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The Spirit of Nicolas Darvas.
(81877382)

Created by: Danny Danny
Started: 07/2013
Stocks
Last trade: Yesterday

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.

28.1%
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.

(29.4%)
Max Drawdown
1877
Num Trades
35.4%
Win Trades
1.5 : 1
Profit Factor
58.6%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2013                                          +11.4%(2.8%)+18.0%+7.5%+1.9%+1.6%+42.2%
2014+17.4%(2.1%)+0.7%(2.2%)+0.7%+6.0%(6.4%)+5.0%(7.7%)(3.3%)+3.3%+2.9%+12.7%
2015(4.3%)(0.1%)(9.1%)+2.3%+14.3%+14.2%+16.3%(7%)+7.4%(4.7%)(1.2%)+0.9%+27.9%
2016+2.1%(0.3%)(0.3%)(1.6%)(2.3%)(2.6%)+7.5%(2.2%)(2.2%)+2.0%+32.3%(7.7%)+21.4%
2017+4.8%+12.1%+2.1%+1.2%+6.6%(2.9%)+1.7%+9.5%+5.5%+3.9%+4.6%+5.3%+68.7%
2018+8.5%(0.1%)+0.9%(0.3%)+10.4%+3.4%(1.9%)+8.2%+2.6%(10.3%)(1.4%)+1.3%+21.3%
2019(0.4%)+4.1%(0.8%)(2.3%)+1.5%+0.9%+3.5%+3.8%(6.2%)(1.4%)(1.1%)+3.9%+5.0%
2020+0.6%(2.8%)+4.4%(4.9%)(1.9%)+5.5%+9.8%+9.5%(7.2%)                  +12.1%

Model Account Details

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

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

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

Trading Record

This strategy has placed 3,683 trades in real-life brokerage accounts. To see live brokerage data, select Show AutoTrade Data, and click on a Live AutoTrade Indicator symbol.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
7/20/20 9:30 PENN PENN NATIONAL GAMING LONG 213 34.01 9/25 9:30 62.65 0.08%
Trade id #130164388
Max drawdown($457)
Time7/27/20 0:00
Quant open213
Worst price31.86
Drawdown as % of equity-0.08%
$6,096
Includes Typical Broker Commissions trade costs of $4.26
9/16/20 9:30 GRWG GROWGENERATION CORP. COMMON STOCK LONG 381 15.74 9/25 9:30 14.60 0.09%
Trade id #131198188
Max drawdown($567)
Time9/24/20 0:00
Quant open381
Worst price14.25
Drawdown as % of equity-0.09%
($440)
Includes Typical Broker Commissions trade costs of $7.62
9/15/20 9:30 LABD DIREXION DAILY S&P BIOTECH BEAR 3X SHORT 396 57.18 9/25 9:30 65.31 0.79%
Trade id #131178517
Max drawdown($4,764)
Time9/24/20 0:00
Quant open396
Worst price69.21
Drawdown as % of equity-0.79%
($3,228)
Includes Typical Broker Commissions trade costs of $7.92
9/15/20 9:30 NIO NIO INC LONG 879 19.06 9/24 9:30 17.40 0.27%
Trade id #131178529
Max drawdown($1,631)
Time9/24/20 9:30
Quant open879
Worst price17.20
Drawdown as % of equity-0.27%
($1,467)
Includes Typical Broker Commissions trade costs of $11.29
9/16/20 9:30 EWT ISHARES MSCI TAIWAN INDEX LONG 973 45.80 9/24 9:30 42.64 0.53%
Trade id #131198193
Max drawdown($3,162)
Time9/24/20 9:30
Quant open973
Worst price42.55
Drawdown as % of equity-0.53%
($3,080)
Includes Typical Broker Commissions trade costs of $5.00
8/24/20 9:30 WKHS WORKHORSE GROUP INC. COMMON STOCK LONG 1,706 16.27 9/24 9:30 23.73 0.08%
Trade id #130754814
Max drawdown($513)
Time8/24/20 9:54
Quant open829
Worst price15.56
Drawdown as % of equity-0.08%
$12,714
Includes Typical Broker Commissions trade costs of $11.27
9/16/20 9:30 PFF ISHARES S&P U.S. PREFERRED STO LONG 3,030 36.63 9/22 9:30 36.21 0.32%
Trade id #131198202
Max drawdown($1,969)
Time9/21/20 0:00
Quant open3,030
Worst price35.98
Drawdown as % of equity-0.32%
($1,278)
Includes Typical Broker Commissions trade costs of $5.00
9/21/20 9:30 MGNX MACROGENICS INC. COMMON STOCK LONG 337 30.14 9/22 9:30 27.54 0.25%
Trade id #131267356
Max drawdown($1,536)
Time9/22/20 0:00
Quant open337
Worst price25.58
Drawdown as % of equity-0.25%
($883)
Includes Typical Broker Commissions trade costs of $6.74
8/19/20 9:30 NKE NIKE LONG 291 107.69 9/22 9:30 113.18 0.02%
Trade id #130685168
Max drawdown($98)
Time8/20/20 0:00
Quant open291
Worst price107.35
Drawdown as % of equity-0.02%
$1,592
Includes Typical Broker Commissions trade costs of $5.82
9/15/20 9:30 JDST DIREXION DAILY JR GOLD BEAR 2X SHORT 1,212 9.13 9/22 9:30 10.76 0.35%
Trade id #131178534
Max drawdown($2,157)
Time9/21/20 0:00
Quant open1,212
Worst price10.91
Drawdown as % of equity-0.35%
($1,981)
Includes Typical Broker Commissions trade costs of $5.00
9/15/20 9:30 GLD SPDR GOLD SHARES LONG 213 184.46 9/22 9:30 179.64 0.26%
Trade id #131178519
Max drawdown($1,642)
Time9/21/20 0:00
Quant open213
Worst price176.75
Drawdown as % of equity-0.26%
($1,031)
Includes Typical Broker Commissions trade costs of $4.26
9/10/20 9:30 DUST DIREXION DAILY GOLD MINERS BEAR 2X SHORT 401 16.37 9/21 9:30 18.33 0.14%
Trade id #131105957
Max drawdown($842)
Time9/21/20 9:30
Quant open401
Worst price18.47
Drawdown as % of equity-0.14%
($794)
Includes Typical Broker Commissions trade costs of $8.02
9/14/20 9:30 AGG ISHARES CORE US AGGREGATE BOND LONG 1,802 118.47 9/21 9:30 118.41 0.08%
Trade id #131157825
Max drawdown($522)
Time9/18/20 0:00
Quant open1,802
Worst price118.18
Drawdown as % of equity-0.08%
($113)
Includes Typical Broker Commissions trade costs of $5.00
9/10/20 9:30 UCO PROSHARES ULTRA BLOOMBERG CRUD SHORT 352 26.59 9/18 9:30 30.18 0.23%
Trade id #131105968
Max drawdown($1,393)
Time9/17/20 0:00
Quant open352
Worst price30.55
Drawdown as % of equity-0.23%
($1,271)
Includes Typical Broker Commissions trade costs of $7.04
9/10/20 9:30 GLD SPDR GOLD SHARES LONG 193 184.23 9/14 9:30 183.51 0.07%
Trade id #131105977
Max drawdown($429)
Time9/11/20 0:00
Quant open193
Worst price182.00
Drawdown as % of equity-0.07%
($143)
Includes Typical Broker Commissions trade costs of $3.86
9/1/20 9:30 EMB ISHARES JPMORGAN USD EMERG MAR LONG 1,021 113.58 9/8 15:58 113.00 0.1%
Trade id #130917677
Max drawdown($625)
Time9/8/20 9:42
Quant open1,021
Worst price112.97
Drawdown as % of equity-0.10%
($599)
Includes Typical Broker Commissions trade costs of $5.00
8/17/20 9:30 TSLA TESLA INC. LONG 70 335.57 9/8 15:53 331.52 0.06%
Trade id #130647239
Max drawdown($355)
Time9/8/20 15:51
Quant open70
Worst price330.50
Drawdown as % of equity-0.06%
($284)
Includes Typical Broker Commissions trade costs of $1.40
8/20/20 9:30 SPT SPROUT SOCIAL INC CLASS A COMMON STOCK LONG 275 32.18 9/8 9:30 31.93 0.04%
Trade id #130706628
Max drawdown($250)
Time9/8/20 9:30
Quant open275
Worst price31.27
Drawdown as % of equity-0.04%
($75)
Includes Typical Broker Commissions trade costs of $5.50
8/17/20 9:30 TSM TAIWAN SEMICONDUCTOR LONG 240 79.83 9/4 11:19 78.05 0.15%
Trade id #130647242
Max drawdown($924)
Time8/20/20 0:00
Quant open240
Worst price75.98
Drawdown as % of equity-0.15%
($433)
Includes Typical Broker Commissions trade costs of $4.80
8/4/20 9:30 NIO NIO INC LONG 1,856 14.79 9/4 10:45 16.16 0.32%
Trade id #130442996
Max drawdown($1,916)
Time8/14/20 0:00
Quant open983
Worst price12.54
Drawdown as % of equity-0.32%
$2,548
Includes Typical Broker Commissions trade costs of $7.50
8/13/20 9:30 PGF INVESCO FINANCIAL PFD LONG 6,452 18.75 9/4 10:33 18.62 0.15%
Trade id #130600294
Max drawdown($903)
Time9/4/20 10:32
Quant open6,452
Worst price18.61
Drawdown as % of equity-0.15%
($873)
Includes Typical Broker Commissions trade costs of $5.00
8/18/20 9:30 DUST DIREXION DAILY GOLD MINERS BEAR 2X SHORT 721 15.74 9/4 10:27 18.67 0.41%
Trade id #130666589
Max drawdown($2,573)
Time8/25/20 0:00
Quant open721
Worst price19.31
Drawdown as % of equity-0.41%
($2,118)
Includes Typical Broker Commissions trade costs of $5.00
7/17/20 9:30 SPXS DIREXION DAILY S&P500 BEAR 3X SHORT 9,412 6.42 9/4 10:27 5.68 0.12%
Trade id #130133541
Max drawdown($678)
Time7/24/20 0:00
Quant open5,222
Worst price6.99
Drawdown as % of equity-0.12%
$6,948
Includes Typical Broker Commissions trade costs of $10.00
8/13/20 9:30 FNGD MICROSECTORS FANG+ -3X INVERSE LEVERAGED ETN SHORT 1,284 13.34 9/4 10:20 10.54 0.08%
Trade id #130600258
Max drawdown($487)
Time8/14/20 0:00
Quant open1,284
Worst price13.72
Drawdown as % of equity-0.08%
$3,595
Includes Typical Broker Commissions trade costs of $5.00
8/31/20 9:30 AEM AGNICO EAGLE MINES LIMITED LONG 205 82.54 9/4 10:19 77.91 0.16%
Trade id #130892169
Max drawdown($973)
Time9/4/20 10:17
Quant open205
Worst price77.79
Drawdown as % of equity-0.16%
($953)
Includes Typical Broker Commissions trade costs of $4.10
8/18/20 9:30 Z ZILLOW GROUP INC. CLASS C CAPITAL STOCK LONG 470 79.90 9/4 10:18 81.43 0%
Trade id #130666658
Max drawdown($6)
Time8/18/20 10:09
Quant open470
Worst price79.89
Drawdown as % of equity-0.00%
$712
Includes Typical Broker Commissions trade costs of $9.40
7/21/20 9:30 SQ SQUARE INC LONG 280 130.52 9/4 9:56 143.60 0.39%
Trade id #130185956
Max drawdown($2,221)
Time7/24/20 0:00
Quant open171
Worst price117.00
Drawdown as % of equity-0.39%
$3,657
Includes Typical Broker Commissions trade costs of $5.60
6/19/20 9:30 FVRR FIVERR INTERNATIONAL LTD LONG 240 68.60 9/4 9:55 108.42 0.15%
Trade id #129658376
Max drawdown($784)
Time6/24/20 0:00
Quant open240
Worst price65.33
Drawdown as % of equity-0.15%
$9,552
Includes Typical Broker Commissions trade costs of $4.80
8/11/20 9:30 PFF ISHARES S&P U.S. PREFERRED STO LONG 3,125 36.25 9/4 9:30 36.30 0.07%
Trade id #130557177
Max drawdown($390)
Time8/11/20 15:58
Quant open3,125
Worst price36.12
Drawdown as % of equity-0.07%
$151
Includes Typical Broker Commissions trade costs of $5.00
8/17/20 9:30 SPOT SPOTIFY TECHNOLOGY SA LONG 50 254.31 9/4 9:30 259.31 0.03%
Trade id #130647261
Max drawdown($172)
Time8/17/20 10:18
Quant open50
Worst price250.86
Drawdown as % of equity-0.03%
$249
Includes Typical Broker Commissions trade costs of $1.00

Statistics

  • Strategy began
    7/7/2013
  • Suggested Minimum Cap
    $35,000
  • Strategy Age (days)
    2638.06
  • Age
    88 months ago
  • What it trades
    Stocks
  • # Trades
    1877
  • # Profitable
    664
  • % Profitable
    35.40%
  • Avg trade duration
    26.5 days
  • Max peak-to-valley drawdown
    29.38%
  • drawdown period
    Sept 09, 2014 - March 26, 2015
  • Annual Return (Compounded)
    28.1%
  • Avg win
    $2,562
  • Avg loss
    $1,003
  • Model Account Values (Raw)
  • Cash
    $574,568
  • Margin Used
    $81,363
  • Buying Power
    $513,566
  • Ratios
  • W:L ratio
    1.49:1
  • Sharpe Ratio
    0.91
  • Sortino Ratio
    1.34
  • Calmar Ratio
    1.34
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    397.82%
  • Correlation to SP500
    0.08780
  • Return Percent SP500 (cumu) during strategy life
    102.13%
  • Return Statistics
  • Ann Return (w trading costs)
    28.1%
  • Slump
  • Current Slump as Pcnt Equity
    11.30%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.01%
  • Instruments
  • Short Options - Percent Covered
    n/a
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.281%
  • Instruments
  • Percent Trades Options
    0.00%
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    29.1%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    52.50%
  • Chance of 20% account loss
    26.50%
  • Chance of 30% account loss
    9.00%
  • 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
    n/a
  • Popularity
  • Popularity (Today)
    927
  • Popularity (Last 6 weeks)
    983
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Popularity
  • C2 Score
    884
  • Popularity (7 days, Percentile 1000 scale)
    950
  • 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
    $1,004
  • Avg Win
    $2,563
  • Sum Trade PL (losers)
    $1,217,270.000
  • AUM
  • AUM (AutoTrader num accounts)
    8
  • Age
  • Num Months filled monthly returns table
    87
  • Win / Loss
  • Sum Trade PL (winners)
    $1,701,780.000
  • # Winners
    664
  • Num Months Winners
    51
  • Dividends
  • Dividends Received in Model Acct
    48752
  • AUM
  • AUM (AutoTrader live capital)
    692297
  • Win / Loss
  • # Losers
    1213
  • % Winners
    35.4%
  • Frequency
  • Avg Position Time (mins)
    24900.60
  • Avg Position Time (hrs)
    415.01
  • Avg Trade Length
    17.3 days
  • Last Trade Ago
    2
  • Leverage
  • Daily leverage (average)
    1.75
  • Daily leverage (max)
    13.66
  • Regression
  • Alpha
    0.07
  • Beta
    0.12
  • Treynor Index
    0.60
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.00
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    28.36
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    21.72
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -0.80
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.00
  • Avg(MAE) / Avg(PL) - All trades
    4.837
  • 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
    0.188
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.254
  • Hold-and-Hope Ratio
    0.204
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.25687
  • SD
    0.21470
  • Sharpe ratio (Glass type estimate)
    1.19640
  • Sharpe ratio (Hedges UMVUE)
    1.18568
  • df
    84.00000
  • t
    3.18416
  • p
    0.00102
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.43480
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.95130
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.42775
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.94362
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.58686
  • Upside Potential Ratio
    4.11287
  • Upside part of mean
    0.40839
  • Downside part of mean
    -0.15153
  • Upside SD
    0.20296
  • Downside SD
    0.09930
  • N nonnegative terms
    53.00000
  • N negative terms
    32.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    85.00000
  • Mean of predictor
    0.08637
  • Mean of criterion
    0.25687
  • SD of predictor
    0.14066
  • SD of criterion
    0.21470
  • Covariance
    0.00593
  • r
    0.19649
  • b (slope, estimate of beta)
    0.29993
  • a (intercept, estimate of alpha)
    0.23096
  • Mean Square Error
    0.04485
  • DF error
    83.00000
  • t(b)
    1.82574
  • p(b)
    0.03574
  • t(a)
    2.85746
  • p(a)
    0.00270
  • Lowerbound of 95% confidence interval for beta
    -0.02681
  • Upperbound of 95% confidence interval for beta
    0.62667
  • Lowerbound of 95% confidence interval for alpha
    0.07020
  • Upperbound of 95% confidence interval for alpha
    0.39172
  • Treynor index (mean / b)
    0.85642
  • Jensen alpha (a)
    0.23096
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.23224
  • SD
    0.20698
  • Sharpe ratio (Glass type estimate)
    1.12204
  • Sharpe ratio (Hedges UMVUE)
    1.11199
  • df
    84.00000
  • t
    2.98626
  • p
    0.00185
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.36322
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.87453
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.35662
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.86737
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.23488
  • Upside Potential Ratio
    3.73999
  • Upside part of mean
    0.38864
  • Downside part of mean
    -0.15640
  • Upside SD
    0.18982
  • Downside SD
    0.10391
  • N nonnegative terms
    53.00000
  • N negative terms
    32.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    85.00000
  • Mean of predictor
    0.07610
  • Mean of criterion
    0.23224
  • SD of predictor
    0.14123
  • SD of criterion
    0.20698
  • Covariance
    0.00604
  • r
    0.20677
  • b (slope, estimate of beta)
    0.30302
  • a (intercept, estimate of alpha)
    0.20918
  • Mean Square Error
    0.04150
  • DF error
    83.00000
  • t(b)
    1.92537
  • p(b)
    0.02880
  • t(a)
    2.69990
  • p(a)
    0.00420
  • Lowerbound of 95% confidence interval for beta
    -0.01001
  • Upperbound of 95% confidence interval for beta
    0.61605
  • Lowerbound of 95% confidence interval for alpha
    0.05508
  • Upperbound of 95% confidence interval for alpha
    0.36328
  • Treynor index (mean / b)
    0.76641
  • Jensen alpha (a)
    0.20918
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.07589
  • Expected Shortfall on VaR
    0.09846
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02377
  • Expected Shortfall on VaR
    0.05094
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    85.00000
  • Minimum
    0.86117
  • Quartile 1
    0.99233
  • Median
    1.01800
  • Quartile 3
    1.05154
  • Maximum
    1.23937
  • Mean of quarter 1
    0.95629
  • Mean of quarter 2
    1.00305
  • Mean of quarter 3
    1.03376
  • Mean of quarter 4
    1.10504
  • Inter Quartile Range
    0.05922
  • Number outliers low
    2.00000
  • Percentage of outliers low
    0.02353
  • Mean of outliers low
    0.88184
  • Number of outliers high
    4.00000
  • Percentage of outliers high
    0.04706
  • Mean of outliers high
    1.18775
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.79813
  • VaR(95%) (moments method)
    0.02714
  • Expected Shortfall (moments method)
    0.03049
  • Extreme Value Index (regression method)
    -0.23590
  • VaR(95%) (regression method)
    0.04668
  • Expected Shortfall (regression method)
    0.06253
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    13.00000
  • Minimum
    0.00618
  • Quartile 1
    0.02498
  • Median
    0.04699
  • Quartile 3
    0.07820
  • Maximum
    0.19334
  • Mean of quarter 1
    0.01360
  • Mean of quarter 2
    0.03629
  • Mean of quarter 3
    0.06958
  • Mean of quarter 4
    0.13882
  • Inter Quartile Range
    0.05322
  • 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
    0.19334
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -1.09332
  • VaR(95%) (moments method)
    0.14366
  • Expected Shortfall (moments method)
    0.15156
  • Extreme Value Index (regression method)
    0.15720
  • VaR(95%) (regression method)
    0.16002
  • Expected Shortfall (regression method)
    0.22370
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.75014
  • Compounded annual return (geometric extrapolation)
    0.29712
  • Calmar ratio (compounded annual return / max draw down)
    1.53674
  • Compounded annual return / average of 25% largest draw downs
    2.14025
  • Compounded annual return / Expected Shortfall lognormal
    3.01771
  • 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
    0.25293
  • SD
    0.21160
  • Sharpe ratio (Glass type estimate)
    1.19532
  • Sharpe ratio (Hedges UMVUE)
    1.19484
  • df
    1869.00000
  • t
    3.19341
  • p
    0.45315
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.46055
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.92982
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.46021
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.92947
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.73909
  • Upside Potential Ratio
    8.54520
  • Upside part of mean
    1.24281
  • Downside part of mean
    -0.98988
  • Upside SD
    0.15441
  • Downside SD
    0.14544
  • N nonnegative terms
    1056.00000
  • N negative terms
    814.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1870.00000
  • Mean of predictor
    0.08539
  • Mean of criterion
    0.25293
  • SD of predictor
    0.17514
  • SD of criterion
    0.21160
  • Covariance
    0.00348
  • r
    0.09394
  • b (slope, estimate of beta)
    0.11350
  • a (intercept, estimate of alpha)
    0.24300
  • Mean Square Error
    0.04440
  • DF error
    1868.00000
  • t(b)
    4.07824
  • p(b)
    0.45303
  • t(a)
    3.08246
  • p(a)
    0.46443
  • Lowerbound of 95% confidence interval for beta
    0.05892
  • Upperbound of 95% confidence interval for beta
    0.16808
  • Lowerbound of 95% confidence interval for alpha
    0.08848
  • Upperbound of 95% confidence interval for alpha
    0.39801
  • Treynor index (mean / b)
    2.22853
  • Jensen alpha (a)
    0.24324
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.23040
  • SD
    0.21183
  • Sharpe ratio (Glass type estimate)
    1.08763
  • Sharpe ratio (Hedges UMVUE)
    1.08719
  • df
    1869.00000
  • t
    2.90570
  • p
    0.45734
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.35303
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.82195
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.35273
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.82165
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.55393
  • Upside Potential Ratio
    8.30273
  • Upside part of mean
    1.23102
  • Downside part of mean
    -1.00063
  • Upside SD
    0.15188
  • Downside SD
    0.14827
  • N nonnegative terms
    1056.00000
  • N negative terms
    814.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1870.00000
  • Mean of predictor
    0.06995
  • Mean of criterion
    0.23040
  • SD of predictor
    0.17596
  • SD of criterion
    0.21183
  • Covariance
    0.00351
  • r
    0.09409
  • b (slope, estimate of beta)
    0.11328
  • a (intercept, estimate of alpha)
    0.22247
  • Mean Square Error
    0.04450
  • DF error
    1868.00000
  • t(b)
    4.08494
  • p(b)
    0.45295
  • t(a)
    2.81666
  • p(a)
    0.46748
  • Lowerbound of 95% confidence interval for beta
    0.05889
  • Upperbound of 95% confidence interval for beta
    0.16766
  • Lowerbound of 95% confidence interval for alpha
    0.06757
  • Upperbound of 95% confidence interval for alpha
    0.37738
  • Treynor index (mean / b)
    2.03393
  • Jensen alpha (a)
    0.22247
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02044
  • Expected Shortfall on VaR
    0.02577
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00782
  • Expected Shortfall on VaR
    0.01666
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    1870.00000
  • Minimum
    0.90511
  • Quartile 1
    0.99604
  • Median
    1.00101
  • Quartile 3
    1.00659
  • Maximum
    1.09206
  • Mean of quarter 1
    0.98632
  • Mean of quarter 2
    0.99890
  • Mean of quarter 3
    1.00349
  • Mean of quarter 4
    1.01558
  • Inter Quartile Range
    0.01055
  • Number outliers low
    80.00000
  • Percentage of outliers low
    0.04278
  • Mean of outliers low
    0.96665
  • Number of outliers high
    85.00000
  • Percentage of outliers high
    0.04545
  • Mean of outliers high
    1.03270
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.23188
  • VaR(95%) (moments method)
    0.01178
  • Expected Shortfall (moments method)
    0.01937
  • Extreme Value Index (regression method)
    0.17369
  • VaR(95%) (regression method)
    0.01221
  • Expected Shortfall (regression method)
    0.01932
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    59.00000
  • Minimum
    0.00002
  • Quartile 1
    0.00949
  • Median
    0.03286
  • Quartile 3
    0.07387
  • Maximum
    0.21989
  • Mean of quarter 1
    0.00405
  • Mean of quarter 2
    0.02068
  • Mean of quarter 3
    0.05262
  • Mean of quarter 4
    0.10996
  • Inter Quartile Range
    0.06437
  • 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
    0.01695
  • Mean of outliers high
    0.21989
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -0.01316
  • VaR(95%) (moments method)
    0.11754
  • Expected Shortfall (moments method)
    0.14439
  • Extreme Value Index (regression method)
    0.06169
  • VaR(95%) (regression method)
    0.10021
  • Expected Shortfall (regression method)
    0.11791
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.74528
  • Compounded annual return (geometric extrapolation)
    0.29473
  • Calmar ratio (compounded annual return / max draw down)
    1.34036
  • Compounded annual return / average of 25% largest draw downs
    2.68030
  • Compounded annual return / Expected Shortfall lognormal
    11.43870
  • 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
    0.19400
  • SD
    0.21330
  • Sharpe ratio (Glass type estimate)
    0.90952
  • Sharpe ratio (Hedges UMVUE)
    0.90426
  • df
    130.00000
  • t
    0.64313
  • p
    0.47184
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.86618
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.68184
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.86972
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.67825
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.18367
  • Upside Potential Ratio
    7.71965
  • Upside part of mean
    1.26522
  • Downside part of mean
    -1.07122
  • Upside SD
    0.13576
  • Downside SD
    0.16390
  • N nonnegative terms
    83.00000
  • N negative terms
    48.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.45995
  • Mean of criterion
    0.19400
  • SD of predictor
    0.26390
  • SD of criterion
    0.21330
  • Covariance
    0.00182
  • r
    0.03225
  • b (slope, estimate of beta)
    0.02607
  • a (intercept, estimate of alpha)
    0.18201
  • Mean Square Error
    0.04580
  • DF error
    129.00000
  • t(b)
    0.36649
  • p(b)
    0.47947
  • t(a)
    0.59788
  • p(a)
    0.46655
  • Lowerbound of 95% confidence interval for beta
    -0.11466
  • Upperbound of 95% confidence interval for beta
    0.16679
  • Lowerbound of 95% confidence interval for alpha
    -0.42029
  • Upperbound of 95% confidence interval for alpha
    0.78431
  • Treynor index (mean / b)
    7.44217
  • Jensen alpha (a)
    0.18201
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.17107
  • SD
    0.21524
  • Sharpe ratio (Glass type estimate)
    0.79479
  • Sharpe ratio (Hedges UMVUE)
    0.79020
  • df
    130.00000
  • t
    0.56200
  • p
    0.47538
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.98015
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.56683
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.98327
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.56367
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.02188
  • Upside Potential Ratio
    7.50254
  • Upside part of mean
    1.25599
  • Downside part of mean
    -1.08492
  • Upside SD
    0.13439
  • Downside SD
    0.16741
  • N nonnegative terms
    83.00000
  • N negative terms
    48.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.42498
  • Mean of criterion
    0.17107
  • SD of predictor
    0.26392
  • SD of criterion
    0.21524
  • Covariance
    0.00198
  • r
    0.03486
  • b (slope, estimate of beta)
    0.02843
  • a (intercept, estimate of alpha)
    0.15899
  • Mean Square Error
    0.04663
  • DF error
    129.00000
  • t(b)
    0.39620
  • p(b)
    0.47781
  • t(a)
    0.51803
  • p(a)
    0.47100
  • VAR (95 Confidence Intrvl)
    0.02000
  • Lowerbound of 95% confidence interval for beta
    -0.11355
  • Upperbound of 95% confidence interval for beta
    0.17042
  • Lowerbound of 95% confidence interval for alpha
    -0.44823
  • Upperbound of 95% confidence interval for alpha
    0.76621
  • Treynor index (mean / b)
    6.01686
  • Jensen alpha (a)
    0.15899
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02100
  • Expected Shortfall on VaR
    0.02641
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00746
  • Expected Shortfall on VaR
    0.01658
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.93222
  • Quartile 1
    0.99623
  • Median
    1.00208
  • Quartile 3
    1.00700
  • Maximum
    1.03518
  • Mean of quarter 1
    0.98498
  • Mean of quarter 2
    0.99953
  • Mean of quarter 3
    1.00446
  • Mean of quarter 4
    1.01452
  • Inter Quartile Range
    0.01078
  • Number outliers low
    6.00000
  • Percentage of outliers low
    0.04580
  • Mean of outliers low
    0.96194
  • Number of outliers high
    4.00000
  • Percentage of outliers high
    0.03053
  • Mean of outliers high
    1.02865
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.15987
  • VaR(95%) (moments method)
    0.01178
  • Expected Shortfall (moments method)
    0.01848
  • Extreme Value Index (regression method)
    0.39108
  • VaR(95%) (regression method)
    0.01360
  • Expected Shortfall (regression method)
    0.02695
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    5.00000
  • Minimum
    0.00205
  • Quartile 1
    0.06694
  • Median
    0.07317
  • Quartile 3
    0.09282
  • Maximum
    0.09308
  • Mean of quarter 1
    0.03450
  • Mean of quarter 2
    0.07317
  • Mean of quarter 3
    0.09282
  • Mean of quarter 4
    0.09308
  • Inter Quartile Range
    0.02587
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.20000
  • Mean of outliers low
    0.00205
  • 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
    0.25%
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -325143000
  • Max Equity Drawdown (num days)
    198
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.20921
  • Compounded annual return (geometric extrapolation)
    0.22016
  • Calmar ratio (compounded annual return / max draw down)
    2.36511
  • Compounded annual return / average of 25% largest draw downs
    2.36511
  • Compounded annual return / Expected Shortfall lognormal
    8.33637

Strategy Description

Combines elements of breakout trading, trend following and turtle trading risk management.


What to expect:

Everyday, I run scans that comb through over 10,000 stocks to find just one or two that are ready to move immediately.

The system buys strength, short sells weakness and cuts losses very quickly.

I also use a sophisticated risk management strategy that was developed in the 1980's by William Eckhardt, who taught a group of traders now known as The Turtles.


FAQ:

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, I short sell individual stocks and ETFs of all asset classes.

Do you use leverage?

Rarely, but yes during strongly trending markets I do to a limited extent.

Do you use stops?

No, but positions are sold if they close below a pre-determined level the next day.

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?

This is a long/short system that can buy and short individual stocks, as well as other asset classes, such as bond or commodity ETFs, so it is not dependant on a risking stock market.

Where can I get more information?

Follow me on Twitter, or ask me a question through Twitter: @ChartingTrends

Summary Statistics

Strategy began
2013-07-07
Suggested Minimum Capital
$35,000
Rank at C2 
#76
# Trades
1877
# Profitable
664
% Profitable
35.4%
Net Dividends
Correlation S&P500
0.088
Sharpe Ratio
0.91
Sortino Ratio
1.34
Beta
0.12
Alpha
0.07
Leverage
1.75 Average
13.66 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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