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House Patterns

Stocks · Started Jan 2015

hypothetical · Annual Return (Compounded)
1.5%
Max Drawdown
52.9%
Trades
113
Win Trades
45.1%
Profit Factor
1.30
Win Months
14.3%

About this strategy

Trading is based on proprietary algorithms combined with discretionary buy/sell decisions. Trades will last from a few days to several weeks, and sometimes longer. In addition to algorithms, trading will be informed by chart patterns, Investors Business Daily (CANSLIM), Wyckoff (price/volume) and Elliott Wave.

A few notes: the system will use margin and will sometimes sell one stock to move into a second stock the same or next day. Please be aware of your broker's settle time requirements if using a cash account.

Hold times will typically be a few days to several weeks, longer for a strong trade. The intent is to sell losers quickly, though they may be re-entered.

Some pyramiding on the way up may be done in a longer trade, but strategy does not include averaging down.

In markets believed to be weak, long trades using reverse ETF's will be used. However no shorting will be done.

Trades will be made at the open, intraday or at the close.

Hypothetical Monthly Returns (includes fees/commissions)

YearJanFebMarAprMayJunJulAugSepOctNovDecYTD
2015-3.814.625.9-6.917.4-0.40.77.04.811.4-1.9-6.374.8
2016-17.34.01.316.5-12.210.86.80.49.4-14.0-13.5-6.2-19.2
20174.3-11.11.3-4.9-12.56.8-3.2-1.01.0-4.16.4-1.5-18.9
20185.7-1.10.00.00.00.00.00.00.00.00.00.04.5
20190.00.00.00.00.00.00.00.00.00.00.00.0
20200.00.00.00.00.00.00.00.00.00.00.00.00.0
20210.00.00.00.00.00.00.00.00.00.00.00.00.0
20220.00.00.00.00.00.00.00.00.00.00.00.00.0
20230.00.00.00.00.00.00.00.00.00.00.00.00.0
20240.00.00.00.00.00.00.00.00.00.00.00.00.0
20250.00.00.00.00.00.00.00.00.00.00.00.00.0
20260.00.00.00.00.00.00.00.00.0

Statistics

Overview

Strategy began1/19/2015
Suggested Minimum Capital$10,000
Age142 months
What it tradesStocks
# Trades113
# Profitable51
% Profitable45.1%
Avg trade duration34.6 days
Max peak-to-valley drawdown52.9%
drawdown periodSept 22, 2016 - June 09, 2017
Annual Return (Compounded)1.5%
Avg win$565
Avg loss$352

Ratios

W:L ratio1.34
Sharpe Ratio0.05
Sortino Ratio0.07
Calmar Ratio0.39

CORRELATION STATISTICS

Correlation to SP5000.11
Return Percent SP500 (cumu) during strategy life286.4%
Return of Strat Pcnt - Return of SP500 Pcnt (cumu)-259.2%

Return Statistics

Ann Return (w trading costs)1.5%
Return Pcnt (Compound or Annual, age-based, NFA compliant)0.0%
Return Pcnt Since TOS Status0.0%
Ann Return (Compnd, No Fees)4.8%

Slump

Current Slump as Pcnt Equity81.3%
Current Slump, time of slump as pcnt of strategy life0.9%

Instruments

Percent Trades Forex0.0%
Percent Trades Futures0.0%
Percent Trades Options0.0%
Percent Trades Stocks1.0%

Risk of Ruin (Monte-Carlo)

Chance of 10% account loss100.0%
Chance of 20% account loss100.0%
Chance of 30% account loss100.0%
Chance of 40% account loss100.0%
Chance of 50% account loss6.7%
Chance of 60% account loss (Monte Carlo)0.0%
Chance of 70% account loss (Monte Carlo)0.0%
Chance of 80% account loss (Monte Carlo)0.0%
Chance of 90% account loss (Monte Carlo)0.0%

Automation

Percentage Signals Automated0.0%

Popularity

Popularity (Today)0
Popularity (Last 6 weeks)0
Popularity (7 days, Percentile 1000 scale)0

Trading Style

Any stock shorts? 0/10

Trades-Own-System Certification

Trades Own System?0
TOS percent0.0%

Win / Loss

Avg Loss$352
Avg Win$565
# Winners51
Sum Trade PL (losers)$21,814
Sum Trade PL (winners)$28,835
Num Months Winners20
# Losers62
% Winners45.1%

Dividends

Dividends Received in Model Acct349

Age

Num Months filled monthly returns table141

Frequency

Avg Position Time (mins)49816.65
Avg Position Time (hrs)830.28
Avg Trade Length34.60
Last Trade Ago3171

Regression

Alpha0
Beta0.11
Treynor Index0.02

Maximum Adverse Excursion (MAE)

MAE:Equity, average, all trades0.02
MAE:Equity, 95th Percentile Value for this strat0.04
MAE:Equity, average, losing trades0.03
MAE:Equity, losing trades only, 95th Percentile Value for this strat—
MAE:Equity, average, winning trades0.02
MAE:Equity, win trades only, 95th Percentile Value for this strat—
Avg(MAE) / Avg(PL) - All trades-35.06
MAE:PL (avg, all trades)3.27
MAE:PL (avg, losing trades)—
MAE:PL - Losing Trades - this strat Percentile of All Strats24.66
MAE:PL - Winning Trades - this strat Percentile of All Strats93.07
MAE:PL (avg, winning trades)—
MAE:PL - worst single value for strategy—
Avg(MAE) / Avg(PL) - Winning trades0.46
Avg(MAE) / Avg(PL) - Losing trades-1.23
Hold-and-Hope Ratio-0.03

RATIO STATISTICS

Mean0.15
SD0.30
Sharpe ratio (Glass type estimate)0.51
Sharpe ratio (Hedges UMVUE)0.50
df46
t1.01
p0.16
Lowerbound of 95% confidence interval for Sharpe Ratio-0.49
Upperbound of 95% confidence interval for Sharpe Ratio1.50
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation-0.50
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation1.50
Sortino ratio1.13
Upside Potential Ratio2.68
Upside part of mean0.36
Downside part of mean-0.21
Upside SD0.27
Downside SD0.13
N nonnegative terms21
N negative terms26
N of observations47
Mean of predictor0.35
Mean of criterion0.15
SD of predictor0.31
SD of criterion0.30
Covariance0.00
r0.00
b (slope, estimate of beta)0.00
a (intercept, estimate of alpha)0.15
Mean Square Error0.09
DF error45
t(b)0.02
p(b)0.49
t(a)0.94
p(a)0.18
Lowerbound of 95% confidence interval for beta-0.28
Upperbound of 95% confidence interval for beta0.29
Lowerbound of 95% confidence interval for alpha-0.17
Upperbound of 95% confidence interval for alpha0.48
Treynor index (mean / b)63.80
Jensen alpha (a)0.15
Mean0.11
SD0.27
Sharpe ratio (Glass type estimate)0.42
Sharpe ratio (Hedges UMVUE)0.41
df46
t0.82
p0.21
Lowerbound of 95% confidence interval for Sharpe Ratio-0.58
Upperbound of 95% confidence interval for Sharpe Ratio1.41
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation-0.58
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation1.40
Sortino ratio0.79
Upside Potential Ratio2.31
Upside part of mean0.33
Downside part of mean-0.22
Upside SD0.23
Downside SD0.14
N nonnegative terms21
N negative terms26
N of observations47
Mean of predictor0.30
Mean of criterion0.11
SD of predictor0.28
SD of criterion0.27
Covariance0.00
r0.03
b (slope, estimate of beta)0.03
a (intercept, estimate of alpha)0.10
Mean Square Error0.08
DF error45
t(b)0.19
p(b)0.43
t(a)0.72
p(a)0.24
Lowerbound of 95% confidence interval for beta-0.26
Upperbound of 95% confidence interval for beta0.32
Lowerbound of 95% confidence interval for alpha-0.19
Upperbound of 95% confidence interval for alpha0.40
Treynor index (mean / b)4.15
Jensen alpha (a)0.10
VaR(95%)0.11
Expected Shortfall on VaR0.14
VaR(95%)0.04
Expected Shortfall on VaR0.09
Mean0.14
SD0.23
Sharpe ratio (Glass type estimate)0.60
Sharpe ratio (Hedges UMVUE)0.60
df1033
t1.19
p0.48
Lowerbound of 95% confidence interval for Sharpe Ratio-0.39
Upperbound of 95% confidence interval for Sharpe Ratio1.59
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation-0.39
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation1.59
Sortino ratio0.86
Upside Potential Ratio7.34
Upside part of mean1.18
Downside part of mean-1.04
Upside SD0.17
Downside SD0.16
N nonnegative terms383
N negative terms651
N of observations1034
Mean of predictor0.35
Mean of criterion0.14
SD of predictor0.27
SD of criterion0.23
Covariance0.01
r0.12
b (slope, estimate of beta)0.10
a (intercept, estimate of alpha)0.10
Mean Square Error0.05
DF error1032
t(b)3.84
p(b)0.44
t(a)0.90
p(a)0.49
Lowerbound of 95% confidence interval for beta0.05
Upperbound of 95% confidence interval for beta0.15
Lowerbound of 95% confidence interval for alpha-0.12
Upperbound of 95% confidence interval for alpha0.33
Treynor index (mean / b)1.39
Jensen alpha (a)0.10
Mean0.11
SD0.23
Sharpe ratio (Glass type estimate)0.48
Sharpe ratio (Hedges UMVUE)0.48
df1033
t0.96
p0.48
Lowerbound of 95% confidence interval for Sharpe Ratio-0.50
Upperbound of 95% confidence interval for Sharpe Ratio1.47
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation-0.50
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation1.47
Sortino ratio0.68
Upside Potential Ratio7.10
Upside part of mean1.17
Downside part of mean-1.06
Upside SD0.16
Downside SD0.16
N nonnegative terms383
N negative terms651
N of observations1034
Mean of predictor0.31
Mean of criterion0.11
SD of predictor0.28
SD of criterion0.23
Covariance0.01
r0.12
b (slope, estimate of beta)0.10
a (intercept, estimate of alpha)0.08
Mean Square Error0.05
DF error1032
t(b)3.84
p(b)0.44
t(a)0.70
p(a)0.49
Lowerbound of 95% confidence interval for beta0.05
Upperbound of 95% confidence interval for beta0.15
Lowerbound of 95% confidence interval for alpha-0.15
Upperbound of 95% confidence interval for alpha0.31
Treynor index (mean / b)1.13
Jensen alpha (a)0.08
VaR(95%)0.02
Expected Shortfall on VaR0.03
VaR(95%)0.01
Expected Shortfall on VaR0.02
Mean-0.03
SD0
Sharpe ratio (Glass type estimate)0
Sharpe ratio (Hedges UMVUE)0
df0
t0
p0
Lowerbound of 95% confidence interval for Sharpe Ratio0
Upperbound of 95% confidence interval for Sharpe Ratio0
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation0
Sortino ratio-16.19
Upside Potential Ratio0
Upside part of mean0
Downside part of mean-0.03
Upside SD0
Downside SD0.00
N nonnegative terms0
N negative terms131
N of observations131
Mean of predictor1.15
Mean of criterion-0.03
SD of predictor0.50
SD of criterion0
Covariance0
r0
b (slope, estimate of beta)0
a (intercept, estimate of alpha)0
Mean Square Error0
DF error0
t(b)0
p(b)0
t(a)0
p(a)0
Lowerbound of 95% confidence interval for beta0
Upperbound of 95% confidence interval for beta0
Lowerbound of 95% confidence interval for alpha0
Upperbound of 95% confidence interval for alpha0
Treynor index (mean / b)0
Jensen alpha (a)0
Mean-0.03
SD0
Sharpe ratio (Glass type estimate)-9.74841826823373e+15
Sharpe ratio (Hedges UMVUE)-9.69206937105203e+15
df130
t-6893172865105920
p1
Lowerbound of 95% confidence interval for Sharpe Ratio0
Upperbound of 95% confidence interval for Sharpe Ratio0
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation-1.08701574255084e+16
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation-8513981316595712
Sortino ratio-16.19
Upside Potential Ratio0
Upside part of mean0
Downside part of mean-0.03
Upside SD0
Downside SD0.00
N nonnegative terms0
N negative terms131
N of observations131
Mean of predictor1.02
Mean of criterion-0.03
SD of predictor0.50
SD of criterion0
Covariance0
r0
b (slope, estimate of beta)0
a (intercept, estimate of alpha)-0.03
Mean Square Error0
DF error129
t(b)0
p(b)0.50
t(a)-6811574392061952
p(a)1
Lowerbound of 95% confidence interval for beta0
VAR (95 Confidence Intrvl)0.02
Upperbound of 95% confidence interval for beta0
Lowerbound of 95% confidence interval for alpha-0.03
Upperbound of 95% confidence interval for alpha-0.03
Treynor index (mean / b)-2.90948424500909e+32
Jensen alpha (a)-0.03
VaR(95%)0.00
Expected Shortfall on VaR0.00
VaR(95%)0
Expected Shortfall on VaR0

ORDER STATISTICS

Number of observations47
Minimum0.84
Quartile 10.99
Median1
Quartile 31.04
Maximum1.46
Mean of quarter 10.94
Mean of quarter 21.00
Mean of quarter 31.02
Mean of quarter 41.11
Inter Quartile Range0.05
Number outliers low3
Percentage of outliers low0.06
Mean of outliers low0.87
Number of outliers high2
Percentage of outliers high0.04
Mean of outliers high1.30
Extreme Value Index (moments method)-5.87
VaR(95%) (moments method)0.02
Expected Shortfall (moments method)0.02
Extreme Value Index (regression method)-0.15
VaR(95%) (regression method)0.07
Expected Shortfall (regression method)0.10
Number of observations1034
Minimum0.89
Quartile 11.00
Median1
Quartile 31.01
Maximum1.08
Mean of quarter 10.98
Mean of quarter 21.00
Mean of quarter 31.00
Mean of quarter 41.02
Inter Quartile Range0.01
Number outliers low83
Percentage of outliers low0.08
Mean of outliers low0.97
Number of outliers high76
Percentage of outliers high0.07
Mean of outliers high1.03
Extreme Value Index (moments method)0.21
VaR(95%) (moments method)0.01
Expected Shortfall (moments method)0.02
Extreme Value Index (regression method)0.07
VaR(95%) (regression method)0.01
Expected Shortfall (regression method)0.02
Number of observations131
Minimum1
Quartile 11
Median1
Quartile 31
Maximum1
Mean of quarter 11
Mean of quarter 21
Mean of quarter 31
Mean of quarter 41
Inter Quartile Range0
Number outliers low0
Percentage of outliers low0
Mean of outliers low0
Number of outliers high0
Percentage of outliers high0
Mean of outliers high0
Extreme Value Index (moments method)0
VaR(95%) (moments method)0
Expected Shortfall (moments method)0
Extreme Value Index (regression method)0
VaR(95%) (regression method)0
Expected Shortfall (regression method)0

DRAW DOWN STATISTICS

Number of observations3
Minimum0.01
Quartile 10.11
Median0.21
Quartile 30.28
Maximum0.34
Mean of quarter 10.01
Mean of quarter 20.21
Mean of quarter 30
Mean of quarter 40.34
Inter Quartile Range0.17
Number outliers low0
Percentage of outliers low0
Mean of outliers low0
Number of outliers high0
Percentage of outliers high0
Mean of outliers high0
Extreme Value Index (moments method)0
VaR(95%) (moments method)0
Expected Shortfall (moments method)0
Extreme Value Index (regression method)0
VaR(95%) (regression method)0
Expected Shortfall (regression method)0
Number of observations24
Minimum0.00
Quartile 10.01
Median0.02
Quartile 30.06
Maximum0.39
Mean of quarter 10.01
Mean of quarter 20.02
Mean of quarter 30.04
Mean of quarter 40.18
Inter Quartile Range0.05
Number outliers low0
Percentage of outliers low0
Mean of outliers low0
Number of outliers high3
Percentage of outliers high0.12
Mean of outliers high0.27
Extreme Value Index (moments method)0.35
VaR(95%) (moments method)0.20
Expected Shortfall (moments method)0.35
Extreme Value Index (regression method)0.89
VaR(95%) (regression method)0.24
Expected Shortfall (regression method)1.81
Number of observations0
Minimum0
Quartile 10
Median0
Quartile 30
Maximum0
Mean of quarter 10
Mean of quarter 20
Mean of quarter 30
Mean of quarter 40
Inter Quartile Range0
Number outliers low0
Percentage of outliers low0
Mean of outliers low0
Number of outliers high0
Percentage of outliers high0
Mean of outliers high0
Extreme Value Index (moments method)0
VaR(95%) (moments method)0
Expected Shortfall (moments method)0
Extreme Value Index (regression method)0
VaR(95%) (regression method)0
Expected Shortfall (regression method)0
Strat Max DD how much worse than SP500 max DD during strat life?-470029536
Max Equity Drawdown (num days)260
Last 4 Months - Pcnt Negative0.0%

COMBINED STATISTICS

Annualized return (arithmetic extrapolation)0.19
Compounded annual return (geometric extrapolation)0.15
Calmar ratio (compounded annual return / max draw down)0.45
Compounded annual return / average of 25% largest draw downs0.45
Compounded annual return / Expected Shortfall lognormal1.08
j156mfCOMBRisPar0
j157mfCOMBRisPar0
Annualized return (arithmetic extrapolation)0.19
Compounded annual return (geometric extrapolation)0.15
Calmar ratio (compounded annual return / max draw down)0.39
Compounded annual return / average of 25% largest draw downs0.82
Compounded annual return / Expected Shortfall lognormal5.23
j313dfCOMBRisPar0
j314dfCOMBRisPar0
Annualized return (arithmetic extrapolation)0
Compounded annual return (geometric extrapolation)0
Calmar ratio (compounded annual return / max draw down)0
Compounded annual return / average of 25% largest draw downs0
Compounded annual return / Expected Shortfall lognormal0

Trading record

Placed 187 trades in real-life brokerage accounts.

SymbolSideQtyOpenedClosedP/L
RGLD long80Aug 23, 2017Jan 24, 2018$124
NEM long150Aug 29, 2017Jan 24, 2018$446
CTRL long240Sep 6, 2017Jan 24, 2018$1,305
YY long50Jul 25, 2017Aug 29, 2017($188)
LGIH long160Jul 7, 2017Aug 29, 2017($101)
MTH long160Jul 7, 2017Aug 23, 2017($179)
PHM long280Mar 6, 2017Aug 23, 2017$598
KBH long240May 24, 2017Aug 10, 2017$288
NTRI long150May 8, 2017Jun 27, 2017$447
MOMO long150May 23, 2017Jun 27, 2017($355)
YY long100May 24, 2017Jun 27, 2017($123)
NSP long70Mar 1, 2017May 23, 2017($565)
MKSI long70May 15, 2017May 17, 2017($243)
MOMO long120May 16, 2017May 17, 2017($162)
CELG long70Mar 10, 2017May 8, 2017($372)
AAOI long90Mar 27, 2017Apr 4, 2017($485)
DD long70Mar 10, 2017Apr 3, 2017($88)
USCR long50Mar 15, 2017Mar 24, 2017($314)
KEYS long120Mar 15, 2017Mar 21, 2017($69)
YRD long240Mar 1, 2017Mar 9, 2017$938
WAL long120Mar 1, 2017Mar 9, 2017($229)
CFG long100Mar 6, 2017Mar 9, 2017($67)
WB long120Feb 10, 2017Mar 9, 2017($697)
SLCA long120Dec 19, 2016Feb 24, 2017($333)
TRGP long120Dec 8, 2016Feb 21, 2017$526
TKR long150Jan 20, 2017Feb 21, 2017$266
SUPN long240Dec 8, 2016Feb 21, 2017$827
ELF long210Nov 22, 2016Jan 18, 2017($317)
ORBK long180Dec 23, 2016Jan 12, 2017($273)
VEEV long100Nov 23, 2016Dec 1, 2016$24

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.