Greenfield Dividends
(94780986)
Subscription terms. Subscriptions to this system cost $49.00 per month.
Rate of Return Calculations
Overview
To comply with NFA regulations, we display Cumulative Rate of Return for strategies with a track record of less than one year. For strategies with longer track records, we display Annualized (Compounded) Rate of Return.
How Annualized (Compounded) Rate of Return is calculated
= ((Ending_equity / Starting_equity) ^ (1 / age_in_years))  1
Remember that, following NFA requirements, strategy subscription costs and estimated commissions are included in markedtomarket equity calculations.
All results are hypothetical.
Jan  Feb  Mar  Apr  May  Jun  Jul  Aug  Sep  Oct  Nov  Dec  YTD  

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%) 
2018                0.0 
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.
Started  $50,000  
Buy Power  $49,131  
Cash  $49,131  
Equity  $0  
Cumulative $  ($868)  
Includes dividends and cashsettled expirations:  $2,544  Itemized 
Total System Equity  $49,131  
Margined  $0  
Open P/L  $0 
Trading Record
Statistics

Strategy began6/3/2015

Suggested Minimum Cap$50,000

Strategy Age (days)1139.64

Age38 months ago

What it tradesStocks

# Trades392

# Profitable125

% Profitable31.90%

Avg trade duration39.3 days

Max peaktovalley drawdown35.1%

drawdown periodAug 18, 2015  Jan 27, 2016

Annual Return (Compounded)2.2%

Avg win$242.26

Avg loss$126.20
 Model Account Values (Raw)

Cash$49,131

Margin Used$0

Buying Power$49,131
 Ratios

W:L ratio1.05:1

Sharpe Ratio0.137

Sortino Ratio0.182

Calmar Ratio0.025
 CORRELATION STATISTICS

Correlation to SP5000.48000
 Return Statistics

Ann Return (w trading costs)2.2%

Ann Return (Compnd, No Fees)0.6%
 Risk of Ruin (MonteCarlo)

Chance of 10% account loss100.00%

Chance of 20% account loss100.00%

Chance of 30% account loss100.00%

Chance of 40% account lossn/a

Chance of 50% account lossn/a
 Popularity

Popularity (Today)0

Popularity (Last 6 weeks)313
 TradesOwnSystem Certification

Trades Own System?0

TOS percentn/a
 Subscription Price

Billing Period (days)30

Trial Days30
 Win / Loss

Avg Loss$126

Avg Win$242

# Winners125

# Losers267

% Winners31.9%
 Frequency

Avg Position Time (mins)56588.80

Avg Position Time (hrs)943.15

Avg Trade Length39.3 days

Last Trade Ago400
 Analysis based on MONTHLY values, full history
 RATIO STATISTICS
 Ratio statistics of excess return rates
 Statistics related to Sharpe ratio

Mean0.01660

SD0.19942

Sharpe ratio (Glass type estimate)0.08322

Sharpe ratio (Hedges UMVUE)0.08069

df25.00000

t0.12249

p0.54826

Lowerbound of 95% confidence interval for Sharpe Ratio1.41417

Upperbound of 95% confidence interval for Sharpe Ratio1.24930

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation1.41241

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation1.25103
 Statistics related to Sortino ratio

Sortino ratio0.10872

Upside Potential Ratio1.59586

Upside part of mean0.24360

Downside part of mean0.26020

Upside SD0.12232

Downside SD0.15265

N nonnegative terms11.00000

N negative terms15.00000
 Statistics related to linear regression on benchmark

N of observations26.00000

Mean of predictor0.10397

Mean of criterion0.01660

SD of predictor0.14862

SD of criterion0.19942

Covariance0.01737

r0.58594

b (slope, estimate of beta)0.78627

a (intercept, estimate of alpha)0.09834

Mean Square Error0.02720

DF error24.00000

t(b)3.54232

p(b)0.00083

t(a)0.85962

p(a)0.80075

Lowerbound of 95% confidence interval for beta0.32816

Upperbound of 95% confidence interval for beta1.24438

Lowerbound of 95% confidence interval for alpha0.33446

Upperbound of 95% confidence interval for alpha0.13778

Treynor index (mean / b)0.02111

Jensen alpha (a)0.09834
 Ratio statistics of excess log return rates
 Statistics related to Sharpe ratio

Mean0.03638

SD0.20500

Sharpe ratio (Glass type estimate)0.17745

Sharpe ratio (Hedges UMVUE)0.17206

df25.00000

t0.26120

p0.60196

Lowerbound of 95% confidence interval for Sharpe Ratio1.50813

Upperbound of 95% confidence interval for Sharpe Ratio1.15672

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation1.50445

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation1.16032
 Statistics related to Sortino ratio

Sortino ratio0.22304

Upside Potential Ratio1.44653

Upside part of mean0.23592

Downside part of mean0.27230

Upside SD0.11798

Downside SD0.16309

N nonnegative terms11.00000

N negative terms15.00000
 Statistics related to linear regression on benchmark

N of observations26.00000

Mean of predictor0.09302

Mean of criterion0.03638

SD of predictor0.14574

SD of criterion0.20500

Covariance0.01831

r0.61280

b (slope, estimate of beta)0.86201

a (intercept, estimate of alpha)0.11656

Mean Square Error0.02734

DF error24.00000

t(b)3.79901

p(b)0.00044

t(a)1.01984

p(a)0.84101

Lowerbound of 95% confidence interval for beta0.39370

Upperbound of 95% confidence interval for beta1.33031

Lowerbound of 95% confidence interval for alpha0.35244

Upperbound of 95% confidence interval for alpha0.11933

Treynor index (mean / b)0.04220

Jensen alpha (a)0.11656
 Risk estimates for a oneperiod unit investment (parametric)
 assuming log normal returns and losses (using central moments from Sharpe statistics)

VaR(95%)0.09550

Expected Shortfall on VaR0.11738
 assuming Pareto losses only (using partial moments from Sortino statistics)

VaR(95%)0.05458

Expected Shortfall on VaR0.10442
 ORDER STATISTICS
 Quartiles of return rates

Number of observations26.00000

Minimum0.83769

Quartile 10.97766

Median0.99963

Quartile 31.04145

Maximum1.09797

Mean of quarter 10.93455

Mean of quarter 20.98810

Mean of quarter 31.01692

Mean of quarter 41.06466

Inter Quartile Range0.06379

Number outliers low1.00000

Percentage of outliers low0.03846

Mean of outliers low0.83769

Number of outliers high0.00000

Percentage of outliers high0.00000

Mean of outliers high0.00000
 Risk estimates for a oneperiod unit investment (based on Ex

Extreme Value Index (moments method)0.39437

VaR(95%) (moments method)0.06743

Expected Shortfall (moments method)0.13202

Extreme Value Index (regression method)1.15088

VaR(95%) (regression method)0.07460

Expected Shortfall (regression method)0.00000
 DRAW DOWN STATISTICS
 Quartiles of draw downs

Number of observations1.00000

Minimum0.26870

Quartile 10.26870

Median0.26870

Quartile 30.26870

Maximum0.26870

Mean of quarter 10.00000

Mean of quarter 20.00000

Mean of quarter 30.00000

Mean of quarter 40.00000

Inter Quartile Range0.00000

Number outliers low0.00000

Percentage of outliers low0.00000

Mean of outliers low0.00000

Number of outliers high0.00000

Percentage of outliers high0.00000

Mean of outliers high0.00000
 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)0.00839

Compounded annual return (geometric extrapolation)0.00843

Calmar ratio (compounded annual return / max draw down)0.03139

Compounded annual return / average of 25% largest draw downs0.00000

Compounded annual return / Expected Shortfall lognormal0.07185

0.00000

0.00000
 Analysis based on DAILY values, full history
 RATIO STATISTICS
 Ratio statistics of excess return rates
 Statistics related to Sharpe ratio

Mean0.02256

SD0.16405

Sharpe ratio (Glass type estimate)0.13750

Sharpe ratio (Hedges UMVUE)0.13733

df588.00000

t0.20617

p0.58163

Lowerbound of 95% confidence interval for Sharpe Ratio1.44467

Upperbound of 95% confidence interval for Sharpe Ratio1.16977

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation1.44455

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation1.16989
 Statistics related to Sortino ratio

Sortino ratio0.18245

Upside Potential Ratio6.31130

Upside part of mean0.78033

Downside part of mean0.80288

Upside SD0.10762

Downside SD0.12364

N nonnegative terms272.00000

N negative terms317.00000
 Statistics related to linear regression on benchmark

N of observations589.00000

Mean of predictor0.10804

Mean of criterion0.02256

SD of predictor0.14944

SD of criterion0.16405

Covariance0.01024

r0.41750

b (slope, estimate of beta)0.45832

a (intercept, estimate of alpha)0.07200

Mean Square Error0.02226

DF error587.00000

t(b)11.13170

p(b)0.00000

t(a)0.72360

p(a)0.76520

Lowerbound of 95% confidence interval for beta0.37746

Upperbound of 95% confidence interval for beta0.53919

Lowerbound of 95% confidence interval for alpha0.26770

Upperbound of 95% confidence interval for alpha0.12355

Treynor index (mean / b)0.04922

Jensen alpha (a)0.07208
 Ratio statistics of excess log return rates
 Statistics related to Sharpe ratio

Mean0.03607

SD0.16480

Sharpe ratio (Glass type estimate)0.21887

Sharpe ratio (Hedges UMVUE)0.21859

df588.00000

t0.32816

p0.62855

Lowerbound of 95% confidence interval for Sharpe Ratio1.52607

Upperbound of 95% confidence interval for Sharpe Ratio1.08844

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation1.52584

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation1.08867
 Statistics related to Sortino ratio

Sortino ratio0.28673

Upside Potential Ratio6.15712

Upside part of mean0.77455

Downside part of mean0.81062

Upside SD0.10627

Downside SD0.12580

N nonnegative terms272.00000

N negative terms317.00000
 Statistics related to linear regression on benchmark

N of observations589.00000

Mean of predictor0.09682

Mean of criterion0.03607

SD of predictor0.14991

SD of criterion0.16480

Covariance0.01042

r0.42157

b (slope, estimate of beta)0.46343

a (intercept, estimate of alpha)0.08094

Mean Square Error0.02237

DF error587.00000

t(b)11.26360

p(b)0.00000

t(a)0.81072

p(a)0.79107

Lowerbound of 95% confidence interval for beta0.38263

Upperbound of 95% confidence interval for beta0.54424

Lowerbound of 95% confidence interval for alpha0.27702

Upperbound of 95% confidence interval for alpha0.11514

Treynor index (mean / b)0.07783

Jensen alpha (a)0.08094
 Risk estimates for a oneperiod unit investment (parametric)
 assuming log normal returns and losses (using central moments from Sharpe statistics)

VaR(95%)0.01674

Expected Shortfall on VaR0.02091
 assuming Pareto losses only (using partial moments from Sortino statistics)

VaR(95%)0.00729

Expected Shortfall on VaR0.01529
 ORDER STATISTICS
 Quartiles of return rates

Number of observations589.00000

Minimum0.93021

Quartile 10.99697

Median1.00000

Quartile 31.00344

Maximum1.06091

Mean of quarter 10.98891

Mean of quarter 20.99911

Mean of quarter 31.00146

Mean of quarter 41.01067

Inter Quartile Range0.00647

Number outliers low43.00000

Percentage of outliers low0.07301

Mean of outliers low0.97698

Number of outliers high39.00000

Percentage of outliers high0.06621

Mean of outliers high1.02051
 Risk estimates for a oneperiod unit investment (based on Ex

Extreme Value Index (moments method)0.51826

VaR(95%) (moments method)0.01073

Expected Shortfall (moments method)0.02540

Extreme Value Index (regression method)0.29222

VaR(95%) (regression method)0.00981

Expected Shortfall (regression method)0.01727
 DRAW DOWN STATISTICS
 Quartiles of draw downs

Number of observations5.00000

Minimum0.03155

Quartile 10.03355

Median0.04601

Quartile 30.05765

Maximum0.32417

Mean of quarter 10.03255

Mean of quarter 20.04601

Mean of quarter 30.05765

Mean of quarter 40.32417

Inter Quartile Range0.02410

Number outliers low0.00000

Percentage of outliers low0.00000

Mean of outliers low0.00000

Number of outliers high1.00000

Percentage of outliers high0.20000

Mean of outliers high0.32417
 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)0.00809

Compounded annual return (geometric extrapolation)0.00813

Calmar ratio (compounded annual return / max draw down)0.02508

Compounded annual return / average of 25% largest draw downs0.02508

Compounded annual return / Expected Shortfall lognormal0.38880

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

Mean0.00438

SD0.12946

Sharpe ratio (Glass type estimate)0.03383

Sharpe ratio (Hedges UMVUE)0.03364

df130.00000

t0.02392

p0.50105

Lowerbound of 95% confidence interval for Sharpe Ratio2.80565

Upperbound of 95% confidence interval for Sharpe Ratio2.73798

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation2.80545

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation2.73817
 Statistics related to Sortino ratio

Sortino ratio0.04370

Upside Potential Ratio5.06411

Upside part of mean0.50760

Downside part of mean0.51198

Upside SD0.08114

Downside SD0.10024

N nonnegative terms38.00000

N negative terms93.00000
 Statistics related to linear regression on benchmark

N of observations131.00000

Mean of predictor0.30979

Mean of criterion0.00438

SD of predictor0.17203

SD of criterion0.12946

Covariance0.00288

r0.12952

b (slope, estimate of beta)0.09747

a (intercept, estimate of alpha)0.03457

Mean Square Error0.01661

DF error129.00000

t(b)1.48359

p(b)0.41778

t(a)0.18854

p(a)0.51057

Lowerbound of 95% confidence interval for beta0.03252

Upperbound of 95% confidence interval for beta0.22745

Lowerbound of 95% confidence interval for alpha0.39738

Upperbound of 95% confidence interval for alpha0.32823

Treynor index (mean / b)0.04494

Jensen alpha (a)0.03457
 Ratio statistics of excess log return rates
 Statistics related to Sharpe ratio

Mean0.01275

SD0.13012

Sharpe ratio (Glass type estimate)0.09800

Sharpe ratio (Hedges UMVUE)0.09743

df130.00000

t0.06929

p0.50304

Lowerbound of 95% confidence interval for Sharpe Ratio2.86971

Upperbound of 95% confidence interval for Sharpe Ratio2.67396

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation2.86926

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation2.67440
 Statistics related to Sortino ratio

Sortino ratio0.12548

Upside Potential Ratio4.96257

Upside part of mean0.50429

Downside part of mean0.51704

Upside SD0.08047

Downside SD0.10162

N nonnegative terms38.00000

N negative terms93.00000
 Statistics related to linear regression on benchmark

N of observations131.00000

Mean of predictor0.29475

Mean of criterion0.01275

SD of predictor0.17339

SD of criterion0.13012

Covariance0.00292

r0.12923

b (slope, estimate of beta)0.09698

a (intercept, estimate of alpha)0.04134

Mean Square Error0.01678

DF error129.00000

t(b)1.48017

p(b)0.41796

t(a)0.22442

p(a)0.51258

Lowerbound of 95% confidence interval for beta0.03265

Upperbound of 95% confidence interval for beta0.22661

Lowerbound of 95% confidence interval for alpha0.40576

Upperbound of 95% confidence interval for alpha0.32309

Treynor index (mean / b)0.13148

Jensen alpha (a)0.04134
 Risk estimates for a oneperiod unit investment (parametric)
 assuming log normal returns and losses (using central moments from Sharpe statistics)

VaR(95%)0.01318

Expected Shortfall on VaR0.01649
 assuming Pareto losses only (using partial moments from Sortino statistics)

VaR(95%)0.00550

Expected Shortfall on VaR0.01186
 ORDER STATISTICS
 Quartiles of return rates

Number of observations131.00000

Minimum0.96376

Quartile 11.00000

Median1.00000

Quartile 31.00109

Maximum1.02490

Mean of quarter 10.99254

Mean of quarter 21.00000

Mean of quarter 31.00007

Mean of quarter 41.00775

Inter Quartile Range0.00109

Number outliers low22.00000

Percentage of outliers low0.16794

Mean of outliers low0.98905

Number of outliers high23.00000

Percentage of outliers high0.17557

Mean of outliers high1.01031
 Risk estimates for a oneperiod unit investment (based on Ex

Extreme Value Index (moments method)0.49031

VaR(95%) (moments method)0.00429

Expected Shortfall (moments method)0.01108

Extreme Value Index (regression method)0.39103

VaR(95%) (regression method)0.00712

Expected Shortfall (regression method)0.01685
 DRAW DOWN STATISTICS
 Quartiles of draw downs

Number of observations4.00000

Minimum0.00089

Quartile 10.00155

Median0.02838

Quartile 30.05967

Maximum0.07370

Mean of quarter 10.00089

Mean of quarter 20.00177

Mean of quarter 30.05499

Mean of quarter 40.07370

Inter Quartile Range0.05812

Number outliers low0.00000

Percentage of outliers low0.00000

Mean of outliers low0.00000

Number of outliers high0.00000

Percentage of outliers high0.00000

Mean of outliers high0.00000
 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)0.01521

Compounded annual return (geometric extrapolation)0.01527

Calmar ratio (compounded annual return / max draw down)0.20721

Compounded annual return / average of 25% largest draw downs0.20721

Compounded annual return / Expected Shortfall lognormal0.92620
Strategy Description
For nonsubscribers, 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
Latest Activity
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 underor overcompensated 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 rescaled downward to make current goforward 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 pertrade AutoTrade fees, plus estimated broker commissions if any.
 "Max Drawdown" Calculation Method. We calculate the Max Drawdown statistic as follows. Our computer software looks at the equity chart of the system in question and finds the largest percentage amount that the equity chart ever declines from a local "peak" to a subsequent point in time (thus this is formally called "Maximum Peak to Valley Drawdown.") While this is useful information when evaluating trading systems, you should keep in mind that past performance does not guarantee future results. Therefore, future drawdowns may be larger than the historical maximum drawdowns you see here.
Trading is risky
There is a substantial risk of loss in futures and forex trading. Online trading of stocks and options is extremely risky. Assume you will lose money. Don't trade with money you cannot afford to lose.
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Suggested Minimum Capital
This is our estimate of the minimum amount of capital to follow a strategy, assuming you use the smallest reasonable AutoTrade Scaling % for the strategy.