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

XLN Swingtrading
(84372841)

Created by: Teffub Teffub
Started: 12/2013
Stocks
Last trade: 6 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 $59.00 per month.

12.8%
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.

15.5%
Max Drawdown
1066
Num Trades
72.0%
Win Trades
2.1 : 1
Profit Factor
80.4%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2013                                                                             +2.3%+2.3%
2014(0.5%)+3.0%+1.5%+1.6%+2.2%(0.8%)(3.3%)+5.4%+0.4%(0.7%)+2.7%+1.3%+13.0%
2015+1.9%+1.7%+1.4%+0.9%+0.6%+0.2%+4.0%(1.5%)+0.1%+0.1%+0.7%+1.1%+11.7%
2016+0.1%+0.7%+0.5%+0.3%+1.8%+0.8%+3.0%+3.7%+4.5%(0.2%)+0.4%+0.8%+17.6%
2017+1.5%+1.0%+0.9%+1.3%+0.4%+1.9%+2.4%(0.6%)(1.1%)+2.8%+1.5%(0.1%)+12.4%
2018+6.0%(8.1%)                                                            (2.6%)

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 48 hours.

Trading Record

This strategy has placed 1,640 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
1/31/18 9:30 IWM ISHARES RUSSELL 2000 INDEX LONG 200 157.29 2/15 9:30 152.10 1.86%
Trade id #116197280
Max drawdown($3,287)
Time2/5/18 23:40
Quant open200
Worst price140.85
Drawdown as % of equity-1.86%
($1,041)
Includes Typical Broker Commissions trade costs of $4.00
2/12/18 9:30 SPY SPDR S&P 500 SHORT 100 263.95 2/12 10:49 263.31 0.08%
Trade id #116457651
Max drawdown($133)
Time2/12/18 9:44
Quant open-100
Worst price265.29
Drawdown as % of equity-0.08%
$62
Includes Typical Broker Commissions trade costs of $2.00
2/2/18 13:38 XIV VELOCITYSHARES DAILY INVERSE V LONG 100 117.17 2/7 9:31 6.51 6.55%
Trade id #116254528
Max drawdown($11,179)
Time2/7/18 5:20
Quant open100
Worst price5.37
Drawdown as % of equity-6.55%
($11,068)
Includes Typical Broker Commissions trade costs of $2.00
1/29/18 15:59 SPY SPDR S&P 500 LONG 200 284.96 1/31 9:35 283.12 0.4%
Trade id #116159886
Max drawdown($748)
Time1/30/18 10:08
Quant open200
Worst price281.22
Drawdown as % of equity-0.40%
($372)
Includes Typical Broker Commissions trade costs of $4.00
1/19/18 15:49 AGG ISHARES CORE US AGGREGATE BOND LONG 300 108.20 1/26 9:31 108.45 0.03%
Trade id #115990919
Max drawdown($59)
Time1/19/18 18:42
Quant open300
Worst price108.00
Drawdown as % of equity-0.03%
$69
Includes Typical Broker Commissions trade costs of $6.00
1/4/18 15:16 D DOMINION RESOURCES LONG 100 76.77 1/26 9:31 76.56 0.13%
Trade id #115703653
Max drawdown($245)
Time1/18/18 12:18
Quant open100
Worst price74.32
Drawdown as % of equity-0.13%
($24)
Includes Typical Broker Commissions trade costs of $2.00
1/24/18 15:59 SPY SPDR S&P 500 LONG 200 283.28 1/24 15:59 283.27 0%
Trade id #116083820
Max drawdown($2)
Time1/24/18 15:59
Quant open0
Worst price283.27
Drawdown as % of equity-0.00%
($6)
Includes Typical Broker Commissions trade costs of $4.00
1/16/18 14:34 MO ALTRIA LONG 150 68.57 1/19 15:46 71.04 0.03%
Trade id #115911700
Max drawdown($49)
Time1/16/18 14:49
Quant open150
Worst price68.24
Drawdown as % of equity-0.03%
$367
Includes Typical Broker Commissions trade costs of $3.00
1/10/18 15:39 T AT&T LONG 200 36.55 1/19 15:46 37.27 0.02%
Trade id #115813471
Max drawdown($45)
Time1/12/18 9:46
Quant open200
Worst price36.32
Drawdown as % of equity-0.02%
$140
Includes Typical Broker Commissions trade costs of $4.00
1/18/18 15:59 SPY SPDR S&P 500 LONG 100 279.24 1/18 15:59 279.26 n/a $0
Includes Typical Broker Commissions trade costs of $2.00
1/10/18 15:39 K KELLOGG LONG 250 66.52 1/17 15:58 66.42 0.25%
Trade id #115813481
Max drawdown($463)
Time1/12/18 15:59
Quant open250
Worst price64.66
Drawdown as % of equity-0.25%
($30)
Includes Typical Broker Commissions trade costs of $5.00
1/9/18 15:00 INTC INTEL LONG 200 43.68 1/17 15:57 44.38 0.14%
Trade id #115783048
Max drawdown($255)
Time1/11/18 6:01
Quant open200
Worst price42.40
Drawdown as % of equity-0.14%
$136
Includes Typical Broker Commissions trade costs of $4.00
1/16/18 15:59 SPY SPDR S&P 500 LONG 100 276.97 1/17 9:30 277.90 0%
Trade id #115915147
Max drawdown($4)
Time1/16/18 16:01
Quant open100
Worst price276.93
Drawdown as % of equity-0.00%
$91
Includes Typical Broker Commissions trade costs of $2.00
1/16/18 11:45 MDY SPDR S&P MIDCAP 400 LONG 100 358.18 1/16 12:30 357.82 0.03%
Trade id #115905050
Max drawdown($49)
Time1/16/18 12:27
Quant open100
Worst price357.69
Drawdown as % of equity-0.03%
($38)
Includes Typical Broker Commissions trade costs of $2.00
1/10/18 10:10 SMH VANECK VECTORS SEMICONDUCTOR E LONG 200 101.12 1/12 14:43 102.38 0.06%
Trade id #115799677
Max drawdown($107)
Time1/10/18 10:53
Quant open200
Worst price100.58
Drawdown as % of equity-0.06%
$249
Includes Typical Broker Commissions trade costs of $4.00
1/12/18 10:15 MDY SPDR S&P MIDCAP 400 LONG 100 356.63 1/12 14:00 356.81 0.01%
Trade id #115855683
Max drawdown($16)
Time1/12/18 10:17
Quant open100
Worst price356.47
Drawdown as % of equity-0.01%
$15
Includes Typical Broker Commissions trade costs of $2.00
1/2/18 10:51 MMM 3M LONG 100 233.29 1/8 13:10 239.79 0.03%
Trade id #115644813
Max drawdown($48)
Time1/2/18 11:23
Quant open100
Worst price232.81
Drawdown as % of equity-0.03%
$648
Includes Typical Broker Commissions trade costs of $2.00
1/2/18 10:52 ORCL ORACLE CORP LONG 200 47.00 1/8 13:10 48.93 0.09%
Trade id #115644832
Max drawdown($166)
Time1/2/18 12:55
Quant open200
Worst price46.17
Drawdown as % of equity-0.09%
$382
Includes Typical Broker Commissions trade costs of $4.00
12/4/17 15:45 BDX BECTON DICKINSON LONG 100 219.62 12/21 11:16 218.73 2.33%
Trade id #115180684
Max drawdown($4,131)
Time12/14/17 9:17
Quant open100
Worst price178.31
Drawdown as % of equity-2.33%
($91)
Includes Typical Broker Commissions trade costs of $2.00
11/17/17 15:53 INTC INTEL LONG 200 44.71 12/21 11:16 46.96 0.23%
Trade id #114923462
Max drawdown($407)
Time12/6/17 9:31
Quant open200
Worst price42.67
Drawdown as % of equity-0.23%
$447
Includes Typical Broker Commissions trade costs of $4.00
12/7/17 9:30 IWM ISHARES RUSSELL 2000 INDEX LONG 100 150.30 12/8 13:27 151.86 0.02%
Trade id #115238847
Max drawdown($27)
Time12/7/17 9:34
Quant open100
Worst price150.02
Drawdown as % of equity-0.02%
$154
Includes Typical Broker Commissions trade costs of $2.00
12/7/17 12:31 MDY SPDR S&P MIDCAP 400 LONG 100 343.02 12/8 13:27 344.90 0.03%
Trade id #115244531
Max drawdown($57)
Time12/7/17 14:46
Quant open100
Worst price342.44
Drawdown as % of equity-0.03%
$186
Includes Typical Broker Commissions trade costs of $2.00
11/29/17 15:53 QQQ POWERSHARES QQQ LONG 200 153.92 12/7 15:37 154.12 0.23%
Trade id #115106815
Max drawdown($395)
Time12/5/17 6:26
Quant open200
Worst price151.94
Drawdown as % of equity-0.23%
$37
Includes Typical Broker Commissions trade costs of $4.00
11/29/17 15:53 MA MASTERCARD LONG 100 148.19 12/7 15:37 149.51 0.43%
Trade id #115106821
Max drawdown($757)
Time12/5/17 9:33
Quant open100
Worst price140.61
Drawdown as % of equity-0.43%
$130
Includes Typical Broker Commissions trade costs of $2.00
11/30/17 15:59 SPY SPDR S&P 500 LONG 100 265.20 12/1 9:30 264.82 0.1%
Trade id #115128009
Max drawdown($185)
Time12/1/17 5:57
Quant open100
Worst price263.34
Drawdown as % of equity-0.10%
($40)
Includes Typical Broker Commissions trade costs of $2.00
11/20/17 15:51 KO COCA-COLA LONG 250 45.47 11/30 15:54 45.81 0.06%
Trade id #114947802
Max drawdown($109)
Time11/30/17 9:42
Quant open250
Worst price45.03
Drawdown as % of equity-0.06%
$81
Includes Typical Broker Commissions trade costs of $5.00
11/22/17 15:35 ADP AUTOMATIC DATA PROCESSING LONG 150 110.06 11/28 15:50 111.35 0.05%
Trade id #114990080
Max drawdown($83)
Time11/24/17 9:58
Quant open150
Worst price109.51
Drawdown as % of equity-0.05%
$190
Includes Typical Broker Commissions trade costs of $3.00
11/21/17 11:45 MDY SPDR S&P MIDCAP 400 LONG 100 337.95 11/22 13:15 338.25 0.03%
Trade id #114963209
Max drawdown($51)
Time11/21/17 12:24
Quant open100
Worst price337.43
Drawdown as % of equity-0.03%
$28
Includes Typical Broker Commissions trade costs of $2.00
11/13/17 15:41 GE GENERAL ELECTRIC LONG 300 18.66 11/21 15:35 17.84 0.17%
Trade id #114832392
Max drawdown($293)
Time11/14/17 13:07
Quant open200
Worst price17.46
Drawdown as % of equity-0.17%
($252)
Includes Typical Broker Commissions trade costs of $6.00
11/14/17 15:31 XOM EXXON MOBIL LONG 100 82.25 11/21 15:35 80.83 0.13%
Trade id #114854913
Max drawdown($224)
Time11/20/17 9:50
Quant open100
Worst price80.01
Drawdown as % of equity-0.13%
($144)
Includes Typical Broker Commissions trade costs of $2.00

Statistics

  • Strategy began
    12/2/2013
  • Suggested Minimum Cap
    $35,000
  • Strategy Age (days)
    1541.65
  • Age
    51 months ago
  • What it trades
    Stocks
  • # Trades
    1066
  • # Profitable
    767
  • % Profitable
    72.00%
  • Avg trade duration
    9.7 days
  • Max peak-to-valley drawdown
    15.52%
  • drawdown period
    Jan 31, 2018 - Feb 09, 2018
  • Annual Return (Compounded)
    12.8%
  • Avg win
    $185.70
  • Avg loss
    $246.62
  • Model Account Values (Raw)
  • Cash
    $110,050
  • Margin Used
    $0
  • Buying Power
    $127,409
  • Ratios
  • W:L ratio
    2.07:1
  • Sharpe Ratio
    1.222
  • Sortino Ratio
    1.747
  • Calmar Ratio
    1.07
  • CORRELATION STATISTICS
  • Correlation to SP500
    0.47700
  • Return Statistics
  • Ann Return (w trading costs)
    12.8%
  • Ann Return (Compnd, No Fees)
    13.9%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    6.00%
  • Chance of 20% account loss
    n/a
  • Chance of 30% account loss
    n/a
  • Chance of 40% account loss
    n/a
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    900
  • Popularity (Last 6 weeks)
    982
  • C2 Score
    89.9
  • Trades-Own-System Certification
  • Trades Own System?
    0
  • TOS percent
    n/a
  • Subscription Price
  • Billing Period (days)
    30
  • Trial Days
    0
  • Win / Loss
  • Avg Loss
    $247
  • Avg Win
    $186
  • # Winners
    767
  • # Losers
    299
  • % Winners
    72.0%
  • Frequency
  • Avg Position Time (mins)
    13915.00
  • Avg Position Time (hrs)
    231.92
  • Avg Trade Length
    9.7 days
  • Last Trade Ago
    1
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.10691
  • SD
    0.06418
  • Sharpe ratio (Glass type estimate)
    1.66595
  • Sharpe ratio (Hedges UMVUE)
    1.64029
  • df
    49.00000
  • t
    3.40060
  • p
    0.00067
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.64336
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.67333
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.62668
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.65391
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.08639
  • Upside Potential Ratio
    4.29387
  • Upside part of mean
    0.14874
  • Downside part of mean
    -0.04183
  • Upside SD
    0.06155
  • Downside SD
    0.03464
  • N nonnegative terms
    36.00000
  • N negative terms
    14.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    50.00000
  • Mean of predictor
    0.07607
  • Mean of criterion
    0.10691
  • SD of predictor
    0.10091
  • SD of criterion
    0.06418
  • Covariance
    0.00374
  • r
    0.57695
  • b (slope, estimate of beta)
    0.36694
  • a (intercept, estimate of alpha)
    0.07900
  • Mean Square Error
    0.00280
  • DF error
    48.00000
  • t(b)
    4.89391
  • p(b)
    0.00001
  • t(a)
    2.97392
  • p(a)
    0.00229
  • Lowerbound of 95% confidence interval for beta
    0.21618
  • Upperbound of 95% confidence interval for beta
    0.51769
  • Lowerbound of 95% confidence interval for alpha
    0.02559
  • Upperbound of 95% confidence interval for alpha
    0.13241
  • Treynor index (mean / b)
    0.29137
  • Jensen alpha (a)
    0.07900
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.10420
  • SD
    0.06395
  • Sharpe ratio (Glass type estimate)
    1.62949
  • Sharpe ratio (Hedges UMVUE)
    1.60440
  • df
    49.00000
  • t
    3.32618
  • p
    0.00084
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.60935
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.63468
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.59304
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.61576
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.94817
  • Upside Potential Ratio
    4.14627
  • Upside part of mean
    0.14655
  • Downside part of mean
    -0.04235
  • Upside SD
    0.06052
  • Downside SD
    0.03534
  • N nonnegative terms
    36.00000
  • N negative terms
    14.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    50.00000
  • Mean of predictor
    0.07073
  • Mean of criterion
    0.10420
  • SD of predictor
    0.10039
  • SD of criterion
    0.06395
  • Covariance
    0.00371
  • r
    0.57826
  • b (slope, estimate of beta)
    0.36835
  • a (intercept, estimate of alpha)
    0.07815
  • Mean Square Error
    0.00278
  • DF error
    48.00000
  • t(b)
    4.91060
  • p(b)
    0.00001
  • t(a)
    2.96438
  • p(a)
    0.00236
  • Lowerbound of 95% confidence interval for beta
    0.21753
  • Upperbound of 95% confidence interval for beta
    0.51916
  • Lowerbound of 95% confidence interval for alpha
    0.02514
  • Upperbound of 95% confidence interval for alpha
    0.13115
  • Treynor index (mean / b)
    0.28289
  • Jensen alpha (a)
    0.07815
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02145
  • Expected Shortfall on VaR
    0.02894
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00507
  • Expected Shortfall on VaR
    0.01239
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    50.00000
  • Minimum
    0.94526
  • Quartile 1
    1.00082
  • Median
    1.00921
  • Quartile 3
    1.02500
  • Maximum
    1.04211
  • Mean of quarter 1
    0.98897
  • Mean of quarter 2
    1.00613
  • Mean of quarter 3
    1.01639
  • Mean of quarter 4
    1.03346
  • Inter Quartile Range
    0.02417
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.02000
  • Mean of outliers low
    0.94526
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.61387
  • VaR(95%) (regression method)
    0.00961
  • Expected Shortfall (regression method)
    0.03511
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    9.00000
  • Minimum
    0.00219
  • Quartile 1
    0.00458
  • Median
    0.00496
  • Quartile 3
    0.01819
  • Maximum
    0.05474
  • Mean of quarter 1
    0.00335
  • Mean of quarter 2
    0.00495
  • Mean of quarter 3
    0.01706
  • Mean of quarter 4
    0.03877
  • Inter Quartile Range
    0.01361
  • 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
    0.11111
  • Mean of outliers high
    0.05474
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.01659
  • VaR(95%) (moments method)
    0.03642
  • Expected Shortfall (moments method)
    0.04900
  • Extreme Value Index (regression method)
    1.79601
  • VaR(95%) (regression method)
    0.07750
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.17617
  • Compounded annual return (geometric extrapolation)
    0.14123
  • Calmar ratio (compounded annual return / max draw down)
    2.57989
  • Compounded annual return / average of 25% largest draw downs
    3.64307
  • Compounded annual return / Expected Shortfall lognormal
    4.87956
  • 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
    0.10822
  • SD
    0.08848
  • Sharpe ratio (Glass type estimate)
    1.22309
  • Sharpe ratio (Hedges UMVUE)
    1.22225
  • df
    1092.00000
  • t
    2.49815
  • p
    0.46231
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.26186
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.18380
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.26129
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.18321
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.74693
  • Upside Potential Ratio
    7.63118
  • Upside part of mean
    0.47273
  • Downside part of mean
    -0.36451
  • Upside SD
    0.06347
  • Downside SD
    0.06195
  • N nonnegative terms
    579.00000
  • N negative terms
    514.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1093.00000
  • Mean of predictor
    0.07834
  • Mean of criterion
    0.10822
  • SD of predictor
    0.12415
  • SD of criterion
    0.08848
  • Covariance
    0.00535
  • r
    0.48723
  • b (slope, estimate of beta)
    0.34724
  • a (intercept, estimate of alpha)
    0.08100
  • Mean Square Error
    0.00598
  • DF error
    1091.00000
  • t(b)
    18.42860
  • p(b)
    0.20257
  • t(a)
    2.13895
  • p(a)
    0.45889
  • Lowerbound of 95% confidence interval for beta
    0.31026
  • Upperbound of 95% confidence interval for beta
    0.38421
  • Lowerbound of 95% confidence interval for alpha
    0.00670
  • Upperbound of 95% confidence interval for alpha
    0.15533
  • Treynor index (mean / b)
    0.31165
  • Jensen alpha (a)
    0.08101
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.10426
  • SD
    0.08880
  • Sharpe ratio (Glass type estimate)
    1.17407
  • Sharpe ratio (Hedges UMVUE)
    1.17326
  • df
    1092.00000
  • t
    2.39801
  • p
    0.46381
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.21294
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.13466
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.21240
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.13412
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.65763
  • Upside Potential Ratio
    7.48374
  • Upside part of mean
    0.47068
  • Downside part of mean
    -0.36643
  • Upside SD
    0.06296
  • Downside SD
    0.06289
  • N nonnegative terms
    579.00000
  • N negative terms
    514.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1093.00000
  • Mean of predictor
    0.07061
  • Mean of criterion
    0.10426
  • SD of predictor
    0.12438
  • SD of criterion
    0.08880
  • Covariance
    0.00536
  • r
    0.48529
  • b (slope, estimate of beta)
    0.34645
  • a (intercept, estimate of alpha)
    0.07979
  • Mean Square Error
    0.00603
  • DF error
    1091.00000
  • t(b)
    18.33280
  • p(b)
    0.20365
  • t(a)
    2.09687
  • p(a)
    0.45969
  • Lowerbound of 95% confidence interval for beta
    0.30937
  • Upperbound of 95% confidence interval for beta
    0.38353
  • Lowerbound of 95% confidence interval for alpha
    0.00513
  • Upperbound of 95% confidence interval for alpha
    0.15446
  • Treynor index (mean / b)
    0.30092
  • Jensen alpha (a)
    0.07979
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00859
  • Expected Shortfall on VaR
    0.01086
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00300
  • Expected Shortfall on VaR
    0.00660
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    1093.00000
  • Minimum
    0.93129
  • Quartile 1
    0.99871
  • Median
    1.00025
  • Quartile 3
    1.00251
  • Maximum
    1.04506
  • Mean of quarter 1
    0.99503
  • Mean of quarter 2
    0.99964
  • Mean of quarter 3
    1.00119
  • Mean of quarter 4
    1.00624
  • Inter Quartile Range
    0.00380
  • Number outliers low
    49.00000
  • Percentage of outliers low
    0.04483
  • Mean of outliers low
    0.98684
  • Number of outliers high
    57.00000
  • Percentage of outliers high
    0.05215
  • Mean of outliers high
    1.01322
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.48583
  • VaR(95%) (moments method)
    0.00457
  • Expected Shortfall (moments method)
    0.01029
  • Extreme Value Index (regression method)
    0.30535
  • VaR(95%) (regression method)
    0.00419
  • Expected Shortfall (regression method)
    0.00747
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    104.00000
  • Minimum
    0.00004
  • Quartile 1
    0.00147
  • Median
    0.00463
  • Quartile 3
    0.00986
  • Maximum
    0.13206
  • Mean of quarter 1
    0.00056
  • Mean of quarter 2
    0.00273
  • Mean of quarter 3
    0.00693
  • Mean of quarter 4
    0.03059
  • Inter Quartile Range
    0.00839
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    11.00000
  • Percentage of outliers high
    0.10577
  • Mean of outliers high
    0.05033
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.34741
  • VaR(95%) (moments method)
    0.02922
  • Expected Shortfall (moments method)
    0.05341
  • Extreme Value Index (regression method)
    0.62050
  • VaR(95%) (regression method)
    0.02572
  • Expected Shortfall (regression method)
    0.06626
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.17633
  • Compounded annual return (geometric extrapolation)
    0.14129
  • Calmar ratio (compounded annual return / max draw down)
    1.06988
  • Compounded annual return / average of 25% largest draw downs
    4.61923
  • Compounded annual return / Expected Shortfall lognormal
    13.01440
  • 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
    0.00823
  • SD
    0.13134
  • Sharpe ratio (Glass type estimate)
    0.06267
  • Sharpe ratio (Hedges UMVUE)
    0.06230
  • df
    130.00000
  • t
    0.04431
  • p
    0.49806
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.70915
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.83436
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.70951
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.83412
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.07160
  • Upside Potential Ratio
    4.54179
  • Upside part of mean
    0.52208
  • Downside part of mean
    -0.51385
  • Upside SD
    0.06248
  • Downside SD
    0.11495
  • N nonnegative terms
    75.00000
  • N negative terms
    56.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.20524
  • Mean of criterion
    0.00823
  • SD of predictor
    0.11507
  • SD of criterion
    0.13134
  • Covariance
    0.00383
  • r
    0.25332
  • b (slope, estimate of beta)
    0.28912
  • a (intercept, estimate of alpha)
    -0.05111
  • Mean Square Error
    0.01627
  • DF error
    129.00000
  • t(b)
    2.97418
  • p(b)
    0.34047
  • t(a)
    -0.28163
  • p(a)
    0.51578
  • Lowerbound of 95% confidence interval for beta
    0.09679
  • Upperbound of 95% confidence interval for beta
    0.48146
  • Lowerbound of 95% confidence interval for alpha
    -0.41016
  • Upperbound of 95% confidence interval for alpha
    0.30794
  • Treynor index (mean / b)
    0.02847
  • Jensen alpha (a)
    -0.05111
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.00056
  • SD
    0.13401
  • Sharpe ratio (Glass type estimate)
    -0.00418
  • Sharpe ratio (Hedges UMVUE)
    -0.00416
  • df
    130.00000
  • t
    -0.00296
  • p
    0.50013
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.77599
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.76762
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.77597
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.76765
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.00474
  • Upside Potential Ratio
    4.40118
  • Upside part of mean
    0.52009
  • Downside part of mean
    -0.52065
  • Upside SD
    0.06211
  • Downside SD
    0.11817
  • N nonnegative terms
    75.00000
  • N negative terms
    56.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.19849
  • Mean of criterion
    -0.00056
  • SD of predictor
    0.11610
  • SD of criterion
    0.13401
  • Covariance
    0.00384
  • r
    0.24689
  • b (slope, estimate of beta)
    0.28498
  • a (intercept, estimate of alpha)
    -0.05713
  • Mean Square Error
    0.01699
  • DF error
    129.00000
  • t(b)
    2.89371
  • p(b)
    0.34444
  • t(a)
    -0.30813
  • p(a)
    0.51726
  • Lowerbound of 95% confidence interval for beta
    0.09013
  • Upperbound of 95% confidence interval for beta
    0.47983
  • Lowerbound of 95% confidence interval for alpha
    -0.42394
  • Upperbound of 95% confidence interval for alpha
    0.30969
  • Treynor index (mean / b)
    -0.00197
  • Jensen alpha (a)
    -0.05713
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01353
  • Expected Shortfall on VaR
    0.01693
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00388
  • Expected Shortfall on VaR
    0.00913
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.93129
  • Quartile 1
    0.99884
  • Median
    1.00058
  • Quartile 3
    1.00273
  • Maximum
    1.01876
  • Mean of quarter 1
    0.99266
  • Mean of quarter 2
    0.99986
  • Mean of quarter 3
    1.00174
  • Mean of quarter 4
    1.00634
  • Inter Quartile Range
    0.00389
  • Number outliers low
    10.00000
  • Percentage of outliers low
    0.07634
  • Mean of outliers low
    0.98213
  • Number of outliers high
    7.00000
  • Percentage of outliers high
    0.05344
  • Mean of outliers high
    1.01329
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.81721
  • VaR(95%) (moments method)
    0.00621
  • Expected Shortfall (moments method)
    0.03697
  • Extreme Value Index (regression method)
    0.63394
  • VaR(95%) (regression method)
    0.00568
  • Expected Shortfall (regression method)
    0.01777
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    10.00000
  • Minimum
    0.00004
  • Quartile 1
    0.00120
  • Median
    0.00431
  • Quartile 3
    0.01311
  • Maximum
    0.13206
  • Mean of quarter 1
    0.00039
  • Mean of quarter 2
    0.00256
  • Mean of quarter 3
    0.00643
  • Mean of quarter 4
    0.05574
  • Inter Quartile Range
    0.01191
  • 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
    0.10000
  • Mean of outliers high
    0.13206
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.88448
  • VaR(95%) (moments method)
    0.06556
  • Expected Shortfall (moments method)
    0.61160
  • Extreme Value Index (regression method)
    3.53603
  • VaR(95%) (regression method)
    0.27697
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.02753
  • Compounded annual return (geometric extrapolation)
    0.02772
  • Calmar ratio (compounded annual return / max draw down)
    0.20993
  • Compounded annual return / average of 25% largest draw downs
    0.49735
  • Compounded annual return / Expected Shortfall lognormal
    1.63754

Strategy Description

The strategy is a swing trading system that looks for oversold and overbought stocks. The system trades only highly liquid stocks.

When we enter a bear market I will manage shorts with inverse long etf's.

You can easily trade this strategy with a smaller amount of money with the help of the rescaling tools that Collective 2 provide. Please read more about that at their website. You are always welcome to contact me about it as well.

XLN Swingtrading has been developed to provide consistent long term gains while strictly controlling risk.

Right now there is a max drawdown of approx 9% in the strategy. With a position size that are twice the one I use now the drawdown would be 18% and the annual return would have been closer to 30% instead of current 15%. This is hypothetical of course.

I am trading this strategy myeslf in Tradestation and therefor have no possibility to get a TOS badge. Why Tradestation? Because I think it is the best platform available today.

I am always available for additional information. Just send me message,

Teffub Nerraw

Summary Statistics

Strategy began
2013-12-02
Suggested Minimum Capital
$35,000
# Trades
1066
# Profitable
767
% Profitable
72.0%
Net Dividends
Correlation S&P500
0.477
Sharpe Ratio
1.222

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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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.