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

XLN Swingtrading (84372841)

Created by: TeffubNerraw TeffubNerraw
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.

14.0%
Annual Return (Compounded)
8.8%
Max Drawdown
994
Num Trades
72.5%
Win Trades
2.4 : 1
Profit Factor
82.6%
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%)(0.3%)                  +8.7%

Model Account Details

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

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

System developer has asked us to delay this information by 48 hours.

Trading Record

This strategy has placed 1,468 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
9/8/17 15:30 MDY SPDR S&P MIDCAP 400 LONG 100 313.32 9/13 11:00 319.16 0.1%
Trade id #113607494
Max drawdown($162)
Time9/8/17 17:42
Quant open100
Worst price311.70
Drawdown as % of equity-0.10%
$582
Includes Typical Broker Commissions trade costs of $2.00
8/2/17 15:55 AGN ALLERGAN INC LONG 30 243.04 9/11 15:53 232.10 0.4%
Trade id #112953587
Max drawdown($684)
Time8/29/17 10:02
Quant open30
Worst price220.22
Drawdown as % of equity-0.40%
($329)
Includes Typical Broker Commissions trade costs of $0.60
8/18/17 15:42 DE DEERE LONG 100 117.17 9/11 15:53 117.70 0.15%
Trade id #113236441
Max drawdown($264)
Time8/29/17 9:32
Quant open100
Worst price114.53
Drawdown as % of equity-0.15%
$51
Includes Typical Broker Commissions trade costs of $2.00
8/18/17 12:31 NKE NIKE LONG 300 54.46 9/11 15:53 52.98 0.43%
Trade id #113227098
Max drawdown($733)
Time8/29/17 8:40
Quant open300
Worst price52.02
Drawdown as % of equity-0.43%
($452)
Includes Typical Broker Commissions trade costs of $6.00
8/31/17 12:30 MDY SPDR S&P MIDCAP 400 LONG 100 315.40 9/5 14:00 312.98 0.19%
Trade id #113473088
Max drawdown($328)
Time9/5/17 13:16
Quant open100
Worst price312.12
Drawdown as % of equity-0.19%
($244)
Includes Typical Broker Commissions trade costs of $2.00
8/31/17 15:59 SPY SPDR S&P 500 LONG 100 247.32 9/1 9:30 247.94 0.07%
Trade id #113478905
Max drawdown($127)
Time8/31/17 16:53
Quant open100
Worst price246.05
Drawdown as % of equity-0.07%
$60
Includes Typical Broker Commissions trade costs of $2.00
8/31/17 9:30 IWM ISHARES RUSSELL 2000 INDEX SHORT 100 138.74 8/31 14:43 139.71 0.07%
Trade id #113466449
Max drawdown($119)
Time8/31/17 11:41
Quant open-100
Worst price139.94
Drawdown as % of equity-0.07%
($99)
Includes Typical Broker Commissions trade costs of $2.00
7/31/17 9:30 IWM ISHARES RUSSELL 2000 INDEX LONG 200 141.79 8/30 9:30 137.33 0.9%
Trade id #112892830
Max drawdown($1,533)
Time8/18/17 9:39
Quant open200
Worst price134.12
Drawdown as % of equity-0.90%
($896)
Includes Typical Broker Commissions trade costs of $4.00
8/25/17 11:00 MDY SPDR S&P MIDCAP 400 LONG 100 311.18 8/28 12:24 310.75 0.03%
Trade id #113342000
Max drawdown($50)
Time8/28/17 10:44
Quant open100
Worst price310.68
Drawdown as % of equity-0.03%
($45)
Includes Typical Broker Commissions trade costs of $2.00
8/16/17 13:15 MDY SPDR S&P MIDCAP 400 LONG 100 314.76 8/24 15:30 310.45 0.44%
Trade id #113179251
Max drawdown($747)
Time8/21/17 10:07
Quant open100
Worst price307.28
Drawdown as % of equity-0.44%
($433)
Includes Typical Broker Commissions trade costs of $2.00
8/17/17 15:49 SPY SPDR S&P 500 LONG 300 243.20 8/23 13:16 244.13 0.16%
Trade id #113208829
Max drawdown($274)
Time8/21/17 10:24
Quant open200
Worst price241.83
Drawdown as % of equity-0.16%
$271
Includes Typical Broker Commissions trade costs of $6.00
8/17/17 11:42 EWS ISHARES MSCI SINGAPORE INDEX LONG 150 24.36 8/23 13:16 24.52 0.01%
Trade id #113200347
Max drawdown($19)
Time8/17/17 15:56
Quant open150
Worst price24.23
Drawdown as % of equity-0.01%
$21
Includes Typical Broker Commissions trade costs of $3.00
8/1/17 15:13 CL COLGATE-PALMOLIVE LONG 100 71.91 8/15 15:55 71.81 0.05%
Trade id #112928101
Max drawdown($90)
Time8/10/17 17:24
Quant open100
Worst price71.00
Drawdown as % of equity-0.05%
($12)
Includes Typical Broker Commissions trade costs of $2.00
7/28/17 15:55 EWY ISHARES MSCI KOREA CAPPED IND LONG 300 69.32 8/15 15:55 67.63 0.63%
Trade id #112873291
Max drawdown($1,069)
Time8/10/17 16:22
Quant open300
Worst price65.75
Drawdown as % of equity-0.63%
($512)
Includes Typical Broker Commissions trade costs of $6.00
8/11/17 11:45 MDY SPDR S&P MIDCAP 400 LONG 100 311.43 8/15 14:45 313.57 0.03%
Trade id #113108342
Max drawdown($50)
Time8/11/17 14:39
Quant open100
Worst price310.93
Drawdown as % of equity-0.03%
$212
Includes Typical Broker Commissions trade costs of $2.00
7/28/17 15:30 MDY SPDR S&P MIDCAP 400 LONG 100 320.65 8/8 14:46 319.22 0.19%
Trade id #112872361
Max drawdown($322)
Time8/3/17 15:38
Quant open100
Worst price317.43
Drawdown as % of equity-0.19%
($145)
Includes Typical Broker Commissions trade costs of $2.00
8/2/17 15:51 EPHE ISHARES MSCI PHILIPPINES INVST LONG 100 36.07 8/4 9:56 36.23 0.01%
Trade id #112953446
Max drawdown($21)
Time8/3/17 9:46
Quant open100
Worst price35.86
Drawdown as % of equity-0.01%
$13
Includes Typical Broker Commissions trade costs of $2.00
7/31/17 14:32 MO ALTRIA LONG 100 65.24 8/3 15:38 65.75 0.05%
Trade id #112901347
Max drawdown($80)
Time7/31/17 17:54
Quant open100
Worst price64.44
Drawdown as % of equity-0.05%
$49
Includes Typical Broker Commissions trade costs of $2.00
7/25/17 15:54 SPY SPDR S&P 500 LONG 200 247.47 8/1 14:49 247.25 0.21%
Trade id #112776599
Max drawdown($357)
Time7/27/17 13:40
Quant open200
Worst price245.68
Drawdown as % of equity-0.21%
($48)
Includes Typical Broker Commissions trade costs of $4.00
7/25/17 15:11 MMM 3M LONG 50 198.72 8/1 14:49 202.78 0.03%
Trade id #112775726
Max drawdown($52)
Time7/27/17 9:58
Quant open50
Worst price197.67
Drawdown as % of equity-0.03%
$202
Includes Typical Broker Commissions trade costs of $1.00
7/27/17 13:12 IVZ INVESCO LONG 100 34.34 8/1 14:49 35.08 0.03%
Trade id #112833807
Max drawdown($47)
Time7/27/17 14:12
Quant open100
Worst price33.86
Drawdown as % of equity-0.03%
$72
Includes Typical Broker Commissions trade costs of $2.00
7/18/17 14:58 EWD ISHARES MSCI SWEDEN INDEX LONG 400 34.24 8/1 14:48 34.42 0.07%
Trade id #112669534
Max drawdown($122)
Time7/24/17 11:34
Quant open300
Worst price33.89
Drawdown as % of equity-0.07%
$65
Includes Typical Broker Commissions trade costs of $8.00
7/25/17 15:10 EFNL ISHARES MSCI FINLAND CAPPED LONG 100 39.11 8/1 14:48 39.92 0%
Trade id #112775689
Max drawdown($3)
Time7/25/17 15:54
Quant open100
Worst price39.07
Drawdown as % of equity-0.00%
$79
Includes Typical Broker Commissions trade costs of $2.00
7/27/17 10:10 LBRDK LIBERTY BROADBAND CORPORATION LONG 75 94.08 7/31 14:30 98.65 0.09%
Trade id #112826302
Max drawdown($162)
Time7/27/17 13:43
Quant open75
Worst price91.92
Drawdown as % of equity-0.09%
$342
Includes Typical Broker Commissions trade costs of $1.50
7/25/17 15:54 JNJ JOHNSON & JOHNSON LONG 100 131.76 7/31 14:30 132.84 0.13%
Trade id #112776589
Max drawdown($218)
Time7/27/17 9:47
Quant open100
Worst price129.57
Drawdown as % of equity-0.13%
$106
Includes Typical Broker Commissions trade costs of $2.00
7/27/17 10:08 AZN ASTRAZENECA LONG 100 28.62 7/28 15:54 30.24 0%
Trade id #112826170
Max drawdown($7)
Time7/27/17 10:18
Quant open100
Worst price28.55
Drawdown as % of equity-0.00%
$160
Includes Typical Broker Commissions trade costs of $2.00
7/24/17 15:26 EDEN ISHARES DENMARK CAPPED INVESTA LONG 100 64.24 7/27 9:54 64.88 0%
Trade id #112753734
Max drawdown($2)
Time7/24/17 15:58
Quant open100
Worst price64.21
Drawdown as % of equity-0.00%
$62
Includes Typical Broker Commissions trade costs of $2.00
7/24/17 15:27 DIA SPDR DOW JONES INDUSTRIAL AVER LONG 100 215.23 7/25 9:33 216.30 0.01%
Trade id #112753753
Max drawdown($24)
Time7/24/17 16:00
Quant open100
Worst price214.98
Drawdown as % of equity-0.01%
$105
Includes Typical Broker Commissions trade costs of $2.00
7/24/17 15:29 MCD MCDONALD'S LONG 100 152.50 7/25 9:33 158.57 0.04%
Trade id #112753803
Max drawdown($75)
Time7/24/17 16:37
Quant open100
Worst price151.75
Drawdown as % of equity-0.04%
$605
Includes Typical Broker Commissions trade costs of $2.00
7/6/17 14:27 IWM ISHARES RUSSELL 2000 INDEX LONG 200 139.59 7/17 10:48 141.31 0.19%
Trade id #112449524
Max drawdown($322)
Time7/12/17 16:37
Quant open100
Worst price136.37
Drawdown as % of equity-0.19%
$339
Includes Typical Broker Commissions trade costs of $4.00

Statistics

  • Strategy began
    12/2/2013
  • Starting Unit Size
    $5,000
  • Strategy Age (days)
    1388.72
  • Age
    46 months ago
  • What it trades
    Stocks
  • # Trades
    994
  • # Profitable
    721
  • % Profitable
    72.50%
  • Avg trade duration
    9.5 days
  • Max peak-to-valley drawdown
    8.75%
  • drawdown period
    Dec 03, 2014 - Dec 16, 2014
  • Annual Return (Compounded)
    14.1%
  • Avg win
    $169.45
  • Avg loss
    $202.15
  • Model Account Values (Raw)
  • Cash
    $137,465
  • Margin Used
    $0
  • Buying Power
    $140,911
  • Ratios
  • W:L ratio
    2.39:1
  • Sharpe Ratio
    1.48
  • Sortino Ratio
    2.37
  • Calmar Ratio
    2.083
  • CORRELATION STATISTICS
  • Correlation to SP500
    0.54500
  • Return Statistics
  • Ann Return (w trading costs)
    14.1%
  • Ann Return (Compnd, No Fees)
    15.3%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    3.50%
  • 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)
    908
  • Popularity (Last 6 weeks)
    978
  • C2 Score
    89.6
  • 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
    $202
  • Avg Win
    $169
  • # Winners
    721
  • # Losers
    273
  • % Winners
    72.5%
  • Frequency
  • Avg Position Time (mins)
    13633.00
  • Avg Position Time (hrs)
    227.22
  • Avg Trade Length
    9.5 days
  • Last Trade Ago
    2
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.11891
  • SD
    0.05597
  • Sharpe ratio (Glass type estimate)
    2.12461
  • Sharpe ratio (Hedges UMVUE)
    2.08816
  • df
    44.00000
  • t
    4.11429
  • p
    0.00008
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    1.00978
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.21913
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.98601
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.19030
  • Statistics related to Sortino ratio
  • Sortino ratio
    5.60065
  • Upside Potential Ratio
    6.98791
  • Upside part of mean
    0.14837
  • Downside part of mean
    -0.02945
  • Upside SD
    0.06157
  • Downside SD
    0.02123
  • N nonnegative terms
    33.00000
  • N negative terms
    12.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    45.00000
  • Mean of predictor
    0.06521
  • Mean of criterion
    0.11891
  • SD of predictor
    0.10083
  • SD of criterion
    0.05597
  • Covariance
    0.00329
  • r
    0.58361
  • b (slope, estimate of beta)
    0.32396
  • a (intercept, estimate of alpha)
    0.09779
  • Mean Square Error
    0.00211
  • DF error
    43.00000
  • t(b)
    4.71290
  • p(b)
    0.00001
  • t(a)
    4.04741
  • p(a)
    0.00011
  • Lowerbound of 95% confidence interval for beta
    0.18533
  • Upperbound of 95% confidence interval for beta
    0.46259
  • Lowerbound of 95% confidence interval for alpha
    0.04906
  • Upperbound of 95% confidence interval for alpha
    0.14651
  • Treynor index (mean / b)
    0.36706
  • Jensen alpha (a)
    0.09779
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.11656
  • SD
    0.05529
  • Sharpe ratio (Glass type estimate)
    2.10821
  • Sharpe ratio (Hedges UMVUE)
    2.07203
  • df
    44.00000
  • t
    4.08252
  • p
    0.00009
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.99480
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.20140
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.97121
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.17285
  • Statistics related to Sortino ratio
  • Sortino ratio
    5.44897
  • Upside Potential Ratio
    6.83334
  • Upside part of mean
    0.14617
  • Downside part of mean
    -0.02961
  • Upside SD
    0.06053
  • Downside SD
    0.02139
  • N nonnegative terms
    33.00000
  • N negative terms
    12.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    45.00000
  • Mean of predictor
    0.05997
  • Mean of criterion
    0.11656
  • SD of predictor
    0.10031
  • SD of criterion
    0.05529
  • Covariance
    0.00325
  • r
    0.58605
  • b (slope, estimate of beta)
    0.32302
  • a (intercept, estimate of alpha)
    0.09719
  • Mean Square Error
    0.00205
  • DF error
    43.00000
  • t(b)
    4.74286
  • p(b)
    0.00001
  • t(a)
    4.09117
  • p(a)
    0.00009
  • Lowerbound of 95% confidence interval for beta
    0.18567
  • Upperbound of 95% confidence interval for beta
    0.46037
  • Lowerbound of 95% confidence interval for alpha
    0.04928
  • Upperbound of 95% confidence interval for alpha
    0.14509
  • Treynor index (mean / b)
    0.36084
  • Jensen alpha (a)
    0.09719
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01640
  • Expected Shortfall on VaR
    0.02292
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00350
  • Expected Shortfall on VaR
    0.00833
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    45.00000
  • Minimum
    0.97721
  • Quartile 1
    1.00117
  • Median
    1.00832
  • Quartile 3
    1.02414
  • Maximum
    1.04211
  • Mean of quarter 1
    0.99312
  • Mean of quarter 2
    1.00654
  • Mean of quarter 3
    1.01687
  • Mean of quarter 4
    1.03416
  • Inter Quartile Range
    0.02298
  • 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 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)
    0.00443
  • VaR(95%) (regression method)
    0.00838
  • Expected Shortfall (regression method)
    0.01412
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    7.00000
  • Minimum
    0.00219
  • Quartile 1
    0.00393
  • Median
    0.00494
  • Quartile 3
    0.01706
  • Maximum
    0.02279
  • Mean of quarter 1
    0.00274
  • Mean of quarter 2
    0.00476
  • Mean of quarter 3
    0.01593
  • Mean of quarter 4
    0.02049
  • Inter Quartile Range
    0.01313
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.19173
  • Compounded annual return (geometric extrapolation)
    0.15542
  • Calmar ratio (compounded annual return / max draw down)
    6.81949
  • Compounded annual return / average of 25% largest draw downs
    7.58505
  • Compounded annual return / Expected Shortfall lognormal
    6.77990
  • 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
    0.11904
  • SD
    0.08040
  • Sharpe ratio (Glass type estimate)
    1.48064
  • Sharpe ratio (Hedges UMVUE)
    1.47951
  • df
    985.00000
  • t
    2.87235
  • p
    0.00208
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.46785
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.49272
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.46708
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.49194
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.36958
  • Upside Potential Ratio
    9.19107
  • Upside part of mean
    0.46174
  • Downside part of mean
    -0.34269
  • Upside SD
    0.06315
  • Downside SD
    0.05024
  • N nonnegative terms
    514.00000
  • N negative terms
    472.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    986.00000
  • Mean of predictor
    0.06786
  • Mean of criterion
    0.11904
  • SD of predictor
    0.12421
  • SD of criterion
    0.08040
  • Covariance
    0.00548
  • r
    0.54909
  • b (slope, estimate of beta)
    0.35543
  • a (intercept, estimate of alpha)
    0.09500
  • Mean Square Error
    0.00452
  • DF error
    984.00000
  • t(b)
    20.60900
  • p(b)
    0.00000
  • t(a)
    2.73755
  • p(a)
    0.00315
  • Lowerbound of 95% confidence interval for beta
    0.32158
  • Upperbound of 95% confidence interval for beta
    0.38927
  • Lowerbound of 95% confidence interval for alpha
    0.02688
  • Upperbound of 95% confidence interval for alpha
    0.16297
  • Treynor index (mean / b)
    0.33493
  • Jensen alpha (a)
    0.09492
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.11578
  • SD
    0.08020
  • Sharpe ratio (Glass type estimate)
    1.44366
  • Sharpe ratio (Hedges UMVUE)
    1.44256
  • df
    985.00000
  • t
    2.80061
  • p
    0.00260
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.43097
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.45564
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.43023
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.45489
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.29050
  • Upside Potential Ratio
    9.09424
  • Upside part of mean
    0.45971
  • Downside part of mean
    -0.34393
  • Upside SD
    0.06262
  • Downside SD
    0.05055
  • N nonnegative terms
    514.00000
  • N negative terms
    472.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    986.00000
  • Mean of predictor
    0.06012
  • Mean of criterion
    0.11578
  • SD of predictor
    0.12434
  • SD of criterion
    0.08020
  • Covariance
    0.00549
  • r
    0.55059
  • b (slope, estimate of beta)
    0.35514
  • a (intercept, estimate of alpha)
    0.09443
  • Mean Square Error
    0.00449
  • DF error
    984.00000
  • t(b)
    20.68960
  • p(b)
    0.00000
  • t(a)
    2.73360
  • p(a)
    0.00319
  • Lowerbound of 95% confidence interval for beta
    0.32145
  • Upperbound of 95% confidence interval for beta
    0.38882
  • Lowerbound of 95% confidence interval for alpha
    0.02664
  • Upperbound of 95% confidence interval for alpha
    0.16222
  • Treynor index (mean / b)
    0.32603
  • Jensen alpha (a)
    0.09443
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00768
  • Expected Shortfall on VaR
    0.00973
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00289
  • Expected Shortfall on VaR
    0.00606
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    986.00000
  • Minimum
    0.97372
  • Quartile 1
    0.99869
  • Median
    1.00020
  • Quartile 3
    1.00240
  • Maximum
    1.04506
  • Mean of quarter 1
    0.99539
  • Mean of quarter 2
    0.99961
  • Mean of quarter 3
    1.00109
  • Mean of quarter 4
    1.00616
  • Inter Quartile Range
    0.00371
  • Number outliers low
    41.00000
  • Percentage of outliers low
    0.04158
  • Mean of outliers low
    0.98829
  • Number of outliers high
    52.00000
  • Percentage of outliers high
    0.05274
  • Mean of outliers high
    1.01305
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.40206
  • VaR(95%) (moments method)
    0.00430
  • Expected Shortfall (moments method)
    0.00850
  • Extreme Value Index (regression method)
    0.19248
  • VaR(95%) (regression method)
    0.00399
  • Expected Shortfall (regression method)
    0.00638
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    96.00000
  • Minimum
    0.00006
  • Quartile 1
    0.00153
  • Median
    0.00463
  • Quartile 3
    0.00986
  • Maximum
    0.07418
  • Mean of quarter 1
    0.00062
  • Mean of quarter 2
    0.00278
  • Mean of quarter 3
    0.00697
  • Mean of quarter 4
    0.02673
  • Inter Quartile Range
    0.00833
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    10.00000
  • Percentage of outliers high
    0.10417
  • Mean of outliers high
    0.04215
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.14778
  • VaR(95%) (moments method)
    0.02506
  • Expected Shortfall (moments method)
    0.03760
  • Extreme Value Index (regression method)
    0.31567
  • VaR(95%) (regression method)
    0.02332
  • Expected Shortfall (regression method)
    0.03870
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.19061
  • Compounded annual return (geometric extrapolation)
    0.15453
  • Calmar ratio (compounded annual return / max draw down)
    2.08320
  • Compounded annual return / average of 25% largest draw downs
    5.78119
  • Compounded annual return / Expected Shortfall lognormal
    15.88270
  • 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
    0.09720
  • SD
    0.04832
  • Sharpe ratio (Glass type estimate)
    2.01140
  • Sharpe ratio (Hedges UMVUE)
    1.99978
  • df
    130.00000
  • t
    1.42228
  • p
    0.43811
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.77492
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.79022
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.78267
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.78222
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.26193
  • Upside Potential Ratio
    10.84050
  • Upside part of mean
    0.32302
  • Downside part of mean
    -0.22582
  • Upside SD
    0.03828
  • Downside SD
    0.02980
  • N nonnegative terms
    71.00000
  • N negative terms
    60.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.10638
  • Mean of criterion
    0.09720
  • SD of predictor
    0.07239
  • SD of criterion
    0.04832
  • Covariance
    0.00222
  • r
    0.63355
  • b (slope, estimate of beta)
    0.42294
  • a (intercept, estimate of alpha)
    0.05221
  • Mean Square Error
    0.00141
  • DF error
    129.00000
  • t(b)
    9.30048
  • p(b)
    0.12557
  • t(a)
    0.97948
  • p(a)
    0.44537
  • Lowerbound of 95% confidence interval for beta
    0.33297
  • Upperbound of 95% confidence interval for beta
    0.51291
  • Lowerbound of 95% confidence interval for alpha
    -0.05325
  • Upperbound of 95% confidence interval for alpha
    0.15766
  • Treynor index (mean / b)
    0.22982
  • Jensen alpha (a)
    0.05221
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.09601
  • SD
    0.04828
  • Sharpe ratio (Glass type estimate)
    1.98863
  • Sharpe ratio (Hedges UMVUE)
    1.97714
  • df
    130.00000
  • t
    1.40617
  • p
    0.43880
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.79745
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.76720
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.80507
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.75934
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.21409
  • Upside Potential Ratio
    10.78780
  • Upside part of mean
    0.32226
  • Downside part of mean
    -0.22624
  • Upside SD
    0.03816
  • Downside SD
    0.02987
  • N nonnegative terms
    71.00000
  • N negative terms
    60.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.10375
  • Mean of criterion
    0.09601
  • SD of predictor
    0.07249
  • SD of criterion
    0.04828
  • Covariance
    0.00221
  • r
    0.63269
  • b (slope, estimate of beta)
    0.42139
  • a (intercept, estimate of alpha)
    0.05230
  • Mean Square Error
    0.00141
  • DF error
    129.00000
  • t(b)
    9.27940
  • p(b)
    0.12599
  • t(a)
    0.98137
  • p(a)
    0.44527
  • Lowerbound of 95% confidence interval for beta
    0.33154
  • Upperbound of 95% confidence interval for beta
    0.51124
  • Lowerbound of 95% confidence interval for alpha
    -0.05314
  • Upperbound of 95% confidence interval for alpha
    0.15773
  • Treynor index (mean / b)
    0.22785
  • Jensen alpha (a)
    0.05230
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00453
  • Expected Shortfall on VaR
    0.00577
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00187
  • Expected Shortfall on VaR
    0.00378
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.99274
  • Quartile 1
    0.99921
  • Median
    1.00025
  • Quartile 3
    1.00189
  • Maximum
    1.00983
  • Mean of quarter 1
    0.99699
  • Mean of quarter 2
    0.99981
  • Mean of quarter 3
    1.00099
  • Mean of quarter 4
    1.00413
  • Inter Quartile Range
    0.00268
  • Number outliers low
    5.00000
  • Percentage of outliers low
    0.03817
  • Mean of outliers low
    0.99337
  • Number of outliers high
    8.00000
  • Percentage of outliers high
    0.06107
  • Mean of outliers high
    1.00761
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.22715
  • VaR(95%) (moments method)
    0.00241
  • Expected Shortfall (moments method)
    0.00309
  • Extreme Value Index (regression method)
    -0.62215
  • VaR(95%) (regression method)
    0.00355
  • Expected Shortfall (regression method)
    0.00417
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    14.00000
  • Minimum
    0.00006
  • Quartile 1
    0.00045
  • Median
    0.00214
  • Quartile 3
    0.00684
  • Maximum
    0.01958
  • Mean of quarter 1
    0.00018
  • Mean of quarter 2
    0.00134
  • Mean of quarter 3
    0.00406
  • Mean of quarter 4
    0.01109
  • Inter Quartile Range
    0.00639
  • 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
    0.07143
  • Mean of outliers high
    0.01958
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.25861
  • VaR(95%) (moments method)
    0.01309
  • Expected Shortfall (moments method)
    0.01974
  • Extreme Value Index (regression method)
    1.65185
  • VaR(95%) (regression method)
    0.01705
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.12784
  • Compounded annual return (geometric extrapolation)
    0.13192
  • Calmar ratio (compounded annual return / max draw down)
    6.73813
  • Compounded annual return / average of 25% largest draw downs
    11.89230
  • Compounded annual return / Expected Shortfall lognormal
    22.86840

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 easilty 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.

Summary Statistics

Strategy began
2013-12-02
Minimum Capital Required
$5,000
# Trades
994
# Profitable
721
% Profitable
72.5%
Net Dividends
Correlation S&P500
0.545
Sharpe Ratio
1.480

Latest Activity

#PERSONNAME#
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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