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

Dreamer Stocks
(78582457)

Created by: RickKruszewski RickKruszewski
Started: 01/2013
Stocks
Last trade: 1,254 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 $99.00 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.

-4.0%
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.

(83.7%)
Max Drawdown
341
Num Trades
78.0%
Win Trades
1.0 : 1
Profit Factor
51.2%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2013+0.4%+1.0%(0.6%)+0.4%+3.8%+7.6%(6.9%)+4.3%+0.6%+2.6%+5.7%+1.8%+21.9%
2014(0.9%)+4.1%+6.7%+5.0%+4.4%(0.3%)+7.3%(0.7%)(2.6%)(3.7%)+5.4%(5.9%)+19.3%
2015(2.2%)+0.2%+3.8%(1.8%)+11.3%(5.8%)+2.8%(2%)(24.4%)(17.8%)(3.5%)+2.0%(35.5%)
2016(0.1%)(0.1%)+1.3%(2.5%)+2.3%(0.3%)(1%)(5.2%)+2.4%+2.9%+2.5%(1.4%)+0.4%
2017+0.2%(4.8%)(6.3%)(7.3%)(18.9%)+3.9%(23.1%)+13.7%(7.6%)+11.8%(8.5%)(19.5%)(53.6%)
2018(38.8%)+16.0%+76.9%+14.0%+10.7%(16.9%)+2.9%+10.9%+20.8%+15.8%(5.7%)+12.8%+123.5%
2019(11.3%)(9%)(1.4%)(9.5%)+4.7%(7.3%)(10.7%)+25.4%                        (21.7%)

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.

Trading Record

This strategy has placed 219 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
3/3/16 15:27 AXP AMERICAN EXPRESS SHORT 1,720 57.98 3/10 15:16 58.82 3.31%
Trade id #100978080
Max drawdown($3,474)
Time3/8/16 13:28
Quant open-1,720
Worst price60.00
Drawdown as % of equity-3.31%
($1,453)
Includes Typical Broker Commissions trade costs of $7.50
3/3/16 15:25 DIS WALT DISNEY SHORT 500 98.62 3/9 9:30 98.00 0.63%
Trade id #100978032
Max drawdown($680)
Time3/4/16 8:01
Quant open-500
Worst price99.98
Drawdown as % of equity-0.63%
$300
Includes Typical Broker Commissions trade costs of $10.00
12/3/15 15:45 PAYX PAYCHEX LONG 1,900 52.62 12/4 15:27 53.70 0.09%
Trade id #98633051
Max drawdown($95)
Time12/3/15 15:51
Quant open1,900
Worst price52.57
Drawdown as % of equity-0.09%
$2,047
Includes Typical Broker Commissions trade costs of $5.00
11/12/15 15:19 EXPE EXPEDIA LONG 780 127.25 11/16 14:53 121.61 4.73%
Trade id #98351041
Max drawdown($5,097)
Time11/16/15 9:31
Quant open780
Worst price120.71
Drawdown as % of equity-4.73%
($4,405)
Includes Typical Broker Commissions trade costs of $10.30
11/12/15 9:30 BA BOEING LONG 690 142.85 11/16 14:53 143.89 0.45%
Trade id #98340970
Max drawdown($486)
Time11/12/15 9:44
Quant open345
Worst price141.59
Drawdown as % of equity-0.45%
$705
Includes Typical Broker Commissions trade costs of $9.40
11/12/15 9:30 NUAN NUANCE COMMUNICATIONS LONG 2,925 17.02 11/12 15:17 17.17 0.52%
Trade id #98341021
Max drawdown($570)
Time11/12/15 9:46
Quant open2,925
Worst price16.82
Drawdown as % of equity-0.52%
$434
Includes Typical Broker Commissions trade costs of $5.00
10/5/15 15:46 KLAC KLA CORP SHORT 2,700 52.07 10/30 9:30 66.47 29.23%
Trade id #97617109
Max drawdown($41,040)
Time10/21/15 9:59
Quant open-2,700
Worst price67.27
Drawdown as % of equity-29.23%
($38,888)
Includes Typical Broker Commissions trade costs of $7.50
10/5/15 15:45 CA CA SHORT 4,920 28.43 10/30 9:30 27.82 2.35%
Trade id #97617088
Max drawdown($3,271)
Time10/12/15 9:31
Quant open-4,920
Worst price29.10
Drawdown as % of equity-2.35%
$3,019
Includes Typical Broker Commissions trade costs of $7.50
8/20/15 15:40 REGN REGENERON PHARMACEUTICALS LONG 310 547.39 10/5 15:44 472.27 23.38%
Trade id #96756466
Max drawdown($34,681)
Time9/28/15 14:20
Quant open310
Worst price435.51
Drawdown as % of equity-23.38%
($23,293)
Includes Typical Broker Commissions trade costs of $6.20
8/20/15 15:39 EBAY EBAY LONG 6,390 26.34 10/5 15:44 25.69 12.74%
Trade id #96756438
Max drawdown($16,486)
Time9/29/15 12:48
Quant open6,390
Worst price23.76
Drawdown as % of equity-12.74%
($4,161)
Includes Typical Broker Commissions trade costs of $7.50
8/12/15 15:21 MNST MONSTER BEVERAGE LONG 565 141.71 8/13 10:06 146.47 n/a $2,684
Includes Typical Broker Commissions trade costs of $5.00
7/27/15 15:42 FISV FISERV LONG 940 84.98 7/28 14:55 85.54 0.16%
Trade id #96089738
Max drawdown($272)
Time7/28/15 11:09
Quant open940
Worst price84.69
Drawdown as % of equity-0.16%
$521
Includes Typical Broker Commissions trade costs of $5.00
7/27/15 15:42 AAPL APPLE LONG 650 122.65 7/28 11:13 123.53 0.07%
Trade id #96089779
Max drawdown($123)
Time7/27/15 15:53
Quant open650
Worst price122.46
Drawdown as % of equity-0.07%
$567
Includes Typical Broker Commissions trade costs of $5.00
7/22/15 15:41 UNH UNITEDHEALTH GROUP LONG 1,330 119.73 7/27 9:32 117.44 1.91%
Trade id #96014600
Max drawdown($3,231)
Time7/27/15 9:22
Quant open1,330
Worst price117.30
Drawdown as % of equity-1.91%
($3,054)
Includes Typical Broker Commissions trade costs of $7.50
7/22/15 15:39 T AT&T LONG 4,674 34.08 7/24 9:42 34.85 0.63%
Trade id #96014549
Max drawdown($1,051)
Time7/23/15 16:10
Quant open4,674
Worst price33.85
Drawdown as % of equity-0.63%
$3,615
Includes Typical Broker Commissions trade costs of $7.50
7/8/15 15:32 JPM JPMORGAN CHASE LONG 1,225 65.39 7/9 10:31 66.23 0.07%
Trade id #95776145
Max drawdown($110)
Time7/8/15 15:36
Quant open1,225
Worst price65.30
Drawdown as % of equity-0.07%
$1,024
Includes Typical Broker Commissions trade costs of $5.00
7/8/15 15:33 ADBE ADOBE INC LONG 1,000 80.01 7/9 10:31 81.22 0.09%
Trade id #95776161
Max drawdown($150)
Time7/8/15 15:36
Quant open1,000
Worst price79.86
Drawdown as % of equity-0.09%
$1,205
Includes Typical Broker Commissions trade costs of $5.00
6/25/15 15:46 EXPD EXPEDITORS INTERNATIONAL LONG 3,674 46.51 7/1 13:34 46.28 1.06%
Trade id #95462429
Max drawdown($1,745)
Time6/29/15 15:59
Quant open1,837
Worst price45.87
Drawdown as % of equity-1.06%
($853)
Includes Typical Broker Commissions trade costs of $7.50
6/25/15 15:47 AVGO BROADCOM LIMITED ORDINARY SHARES LONG 1,234 137.60 6/29 9:30 132.85 4%
Trade id #95462454
Max drawdown($6,787)
Time6/29/15 8:39
Quant open1,234
Worst price132.10
Drawdown as % of equity-4.00%
($5,869)
Includes Typical Broker Commissions trade costs of $7.50
6/15/15 15:37 CTSH COGNIZANT TECH SOLUTION LONG 2,710 62.43 6/18 10:40 63.25 0.93%
Trade id #95027883
Max drawdown($1,578)
Time6/17/15 12:59
Quant open1,355
Worst price61.60
Drawdown as % of equity-0.93%
$2,215
Includes Typical Broker Commissions trade costs of $7.50
6/9/15 15:54 ADI ANALOG DEVICES LONG 1,217 65.71 6/10 9:47 66.50 0.02%
Trade id #94903819
Max drawdown($36)
Time6/9/15 16:00
Quant open1,217
Worst price65.68
Drawdown as % of equity-0.02%
$956
Includes Typical Broker Commissions trade costs of $5.00
6/9/15 15:54 ADBE ADOBE INC LONG 1,025 77.99 6/10 9:47 78.48 0.07%
Trade id #94903834
Max drawdown($112)
Time6/9/15 16:00
Quant open1,025
Worst price77.88
Drawdown as % of equity-0.07%
$497
Includes Typical Broker Commissions trade costs of $5.00
6/4/15 15:46 EQIX EQUINIX INC. COMMON STOCK REI LONG 660 261.82 6/9 15:09 257.22 1.79%
Trade id #94817415
Max drawdown($3,036)
Time6/9/15 15:09
Quant open0
Worst price257.22
Drawdown as % of equity-1.79%
($3,045)
Includes Typical Broker Commissions trade costs of $9.10
6/2/15 15:41 IBM INTERNATIONAL BUSINESS MACHINE LONG 1,020 168.90 6/8 9:38 165.95 1.74%
Trade id #94765446
Max drawdown($3,009)
Time6/8/15 9:38
Quant open0
Worst price165.95
Drawdown as % of equity-1.74%
($3,017)
Includes Typical Broker Commissions trade costs of $7.50
6/2/15 15:42 MNST MONSTER BEVERAGE LONG 1,340 126.28 6/4 11:06 126.78 0.42%
Trade id #94765469
Max drawdown($737)
Time6/3/15 9:37
Quant open670
Worst price125.24
Drawdown as % of equity-0.42%
$656
Includes Typical Broker Commissions trade costs of $7.50
5/26/15 15:44 ORCL ORACLE CORP LONG 1,961 43.33 5/27 14:42 44.06 0.03%
Trade id #94629344
Max drawdown($49)
Time5/26/15 15:46
Quant open1,961
Worst price43.30
Drawdown as % of equity-0.03%
$1,427
Includes Typical Broker Commissions trade costs of $5.00
5/26/15 15:43 FISV FISERV LONG 1,066 79.72 5/27 14:41 80.64 0.11%
Trade id #94629325
Max drawdown($181)
Time5/27/15 9:39
Quant open1,066
Worst price79.55
Drawdown as % of equity-0.11%
$976
Includes Typical Broker Commissions trade costs of $5.00
5/5/15 15:43 CTXS CITRIX SYSTEMS LONG 2,560 66.10 5/8 9:59 66.72 0.99%
Trade id #94257923
Max drawdown($1,664)
Time5/7/15 10:02
Quant open2,560
Worst price65.45
Drawdown as % of equity-0.99%
$1,580
Includes Typical Broker Commissions trade costs of $7.50
5/5/15 15:43 DTV DTE ENERGY CO UNITS LONG 1,900 88.72 5/7 15:01 89.01 1.04%
Trade id #94257960
Max drawdown($1,757)
Time5/7/15 9:34
Quant open1,900
Worst price87.80
Drawdown as % of equity-1.04%
$535
Includes Typical Broker Commissions trade costs of $7.50
4/29/15 15:32 EXPE EXPEDIA LONG 1,660 94.88 5/1 9:55 101.63 1.78%
Trade id #94147886
Max drawdown($2,780)
Time4/30/15 15:14
Quant open830
Worst price92.96
Drawdown as % of equity-1.78%
$11,198
Includes Typical Broker Commissions trade costs of $7.50

Statistics

  • Strategy began
    1/10/2013
  • Suggested Minimum Cap
    $100,000
  • Strategy Age (days)
    2404.22
  • Age
    80 months ago
  • What it trades
    Stocks
  • # Trades
    341
  • # Profitable
    266
  • % Profitable
    78.00%
  • Avg trade duration
    10.3 days
  • Max peak-to-valley drawdown
    83.72%
  • drawdown period
    Sept 05, 2014 - Jan 30, 2018
  • Annual Return (Compounded)
    -4.0%
  • Avg win
    $828.44
  • Avg loss
    $3,060
  • Model Account Values (Raw)
  • Cash
    $206,535
  • Margin Used
    $149,643
  • Buying Power
    $40,995
  • Ratios
  • W:L ratio
    0.96:1
  • Sharpe Ratio
    0.08
  • Sortino Ratio
    0.15
  • Calmar Ratio
    -0.1
  • CORRELATION STATISTICS
  • Correlation to SP500
    -0.13540
  • Return Statistics
  • Ann Return (w trading costs)
    -4.0%
  • Ann Return (Compnd, No Fees)
    -1.4%
  • 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
    $3,061
  • Avg Win
    $828
  • # Winners
    266
  • # Losers
    75
  • % Winners
    78.0%
  • Frequency
  • Avg Position Time (mins)
    14798.80
  • Avg Position Time (hrs)
    246.65
  • Avg Trade Length
    10.3 days
  • Last Trade Ago
    1248
  • Regression
  • Alpha
    0.03
  • Beta
    -0.52
  • Treynor Index
    -0.03
  • Maximum Adverse Excursion (MAE)
  • Avg(MAE) / Avg(PL) - All trades
    30.580
  • Avg(MAE) / Avg(PL) - Winning trades
    0.807
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.560
  • Hold-and-Hope Ratio
    -0.039
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.05966
  • SD
    0.38105
  • Sharpe ratio (Glass type estimate)
    0.15658
  • Sharpe ratio (Hedges UMVUE)
    0.15369
  • df
    41.00000
  • t
    0.29293
  • p
    0.38553
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.89254
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.20384
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.89448
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.20186
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.23136
  • Upside Potential Ratio
    1.58394
  • Upside part of mean
    0.40846
  • Downside part of mean
    -0.34880
  • Upside SD
    0.27484
  • Downside SD
    0.25787
  • N nonnegative terms
    23.00000
  • N negative terms
    19.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    42.00000
  • Mean of predictor
    0.14638
  • Mean of criterion
    0.05966
  • SD of predictor
    0.11728
  • SD of criterion
    0.38105
  • Covariance
    -0.02056
  • r
    -0.45998
  • b (slope, estimate of beta)
    -1.49445
  • a (intercept, estimate of alpha)
    0.27842
  • Mean Square Error
    0.11734
  • DF error
    40.00000
  • t(b)
    -3.27631
  • p(b)
    0.99891
  • t(a)
    1.42856
  • p(a)
    0.08045
  • Lowerbound of 95% confidence interval for beta
    -2.41634
  • Upperbound of 95% confidence interval for beta
    -0.57256
  • Lowerbound of 95% confidence interval for alpha
    -0.11548
  • Upperbound of 95% confidence interval for alpha
    0.67231
  • Treynor index (mean / b)
    -0.03992
  • Jensen alpha (a)
    0.27842
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.01251
  • SD
    0.38907
  • Sharpe ratio (Glass type estimate)
    -0.03215
  • Sharpe ratio (Hedges UMVUE)
    -0.03156
  • df
    41.00000
  • t
    -0.06015
  • p
    0.52384
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.07966
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.01568
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.07923
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.01611
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.04157
  • Upside Potential Ratio
    1.25013
  • Upside part of mean
    0.37622
  • Downside part of mean
    -0.38873
  • Upside SD
    0.23920
  • Downside SD
    0.30095
  • N nonnegative terms
    23.00000
  • N negative terms
    19.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    42.00000
  • Mean of predictor
    0.13853
  • Mean of criterion
    -0.01251
  • SD of predictor
    0.11694
  • SD of criterion
    0.38907
  • Covariance
    -0.02076
  • r
    -0.45637
  • b (slope, estimate of beta)
    -1.51839
  • a (intercept, estimate of alpha)
    0.19784
  • Mean Square Error
    0.12285
  • DF error
    40.00000
  • t(b)
    -3.24385
  • p(b)
    0.99881
  • t(a)
    0.99792
  • p(a)
    0.16216
  • Lowerbound of 95% confidence interval for beta
    -2.46442
  • Upperbound of 95% confidence interval for beta
    -0.57236
  • Lowerbound of 95% confidence interval for alpha
    -0.20284
  • Upperbound of 95% confidence interval for alpha
    0.59852
  • Treynor index (mean / b)
    0.00824
  • Jensen alpha (a)
    0.19784
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.16955
  • Expected Shortfall on VaR
    0.20695
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.06136
  • Expected Shortfall on VaR
    0.13308
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    42.00000
  • Minimum
    0.67340
  • Quartile 1
    0.98213
  • Median
    1.00796
  • Quartile 3
    1.04291
  • Maximum
    1.41994
  • Mean of quarter 1
    0.89927
  • Mean of quarter 2
    0.99415
  • Mean of quarter 3
    1.02384
  • Mean of quarter 4
    1.11225
  • Inter Quartile Range
    0.06078
  • Number outliers low
    3.00000
  • Percentage of outliers low
    0.07143
  • Mean of outliers low
    0.74379
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.04762
  • Mean of outliers high
    1.31597
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.64332
  • VaR(95%) (moments method)
    0.08808
  • Expected Shortfall (moments method)
    0.28409
  • Extreme Value Index (regression method)
    0.61183
  • VaR(95%) (regression method)
    0.09054
  • Expected Shortfall (regression method)
    0.26848
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    7.00000
  • Minimum
    0.00040
  • Quartile 1
    0.00844
  • Median
    0.02183
  • Quartile 3
    0.06409
  • Maximum
    0.64368
  • Mean of quarter 1
    0.00174
  • Mean of quarter 2
    0.01782
  • Mean of quarter 3
    0.02621
  • Mean of quarter 4
    0.37283
  • Inter Quartile Range
    0.05565
  • 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
    0.64368
  • 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)
    0.01582
  • Compounded annual return (geometric extrapolation)
    0.01552
  • Calmar ratio (compounded annual return / max draw down)
    0.02411
  • Compounded annual return / average of 25% largest draw downs
    0.04162
  • Compounded annual return / Expected Shortfall lognormal
    0.07498
  • 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
    0.01998
  • SD
    0.51805
  • Sharpe ratio (Glass type estimate)
    0.03857
  • Sharpe ratio (Hedges UMVUE)
    0.03854
  • df
    934.00000
  • t
    0.07286
  • p
    0.47097
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.99895
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.07608
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.99898
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.07605
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.06283
  • Upside Potential Ratio
    5.04795
  • Upside part of mean
    1.60523
  • Downside part of mean
    -1.58525
  • Upside SD
    0.40862
  • Downside SD
    0.31800
  • N nonnegative terms
    410.00000
  • N negative terms
    525.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    935.00000
  • Mean of predictor
    0.18689
  • Mean of criterion
    0.01998
  • SD of predictor
    0.17642
  • SD of criterion
    0.51805
  • Covariance
    -0.00930
  • r
    -0.10178
  • b (slope, estimate of beta)
    -0.29889
  • a (intercept, estimate of alpha)
    0.07600
  • Mean Square Error
    0.26588
  • DF error
    933.00000
  • t(b)
    -3.12524
  • p(b)
    0.99908
  • t(a)
    0.27725
  • p(a)
    0.39082
  • Lowerbound of 95% confidence interval for beta
    -0.48658
  • Upperbound of 95% confidence interval for beta
    -0.11120
  • Lowerbound of 95% confidence interval for alpha
    -0.46098
  • Upperbound of 95% confidence interval for alpha
    0.61266
  • Treynor index (mean / b)
    -0.06685
  • Jensen alpha (a)
    0.07584
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.10711
  • SD
    0.49937
  • Sharpe ratio (Glass type estimate)
    -0.21449
  • Sharpe ratio (Hedges UMVUE)
    -0.21432
  • df
    934.00000
  • t
    -0.40520
  • p
    0.65729
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.25201
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.82310
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.25188
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.82324
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.31574
  • Upside Potential Ratio
    4.51912
  • Upside part of mean
    1.53305
  • Downside part of mean
    -1.64016
  • Upside SD
    0.36615
  • Downside SD
    0.33924
  • N nonnegative terms
    410.00000
  • N negative terms
    525.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    935.00000
  • Mean of predictor
    0.17119
  • Mean of criterion
    -0.10711
  • SD of predictor
    0.17710
  • SD of criterion
    0.49937
  • Covariance
    -0.00908
  • r
    -0.10265
  • b (slope, estimate of beta)
    -0.28945
  • a (intercept, estimate of alpha)
    -0.05756
  • Mean Square Error
    0.24701
  • DF error
    933.00000
  • t(b)
    -3.15208
  • p(b)
    0.99916
  • t(a)
    -0.21840
  • p(a)
    0.58642
  • Lowerbound of 95% confidence interval for beta
    -0.46966
  • Upperbound of 95% confidence interval for beta
    -0.10923
  • Lowerbound of 95% confidence interval for alpha
    -0.57479
  • Upperbound of 95% confidence interval for alpha
    0.45967
  • Treynor index (mean / b)
    0.37005
  • Jensen alpha (a)
    -0.05756
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.04987
  • Expected Shortfall on VaR
    0.06198
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01458
  • Expected Shortfall on VaR
    0.03244
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    935.00000
  • Minimum
    0.78187
  • Quartile 1
    0.99706
  • Median
    1.00000
  • Quartile 3
    1.00370
  • Maximum
    1.36894
  • Mean of quarter 1
    0.97670
  • Mean of quarter 2
    0.99936
  • Mean of quarter 3
    1.00129
  • Mean of quarter 4
    1.02338
  • Inter Quartile Range
    0.00664
  • Number outliers low
    104.00000
  • Percentage of outliers low
    0.11123
  • Mean of outliers low
    0.95613
  • Number of outliers high
    86.00000
  • Percentage of outliers high
    0.09198
  • Mean of outliers high
    1.05062
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.85785
  • VaR(95%) (moments method)
    0.01834
  • Expected Shortfall (moments method)
    0.14255
  • Extreme Value Index (regression method)
    0.49705
  • VaR(95%) (regression method)
    0.01905
  • Expected Shortfall (regression method)
    0.04796
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    31.00000
  • Minimum
    0.00022
  • Quartile 1
    0.00137
  • Median
    0.00812
  • Quartile 3
    0.02321
  • Maximum
    0.76415
  • Mean of quarter 1
    0.00053
  • Mean of quarter 2
    0.00430
  • Mean of quarter 3
    0.01550
  • Mean of quarter 4
    0.14625
  • Inter Quartile Range
    0.02184
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    3.00000
  • Percentage of outliers high
    0.09677
  • Mean of outliers high
    0.33263
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    1.09888
  • VaR(95%) (moments method)
    0.13237
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    1.83518
  • VaR(95%) (regression method)
    0.14148
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.06899
  • Compounded annual return (geometric extrapolation)
    -0.07615
  • Calmar ratio (compounded annual return / max draw down)
    -0.09965
  • Compounded annual return / average of 25% largest draw downs
    -0.52066
  • Compounded annual return / Expected Shortfall lognormal
    -1.22866
  • 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
    -0.16675
  • SD
    1.10553
  • Sharpe ratio (Glass type estimate)
    -0.15083
  • Sharpe ratio (Hedges UMVUE)
    -0.14996
  • df
    130.00000
  • t
    -0.10665
  • p
    0.50468
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.92246
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.62128
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.92183
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.62190
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.26394
  • Upside Potential Ratio
    8.85382
  • Upside part of mean
    5.59370
  • Downside part of mean
    -5.76045
  • Upside SD
    0.90212
  • Downside SD
    0.63178
  • N nonnegative terms
    49.00000
  • N negative terms
    82.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.56970
  • Mean of criterion
    -0.16675
  • SD of predictor
    0.28650
  • SD of criterion
    1.10553
  • Covariance
    -0.12717
  • r
    -0.40150
  • b (slope, estimate of beta)
    -1.54930
  • a (intercept, estimate of alpha)
    0.71589
  • Mean Square Error
    1.03313
  • DF error
    129.00000
  • t(b)
    -4.97909
  • p(b)
    0.74856
  • t(a)
    0.49428
  • p(a)
    0.47233
  • Lowerbound of 95% confidence interval for beta
    -2.16495
  • Upperbound of 95% confidence interval for beta
    -0.93366
  • Lowerbound of 95% confidence interval for alpha
    -2.14968
  • Upperbound of 95% confidence interval for alpha
    3.58146
  • Treynor index (mean / b)
    0.10763
  • Jensen alpha (a)
    0.71589
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.73242
  • SD
    1.05105
  • Sharpe ratio (Glass type estimate)
    -0.69684
  • Sharpe ratio (Hedges UMVUE)
    -0.69281
  • df
    130.00000
  • t
    -0.49274
  • p
    0.52159
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.46862
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.07759
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.46590
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.08027
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.10270
  • Upside Potential Ratio
    7.89019
  • Upside part of mean
    5.24069
  • Downside part of mean
    -5.97311
  • Upside SD
    0.81066
  • Downside SD
    0.66420
  • N nonnegative terms
    49.00000
  • N negative terms
    82.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.52785
  • Mean of criterion
    -0.73242
  • SD of predictor
    0.28922
  • SD of criterion
    1.05105
  • Covariance
    -0.12373
  • r
    -0.40702
  • b (slope, estimate of beta)
    -1.47914
  • a (intercept, estimate of alpha)
    0.04835
  • Mean Square Error
    0.92884
  • DF error
    129.00000
  • t(b)
    -5.06108
  • p(b)
    0.75177
  • t(a)
    0.03525
  • p(a)
    0.49802
  • Lowerbound of 95% confidence interval for beta
    -2.05738
  • Upperbound of 95% confidence interval for beta
    -0.90090
  • Lowerbound of 95% confidence interval for alpha
    -2.66554
  • Upperbound of 95% confidence interval for alpha
    2.76224
  • Treynor index (mean / b)
    0.49517
  • Jensen alpha (a)
    0.04835
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.10381
  • Expected Shortfall on VaR
    0.12755
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.05816
  • Expected Shortfall on VaR
    0.10140
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.82645
  • Quartile 1
    0.96308
  • Median
    0.99547
  • Quartile 3
    1.01972
  • Maximum
    1.36894
  • Mean of quarter 1
    0.93166
  • Mean of quarter 2
    0.98203
  • Mean of quarter 3
    1.00431
  • Mean of quarter 4
    1.08002
  • Inter Quartile Range
    0.05664
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.00763
  • Mean of outliers low
    0.82645
  • Number of outliers high
    7.00000
  • Percentage of outliers high
    0.05344
  • Mean of outliers high
    1.19605
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.19452
  • VaR(95%) (moments method)
    0.07441
  • Expected Shortfall (moments method)
    0.10733
  • Extreme Value Index (regression method)
    0.13633
  • VaR(95%) (regression method)
    0.06740
  • Expected Shortfall (regression method)
    0.09077
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    2.00000
  • Minimum
    0.33941
  • Quartile 1
    0.41044
  • Median
    0.48146
  • Quartile 3
    0.55249
  • Maximum
    0.62352
  • Mean of quarter 1
    0.33941
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.62352
  • Inter Quartile Range
    0.14205
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.59380
  • Compounded annual return (geometric extrapolation)
    -0.50565
  • Calmar ratio (compounded annual return / max draw down)
    -0.81096
  • Compounded annual return / average of 25% largest draw downs
    -0.81096
  • Compounded annual return / Expected Shortfall lognormal
    -3.96436

Strategy Description

I look for stocks that are short term overbought and oversold. Every trade has been made in my own account. No profit no pay. I hold no more than two positions at a time. Twenty-five percent of available money is placed on each trade.

Summary Statistics

Strategy began
2013-01-10
Suggested Minimum Capital
$25,000
# Trades
341
# Profitable
266
% Profitable
78.0%
Net Dividends
Correlation S&P500
-0.135
Sharpe Ratio
0.08
Sortino Ratio
0.15
Beta
-0.52
Alpha
0.03

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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