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

Greenfield Dividends (94780986)

Created by: PaulGremsDuncan PaulGremsDuncan
Started: 06/2015
Stocks
Last trade: 101 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. There is a free trial period of 30 days. After that, subscriptions cost $49.00 per month.

Try AutoTrade for free. We'll give you $100,000 in a Simulated Broker Account to AutoTrade Greenfield Dividends.

Free AutoTrade

-3.0%
Annual Return (Compounded)
35.1%
Max Drawdown
392
Num Trades
31.9%
Win Trades
1.0 : 1
Profit Factor
53.6%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2015                                   +3.3%+4.0%(8.3%)(2.4%)+6.6%(0.7%)(7.5%)(6%)
2016(15.2%)+4.5%+2.1%(1.4%)(1.1%)+2.4%+4.5%+3.3%+2.2%(2.8%)+3.5%+1.8%+2.1%
2017(4.2%)+0.8%(2%)+1.5%+1.4%(0.2%)+0.1%  -    -                    (2.8%)

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.

Trading Record

This strategy has placed 20 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
5/24/17 9:42 TTEK TETRA TECH LONG 161 46.25 6/12 10:14 47.25 0.01%
Trade id #111747052
Max drawdown($6)
Time5/25/17 9:31
Quant open23
Worst price44.95
Drawdown as % of equity-0.01%
$158
Includes Typical Broker Commissions trade costs of $3.22
5/24/17 10:14 SQM SOCIEDAD QUIMICA Y MINERA LONG 58 36.40 6/12 10:14 35.30 0.17%
Trade id #111748076
Max drawdown($83)
Time6/8/17 11:54
Quant open58
Worst price34.95
Drawdown as % of equity-0.17%
($65)
Includes Typical Broker Commissions trade costs of $1.16
3/30/17 9:45 RAVN RAVEN INDUSTRIES LONG 210 29.58 6/12 10:14 36.50 0.22%
Trade id #110546522
Max drawdown($100)
Time4/13/17 12:10
Quant open107
Worst price28.10
Drawdown as % of equity-0.22%
$1,450
Includes Typical Broker Commissions trade costs of $4.20
4/20/17 9:40 RACE FERRARI N V LONG 45 72.88 6/12 10:14 77.25 0.05%
Trade id #111152521
Max drawdown($22)
Time4/21/17 16:00
Quant open15
Worst price70.78
Drawdown as % of equity-0.05%
$196
Includes Typical Broker Commissions trade costs of $0.90
3/29/17 10:31 QLD PROSHARES ULTRA QQQ LONG 55 107.74 6/12 10:13 116.40 0.26%
Trade id #110516479
Max drawdown($116)
Time4/13/17 19:01
Quant open33
Worst price103.74
Drawdown as % of equity-0.26%
$476
Includes Typical Broker Commissions trade costs of $1.10
5/15/17 9:40 PVTB PRIVATEBANCORP LONG 17 59.92 6/12 10:13 60.54 0.02%
Trade id #111598842
Max drawdown($11)
Time5/18/17 9:31
Quant open17
Worst price59.23
Drawdown as % of equity-0.02%
$11
Includes Typical Broker Commissions trade costs of $0.34
5/22/17 10:02 MLCO MELCO RESORTS & ENTERTAINMENT LTD LONG 233 22.23 6/12 10:13 22.33 0.01%
Trade id #111709607
Max drawdown($2)
Time5/22/17 10:05
Quant open47
Worst price21.67
Drawdown as % of equity-0.01%
$19
Includes Typical Broker Commissions trade costs of $4.66
6/2/17 11:52 MAN MANPOWERGROUP LONG 22 104.74 6/12 10:13 104.75 0.1%
Trade id #111893510
Max drawdown($48)
Time6/6/17 9:31
Quant open11
Worst price100.18
Drawdown as % of equity-0.10%
$0
Includes Typical Broker Commissions trade costs of $0.44
4/24/17 11:18 HBHC HANCOCK HOLDING LONG 132 48.02 6/12 10:13 50.80 0.22%
Trade id #111230146
Max drawdown($109)
Time5/17/17 14:24
Quant open44
Worst price45.38
Drawdown as % of equity-0.22%
$365
Includes Typical Broker Commissions trade costs of $2.64
6/2/17 10:53 CFR CULLEN FROST BANKERS LONG 11 93.40 6/12 10:13 98.27 0.05%
Trade id #111891845
Max drawdown($27)
Time6/6/17 9:41
Quant open11
Worst price90.92
Drawdown as % of equity-0.05%
$54
Includes Typical Broker Commissions trade costs of $0.22
3/29/17 14:26 B BARNES GROUP LONG 141 53.06 6/12 10:13 55.97 0.12%
Trade id #110523591
Max drawdown($55)
Time4/13/17 13:48
Quant open42
Worst price49.31
Drawdown as % of equity-0.12%
$407
Includes Typical Broker Commissions trade costs of $2.82
6/1/17 10:05 SUPV GRUPO SUPERVIELLE S.A. LONG 116 17.49 6/12 10:13 17.57 0.03%
Trade id #111869446
Max drawdown($12)
Time6/1/17 14:03
Quant open59
Worst price17.18
Drawdown as % of equity-0.03%
$7
Includes Typical Broker Commissions trade costs of $2.32
5/23/17 11:22 CCMP CABOT MICROELECTRONICS LONG 101 77.26 6/12 9:57 76.91 0.21%
Trade id #111731000
Max drawdown($103)
Time6/1/17 10:50
Quant open58
Worst price74.94
Drawdown as % of equity-0.21%
($38)
Includes Typical Broker Commissions trade costs of $2.02
3/17/17 11:58 LMAT LEMAITRE VASCULAR LONG 253 28.74 6/12 9:56 29.41 0.13%
Trade id #110307737
Max drawdown($59)
Time3/24/17 9:31
Quant open43
Worst price22.95
Drawdown as % of equity-0.13%
$164
Includes Typical Broker Commissions trade costs of $5.06
4/25/17 9:40 SMTC SEMTECH LONG 31 34.60 6/12 9:54 34.30 0.03%
Trade id #111246216
Max drawdown($15)
Time6/12/17 9:53
Quant open31
Worst price34.10
Drawdown as % of equity-0.03%
($10)
Includes Typical Broker Commissions trade costs of $0.62
4/20/17 9:40 AMAT APPLIED MATERIALS LONG 27 39.69 6/12 9:43 42.98 n/a $88
Includes Typical Broker Commissions trade costs of $0.54
5/22/17 11:03 RCL ROYAL CARIBBEAN CRUISES LONG 55 108.68 6/12 9:40 107.39 0.14%
Trade id #111711259
Max drawdown($71)
Time6/12/17 9:40
Quant open0
Worst price107.39
Drawdown as % of equity-0.14%
($72)
Includes Typical Broker Commissions trade costs of $1.10
5/25/17 9:40 ATVI ACTIVISION BLIZZARD LONG 106 59.51 6/12 9:40 55.88 0.78%
Trade id #111767743
Max drawdown($392)
Time6/12/17 9:40
Quant open106
Worst price55.81
Drawdown as % of equity-0.78%
($387)
Includes Typical Broker Commissions trade costs of $2.12
3/24/17 9:44 ILG ILG INC COMMON STOCK LONG 53 19.40 6/9 14:50 25.92 n/a $345
Includes Typical Broker Commissions trade costs of $1.06
5/31/17 11:07 NNBR NN LONG 107 28.82 6/7 13:08 28.12 0.15%
Trade id #111851179
Max drawdown($74)
Time6/7/17 13:08
Quant open0
Worst price28.12
Drawdown as % of equity-0.15%
($76)
Includes Typical Broker Commissions trade costs of $2.14
5/10/17 10:33 PBT PERMIAN BASIN ROYALTY LONG 206 9.82 5/31 15:36 9.58 0.1%
Trade id #111521284
Max drawdown($50)
Time5/31/17 10:21
Quant open206
Worst price9.58
Drawdown as % of equity-0.10%
($54)
Includes Typical Broker Commissions trade costs of $4.12
4/24/17 11:19 KRO KRONOS WORLDWIDE LONG 334 18.51 5/31 10:32 17.58 0.64%
Trade id #111230157
Max drawdown($311)
Time5/31/17 10:32
Quant open91
Worst price17.91
Drawdown as % of equity-0.64%
($318)
Includes Typical Broker Commissions trade costs of $6.68
3/24/17 9:45 CGNX COGNEX LONG 52 83.24 5/31 10:32 91.58 0.27%
Trade id #110420111
Max drawdown($131)
Time5/1/17 16:19
Quant open52
Worst price80.70
Drawdown as % of equity-0.27%
$433
Includes Typical Broker Commissions trade costs of $1.04
3/15/17 9:44 APO APOLLO GLOBAL MANAGEMENT LONG 243 25.21 5/31 10:32 27.05 0.1%
Trade id #110243874
Max drawdown($45)
Time3/29/17 12:33
Quant open128
Worst price23.18
Drawdown as % of equity-0.10%
$441
Includes Typical Broker Commissions trade costs of $4.86
3/29/17 9:42 MELI MERCADOLIBRE LONG 20 233.66 5/31 10:02 273.85 0.02%
Trade id #110514497
Max drawdown($11)
Time4/3/17 9:31
Quant open5
Worst price210.78
Drawdown as % of equity-0.02%
$804
Includes Typical Broker Commissions trade costs of $0.40
5/22/17 10:02 MAN MANPOWERGROUP LONG 11 103.02 5/31 9:55 100.06 0.07%
Trade id #111709629
Max drawdown($33)
Time5/31/17 9:55
Quant open0
Worst price100.06
Drawdown as % of equity-0.07%
($33)
Includes Typical Broker Commissions trade costs of $0.22
5/25/17 9:52 CFR CULLEN FROST BANKERS LONG 11 94.73 5/30 10:12 91.26 0.08%
Trade id #111768099
Max drawdown($38)
Time5/30/17 10:12
Quant open0
Worst price91.26
Drawdown as % of equity-0.08%
($38)
Includes Typical Broker Commissions trade costs of $0.22
4/24/17 11:20 ASB ASSOCIATED BANC-CORP LONG 41 25.45 5/30 9:40 24.00 0.14%
Trade id #111230235
Max drawdown($71)
Time5/17/17 14:18
Quant open41
Worst price23.70
Drawdown as % of equity-0.14%
($60)
Includes Typical Broker Commissions trade costs of $0.82
5/24/17 9:40 STLD STEEL DYNAMICS LONG 29 36.28 5/26 15:04 33.68 0.15%
Trade id #111747025
Max drawdown($75)
Time5/26/17 15:04
Quant open29
Worst price33.69
Drawdown as % of equity-0.15%
($76)
Includes Typical Broker Commissions trade costs of $0.58
5/23/17 10:23 WMB WILLIAMS COMPANIES LONG 33 30.53 5/26 10:51 29.45 0.07%
Trade id #111729402
Max drawdown($36)
Time5/26/17 10:51
Quant open0
Worst price29.45
Drawdown as % of equity-0.07%
($37)
Includes Typical Broker Commissions trade costs of $0.66

Statistics

  • Strategy began
    6/3/2015
  • Starting Unit Size
    $5,500
  • Strategy Age (days)
    836.83
  • Age
    28 months ago
  • What it trades
    Stocks
  • # Trades
    392
  • # Profitable
    125
  • % Profitable
    31.90%
  • Avg trade duration
    39.3 days
  • Max peak-to-valley drawdown
    35.1%
  • drawdown period
    Aug 18, 2015 - Jan 27, 2016
  • Annual Return (Compounded)
    -2.9%
  • Avg win
    $242.26
  • Avg loss
    $126.20
  • Model Account Values (Raw)
  • Cash
    $49,129
  • Margin Used
    $0
  • Buying Power
    $49,129
  • Ratios
  • W:L ratio
    0.97:1
  • Sharpe Ratio
    -0.13
  • Sortino Ratio
    -0.173
  • Calmar Ratio
    -0.027
  • CORRELATION STATISTICS
  • Correlation to SP500
    0.48000
  • Return Statistics
  • Ann Return (w trading costs)
    -2.9%
  • Ann Return (Compnd, No Fees)
    -0.8%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    100.00%
  • Chance of 20% account loss
    100.00%
  • Chance of 30% account loss
    100.00%
  • Chance of 40% account loss
    n/a
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    0
  • Trades-Own-System Certification
  • Trades Own System?
    0
  • TOS percent
    n/a
  • Subscription Price
  • Billing Period (days)
    30
  • Trial Days
    30
  • Win / Loss
  • Avg Loss
    $126
  • Avg Win
    $242
  • # Winners
    125
  • # Losers
    267
  • % Winners
    31.9%
  • Frequency
  • Avg Position Time (mins)
    56588.80
  • Avg Position Time (hrs)
    943.15
  • Avg Trade Length
    39.3 days
  • Last Trade Ago
    97
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.01614
  • SD
    0.20354
  • Sharpe ratio (Glass type estimate)
    -0.07931
  • Sharpe ratio (Hedges UMVUE)
    -0.07680
  • df
    24.00000
  • t
    -0.11447
  • p
    0.54509
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.43658
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.27959
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.43487
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.28128
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.10370
  • Upside Potential Ratio
    1.62755
  • Upside part of mean
    0.25335
  • Downside part of mean
    -0.26949
  • Upside SD
    0.12474
  • Downside SD
    0.15566
  • N nonnegative terms
    11.00000
  • N negative terms
    14.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    25.00000
  • Mean of predictor
    0.05019
  • Mean of criterion
    -0.01614
  • SD of predictor
    0.12837
  • SD of criterion
    0.20354
  • Covariance
    0.01814
  • r
    0.69447
  • b (slope, estimate of beta)
    1.10113
  • a (intercept, estimate of alpha)
    -0.07140
  • Mean Square Error
    0.02238
  • DF error
    23.00000
  • t(b)
    4.62884
  • p(b)
    0.00006
  • t(a)
    -0.68440
  • p(a)
    0.74972
  • Lowerbound of 95% confidence interval for beta
    0.60903
  • Upperbound of 95% confidence interval for beta
    1.59324
  • Lowerbound of 95% confidence interval for alpha
    -0.28723
  • Upperbound of 95% confidence interval for alpha
    0.14442
  • Treynor index (mean / b)
    -0.01466
  • Jensen alpha (a)
    -0.07140
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.03672
  • SD
    0.20923
  • Sharpe ratio (Glass type estimate)
    -0.17548
  • Sharpe ratio (Hedges UMVUE)
    -0.16993
  • df
    24.00000
  • t
    -0.25329
  • p
    0.59890
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.53250
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.18509
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.52868
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.18882
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.22076
  • Upside Potential Ratio
    1.47525
  • Upside part of mean
    0.24535
  • Downside part of mean
    -0.28207
  • Upside SD
    0.12032
  • Downside SD
    0.16631
  • N nonnegative terms
    11.00000
  • N negative terms
    14.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    25.00000
  • Mean of predictor
    0.04215
  • Mean of criterion
    -0.03672
  • SD of predictor
    0.12761
  • SD of criterion
    0.20923
  • Covariance
    0.01903
  • r
    0.71281
  • b (slope, estimate of beta)
    1.16869
  • a (intercept, estimate of alpha)
    -0.08598
  • Mean Square Error
    0.02247
  • DF error
    23.00000
  • t(b)
    4.87413
  • p(b)
    0.00003
  • t(a)
    -0.82402
  • p(a)
    0.79080
  • Lowerbound of 95% confidence interval for beta
    0.67268
  • Upperbound of 95% confidence interval for beta
    1.66470
  • Lowerbound of 95% confidence interval for alpha
    -0.30183
  • Upperbound of 95% confidence interval for alpha
    0.12987
  • Treynor index (mean / b)
    -0.03142
  • Jensen alpha (a)
    -0.08598
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.09734
  • Expected Shortfall on VaR
    0.11961
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.05557
  • Expected Shortfall on VaR
    0.10584
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    25.00000
  • Minimum
    0.83769
  • Quartile 1
    0.97749
  • Median
    0.99926
  • Quartile 3
    1.04192
  • Maximum
    1.09797
  • Mean of quarter 1
    0.93455
  • Mean of quarter 2
    0.98810
  • Mean of quarter 3
    1.02391
  • Mean of quarter 4
    1.06844
  • Inter Quartile Range
    0.06443
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.04000
  • Mean of outliers low
    0.83769
  • 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)
    0.39437
  • VaR(95%) (moments method)
    0.06898
  • Expected Shortfall (moments method)
    0.13458
  • Extreme Value Index (regression method)
    1.15088
  • VaR(95%) (regression method)
    0.07732
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    1.00000
  • Minimum
    0.26870
  • Quartile 1
    0.26870
  • Median
    0.26870
  • Quartile 3
    0.26870
  • Maximum
    0.26870
  • Mean of quarter 1
    0.00000
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.00000
  • Inter Quartile Range
    0.00000
  • 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)
    -0.00873
  • Compounded annual return (geometric extrapolation)
    -0.00877
  • Calmar ratio (compounded annual return / max draw down)
    -0.03264
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    -0.07332
  • 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
    -0.02215
  • SD
    0.17025
  • Sharpe ratio (Glass type estimate)
    -0.13009
  • Sharpe ratio (Hedges UMVUE)
    -0.12991
  • df
    546.00000
  • t
    -0.18797
  • p
    0.57451
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.48651
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.22645
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.48638
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.22657
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.17262
  • Upside Potential Ratio
    6.54916
  • Upside part of mean
    0.84024
  • Downside part of mean
    -0.86239
  • Upside SD
    0.11168
  • Downside SD
    0.12830
  • N nonnegative terms
    272.00000
  • N negative terms
    275.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    547.00000
  • Mean of predictor
    0.05932
  • Mean of criterion
    -0.02215
  • SD of predictor
    0.13552
  • SD of criterion
    0.17025
  • Covariance
    0.01102
  • r
    0.47779
  • b (slope, estimate of beta)
    0.60020
  • a (intercept, estimate of alpha)
    -0.05800
  • Mean Square Error
    0.02241
  • DF error
    545.00000
  • t(b)
    12.69700
  • p(b)
    -0.00000
  • t(a)
    -0.55720
  • p(a)
    0.71119
  • Lowerbound of 95% confidence interval for beta
    0.50734
  • Upperbound of 95% confidence interval for beta
    0.69305
  • Lowerbound of 95% confidence interval for alpha
    -0.26133
  • Upperbound of 95% confidence interval for alpha
    0.14583
  • Treynor index (mean / b)
    -0.03690
  • Jensen alpha (a)
    -0.05775
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.03670
  • SD
    0.17102
  • Sharpe ratio (Glass type estimate)
    -0.21457
  • Sharpe ratio (Hedges UMVUE)
    -0.21428
  • df
    546.00000
  • t
    -0.31004
  • p
    0.62167
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.57103
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.14200
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.57079
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.14224
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.28112
  • Upside Potential Ratio
    6.38917
  • Upside part of mean
    0.83402
  • Downside part of mean
    -0.87072
  • Upside SD
    0.11028
  • Downside SD
    0.13054
  • N nonnegative terms
    272.00000
  • N negative terms
    275.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    547.00000
  • Mean of predictor
    0.05012
  • Mean of criterion
    -0.03670
  • SD of predictor
    0.13570
  • SD of criterion
    0.17102
  • Covariance
    0.01121
  • r
    0.48325
  • b (slope, estimate of beta)
    0.60906
  • a (intercept, estimate of alpha)
    -0.06722
  • Mean Square Error
    0.02246
  • DF error
    545.00000
  • t(b)
    12.88610
  • p(b)
    -0.00000
  • t(a)
    -0.64797
  • p(a)
    0.74136
  • Lowerbound of 95% confidence interval for beta
    0.51621
  • Upperbound of 95% confidence interval for beta
    0.70190
  • Lowerbound of 95% confidence interval for alpha
    -0.27102
  • Upperbound of 95% confidence interval for alpha
    0.13657
  • Treynor index (mean / b)
    -0.06025
  • Jensen alpha (a)
    -0.06722
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01737
  • Expected Shortfall on VaR
    0.02169
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00750
  • Expected Shortfall on VaR
    0.01571
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    547.00000
  • Minimum
    0.93021
  • Quartile 1
    0.99659
  • Median
    1.00008
  • Quartile 3
    1.00392
  • Maximum
    1.06091
  • Mean of quarter 1
    0.98828
  • Mean of quarter 2
    0.99879
  • Mean of quarter 3
    1.00185
  • Mean of quarter 4
    1.01118
  • Inter Quartile Range
    0.00733
  • Number outliers low
    34.00000
  • Percentage of outliers low
    0.06216
  • Mean of outliers low
    0.97449
  • Number of outliers high
    33.00000
  • Percentage of outliers high
    0.06033
  • Mean of outliers high
    1.02175
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.49335
  • VaR(95%) (moments method)
    0.01151
  • Expected Shortfall (moments method)
    0.02593
  • Extreme Value Index (regression method)
    0.24036
  • VaR(95%) (regression method)
    0.01071
  • Expected Shortfall (regression method)
    0.01791
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    5.00000
  • Minimum
    0.03155
  • Quartile 1
    0.03355
  • Median
    0.04601
  • Quartile 3
    0.05765
  • Maximum
    0.32417
  • Mean of quarter 1
    0.03255
  • Mean of quarter 2
    0.04601
  • Mean of quarter 3
    0.05765
  • Mean of quarter 4
    0.32417
  • Inter Quartile Range
    0.02410
  • 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
    0.20000
  • Mean of outliers high
    0.32417
  • 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)
    -0.00871
  • Compounded annual return (geometric extrapolation)
    -0.00875
  • Calmar ratio (compounded annual return / max draw down)
    -0.02700
  • Compounded annual return / average of 25% largest draw downs
    -0.02700
  • Compounded annual return / Expected Shortfall lognormal
    -0.40351
  • 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
    0.00940
  • SD
    0.13845
  • Sharpe ratio (Glass type estimate)
    0.06789
  • Sharpe ratio (Hedges UMVUE)
    0.06750
  • df
    130.00000
  • t
    0.04800
  • p
    0.49789
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.70405
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.83959
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.70432
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.83931
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.08949
  • Upside Potential Ratio
    6.36143
  • Upside part of mean
    0.66814
  • Downside part of mean
    -0.65874
  • Upside SD
    0.08939
  • Downside SD
    0.10503
  • N nonnegative terms
    57.00000
  • N negative terms
    74.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.16115
  • Mean of criterion
    0.00940
  • SD of predictor
    0.08565
  • SD of criterion
    0.13845
  • Covariance
    0.00408
  • r
    0.34415
  • b (slope, estimate of beta)
    0.55633
  • a (intercept, estimate of alpha)
    -0.08025
  • Mean Square Error
    0.01703
  • DF error
    129.00000
  • t(b)
    4.16304
  • p(b)
    0.28531
  • t(a)
    -0.43192
  • p(a)
    0.52419
  • Lowerbound of 95% confidence interval for beta
    0.29193
  • Upperbound of 95% confidence interval for beta
    0.82073
  • Lowerbound of 95% confidence interval for alpha
    -0.44786
  • Upperbound of 95% confidence interval for alpha
    0.28736
  • Treynor index (mean / b)
    0.01689
  • Jensen alpha (a)
    -0.08025
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.00017
  • SD
    0.13904
  • Sharpe ratio (Glass type estimate)
    -0.00119
  • Sharpe ratio (Hedges UMVUE)
    -0.00119
  • df
    130.00000
  • t
    -0.00084
  • p
    0.50004
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.77300
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.77061
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.77299
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.77062
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.00156
  • Upside Potential Ratio
    6.24203
  • Upside part of mean
    0.66411
  • Downside part of mean
    -0.66428
  • Upside SD
    0.08869
  • Downside SD
    0.10639
  • N nonnegative terms
    57.00000
  • N negative terms
    74.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.15744
  • Mean of criterion
    -0.00017
  • SD of predictor
    0.08566
  • SD of criterion
    0.13904
  • Covariance
    0.00410
  • r
    0.34405
  • b (slope, estimate of beta)
    0.55845
  • a (intercept, estimate of alpha)
    -0.08809
  • Mean Square Error
    0.01718
  • DF error
    129.00000
  • t(b)
    4.16175
  • p(b)
    0.28537
  • t(a)
    -0.47221
  • p(a)
    0.52644
  • Lowerbound of 95% confidence interval for beta
    0.29296
  • Upperbound of 95% confidence interval for beta
    0.82394
  • Lowerbound of 95% confidence interval for alpha
    -0.45717
  • Upperbound of 95% confidence interval for alpha
    0.28100
  • Treynor index (mean / b)
    -0.00030
  • Jensen alpha (a)
    -0.08809
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01403
  • Expected Shortfall on VaR
    0.01756
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00616
  • Expected Shortfall on VaR
    0.01298
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.96376
  • Quartile 1
    0.99752
  • Median
    1.00000
  • Quartile 3
    1.00263
  • Maximum
    1.02490
  • Mean of quarter 1
    0.99084
  • Mean of quarter 2
    0.99942
  • Mean of quarter 3
    1.00085
  • Mean of quarter 4
    1.00948
  • Inter Quartile Range
    0.00512
  • Number outliers low
    9.00000
  • Percentage of outliers low
    0.06870
  • Mean of outliers low
    0.97876
  • Number of outliers high
    9.00000
  • Percentage of outliers high
    0.06870
  • Mean of outliers high
    1.01774
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.69386
  • VaR(95%) (moments method)
    0.00964
  • Expected Shortfall (moments method)
    0.03364
  • Extreme Value Index (regression method)
    0.67959
  • VaR(95%) (regression method)
    0.00815
  • Expected Shortfall (regression method)
    0.02598
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    6.00000
  • Minimum
    0.00089
  • Quartile 1
    0.00471
  • Median
    0.01853
  • Quartile 3
    0.04713
  • Maximum
    0.08664
  • Mean of quarter 1
    0.00133
  • Mean of quarter 2
    0.01352
  • Mean of quarter 3
    0.02354
  • Mean of quarter 4
    0.07082
  • Inter Quartile Range
    0.04242
  • 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)
    0.02793
  • Compounded annual return (geometric extrapolation)
    0.02813
  • Calmar ratio (compounded annual return / max draw down)
    0.32467
  • Compounded annual return / average of 25% largest draw downs
    0.39722
  • Compounded annual return / Expected Shortfall lognormal
    1.60204

Strategy Description

The system uses a mixture of criteria around steady to accelerating revenues, EPS, and dividends to pick strong dividend stocks which also have the potential of price appreciation. Dividend growth (income) as a portfolio is the primary objective, with preservation of capital being secondary. Presently fully invested in this market -- stocks will rotate out based upon a combination of price and volume action, relative to other candidates.

For non-subscribers, you can see closed trades immediately. The management philosophy of this portfolio, as well as all of the Greenfield portfolios here at C2, is to cut losses quickly but let winners run. Hence, you'll see many negative trades and know that it is mostly due to prudent money management.

Summary Statistics

Strategy began
2015-06-03
Minimum Capital Required
$5,500
# Trades
392
# Profitable
125
% Profitable
31.9%
Net Dividends
Correlation S&P500
0.480
Sharpe Ratio
-0.130

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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