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

Top Fifteen US Stocks
(77884102)

Created by: BenGraham BenGraham
Started: 11/2012
Stocks
Last trade: 1,775 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 $49.00 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.

15.0%
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.

(87.3%)
Max Drawdown
112
Num Trades
75.9%
Win Trades
2.6 : 1
Profit Factor
50.0%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2012                                                                      +0.6%+8.3%+8.9%
2013+9.5%(0.3%)+5.2%+2.5%+12.1%(6%)+14.6%(5.5%)+11.8%+11.1%+2.4%(6.2%)+60.3%
2014(10.7%)+20.2%(7.8%)(7.2%)(7.3%)+3.7%(18.4%)+22.2%(25.8%)+19.8%(6.1%)+5.8%(22.3%)
2015(20.7%)  -  (16.8%)(6.3%)(15%)+0.9%(12%)(26.5%)  -  +5.7%(10.3%)(0.9%)(67.8%)
2016  -  (30.4%)+340.3%(0.5%)(6%)+9.3%(2.2%)+52.5%(0.4%)(35.4%)(1.1%)+169.5%
2017+64.5%+13.1%+22.5%+0.1%+0.5%+3.4%(3.7%)+1.8%+4.6%(0.6%)+0.4%+0.6%+144.2%
2018+0.2%(2.2%)+4.0%+2.4%+3.4%+0.1%+4.5%+7.5%+0.3%(2.3%)(1.7%)(6.9%)+8.7%
2019(13.2%)+5.8%(9.1%)+10.5%(3.2%)(2.9%)(0.3%)(6.1%)+2.6%                  (16.8%)

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.

Trading Record

This strategy has placed 168 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
12/11/12 15:56 QLGC QLOGIC LONG 193 9.29 11/12/14 14:58 11.74 0.67%
Trade id #78101910
Max drawdown($79)
Time10/13/14 9:33
Quant open193
Worst price8.88
Drawdown as % of equity-0.67%
$469
Includes Typical Broker Commissions trade costs of $3.86
3/26/13 12:12 PDLI PDL BIOPHARMA LONG 278 7.64 10/29/14 13:49 8.40 0.91%
Trade id #79896092
Max drawdown($115)
Time10/7/14 9:34
Quant open278
Worst price7.22
Drawdown as % of equity-0.91%
$206
Includes Typical Broker Commissions trade costs of $5.56
7/8/14 12:41 EBIX EBIX LONG 527 4.40 10/16 10:40 4.61 0.98%
Trade id #88479654
Max drawdown($120)
Time10/15/14 9:41
Quant open174
Worst price12.64
Drawdown as % of equity-0.98%
$105
Includes Typical Broker Commissions trade costs of $5.00
7/11/13 15:58 RSH RADIOSHACK LONG 733 2.61 9/16/14 13:33 1.03 10.52%
Trade id #81960907
Max drawdown($1,494)
Time8/18/14 9:58
Quant open733
Worst price0.57
Drawdown as % of equity-10.52%
($1,163)
Includes Typical Broker Commissions trade costs of $5.00
3/31/14 13:25 AEO AMERICAN EAGLE LONG 178 12.24 9/4 15:56 14.40 2.57%
Trade id #86777962
Max drawdown($345)
Time8/5/14 9:35
Quant open178
Worst price10.30
Drawdown as % of equity-2.57%
$380
Includes Typical Broker Commissions trade costs of $3.56
7/11/14 15:57 DO DIAMOND OFFSHORE DRILLING LONG 44 47.70 8/4 15:56 47.08 0.63%
Trade id #88544471
Max drawdown($97)
Time8/4/14 13:25
Quant open44
Worst price45.48
Drawdown as % of equity-0.63%
($28)
Includes Typical Broker Commissions trade costs of $0.88
6/13/14 15:46 ACAS AMERICAN CAPITAL LONG 134 14.80 7/11 15:56 15.49 0.18%
Trade id #88106748
Max drawdown($29)
Time6/17/14 9:51
Quant open134
Worst price14.58
Drawdown as % of equity-0.18%
$89
Includes Typical Broker Commissions trade costs of $2.68
4/28/14 10:25 GES GUESS LONG 80 26.77 7/8 12:41 28.71 0.69%
Trade id #87268717
Max drawdown($112)
Time6/12/14 9:38
Quant open80
Worst price25.37
Drawdown as % of equity-0.69%
$153
Includes Typical Broker Commissions trade costs of $1.60
6/5/14 11:20 EBIX EBIX LONG 436 4.30 6/13 15:45 4.55 0.29%
Trade id #87948022
Max drawdown($47)
Time6/6/14 10:50
Quant open144
Worst price12.71
Drawdown as % of equity-0.29%
$99
Includes Typical Broker Commissions trade costs of $8.72
3/26/13 12:12 ACAS AMERICAN CAPITAL LONG 127 14.38 6/5/14 11:19 14.75 1.31%
Trade id #79896076
Max drawdown($188)
Time7/5/13 13:22
Quant open83
Worst price12.57
Drawdown as % of equity-1.31%
$43
Includes Typical Broker Commissions trade costs of $2.54
1/31/14 12:29 CRUS CIRRUS LOGIC LONG 127 17.69 4/28 10:22 22.06 0.18%
Trade id #85521254
Max drawdown($27)
Time2/6/14 9:31
Quant open127
Worst price17.47
Drawdown as % of equity-0.18%
$552
Includes Typical Broker Commissions trade costs of $2.54
3/21/14 15:07 DO DIAMOND OFFSHORE DRILLING LONG 51 46.94 4/17 15:05 48.49 0.33%
Trade id #86614864
Max drawdown($55)
Time4/11/14 15:55
Quant open51
Worst price45.86
Drawdown as % of equity-0.33%
$78
Includes Typical Broker Commissions trade costs of $1.02
10/1/13 15:00 OVTI OMNIVISION TECHNOLOGIES INC LONG 170 15.21 4/3/14 12:20 18.35 0.01%
Trade id #83248018
Max drawdown($1)
Time2/26/14 10:00
Quant open170
Worst price15.20
Drawdown as % of equity-0.01%
$531
Includes Typical Broker Commissions trade costs of $3.40
2/27/14 14:02 APOL APOLLO EDUCATION GROUP INC. C LONG 67 33.80 4/1 10:24 34.58 0.71%
Trade id #86206247
Max drawdown($129)
Time3/12/14 9:47
Quant open67
Worst price31.86
Drawdown as % of equity-0.71%
$51
Includes Typical Broker Commissions trade costs of $1.34
11/4/13 10:18 IDCC INTERDIGITAL LONG 65 34.70 3/31/14 13:25 33.34 1.54%
Trade id #83871716
Max drawdown($304)
Time3/3/14 10:38
Quant open65
Worst price30.01
Drawdown as % of equity-1.54%
($89)
Includes Typical Broker Commissions trade costs of $1.30
2/7/14 15:04 MGLN MAGELLAN HEALTH INC. COMMON S LONG 37 59.62 3/21 15:06 59.34 0.35%
Trade id #85668522
Max drawdown($62)
Time3/18/14 9:31
Quant open37
Worst price57.92
Drawdown as % of equity-0.35%
($11)
Includes Typical Broker Commissions trade costs of $0.74
2/27/14 12:40 DO DIAMOND OFFSHORE DRILLING LONG 40 46.89 3/6 15:40 47.99 0.05%
Trade id #86204105
Max drawdown($10)
Time3/4/14 11:44
Quant open40
Worst price46.63
Drawdown as % of equity-0.05%
$43
Includes Typical Broker Commissions trade costs of $0.80
2/4/13 13:39 BPI BRIDGEPOINT EDUCATION LONG 99 10.35 2/27/14 14:01 19.88 0.04%
Trade id #79015009
Max drawdown($5)
Time4/25/13 9:56
Quant open99
Worst price10.30
Drawdown as % of equity-0.04%
$941
Includes Typical Broker Commissions trade costs of $1.98
1/7/14 11:41 HGG HHGREGG INC LONG 191 11.95 2/27 12:36 10.59 5.93%
Trade id #85030378
Max drawdown($901)
Time2/6/14 9:31
Quant open191
Worst price7.23
Drawdown as % of equity-5.93%
($264)
Includes Typical Broker Commissions trade costs of $3.82
1/28/14 12:55 APOL APOLLO EDUCATION GROUP INC. C LONG 66 33.00 2/7 15:02 33.22 0.74%
Trade id #85431136
Max drawdown($117)
Time2/3/14 13:23
Quant open66
Worst price31.23
Drawdown as % of equity-0.74%
$13
Includes Typical Broker Commissions trade costs of $1.32
10/28/13 10:34 MGLN MAGELLAN HEALTH INC. COMMON S LONG 34 60.21 1/31/14 12:28 60.27 0.35%
Trade id #83738565
Max drawdown($62)
Time1/8/14 9:36
Quant open34
Worst price58.37
Drawdown as % of equity-0.35%
$1
Includes Typical Broker Commissions trade costs of $0.68
1/23/14 12:40 AEO AMERICAN EAGLE LONG 146 12.95 1/28 12:54 13.41 0.31%
Trade id #85338208
Max drawdown($52)
Time1/27/14 12:09
Quant open146
Worst price12.59
Drawdown as % of equity-0.31%
$64
Includes Typical Broker Commissions trade costs of $2.92
12/11/12 15:53 APOL APOLLO EDUCATION GROUP INC. C LONG 48 20.47 1/23/14 12:39 34.91 0%
Trade id #78101816
Max drawdown$0
Time10/22/13 11:29
Quant open48
Worst price20.47
Drawdown as % of equity0.00%
$692
Includes Typical Broker Commissions trade costs of $0.96
12/30/13 14:59 CRUS CIRRUS LOGIC LONG 127 20.49 1/13/14 10:23 19.65 1.09%
Trade id #84898705
Max drawdown($191)
Time1/9/14 15:29
Quant open127
Worst price18.98
Drawdown as % of equity-1.09%
($109)
Includes Typical Broker Commissions trade costs of $2.54
12/23/13 10:09 VECO VEECO INSTRUMENTS LONG 63 31.92 1/7/14 11:34 33.96 0.15%
Trade id #84788792
Max drawdown($26)
Time12/24/13 9:31
Quant open63
Worst price31.50
Drawdown as % of equity-0.15%
$127
Includes Typical Broker Commissions trade costs of $1.26
10/18/13 12:38 ARO AEROPOSTALE LONG 266 9.07 12/30 14:55 9.15 1.75%
Trade id #83587133
Max drawdown($296)
Time12/18/13 13:00
Quant open266
Worst price7.96
Drawdown as % of equity-1.75%
$16
Includes Typical Broker Commissions trade costs of $5.32
12/19/13 15:34 CRUS CIRRUS LOGIC LONG 96 19.37 12/23 10:08 20.49 0.01%
Trade id #84733037
Max drawdown($1)
Time12/19/13 15:41
Quant open96
Worst price19.35
Drawdown as % of equity-0.01%
$105
Includes Typical Broker Commissions trade costs of $1.92
11/6/13 15:13 VECO VEECO INSTRUMENTS LONG 58 31.80 12/19 15:33 31.62 0.83%
Trade id #83929539
Max drawdown($148)
Time12/6/13 15:39
Quant open58
Worst price29.24
Drawdown as % of equity-0.83%
($11)
Includes Typical Broker Commissions trade costs of $1.16
11/11/13 13:29 CRUS CIRRUS LOGIC LONG 109 19.40 12/6 15:28 20.30 0.23%
Trade id #84007039
Max drawdown($40)
Time11/12/13 10:11
Quant open109
Worst price19.02
Drawdown as % of equity-0.23%
$96
Includes Typical Broker Commissions trade costs of $2.18
11/18/13 9:54 GLW CORNING LONG 92 17.02 12/6 15:27 17.07 0.19%
Trade id #84134890
Max drawdown($35)
Time12/3/13 10:29
Quant open92
Worst price16.63
Drawdown as % of equity-0.19%
$3
Includes Typical Broker Commissions trade costs of $1.84

Statistics

  • Strategy began
    11/28/2012
  • Suggested Minimum Cap
    $10,000
  • Strategy Age (days)
    2485.05
  • Age
    83 months ago
  • What it trades
    Stocks
  • # Trades
    112
  • # Profitable
    85
  • % Profitable
    75.90%
  • Avg trade duration
    302.2 days
  • Max peak-to-valley drawdown
    87.35%
  • drawdown period
    Feb 28, 2014 - April 06, 2016
  • Annual Return (Compounded)
    15.0%
  • Avg win
    $297.54
  • Avg loss
    $406.11
  • Model Account Values (Raw)
  • Cash
    $6,200
  • Margin Used
    $0
  • Buying Power
    $13,876
  • Ratios
  • W:L ratio
    2.56:1
  • Sharpe Ratio
    0.46
  • Sortino Ratio
    0.99
  • Calmar Ratio
    0.48
  • CORRELATION STATISTICS
  • Correlation to SP500
    0.14610
  • Return Statistics
  • Ann Return (w trading costs)
    15.0%
  • Ann Return (Compnd, No Fees)
    16.0%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    100.00%
  • Chance of 20% account loss
    100.00%
  • Chance of 30% account loss
    100.00%
  • Chance of 40% account loss
    100.00%
  • Chance of 50% account loss
    100.00%
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    0
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $406
  • Avg Win
    $319
  • # Winners
    85
  • # Losers
    27
  • % Winners
    75.9%
  • Frequency
  • Avg Position Time (mins)
    435150.00
  • Avg Position Time (hrs)
    7252.50
  • Avg Trade Length
    302.2 days
  • Last Trade Ago
    1771
  • Regression
  • Alpha
    0.13
  • Beta
    1.30
  • Treynor Index
    0.12
  • Maximum Adverse Excursion (MAE)
  • Avg(MAE) / Avg(PL) - All trades
    -53.451
  • Avg(MAE) / Avg(PL) - Winning trades
    0.376
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.372
  • Hold-and-Hope Ratio
    0.620
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.70217
  • SD
    1.12845
  • Sharpe ratio (Glass type estimate)
    0.62224
  • Sharpe ratio (Hedges UMVUE)
    0.60917
  • df
    36.00000
  • t
    1.09261
  • p
    0.14091
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.50731
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.74336
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.51585
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.73419
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.14831
  • Upside Potential Ratio
    4.08979
  • Upside part of mean
    1.33673
  • Downside part of mean
    -0.63457
  • Upside SD
    1.08316
  • Downside SD
    0.32685
  • N nonnegative terms
    18.00000
  • N negative terms
    19.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    37.00000
  • Mean of predictor
    0.21763
  • Mean of criterion
    0.70217
  • SD of predictor
    0.16004
  • SD of criterion
    1.12845
  • Covariance
    0.07501
  • r
    0.41535
  • b (slope, estimate of beta)
    2.92870
  • a (intercept, estimate of alpha)
    0.06479
  • Mean Square Error
    1.08382
  • DF error
    35.00000
  • t(b)
    2.70131
  • p(b)
    0.00529
  • t(a)
    0.10154
  • p(a)
    0.45985
  • Lowerbound of 95% confidence interval for beta
    0.72770
  • Upperbound of 95% confidence interval for beta
    5.12969
  • Lowerbound of 95% confidence interval for alpha
    -1.23064
  • Upperbound of 95% confidence interval for alpha
    1.36022
  • Treynor index (mean / b)
    0.23975
  • Jensen alpha (a)
    0.06479
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.30701
  • SD
    0.80439
  • Sharpe ratio (Glass type estimate)
    0.38166
  • Sharpe ratio (Hedges UMVUE)
    0.37365
  • df
    36.00000
  • t
    0.67018
  • p
    0.25351
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.74057
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.49872
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.74587
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.49317
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.83867
  • Upside Potential Ratio
    2.73747
  • Upside part of mean
    1.00209
  • Downside part of mean
    -0.69508
  • Upside SD
    0.70951
  • Downside SD
    0.36606
  • N nonnegative terms
    18.00000
  • N negative terms
    19.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    37.00000
  • Mean of predictor
    0.20299
  • Mean of criterion
    0.30701
  • SD of predictor
    0.15912
  • SD of criterion
    0.80439
  • Covariance
    0.05862
  • r
    0.45803
  • b (slope, estimate of beta)
    2.31547
  • a (intercept, estimate of alpha)
    -0.16301
  • Mean Square Error
    0.52590
  • DF error
    35.00000
  • t(b)
    3.04831
  • p(b)
    0.00218
  • t(a)
    -0.36978
  • p(a)
    0.64311
  • Lowerbound of 95% confidence interval for beta
    0.77342
  • Upperbound of 95% confidence interval for beta
    3.85752
  • Lowerbound of 95% confidence interval for alpha
    -1.05796
  • Upperbound of 95% confidence interval for alpha
    0.73194
  • Treynor index (mean / b)
    0.13259
  • Jensen alpha (a)
    -0.16301
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.29978
  • Expected Shortfall on VaR
    0.36226
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.12517
  • Expected Shortfall on VaR
    0.22458
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    37.00000
  • Minimum
    0.71291
  • Quartile 1
    0.93750
  • Median
    0.99582
  • Quartile 3
    1.11135
  • Maximum
    2.47632
  • Mean of quarter 1
    0.83541
  • Mean of quarter 2
    0.97039
  • Mean of quarter 3
    1.05642
  • Mean of quarter 4
    1.40619
  • Inter Quartile Range
    0.17385
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.05405
  • Mean of outliers high
    2.29661
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -3.62028
  • VaR(95%) (moments method)
    0.14092
  • Expected Shortfall (moments method)
    0.14113
  • Extreme Value Index (regression method)
    -0.44140
  • VaR(95%) (regression method)
    0.18073
  • Expected Shortfall (regression method)
    0.21421
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    7.00000
  • Minimum
    0.00418
  • Quartile 1
    0.02163
  • Median
    0.06250
  • Quartile 3
    0.15746
  • Maximum
    0.71242
  • Mean of quarter 1
    0.00870
  • Mean of quarter 2
    0.04627
  • Mean of quarter 3
    0.14831
  • Mean of quarter 4
    0.43952
  • Inter Quartile Range
    0.13584
  • 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
    0.14286
  • Mean of outliers high
    0.71242
  • 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)
    0.58654
  • Compounded annual return (geometric extrapolation)
    0.39782
  • Calmar ratio (compounded annual return / max draw down)
    0.55841
  • Compounded annual return / average of 25% largest draw downs
    0.90513
  • Compounded annual return / Expected Shortfall lognormal
    1.09817
  • 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
    1.01494
  • SD
    1.43045
  • Sharpe ratio (Glass type estimate)
    0.70952
  • Sharpe ratio (Hedges UMVUE)
    0.70886
  • df
    812.00000
  • t
    1.24985
  • p
    0.10586
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.40385
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.82250
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.40431
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.82204
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.76992
  • Upside Potential Ratio
    6.70428
  • Upside part of mean
    3.84447
  • Downside part of mean
    -2.82953
  • Upside SD
    1.31102
  • Downside SD
    0.57344
  • N nonnegative terms
    435.00000
  • N negative terms
    378.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    813.00000
  • Mean of predictor
    0.23070
  • Mean of criterion
    1.01494
  • SD of predictor
    0.16954
  • SD of criterion
    1.43045
  • Covariance
    0.02080
  • r
    0.08576
  • b (slope, estimate of beta)
    0.72359
  • a (intercept, estimate of alpha)
    0.84800
  • Mean Square Error
    2.03365
  • DF error
    811.00000
  • t(b)
    2.45131
  • p(b)
    0.00722
  • t(a)
    1.04382
  • p(a)
    0.14844
  • Lowerbound of 95% confidence interval for beta
    0.14417
  • Upperbound of 95% confidence interval for beta
    1.30300
  • Lowerbound of 95% confidence interval for alpha
    -0.74667
  • Upperbound of 95% confidence interval for alpha
    2.44268
  • Treynor index (mean / b)
    1.40264
  • Jensen alpha (a)
    0.84801
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.29811
  • SD
    1.12857
  • Sharpe ratio (Glass type estimate)
    0.26415
  • Sharpe ratio (Hedges UMVUE)
    0.26390
  • df
    812.00000
  • t
    0.46530
  • p
    0.32092
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.84864
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.37678
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.84881
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.37661
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.43325
  • Upside Potential Ratio
    4.84867
  • Upside part of mean
    3.33620
  • Downside part of mean
    -3.03809
  • Upside SD
    0.89387
  • Downside SD
    0.68807
  • N nonnegative terms
    435.00000
  • N negative terms
    378.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    813.00000
  • Mean of predictor
    0.21615
  • Mean of criterion
    0.29811
  • SD of predictor
    0.17028
  • SD of criterion
    1.12857
  • Covariance
    0.02129
  • r
    0.11079
  • b (slope, estimate of beta)
    0.73429
  • a (intercept, estimate of alpha)
    0.13939
  • Mean Square Error
    1.25959
  • DF error
    811.00000
  • t(b)
    3.17455
  • p(b)
    0.00078
  • t(a)
    0.21811
  • p(a)
    0.41370
  • Lowerbound of 95% confidence interval for beta
    0.28026
  • Upperbound of 95% confidence interval for beta
    1.18832
  • Lowerbound of 95% confidence interval for alpha
    -1.11505
  • Upperbound of 95% confidence interval for alpha
    1.39383
  • Treynor index (mean / b)
    0.40598
  • Jensen alpha (a)
    0.13939
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.10734
  • Expected Shortfall on VaR
    0.13268
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02282
  • Expected Shortfall on VaR
    0.05220
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    813.00000
  • Minimum
    0.58783
  • Quartile 1
    0.98866
  • Median
    1.00122
  • Quartile 3
    1.01161
  • Maximum
    2.79851
  • Mean of quarter 1
    0.96136
  • Mean of quarter 2
    0.99587
  • Mean of quarter 3
    1.00589
  • Mean of quarter 4
    1.05301
  • Inter Quartile Range
    0.02295
  • Number outliers low
    34.00000
  • Percentage of outliers low
    0.04182
  • Mean of outliers low
    0.87691
  • Number of outliers high
    27.00000
  • Percentage of outliers high
    0.03321
  • Mean of outliers high
    1.25980
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.64655
  • VaR(95%) (moments method)
    0.03838
  • Expected Shortfall (moments method)
    0.11489
  • Extreme Value Index (regression method)
    0.54077
  • VaR(95%) (regression method)
    0.02885
  • Expected Shortfall (regression method)
    0.06430
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    39.00000
  • Minimum
    0.00003
  • Quartile 1
    0.00646
  • Median
    0.02828
  • Quartile 3
    0.06754
  • Maximum
    0.80264
  • Mean of quarter 1
    0.00234
  • Mean of quarter 2
    0.01621
  • Mean of quarter 3
    0.04051
  • Mean of quarter 4
    0.28535
  • Inter Quartile Range
    0.06107
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    6.00000
  • Percentage of outliers high
    0.15385
  • Mean of outliers high
    0.41342
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.31220
  • VaR(95%) (moments method)
    0.24632
  • Expected Shortfall (moments method)
    0.45212
  • Extreme Value Index (regression method)
    0.09258
  • VaR(95%) (regression method)
    0.33222
  • Expected Shortfall (regression method)
    0.52240
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.56399
  • Compounded annual return (geometric extrapolation)
    0.38543
  • Calmar ratio (compounded annual return / max draw down)
    0.48021
  • Compounded annual return / average of 25% largest draw downs
    1.35072
  • Compounded annual return / Expected Shortfall lognormal
    2.90494
  • 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
    1.84590
  • SD
    1.03683
  • Sharpe ratio (Glass type estimate)
    1.78034
  • Sharpe ratio (Hedges UMVUE)
    1.77005
  • df
    130.00000
  • t
    1.25889
  • p
    0.44513
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.00329
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.55719
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.01010
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.55019
  • Statistics related to Sortino ratio
  • Sortino ratio
    5.87407
  • Upside Potential Ratio
    11.75870
  • Upside part of mean
    3.69513
  • Downside part of mean
    -1.84922
  • Upside SD
    0.99048
  • Downside SD
    0.31425
  • N nonnegative terms
    78.00000
  • N negative terms
    53.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.56940
  • Mean of criterion
    1.84590
  • SD of predictor
    0.25874
  • SD of criterion
    1.03683
  • Covariance
    0.02836
  • r
    0.10570
  • b (slope, estimate of beta)
    0.42355
  • a (intercept, estimate of alpha)
    1.60473
  • Mean Square Error
    1.07124
  • DF error
    129.00000
  • t(b)
    1.20725
  • p(b)
    0.43284
  • t(a)
    1.08627
  • p(a)
    0.43948
  • Lowerbound of 95% confidence interval for beta
    -0.27059
  • Upperbound of 95% confidence interval for beta
    1.11769
  • Lowerbound of 95% confidence interval for alpha
    -1.31813
  • Upperbound of 95% confidence interval for alpha
    4.52759
  • Treynor index (mean / b)
    4.35816
  • Jensen alpha (a)
    1.60473
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    1.43028
  • SD
    0.85644
  • Sharpe ratio (Glass type estimate)
    1.67002
  • Sharpe ratio (Hedges UMVUE)
    1.66037
  • df
    130.00000
  • t
    1.18088
  • p
    0.44849
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.11235
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.44611
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.11877
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.43951
  • Statistics related to Sortino ratio
  • Sortino ratio
    4.27780
  • Upside Potential Ratio
    9.96833
  • Upside part of mean
    3.33290
  • Downside part of mean
    -1.90263
  • Upside SD
    0.78988
  • Downside SD
    0.33435
  • N nonnegative terms
    78.00000
  • N negative terms
    53.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.53523
  • Mean of criterion
    1.43028
  • SD of predictor
    0.26071
  • SD of criterion
    0.85644
  • Covariance
    0.02824
  • r
    0.12649
  • b (slope, estimate of beta)
    0.41553
  • a (intercept, estimate of alpha)
    1.20787
  • Mean Square Error
    0.72735
  • DF error
    129.00000
  • t(b)
    1.44829
  • p(b)
    0.41969
  • t(a)
    0.99344
  • p(a)
    0.44460
  • Lowerbound of 95% confidence interval for beta
    -0.15213
  • Upperbound of 95% confidence interval for beta
    0.98320
  • Lowerbound of 95% confidence interval for alpha
    -1.19771
  • Upperbound of 95% confidence interval for alpha
    3.61346
  • Treynor index (mean / b)
    3.44202
  • Jensen alpha (a)
    1.20787
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.07833
  • Expected Shortfall on VaR
    0.09832
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01368
  • Expected Shortfall on VaR
    0.03080
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.83151
  • Quartile 1
    0.99189
  • Median
    1.00262
  • Quartile 3
    1.01160
  • Maximum
    1.64870
  • Mean of quarter 1
    0.97422
  • Mean of quarter 2
    0.99840
  • Mean of quarter 3
    1.00642
  • Mean of quarter 4
    1.04955
  • Inter Quartile Range
    0.01971
  • Number outliers low
    5.00000
  • Percentage of outliers low
    0.03817
  • Mean of outliers low
    0.92486
  • Number of outliers high
    4.00000
  • Percentage of outliers high
    0.03053
  • Mean of outliers high
    1.25497
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.46375
  • VaR(95%) (moments method)
    0.02539
  • Expected Shortfall (moments method)
    0.05372
  • Extreme Value Index (regression method)
    0.43043
  • VaR(95%) (regression method)
    0.02561
  • Expected Shortfall (regression method)
    0.05176
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    13.00000
  • Minimum
    0.00071
  • Quartile 1
    0.01057
  • Median
    0.01757
  • Quartile 3
    0.03956
  • Maximum
    0.26747
  • Mean of quarter 1
    0.00551
  • Mean of quarter 2
    0.01704
  • Mean of quarter 3
    0.03086
  • Mean of quarter 4
    0.12355
  • Inter Quartile Range
    0.02899
  • 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
    0.07692
  • Mean of outliers high
    0.26747
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.76932
  • VaR(95%) (moments method)
    0.13326
  • Expected Shortfall (moments method)
    0.58503
  • Extreme Value Index (regression method)
    2.15890
  • VaR(95%) (regression method)
    0.19257
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    2.14640
  • Compounded annual return (geometric extrapolation)
    3.29816
  • Calmar ratio (compounded annual return / max draw down)
    12.33110
  • Compounded annual return / average of 25% largest draw downs
    26.69480
  • Compounded annual return / Expected Shortfall lognormal
    33.54680

Strategy Description

KEY POINTS:
- Always holds about 15 stocks in roughly equal amounts.
- Diversification is provided by including stocks from many different sectors.
- Compatible with Manual Trading or AutoTrading! (a typical month has about 3 to 5 trades).

STRATEGY:
This is a value investing system that is based on financial statement analysis. Balance sheets and income statements are examined to find companies that are selling at a low price. If the price is low enough, the stock is bought. Stocks are sold when the price is high, or when another stock becomes a better deal.

SLIPPAGE:
This system only buys highly liquid stocks to ensure that slippage is minimized.

Summary Statistics

Strategy began
2012-11-28
Suggested Minimum Capital
$6,500
# Trades
112
# Profitable
85
% Profitable
75.9%
Net Dividends
Correlation S&P500
0.146
Sharpe Ratio
0.46
Sortino Ratio
0.99
Beta
1.30
Alpha
0.13

Latest Activity

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subscribed on started simulation #SUBSCRIBEDDATE#

Most values on this page (including the Strategy Equity Chart, above) have been adjusted by estimated trading commissions and subscription costs.

Some advanced users find it useful to see "raw" Model Account values. These numbers do not include any commissions, fees, subscription costs, or dividend actions.

Strategy developers can "archive" strategies at any time. This means the strategy Model Account is reset to its initial level and the trade list cleared. However, all archived track records are permanently preserved for evaluation by potential subscribers.

About the results you see on this Web site

Past results are not necessarily indicative of future results.

These results are based on simulated or hypothetical performance results that have certain inherent limitations. Unlike the results shown in an actual performance record, these results do not represent actual trading. Also, because these trades have not actually been executed, these results may have under-or over-compensated for the impact, if any, of certain market factors, such as lack of liquidity. Simulated or hypothetical trading programs in general are also subject to the fact that they are designed with the benefit of hindsight. No representation is being made that any account will or is likely to achieve profits or losses similar to these being shown.

In addition, hypothetical trading does not involve financial risk, and no hypothetical trading record can completely account for the impact of financial risk in actual trading. For example, the ability to withstand losses or to adhere to a particular trading program in spite of trading losses are material points which can also adversely affect actual trading results. There are numerous other factors related to the markets in general or to the implementation of any specific trading program, which cannot be fully accounted for in the preparation of hypothetical performance results and all of which can adversely affect actual trading results.

Material assumptions and methods used when calculating results

The following are material assumptions used when calculating any hypothetical monthly results that appear on our web site.

  • Profits are reinvested. We assume profits (when there are profits) are reinvested in the trading strategy.
  • Starting investment size. For any trading strategy on our site, hypothetical results are based on the assumption that you invested the starting amount shown on the strategy's performance chart. In some cases, nominal dollar amounts on the equity chart have been re-scaled downward to make current go-forward trading sizes more manageable. In these cases, it may not have been possible to trade the strategy historically at the equity levels shown on the chart, and a higher minimum capital was required in the past.
  • All fees are included. When calculating cumulative returns, we try to estimate and include all the fees a typical trader incurs when AutoTrading using AutoTrade technology. This includes the subscription cost of the strategy, plus any per-trade AutoTrade fees, plus estimated broker commissions if any.
  • "Max Drawdown" Calculation Method. We calculate the Max Drawdown statistic as follows. Our computer software looks at the equity chart of the system in question and finds the largest percentage amount that the equity chart ever declines from a local "peak" to a subsequent point in time (thus this is formally called "Maximum Peak to Valley Drawdown.") While this is useful information when evaluating trading systems, you should keep in mind that past performance does not guarantee future results. Therefore, future drawdowns may be larger than the historical maximum drawdowns you see here.

Trading is risky

There is a substantial risk of loss in futures and forex trading. Online trading of stocks and options is extremely risky. Assume you will lose money. Don't trade with money you cannot afford to lose.

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