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Greenfield Dividends

Created by:
PaulGremsDuncan
PaulGremsDuncan
Started:   06/2015
Stocks
Last trade:   Yesterday

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
-5.8%
Annual Return (Compounded)
35.1%
Max Drawdown
342
Num Trades
31.3%
Win Trades
0.9 : 1
Profit Factor
54.5%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2015                                   +3.4%+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%(3.3%)                                                      (6.7%)

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.

Open positions are hidden from non-subscribers.

This strategy has placed 20 trades in real-life brokerage accounts. Show AutoTrade data Hide AutoTrade data
Long
Short
Both
Win
Loss
Both

Trading Record

Download CSV
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
3/15/17 9:40 RMP RICE MIDSTREAM PARTNERS LP LONG 78 26.07 3/27 12:33 24.39 0.28%
Trade id #110243812
Max drawdown($135)
Time3/21/17 10:16
Quant open78
Worst price24.33
Drawdown as % of equity-0.28%
($134)
Includes Typical Commission and AutoTrade Fees trade costs of $3.00
3/24/17 10:29 B BARNES GROUP LONG 21 50.67 3/27 9:40 48.71 0.11%
Trade id #110421527
Max drawdown($51)
Time3/27/17 9:31
Quant open21
Worst price48.21
Drawdown as % of equity-0.11%
($43)
Includes Typical Commission and AutoTrade Fees trade costs of $2.00
1/12/17 9:45 DPZ DOMINO'S PIZZA LONG 7 169.46 3/24 15:21 183.51 n/a $95
Includes Typical Commission and AutoTrade Fees trade costs of $3.00
3/16/17 9:40 STLD STEEL DYNAMICS LONG 29 36.40 3/24 14:16 33.69 0.17%
Trade id #110273229
Max drawdown($79)
Time3/24/17 14:16
Quant open0
Worst price33.69
Drawdown as % of equity-0.17%
($81)
Includes Typical Commission and AutoTrade Fees trade costs of $2.00
11/22/16 9:44 SCHW CHARLES SCHWAB LONG 177 41.19 3/22/17 12:40 39.92 0.61%
Trade id #107397114
Max drawdown($299)
Time2/28/17 8:38
Quant open177
Worst price39.50
Drawdown as % of equity-0.61%
($234)
Includes Typical Commission and AutoTrade Fees trade costs of $8.77
3/16/17 10:01 FFBC FIRST FINANCIAL BANCORP LONG 72 28.54 3/22 11:54 25.90 0.47%
Trade id #110273905
Max drawdown($219)
Time3/22/17 9:32
Quant open72
Worst price25.50
Drawdown as % of equity-0.47%
($193)
Includes Typical Commission and AutoTrade Fees trade costs of $3.00
3/2/17 10:44 GHL GREENHILL & CO LONG 33 30.50 3/22 10:17 28.50 0.14%
Trade id #109988995
Max drawdown($66)
Time3/22/17 9:33
Quant open33
Worst price28.50
Drawdown as % of equity-0.14%
($68)
Includes Typical Commission and AutoTrade Fees trade costs of $2.00
2/6/17 10:18 JPM JPMORGAN CHASE LONG 13 87.40 3/21 10:31 89.74 n/a $28
Includes Typical Commission and AutoTrade Fees trade costs of $2.00
2/23/17 10:00 STS SUPREME INDUSTRIES LONG 259 19.69 3/21 10:18 19.19 0.27%
Trade id #109784773
Max drawdown($128)
Time3/21/17 10:18
Quant open0
Worst price19.19
Drawdown as % of equity-0.27%
($136)
Includes Typical Commission and AutoTrade Fees trade costs of $7.59
2/6/17 10:18 EWBC EAST WEST BANCORP LONG 57 53.03 3/21 10:01 53.13 0.07%
Trade id #109309147
Max drawdown($34)
Time2/8/17 9:37
Quant open19
Worst price51.10
Drawdown as % of equity-0.07%
$2
Includes Typical Commission and AutoTrade Fees trade costs of $4.00
2/15/17 9:56 BPFH BOSTON PRIVATE FINANCIAL LONG 59 17.12 3/21 10:00 16.45 0.08%
Trade id #109559907
Max drawdown($40)
Time3/21/17 10:00
Quant open0
Worst price16.45
Drawdown as % of equity-0.08%
($42)
Includes Typical Commission and AutoTrade Fees trade costs of $2.00
2/14/17 10:49 LBAI LAKELAND BANCORP LONG 155 19.67 3/20 15:54 19.65 0.13%
Trade id #109529974
Max drawdown($65)
Time2/24/17 9:39
Quant open155
Worst price19.25
Drawdown as % of equity-0.13%
($9)
Includes Typical Commission and AutoTrade Fees trade costs of $4.55
12/20/16 9:46 AM ANTERO RESOURCES MIDSTREAM LLC LONG 183 33.25 3/20/17 13:33 34.30 0.05%
Trade id #108075926
Max drawdown($22)
Time12/20/16 11:35
Quant open35
Worst price28.38
Drawdown as % of equity-0.05%
$185
Includes Typical Commission and AutoTrade Fees trade costs of $8.01
3/16/17 9:53 GPI GROUP 1 AUTOMOTIVE LONG 25 79.26 3/20 9:50 75.95 0.17%
Trade id #110273599
Max drawdown($83)
Time3/20/17 9:50
Quant open0
Worst price75.95
Drawdown as % of equity-0.17%
($86)
Includes Typical Commission and AutoTrade Fees trade costs of $3.00
11/14/16 9:44 UNM UNUM LONG 121 42.98 3/20/17 9:40 47.37 0.02%
Trade id #107173247
Max drawdown($9)
Time11/15/16 10:06
Quant open25
Worst price40.96
Drawdown as % of equity-0.02%
$525
Includes Typical Commission and AutoTrade Fees trade costs of $6.21
1/26/17 9:54 MS MORGAN STANLEY LONG 46 44.29 3/20 9:40 44.41 0.1%
Trade id #109053672
Max drawdown($48)
Time2/2/17 9:40
Quant open23
Worst price41.83
Drawdown as % of equity-0.10%
$3
Includes Typical Commission and AutoTrade Fees trade costs of $3.00
2/14/17 10:46 ZION ZIONS BANCORPORATION LONG 23 44.64 3/17 11:14 43.65 0.05%
Trade id #109529902
Max drawdown($23)
Time3/17/17 11:14
Quant open0
Worst price43.65
Drawdown as % of equity-0.05%
($25)
Includes Typical Commission and AutoTrade Fees trade costs of $2.00
1/12/17 13:02 NXST NEXSTAR MEDIA GROUP LONG 17 65.20 3/17 9:42 69.42 0.09%
Trade id #108598738
Max drawdown($44)
Time1/30/17 9:36
Quant open17
Worst price62.60
Drawdown as % of equity-0.09%
$69
Includes Typical Commission and AutoTrade Fees trade costs of $3.00
2/21/17 9:41 UCBI UNITED COMMUNITY BANKS LONG 70 29.42 3/10 13:33 28.35 0.15%
Trade id #109705762
Max drawdown($75)
Time3/10/17 13:33
Quant open0
Worst price28.35
Drawdown as % of equity-0.15%
($78)
Includes Typical Commission and AutoTrade Fees trade costs of $3.00
2/15/17 9:44 WBS WEBSTER FINANCIAL LONG 19 55.22 3/10 11:03 54.10 0.04%
Trade id #109559219
Max drawdown($21)
Time3/10/17 11:03
Quant open0
Worst price54.10
Drawdown as % of equity-0.04%
($23)
Includes Typical Commission and AutoTrade Fees trade costs of $2.00
11/15/16 9:44 NXRT NEXPOINT RESIDENTIAL TRUST IN LONG 147 21.06 3/9/17 14:05 23.24 0.04%
Trade id #107213462
Max drawdown($18)
Time11/15/16 14:08
Quant open51
Worst price19.61
Drawdown as % of equity-0.04%
$316
Includes Typical Commission and AutoTrade Fees trade costs of $4.47
2/15/17 9:51 GBCI GLACIER BANCORP LONG 58 36.69 3/8 15:37 36.10 0.07%
Trade id #109559731
Max drawdown($34)
Time3/8/17 15:37
Quant open0
Worst price36.10
Drawdown as % of equity-0.07%
($37)
Includes Typical Commission and AutoTrade Fees trade costs of $3.00
2/14/17 11:17 LTXB LEGACYTEXAS FINANCIAL GROUP IN LONG 98 42.91 3/8 14:15 41.58 0.27%
Trade id #109531306
Max drawdown($131)
Time3/8/17 14:15
Quant open0
Worst price41.58
Drawdown as % of equity-0.27%
($136)
Includes Typical Commission and AutoTrade Fees trade costs of $5.00
1/26/17 9:44 THO THOR INDUSTRIES LONG 11 105.87 3/8 11:27 101.51 0.1%
Trade id #109053074
Max drawdown($48)
Time3/8/17 11:27
Quant open0
Worst price101.51
Drawdown as % of equity-0.10%
($50)
Includes Typical Commission and AutoTrade Fees trade costs of $2.00
2/15/17 9:42 FHN FIRST HORIZON NATIONAL LONG 51 20.37 3/8 10:48 19.82 0.08%
Trade id #109559029
Max drawdown($40)
Time2/24/17 9:31
Quant open51
Worst price19.58
Drawdown as % of equity-0.08%
($30)
Includes Typical Commission and AutoTrade Fees trade costs of $2.00
2/21/17 10:43 FFBC FIRST FINANCIAL BANCORP LONG 35 28.60 2/28 12:46 27.90 0.05%
Trade id #109709506
Max drawdown($25)
Time2/28/17 12:46
Quant open0
Worst price27.90
Drawdown as % of equity-0.05%
($27)
Includes Typical Commission and AutoTrade Fees trade costs of $2.00
2/21/17 9:41 FCF FIRST COMMONWEALTH LONG 71 14.37 2/28 12:26 13.81 0.08%
Trade id #109705671
Max drawdown($40)
Time2/28/17 12:26
Quant open0
Worst price13.81
Drawdown as % of equity-0.08%
($42)
Includes Typical Commission and AutoTrade Fees trade costs of $2.00
2/14/17 10:15 UBSH UNION BANKSHARES CORPORATION C LONG 56 37.22 2/28 12:16 36.26 0.11%
Trade id #109528279
Max drawdown($54)
Time2/28/17 12:16
Quant open0
Worst price36.26
Drawdown as % of equity-0.11%
($57)
Includes Typical Commission and AutoTrade Fees trade costs of $3.00
2/21/17 9:41 COLB COLUMBIA BANKING SYSTEM LONG 50 41.20 2/28 12:02 40.05 0.12%
Trade id #109705961
Max drawdown($57)
Time2/28/17 12:02
Quant open0
Worst price40.05
Drawdown as % of equity-0.12%
($60)
Includes Typical Commission and AutoTrade Fees trade costs of $3.00
2/15/17 9:41 PKG PACKAGING CORP OF AMERICA LONG 22 95.88 2/28 10:33 92.70 0.14%
Trade id #109558687
Max drawdown($70)
Time2/28/17 10:33
Quant open0
Worst price92.70
Drawdown as % of equity-0.14%
($73)
Includes Typical Commission and AutoTrade Fees trade costs of $3.00

Statistics

  • Strategy began
    6/3/2015
  • Starting Unit Size
    $5,500
  • Strategy Age (days)
    664.06
  • Age
    22 months ago
  • What it trades
    Stocks
  • # Trades
    342
  • # Profitable
    107
  • % Profitable
    31.30%
  • Avg trade duration
    39.6 days
  • Max peak-to-valley drawdown
    35.1%
  • drawdown period
    Aug 18, 2015 - Jan 27, 2016
  • Annual Return (Compounded)
    -5.8%
  • Avg win
    $224.16
  • Avg loss
    $127.17
  • Model Account Values (Raw)
  • Cash
    $36,815
  • Margin Used
    $0
  • Buying Power
    $37,505
  • Ratios
  • W:L ratio
    0.95:1
  • Sharpe Ratio
    -0.262
  • Sortino Ratio
    -0.351
  • Calmar Ratio
    -0.099
  • CORRELATION STATISTICS
  • Correlation to SP500
    0.49800
  • Return Statistics
  • Ann Return (w trading costs)
    -5.8%
  • Ann Return (Compnd, No Fees)
    -3.3%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    89.00%
  • Chance of 20% account loss
    46.50%
  • Chance of 30% account loss
    6.00%
  • Chance of 40% account loss
    1.00%
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    647
  • C2 Score
    18.3
  • 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
    $127
  • Avg Win
    $231
  • # Winners
    107
  • # Losers
    235
  • % Winners
    31.3%
  • Frequency
  • Avg Position Time (mins)
    57044.90
  • Avg Position Time (hrs)
    950.75
  • Avg Trade Length
    39.6 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
    -0.00770
  • SD
    0.18043
  • Sharpe ratio (Glass type estimate)
    -0.04269
  • Sharpe ratio (Hedges UMVUE)
    -0.04115
  • df
    21.00000
  • t
    -0.05781
  • p
    0.50803
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.48982
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.40535
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.48873
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.40643
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.05513
  • Upside Potential Ratio
    1.62325
  • Upside part of mean
    0.22681
  • Downside part of mean
    -0.23452
  • Upside SD
    0.10750
  • Downside SD
    0.13973
  • N nonnegative terms
    12.00000
  • N negative terms
    10.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    22.00000
  • Mean of predictor
    0.05782
  • Mean of criterion
    -0.00770
  • SD of predictor
    0.11983
  • SD of criterion
    0.18043
  • Covariance
    0.01637
  • r
    0.75734
  • b (slope, estimate of beta)
    1.14037
  • a (intercept, estimate of alpha)
    -0.07364
  • Mean Square Error
    0.01458
  • DF error
    20.00000
  • t(b)
    5.18657
  • p(b)
    0.12133
  • t(a)
    -0.81756
  • p(a)
    0.58992
  • Lowerbound of 95% confidence interval for beta
    0.68173
  • Upperbound of 95% confidence interval for beta
    1.59902
  • Lowerbound of 95% confidence interval for alpha
    -0.26152
  • Upperbound of 95% confidence interval for alpha
    0.11424
  • Treynor index (mean / b)
    -0.00676
  • Jensen alpha (a)
    -0.07364
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.02385
  • SD
    0.18586
  • Sharpe ratio (Glass type estimate)
    -0.12832
  • Sharpe ratio (Hedges UMVUE)
    -0.12367
  • df
    21.00000
  • t
    -0.17375
  • p
    0.52411
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.57487
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.32119
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.57168
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.32434
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.16013
  • Upside Potential Ratio
    1.48447
  • Upside part of mean
    0.22109
  • Downside part of mean
    -0.24494
  • Upside SD
    0.10411
  • Downside SD
    0.14894
  • N nonnegative terms
    12.00000
  • N negative terms
    10.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    22.00000
  • Mean of predictor
    0.05079
  • Mean of criterion
    -0.02385
  • SD of predictor
    0.12007
  • SD of criterion
    0.18586
  • Covariance
    0.01710
  • r
    0.76644
  • b (slope, estimate of beta)
    1.18635
  • a (intercept, estimate of alpha)
    -0.08410
  • Mean Square Error
    0.01496
  • DF error
    20.00000
  • t(b)
    5.33630
  • p(b)
    0.11678
  • t(a)
    -0.92367
  • p(a)
    0.60113
  • Lowerbound of 95% confidence interval for beta
    0.72261
  • Upperbound of 95% confidence interval for beta
    1.65010
  • Lowerbound of 95% confidence interval for alpha
    -0.27403
  • Upperbound of 95% confidence interval for alpha
    0.10583
  • Treynor index (mean / b)
    -0.02010
  • Jensen alpha (a)
    -0.08410
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.08629
  • Expected Shortfall on VaR
    0.10637
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.04233
  • Expected Shortfall on VaR
    0.08434
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    22.00000
  • Minimum
    0.84598
  • Quartile 1
    0.97216
  • Median
    1.00899
  • Quartile 3
    1.03607
  • Maximum
    1.09394
  • Mean of quarter 1
    0.93793
  • Mean of quarter 2
    0.99114
  • Mean of quarter 3
    1.01901
  • Mean of quarter 4
    1.05430
  • Inter Quartile Range
    0.06391
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.04545
  • Mean of outliers low
    0.84598
  • 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)
    0.30278
  • VaR(95%) (moments method)
    0.06816
  • Expected Shortfall (moments method)
    0.11453
  • Extreme Value Index (regression method)
    0.82123
  • VaR(95%) (regression method)
    0.08405
  • Expected Shortfall (regression method)
    0.42528
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    1.00000
  • Minimum
    0.21929
  • Quartile 1
    0.21929
  • Median
    0.21929
  • Quartile 3
    0.21929
  • Maximum
    0.21929
  • 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)
    -0.01372
  • Compounded annual return (geometric extrapolation)
    -0.01380
  • Calmar ratio (compounded annual return / max draw down)
    -0.06294
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    -0.12977
  • 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
    -0.02944
  • SD
    0.16128
  • Sharpe ratio (Glass type estimate)
    -0.18254
  • Sharpe ratio (Hedges UMVUE)
    -0.18233
  • df
    650.00000
  • t
    -0.25111
  • p
    0.59910
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.60726
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.24230
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.60710
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.24245
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.24697
  • Upside Potential Ratio
    7.09228
  • Upside part of mean
    0.84542
  • Downside part of mean
    -0.87486
  • Upside SD
    0.10846
  • Downside SD
    0.11920
  • N nonnegative terms
    289.00000
  • N negative terms
    362.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    651.00000
  • Mean of predictor
    0.05424
  • Mean of criterion
    -0.02944
  • SD of predictor
    0.13701
  • SD of criterion
    0.16128
  • Covariance
    0.01100
  • r
    0.49779
  • b (slope, estimate of beta)
    0.58597
  • a (intercept, estimate of alpha)
    -0.06100
  • Mean Square Error
    0.01960
  • DF error
    649.00000
  • t(b)
    14.62170
  • p(b)
    -0.00000
  • t(a)
    -0.60151
  • p(a)
    0.72614
  • Lowerbound of 95% confidence interval for beta
    0.50728
  • Upperbound of 95% confidence interval for beta
    0.66466
  • Lowerbound of 95% confidence interval for alpha
    -0.26109
  • Upperbound of 95% confidence interval for alpha
    0.13864
  • Treynor index (mean / b)
    -0.05024
  • Jensen alpha (a)
    -0.06122
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.04247
  • SD
    0.16167
  • Sharpe ratio (Glass type estimate)
    -0.26268
  • Sharpe ratio (Hedges UMVUE)
    -0.26238
  • df
    650.00000
  • t
    -0.36136
  • p
    0.64102
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.68744
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.16219
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.68719
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.16244
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.35106
  • Upside Potential Ratio
    6.94090
  • Upside part of mean
    0.83962
  • Downside part of mean
    -0.88208
  • Upside SD
    0.10709
  • Downside SD
    0.12097
  • N nonnegative terms
    289.00000
  • N negative terms
    362.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    651.00000
  • Mean of predictor
    0.04485
  • Mean of criterion
    -0.04247
  • SD of predictor
    0.13718
  • SD of criterion
    0.16167
  • Covariance
    0.01117
  • r
    0.50353
  • b (slope, estimate of beta)
    0.59341
  • a (intercept, estimate of alpha)
    -0.06908
  • Mean Square Error
    0.01954
  • DF error
    649.00000
  • t(b)
    14.84730
  • p(b)
    -0.00000
  • t(a)
    -0.67973
  • p(a)
    0.75154
  • Lowerbound of 95% confidence interval for beta
    0.51493
  • Upperbound of 95% confidence interval for beta
    0.67189
  • Lowerbound of 95% confidence interval for alpha
    -0.26864
  • Upperbound of 95% confidence interval for alpha
    0.13048
  • Treynor index (mean / b)
    -0.07156
  • Jensen alpha (a)
    -0.06908
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01436
  • Expected Shortfall on VaR
    0.01794
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00617
  • Expected Shortfall on VaR
    0.01295
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    651.00000
  • Minimum
    0.93901
  • Quartile 1
    0.99760
  • Median
    1.00000
  • Quartile 3
    1.00292
  • Maximum
    1.05938
  • Mean of quarter 1
    0.99061
  • Mean of quarter 2
    0.99930
  • Mean of quarter 3
    1.00102
  • Mean of quarter 4
    1.00885
  • Inter Quartile Range
    0.00532
  • Number outliers low
    52.00000
  • Percentage of outliers low
    0.07988
  • Mean of outliers low
    0.98121
  • Number of outliers high
    46.00000
  • Percentage of outliers high
    0.07066
  • Mean of outliers high
    1.01763
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.44626
  • VaR(95%) (moments method)
    0.00849
  • Expected Shortfall (moments method)
    0.01808
  • Extreme Value Index (regression method)
    0.30919
  • VaR(95%) (regression method)
    0.00803
  • Expected Shortfall (regression method)
    0.01446
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    7.00000
  • Minimum
    0.00434
  • Quartile 1
    0.01834
  • Median
    0.03356
  • Quartile 3
    0.05184
  • Maximum
    0.32416
  • Mean of quarter 1
    0.00512
  • Mean of quarter 2
    0.03217
  • Mean of quarter 3
    0.04601
  • Mean of quarter 4
    0.19091
  • Inter Quartile Range
    0.03350
  • 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
    0.14286
  • Mean of outliers high
    0.32416
  • 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)
    -0.03154
  • Compounded annual return (geometric extrapolation)
    -0.03199
  • Calmar ratio (compounded annual return / max draw down)
    -0.09870
  • Compounded annual return / average of 25% largest draw downs
    -0.16758
  • Compounded annual return / Expected Shortfall lognormal
    -1.78383
  • 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
    -0.08721
  • SD
    0.12091
  • Sharpe ratio (Glass type estimate)
    -0.72131
  • Sharpe ratio (Hedges UMVUE)
    -0.71815
  • df
    171.00000
  • t
    -0.51004
  • p
    0.52481
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.49312
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.05250
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.49100
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.05471
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.99518
  • Upside Potential Ratio
    7.86779
  • Upside part of mean
    0.68950
  • Downside part of mean
    -0.77671
  • Upside SD
    0.08292
  • Downside SD
    0.08764
  • N nonnegative terms
    77.00000
  • N negative terms
    95.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    172.00000
  • Mean of predictor
    0.15723
  • Mean of criterion
    -0.08721
  • SD of predictor
    0.07505
  • SD of criterion
    0.12091
  • Covariance
    0.00485
  • r
    0.53399
  • b (slope, estimate of beta)
    0.86031
  • a (intercept, estimate of alpha)
    -0.22248
  • Mean Square Error
    0.01051
  • DF error
    170.00000
  • t(b)
    8.23460
  • p(b)
    0.23301
  • t(a)
    -1.52464
  • p(a)
    0.55807
  • Lowerbound of 95% confidence interval for beta
    0.65407
  • Upperbound of 95% confidence interval for beta
    1.06654
  • Lowerbound of 95% confidence interval for alpha
    -0.51054
  • Upperbound of 95% confidence interval for alpha
    0.06557
  • Treynor index (mean / b)
    -0.10138
  • Jensen alpha (a)
    -0.22248
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.09449
  • SD
    0.12093
  • Sharpe ratio (Glass type estimate)
    -0.78137
  • Sharpe ratio (Hedges UMVUE)
    -0.77794
  • df
    171.00000
  • t
    -0.55251
  • p
    0.52687
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.55336
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.99273
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.55097
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.99510
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.07066
  • Upside Potential Ratio
    7.77373
  • Upside part of mean
    0.68607
  • Downside part of mean
    -0.78057
  • Upside SD
    0.08232
  • Downside SD
    0.08826
  • N nonnegative terms
    77.00000
  • N negative terms
    95.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    172.00000
  • Mean of predictor
    0.15440
  • Mean of criterion
    -0.09449
  • SD of predictor
    0.07485
  • SD of criterion
    0.12093
  • Covariance
    0.00484
  • r
    0.53436
  • b (slope, estimate of beta)
    0.86334
  • a (intercept, estimate of alpha)
    -0.22779
  • Mean Square Error
    0.01051
  • DF error
    170.00000
  • t(b)
    8.24269
  • p(b)
    0.23282
  • t(a)
    -1.56150
  • p(a)
    0.55946
  • Lowerbound of 95% confidence interval for beta
    0.65658
  • Upperbound of 95% confidence interval for beta
    1.07009
  • Lowerbound of 95% confidence interval for alpha
    -0.51577
  • Upperbound of 95% confidence interval for alpha
    0.06018
  • Treynor index (mean / b)
    -0.10945
  • Jensen alpha (a)
    -0.22779
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01094
  • Expected Shortfall on VaR
    0.01363
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00553
  • Expected Shortfall on VaR
    0.01078
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    172.00000
  • Minimum
    0.97439
  • Quartile 1
    0.99722
  • Median
    1.00000
  • Quartile 3
    1.00277
  • Maximum
    1.02446
  • Mean of quarter 1
    0.99208
  • Mean of quarter 2
    0.99896
  • Mean of quarter 3
    1.00079
  • Mean of quarter 4
    1.00728
  • Inter Quartile Range
    0.00555
  • Number outliers low
    12.00000
  • Percentage of outliers low
    0.06977
  • Mean of outliers low
    0.98559
  • Number of outliers high
    8.00000
  • Percentage of outliers high
    0.04651
  • Mean of outliers high
    1.01656
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.16268
  • VaR(95%) (moments method)
    0.00743
  • Expected Shortfall (moments method)
    0.01128
  • Extreme Value Index (regression method)
    -0.00061
  • VaR(95%) (regression method)
    0.00786
  • Expected Shortfall (regression method)
    0.01093
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    3.00000
  • Minimum
    0.04064
  • Quartile 1
    0.04842
  • Median
    0.05619
  • Quartile 3
    0.07188
  • Maximum
    0.08757
  • Mean of quarter 1
    0.04064
  • Mean of quarter 2
    0.05619
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.08757
  • Inter Quartile Range
    0.02346
  • 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)
    -0.08278
  • Compounded annual return (geometric extrapolation)
    -0.08107
  • Calmar ratio (compounded annual return / max draw down)
    -0.92577
  • Compounded annual return / average of 25% largest draw downs
    -0.92577
  • Compounded annual return / Expected Shortfall lognormal
    -5.94882

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.

Subscriptions not available

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

Statistics

Strategy began
2015-06-03
Minimum Capital Required
$5,500
# Trades
342
# Profitable
107
% Profitable
31.3%
Net Dividends
Correlation S&P500
0.498
Sharpe Ratio
-0.262

Latest

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subscribed on #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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