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C2Star Strategy Furry Logic C2Star: in evaluation Hypothetical

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These are hypothetical performance results that have certain inherent limitations. Learn more
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The Spirit of Nicolas Darvas.
(81877382)

Created by: Danny Danny
Started: 07/2013
Stocks
Last trade: 2 days ago

Subscriptions not available

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

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

C2Star

C2Star is a certification program for trading strategies. In order to become "C2Star Certified," a strategy must apply tight risk controls, and must exhibit excellent performance characteristics, including low drawdowns.

You can read more about C2Star certification requirements here.

Note that: all trading strategies are risky, and C2Star Certification does not imply that a strategy is low risk.

23.1%
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
3123
Num Trades
37.2%
Win Trades
1.4 : 1
Profit Factor
59.3%
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%(6.8%)(2.2%)+1.1%+18.4%+31.7%
2021  -  (0.5%)+0.2%+0.5%(1%)+3.0%(6.4%)(0.5%)+0.3%+1.2%(3.6%)+1.1%(5.8%)
2022(0.2%)+2.8%+0.2%+8.7%(1.1%)+7.1%(3.5%)(0.2%)+2.5%+0.3%(1.9%)+1.6%+16.7%
2023(0.8%)+1.2%+1.3%+1.4%(0.4%)+0.2%+0.8%+0.8%+3.3%                  +8.1%

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 6,454 trades in real-life brokerage accounts. To see live brokerage data, select Show AutoTrade Data, and click on a Live AutoTrade Indicator symbol.

Show AutoTrade data Hide AutoTrade data
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Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
9/12/23 10:12 TSLA2313V250 TSLA Oct13'23 250 put SHORT 1 5.75 9/25 10:21 15.40 0.15%
Trade id #145797637
Max drawdown($1,257)
Time9/25/23 9:35
Quant open1
Worst price18.32
Drawdown as % of equity-0.15%
 ($967)
Includes Typical Broker Commissions trade costs of $2.00
9/15/23 10:01 CCSI CONSENSUS CLOUD SOLUTIONS INC. SHORT 684 25.52 9/22 11:00 26.39 0.13%
Trade id #145836089
Max drawdown($1,099)
Time9/22/23 9:47
Quant open684
Worst price27.13
Drawdown as % of equity-0.13%
 ($596)
Includes Typical Broker Commissions trade costs of $5.00
9/8/23 12:33 ACAD2320V26 ACAD Oct20'23 26 put SHORT 18 0.86 9/19 9:34 2.05 0.3%
Trade id #145772851
Max drawdown($2,430)
Time9/19/23 9:30
Quant open18
Worst price2.21
Drawdown as % of equity-0.30%
 ($2,171)
Includes Typical Broker Commissions trade costs of $25.20
9/11/23 9:30 VSCO VICTORIA'S SECRET & CO SHORT 698 16.71 9/18 9:30 18.51 0.18%
Trade id #145784941
Max drawdown($1,490)
Time9/15/23 0:00
Quant open698
Worst price18.84
Drawdown as % of equity-0.18%
 ($1,261)
Includes Typical Broker Commissions trade costs of $5.00
7/27/23 14:17 PFE2315I37.5 PFE Sep15'23 37.5 call SHORT 18 0.72 9/16 9:35 0.00 1200.17%
Trade id #145346471
Max drawdown($9,703,190)
Time8/28/23 0:00
Quant open18
Worst price5391.38
Drawdown as % of equity-1200.17%
 $1,283
Includes Typical Broker Commissions trade costs of $12.60
6/21/23 13:40 NDAQ2315I55 NDAQ Sep15'23 55 call SHORT 12 0.68 9/16 9:35 0.00 800.12%
Trade id #144990067
Max drawdown($6,468,840)
Time8/28/23 0:00
Quant open12
Worst price5391.38
Drawdown as % of equity-800.12%
 $808
Includes Typical Broker Commissions trade costs of $8.40
8/14/23 14:57 ALGN2315U340 ALGN Sep15'23 340 put SHORT 2 6.50 9/12 10:00 12.50 n/a ($1,203)
Includes Typical Broker Commissions trade costs of $2.80
8/1/23 13:36 CAT2308U265 CAT Sep8'23 265 put SHORT 4 1.78 9/9 9:35 0.00 n/a $709
Includes Typical Broker Commissions trade costs of $2.80
7/27/23 14:24 BA2315U215 BA Sep15'23 215 put SHORT 3 1.87 9/8 12:02 5.30 n/a ($1,033)
Includes Typical Broker Commissions trade costs of $4.20
8/9/23 14:28 JOE2315X55 JOE Dec15'23 55 put SHORT 10 1.47 9/6 13:50 2.06 n/a ($601)
Includes Typical Broker Commissions trade costs of $14.00
8/9/23 14:32 ETSY2322I94 ETSY Sep22'23 94 call SHORT 5 1.13 9/6 13:50 0.04 n/a $538
Includes Typical Broker Commissions trade costs of $7.00
7/27/23 14:22 ACAD2315X26 ACAD Dec15'23 26 put SHORT 12 1.54 9/6 13:50 1.45 n/a $88
Includes Typical Broker Commissions trade costs of $16.80
8/14/23 14:59 ASLE2419A15 ASLE Jan19'24 15 call SHORT 18 0.56 9/6 13:50 2.43 n/a ($3,400)
Includes Typical Broker Commissions trade costs of $25.20
6/21/23 13:33 OKTA2317K85 OKTA Nov17'23 85 call SHORT 3 3.70 9/6 13:50 7.15 n/a ($1,039)
Includes Typical Broker Commissions trade costs of $4.20
8/4/23 15:52 ENPH2322I160 ENPH Sep22'23 160 call SHORT 2 3.30 9/6 13:50 0.08 n/a $641
Includes Typical Broker Commissions trade costs of $2.80
8/9/23 14:34 MASI2315L145 MASI Dec15'23 145 call SHORT 2 3.20 9/6 13:49 1.10 n/a $417
Includes Typical Broker Commissions trade costs of $2.80
8/9/23 14:24 CELH2315U150 CELH Sep15'23 150 put SHORT 3 2.60 9/6 13:49 0.05 n/a $761
Includes Typical Broker Commissions trade costs of $4.20
6/21/23 13:47 IGT2320V28 IGT Oct20'23 28 put SHORT 10 1.32 9/6 13:49 0.26 0.02%
Trade id #144990131
Max drawdown($150)
Time6/23/23 0:00
Quant open10
Worst price1.47
Drawdown as % of equity-0.02%
 $1,043
Includes Typical Broker Commissions trade costs of $14.00
8/1/23 13:44 CYRX2317K20 CYRX Nov17'23 20 call SHORT 12 0.90 9/6 13:49 0.29 n/a $715
Includes Typical Broker Commissions trade costs of $16.80
8/4/23 15:54 EVA2320J15 EVA Oct20'23 15 call SHORT 15 0.75 9/6 13:49 0.10 n/a $954
Includes Typical Broker Commissions trade costs of $21.00
8/1/23 15:19 ZI2419A25 ZI Jan19'24 25 call SHORT 10 1.01 9/6 13:49 0.45 n/a $546
Includes Typical Broker Commissions trade costs of $14.00
8/4/23 15:48 SEDG2315L230 SEDG Dec15'23 230 call SHORT 1 9.10 9/6 13:49 1.95 n/a $713
Includes Typical Broker Commissions trade costs of $2.00
7/27/23 14:19 TIXT2419A12.5 TIXT Jan19'24 12.5 call SHORT 20 0.39 9/6 13:49 0.13 n/a $485
Includes Typical Broker Commissions trade costs of $28.00
8/4/23 15:57 VRT2315X27.5 VRT Dec15'23 27.5 put SHORT 10 1.13 9/6 13:49 0.63 n/a $486
Includes Typical Broker Commissions trade costs of $14.00
8/9/23 14:31 BYND2322I15 BYND Sep22'23 15 call SHORT 10 0.69 9/6 13:49 0.04 n/a $636
Includes Typical Broker Commissions trade costs of $14.00
7/27/23 14:26 CBAY2419M9 CBAY Jan19'24 9 put SHORT 10 1.81 9/6 13:49 2.16 n/a ($364)
Includes Typical Broker Commissions trade costs of $14.00
7/27/23 14:14 BTAI2315I15 BTAI Sep15'23 15 call SHORT 10 0.78 9/6 13:48 0.05 0.01%
Trade id #145346436
Max drawdown($70)
Time7/28/23 0:00
Quant open10
Worst price0.85
Drawdown as % of equity-0.01%
 $716
Includes Typical Broker Commissions trade costs of $14.00
7/27/23 14:36 TPIC2317K10 TPIC Nov17'23 10 call SHORT 14 0.25 9/6 13:48 0.14 0.03%
Trade id #145346830
Max drawdown($252)
Time8/4/23 0:00
Quant open14
Worst price0.43
Drawdown as % of equity-0.03%
 $134
Includes Typical Broker Commissions trade costs of $19.60
7/27/23 14:12 XAIR2419A5 XAIR Jan19'24 5 call SHORT 20 0.35 9/6 13:48 0.28 n/a $112
Includes Typical Broker Commissions trade costs of $28.00
8/1/23 15:21 ACHR2320V5 ACHR Oct20'23 5 put SHORT 20 0.41 9/6 13:48 0.31 n/a $182
Includes Typical Broker Commissions trade costs of $28.00
Next

Statistics

  • Strategy began
    7/7/2013
  • Suggested Minimum Cap
    $840,000
  • Strategy Age (days)
    3733.62
  • Age
    124 months ago
  • What it trades
    Stocks
  • # Trades
    3123
  • # Profitable
    1161
  • % Profitable
    37.20%
  • Avg trade duration
    15.9 days
  • Max peak-to-valley drawdown
    29.38%
  • drawdown period
    Sept 08, 2014 - March 26, 2015
  • Annual Return (Compounded)
    23.1%
  • Avg win
    $2,455
  • Avg loss
    $1,120
  • Model Account Values (Raw)
  • Cash
    $497,263
  • Margin Used
    $535,122
  • Buying Power
    $1,524
  • Ratios
  • W:L ratio
    1.43:1
  • Sharpe Ratio
    0.82
  • Sortino Ratio
    1.21
  • Calmar Ratio
    1.107
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    576.34%
  • Correlation to SP500
    0.04660
  • Return Percent SP500 (cumu) during strategy life
    161.88%
  • Return Statistics
  • Ann Return (w trading costs)
    23.1%
  • Slump
  • Current Slump as Pcnt Equity
    0.20%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.12%
  • Instruments
  • Short Options - Percent Covered
    n/a
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.231%
  • Instruments
  • Percent Trades Options
    0.04%
  • Percent Trades Stocks
    0.96%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    23.8%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    56.00%
  • Chance of 20% account loss
    31.50%
  • Chance of 30% account loss
    12.50%
  • Chance of 40% account loss
    5.50%
  • Chance of 60% account loss (Monte Carlo)
    n/a
  • Chance of 70% account loss (Monte Carlo)
    n/a
  • Chance of 80% account loss (Monte Carlo)
    n/a
  • Chance of 90% account loss (Monte Carlo)
    n/a
  • Chance of 100% account loss (Monte Carlo)
    100.00%
  • Automation
  • Percentage Signals Automated
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    0.50%
  • Popularity
  • Popularity (Today)
    934
  • Popularity (Last 6 weeks)
    969
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Popularity
  • C2 Score
    997
  • Popularity (7 days, Percentile 1000 scale)
    951
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $1,121
  • Avg Win
    $2,459
  • Sum Trade PL (losers)
    $2,198,700.000
  • Age
  • Num Months filled monthly returns table
    123
  • Win / Loss
  • Sum Trade PL (winners)
    $2,854,580.000
  • # Winners
    1161
  • Num Months Winners
    74
  • Dividends
  • Dividends Received in Model Acct
    129932
  • AUM
  • AUM (AutoTrader live capital)
    712556
  • Win / Loss
  • # Losers
    1961
  • % Winners
    37.2%
  • Frequency
  • Avg Position Time (mins)
    35516.90
  • Avg Position Time (hrs)
    591.95
  • Avg Trade Length
    24.7 days
  • Last Trade Ago
    1
  • Leverage
  • Daily leverage (average)
    1.76
  • Daily leverage (max)
    13.66
  • Regression
  • Alpha
    0.06
  • Beta
    0.06
  • Treynor Index
    1.01
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.01
  • 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)
    8.02
  • MAE:Equity, average, winning trades
    0.03
  • MAE:Equity, average, losing trades
    0.00
  • Avg(MAE) / Avg(PL) - All trades
    69.120
  • 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
    10.045
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.276
  • Hold-and-Hope Ratio
    0.015
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.20987
  • SD
    0.19639
  • Sharpe ratio (Glass type estimate)
    1.06864
  • Sharpe ratio (Hedges UMVUE)
    1.06189
  • df
    119.00000
  • t
    3.37934
  • p
    0.31440
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.43204
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.70097
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.42758
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.69620
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.31836
  • Upside Potential Ratio
    3.87515
  • Upside part of mean
    0.35081
  • Downside part of mean
    -0.14093
  • Upside SD
    0.18364
  • Downside SD
    0.09053
  • N nonnegative terms
    73.00000
  • N negative terms
    47.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    120.00000
  • Mean of predictor
    0.08041
  • Mean of criterion
    0.20987
  • SD of predictor
    0.14671
  • SD of criterion
    0.19639
  • Covariance
    0.00252
  • r
    0.08751
  • b (slope, estimate of beta)
    0.11714
  • a (intercept, estimate of alpha)
    0.20045
  • Mean Square Error
    0.03860
  • DF error
    118.00000
  • t(b)
    0.95428
  • p(b)
    0.45624
  • t(a)
    3.18647
  • p(a)
    0.35926
  • Lowerbound of 95% confidence interval for beta
    -0.12595
  • Upperbound of 95% confidence interval for beta
    0.36024
  • Lowerbound of 95% confidence interval for alpha
    0.07588
  • Upperbound of 95% confidence interval for alpha
    0.32503
  • Treynor index (mean / b)
    1.79158
  • Jensen alpha (a)
    0.20045
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.18965
  • SD
    0.18910
  • Sharpe ratio (Glass type estimate)
    1.00290
  • Sharpe ratio (Hedges UMVUE)
    0.99656
  • df
    119.00000
  • t
    3.17144
  • p
    0.32461
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.36816
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.63361
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.36397
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.62916
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.00911
  • Upside Potential Ratio
    3.54444
  • Upside part of mean
    0.33458
  • Downside part of mean
    -0.14493
  • Upside SD
    0.17190
  • Downside SD
    0.09440
  • N nonnegative terms
    73.00000
  • N negative terms
    47.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    120.00000
  • Mean of predictor
    0.06932
  • Mean of criterion
    0.18965
  • SD of predictor
    0.14704
  • SD of criterion
    0.18910
  • Covariance
    0.00258
  • r
    0.09262
  • b (slope, estimate of beta)
    0.11912
  • a (intercept, estimate of alpha)
    0.18139
  • Mean Square Error
    0.03575
  • DF error
    118.00000
  • t(b)
    1.01046
  • p(b)
    0.45369
  • t(a)
    3.00568
  • p(a)
    0.36666
  • Lowerbound of 95% confidence interval for beta
    -0.11432
  • Upperbound of 95% confidence interval for beta
    0.35256
  • Lowerbound of 95% confidence interval for alpha
    0.06188
  • Upperbound of 95% confidence interval for alpha
    0.30090
  • Treynor index (mean / b)
    1.59214
  • Jensen alpha (a)
    0.18139
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.07132
  • Expected Shortfall on VaR
    0.09208
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02280
  • Expected Shortfall on VaR
    0.04813
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    120.00000
  • Minimum
    0.86117
  • Quartile 1
    0.99029
  • Median
    1.01364
  • Quartile 3
    1.04232
  • Maximum
    1.23937
  • Mean of quarter 1
    0.95906
  • Mean of quarter 2
    1.00095
  • Mean of quarter 3
    1.02637
  • Mean of quarter 4
    1.09289
  • Inter Quartile Range
    0.05203
  • Number outliers low
    3.00000
  • Percentage of outliers low
    0.02500
  • Mean of outliers low
    0.88917
  • Number of outliers high
    7.00000
  • Percentage of outliers high
    0.05833
  • Mean of outliers high
    1.16733
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.03441
  • VaR(95%) (moments method)
    0.03167
  • Expected Shortfall (moments method)
    0.04368
  • Extreme Value Index (regression method)
    -0.13164
  • VaR(95%) (regression method)
    0.04354
  • Expected Shortfall (regression method)
    0.05939
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    17.00000
  • Minimum
    0.00618
  • Quartile 1
    0.01662
  • Median
    0.04194
  • Quartile 3
    0.07820
  • Maximum
    0.19334
  • Mean of quarter 1
    0.01167
  • Mean of quarter 2
    0.03220
  • Mean of quarter 3
    0.06393
  • Mean of quarter 4
    0.12757
  • Inter Quartile Range
    0.06158
  • 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
    0.05882
  • Mean of outliers high
    0.19334
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -0.39958
  • VaR(95%) (moments method)
    0.13497
  • Expected Shortfall (moments method)
    0.15389
  • Extreme Value Index (regression method)
    0.13280
  • VaR(95%) (regression method)
    0.14974
  • Expected Shortfall (regression method)
    0.20353
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.78073
  • Compounded annual return (geometric extrapolation)
    0.24304
  • Calmar ratio (compounded annual return / max draw down)
    1.25703
  • Compounded annual return / average of 25% largest draw downs
    1.90519
  • Compounded annual return / Expected Shortfall lognormal
    2.63954
  • 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
    0.20794
  • SD
    0.18876
  • Sharpe ratio (Glass type estimate)
    1.10159
  • Sharpe ratio (Hedges UMVUE)
    1.10128
  • df
    2621.00000
  • t
    3.48487
  • p
    0.00025
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.48122
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.72177
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.48100
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.72155
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.60216
  • Upside Potential Ratio
    8.29079
  • Upside part of mean
    1.07602
  • Downside part of mean
    -0.86809
  • Upside SD
    0.13761
  • Downside SD
    0.12979
  • N nonnegative terms
    1469.00000
  • N negative terms
    1153.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    2622.00000
  • Mean of predictor
    0.08347
  • Mean of criterion
    0.20794
  • SD of predictor
    0.17677
  • SD of criterion
    0.18876
  • Covariance
    0.00155
  • r
    0.04637
  • b (slope, estimate of beta)
    0.04952
  • a (intercept, estimate of alpha)
    0.20400
  • Mean Square Error
    0.03557
  • DF error
    2620.00000
  • t(b)
    2.37614
  • p(b)
    0.00878
  • t(a)
    3.41717
  • p(a)
    0.00032
  • Lowerbound of 95% confidence interval for beta
    0.00865
  • Upperbound of 95% confidence interval for beta
    0.09038
  • Lowerbound of 95% confidence interval for alpha
    0.08686
  • Upperbound of 95% confidence interval for alpha
    0.32075
  • Treynor index (mean / b)
    4.19923
  • Jensen alpha (a)
    0.20380
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.19002
  • SD
    0.18893
  • Sharpe ratio (Glass type estimate)
    1.00574
  • Sharpe ratio (Hedges UMVUE)
    1.00546
  • df
    2621.00000
  • t
    3.18166
  • p
    0.00074
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.38552
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.62580
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.38530
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.62561
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.43776
  • Upside Potential Ratio
    8.07073
  • Upside part of mean
    1.06664
  • Downside part of mean
    -0.87662
  • Upside SD
    0.13547
  • Downside SD
    0.13216
  • N nonnegative terms
    1469.00000
  • N negative terms
    1153.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    2622.00000
  • Mean of predictor
    0.06777
  • Mean of criterion
    0.19002
  • SD of predictor
    0.17738
  • SD of criterion
    0.18893
  • Covariance
    0.00156
  • r
    0.04669
  • b (slope, estimate of beta)
    0.04973
  • a (intercept, estimate of alpha)
    0.18665
  • Mean Square Error
    0.03563
  • DF error
    2620.00000
  • t(b)
    2.39242
  • p(b)
    0.00840
  • t(a)
    3.12718
  • p(a)
    0.00089
  • Lowerbound of 95% confidence interval for beta
    0.00897
  • Upperbound of 95% confidence interval for beta
    0.09049
  • Lowerbound of 95% confidence interval for alpha
    0.06961
  • Upperbound of 95% confidence interval for alpha
    0.30368
  • Treynor index (mean / b)
    3.82106
  • Jensen alpha (a)
    0.18665
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01830
  • Expected Shortfall on VaR
    0.02307
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00690
  • Expected Shortfall on VaR
    0.01475
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    2622.00000
  • Minimum
    0.90511
  • Quartile 1
    0.99662
  • Median
    1.00085
  • Quartile 3
    1.00552
  • Maximum
    1.09206
  • Mean of quarter 1
    0.98797
  • Mean of quarter 2
    0.99909
  • Mean of quarter 3
    1.00286
  • Mean of quarter 4
    1.01368
  • Inter Quartile Range
    0.00891
  • Number outliers low
    120.00000
  • Percentage of outliers low
    0.04577
  • Mean of outliers low
    0.97119
  • Number of outliers high
    124.00000
  • Percentage of outliers high
    0.04729
  • Mean of outliers high
    1.02936
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.26009
  • VaR(95%) (moments method)
    0.01037
  • Expected Shortfall (moments method)
    0.01754
  • Extreme Value Index (regression method)
    0.17424
  • VaR(95%) (regression method)
    0.01099
  • Expected Shortfall (regression method)
    0.01754
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    69.00000
  • Minimum
    0.00002
  • Quartile 1
    0.00979
  • Median
    0.03202
  • Quartile 3
    0.07298
  • Maximum
    0.21989
  • Mean of quarter 1
    0.00412
  • Mean of quarter 2
    0.02033
  • Mean of quarter 3
    0.05199
  • Mean of quarter 4
    0.11012
  • Inter Quartile Range
    0.06319
  • 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
    0.01449
  • Mean of outliers high
    0.21989
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -0.02226
  • VaR(95%) (moments method)
    0.11620
  • Expected Shortfall (moments method)
    0.14224
  • Extreme Value Index (regression method)
    -0.04697
  • VaR(95%) (regression method)
    0.10306
  • Expected Shortfall (regression method)
    0.11994
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.78482
  • Compounded annual return (geometric extrapolation)
    0.24349
  • Calmar ratio (compounded annual return / max draw down)
    1.10733
  • Compounded annual return / average of 25% largest draw downs
    2.21112
  • Compounded annual return / Expected Shortfall lognormal
    10.55380
  • 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
    0.09616
  • SD
    0.05122
  • Sharpe ratio (Glass type estimate)
    1.87725
  • Sharpe ratio (Hedges UMVUE)
    1.86640
  • df
    130.00000
  • t
    1.32742
  • p
    0.44218
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.90744
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.65493
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.91467
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.64748
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.68337
  • Upside Potential Ratio
    9.12907
  • Upside part of mean
    0.32714
  • Downside part of mean
    -0.23098
  • Upside SD
    0.03681
  • Downside SD
    0.03583
  • N nonnegative terms
    74.00000
  • N negative terms
    57.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.18295
  • Mean of criterion
    0.09616
  • SD of predictor
    0.12754
  • SD of criterion
    0.05122
  • Covariance
    -0.00006
  • r
    -0.00896
  • b (slope, estimate of beta)
    -0.00360
  • a (intercept, estimate of alpha)
    0.09682
  • Mean Square Error
    0.00264
  • DF error
    129.00000
  • t(b)
    -0.10174
  • p(b)
    0.50570
  • t(a)
    1.32617
  • p(a)
    0.42633
  • Lowerbound of 95% confidence interval for beta
    -0.07356
  • Upperbound of 95% confidence interval for beta
    0.06636
  • Lowerbound of 95% confidence interval for alpha
    -0.04762
  • Upperbound of 95% confidence interval for alpha
    0.24126
  • Treynor index (mean / b)
    -26.72930
  • Jensen alpha (a)
    0.09682
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.09483
  • SD
    0.05125
  • Sharpe ratio (Glass type estimate)
    1.85036
  • Sharpe ratio (Hedges UMVUE)
    1.83966
  • df
    130.00000
  • t
    1.30840
  • p
    0.44300
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.93407
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.62777
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.94115
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.62047
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.63613
  • Upside Potential Ratio
    9.07444
  • Upside part of mean
    0.32643
  • Downside part of mean
    -0.23160
  • Upside SD
    0.03670
  • Downside SD
    0.03597
  • N nonnegative terms
    74.00000
  • N negative terms
    57.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.17481
  • Mean of criterion
    0.09483
  • SD of predictor
    0.12740
  • SD of criterion
    0.05125
  • Covariance
    -0.00006
  • r
    -0.00894
  • b (slope, estimate of beta)
    -0.00360
  • a (intercept, estimate of alpha)
    0.09546
  • Mean Square Error
    0.00265
  • DF error
    129.00000
  • t(b)
    -0.10154
  • p(b)
    0.50569
  • t(a)
    1.30733
  • p(a)
    0.42736
  • VAR (95 Confidence Intrvl)
    0.01800
  • Lowerbound of 95% confidence interval for beta
    -0.07367
  • Upperbound of 95% confidence interval for beta
    0.06648
  • Lowerbound of 95% confidence interval for alpha
    -0.04901
  • Upperbound of 95% confidence interval for alpha
    0.23992
  • Treynor index (mean / b)
    -26.36800
  • Jensen alpha (a)
    0.09546
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00483
  • Expected Shortfall on VaR
    0.00615
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00182
  • Expected Shortfall on VaR
    0.00394
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.98789
  • Quartile 1
    0.99936
  • Median
    1.00062
  • Quartile 3
    1.00204
  • Maximum
    1.00928
  • Mean of quarter 1
    0.99674
  • Mean of quarter 2
    1.00006
  • Mean of quarter 3
    1.00116
  • Mean of quarter 4
    1.00396
  • Inter Quartile Range
    0.00268
  • Number outliers low
    9.00000
  • Percentage of outliers low
    0.06870
  • Mean of outliers low
    0.99261
  • Number of outliers high
    7.00000
  • Percentage of outliers high
    0.05344
  • Mean of outliers high
    1.00760
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.45943
  • VaR(95%) (moments method)
    0.00314
  • Expected Shortfall (moments method)
    0.00689
  • Extreme Value Index (regression method)
    0.21352
  • VaR(95%) (regression method)
    0.00322
  • Expected Shortfall (regression method)
    0.00546
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    6.00000
  • Minimum
    0.00053
  • Quartile 1
    0.00122
  • Median
    0.00986
  • Quartile 3
    0.01859
  • Maximum
    0.02001
  • Mean of quarter 1
    0.00058
  • Mean of quarter 2
    0.00301
  • Mean of quarter 3
    0.01671
  • Mean of quarter 4
    0.01961
  • Inter Quartile Range
    0.01737
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Last 4 Months - Pcnt Negative
    n/a
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -376964000
  • Max Equity Drawdown (num days)
    199
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.12658
  • Compounded annual return (geometric extrapolation)
    0.13058
  • Calmar ratio (compounded annual return / max draw down)
    6.52733
  • Compounded annual return / average of 25% largest draw downs
    6.65916
  • Compounded annual return / Expected Shortfall lognormal
    21.23600

Strategy Description

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


What to expect:

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

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

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


Frequently asked questions:

Where can I learn more about your strategy?

I send out a newsletter each Sunday that discusses Trend Following trading and my thoughts on the market. By joining my system, you will receive this newsletter at no extra cost.

Does this system need to be auto-traded?

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


Do you short stocks?

Yes. The portfolio of stocks held contains longs and shorts, potentially lowering the correlation to the S&P 500.


Do you use leverage?

Rarely, but yes during strongly trending markets.


Do you use stops?

No, trades are exited based on end of day closing prices.

How has the system performed during backtesting?

My system is not an algorithm or black box. It is a rules based, discretionary strategy that I have developed through 17 years of intensive study.


What will happen during bear markets?

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

Trade this strategy at Interactive Brokers

Summary Statistics

Strategy began
2013-07-07
Suggested Minimum Capital
$840,000
Rank at C2 %
Top 0.3%
Rank # 
#2
# Trades
3123
# Profitable
1161
% Profitable
37.2%
Net Dividends
$129,932
Correlation S&P500
0.047
Sharpe Ratio
0.82
Sortino Ratio
1.21
Beta
0.06
Alpha
0.06
Leverage
1.76 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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Suggested Minimum Capital

This is our estimate of the minimum amount of capital to follow a strategy, assuming you use the smallest reasonable AutoTrade Scaling % for the strategy.