0.08888
  • Mean of quarter 1
    0.00271
  • Mean of quarter 2
    0.01512
  • Mean of quarter 3
    0.04059
  • Mean of quarter 4
    0.08888
  • Inter Quartile Range
    0.03579
  • 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
  • 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?
    -303632000
  • Max Equity Drawdown (num days)
    195
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.10351
  • Compounded annual return (geometric extrapolation)
    0.10619
  • Calmar ratio (compounded annual return / max draw down)
    1.19470
  • Compounded annual return / average of 25% largest draw downs
    1.19470
  • Compounded annual return / Expected Shortfall lognormal
    6.51131

Strategy Description

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


What to expect:

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

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

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

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


Frequently asked questions:

Does this system need to be auto-traded?

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


Do you short stocks?

Yes.


Do you use leverage?

Rarely, but yes during strongly trending markets.


Do you use stops?

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


How has the system performed during backtesting?

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


What will happen during bear markets?

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

Summary Statistics

Strategy began
2012-08-04
Suggested Minimum Capital
$35,000
Rank at C2 %
Top 8.1%
Rank # 
#51
# Trades
1823
# Profitable
636
% Profitable
34.9%
Net Dividends
Correlation S&P500
0.121
Sharpe Ratio
0.98
Sortino Ratio
1.42
Beta
0.13
Alpha
0.05
Leverage
1.64 Average
3.69 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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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.