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Greenfield Dividends (94780986)

Created by: PaulGremsDuncan PaulGremsDuncan
Started: 06/2015
Stocks
Last trade: 2 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

-2.5%
Annual Return (Compounded)
35.1%
Max Drawdown
388
Num Trades
31.7%
Win Trades
1.0 : 1
Profit Factor
58.3%
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%(2%)+1.5%+3.1%                                          (1.1%)

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.

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Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
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
5/16/17 10:14 TGS TRANSPORTADORA DE GAS LONG 67 15.42 5/26 9:56 14.78 0.1%
Trade id #111618007
Max drawdown($50)
Time5/18/17 13:01
Quant open67
Worst price14.66
Drawdown as % of equity-0.10%
($44)
Includes Typical Broker Commissions trade costs of $1.34
3/30/17 10:35 NDSN NORDSON LONG 54 123.49 5/25 13:32 119.61 0.42%
Trade id #110549308
Max drawdown($209)
Time5/25/17 13:32
Quant open0
Worst price119.61
Drawdown as % of equity-0.42%
($210)
Includes Typical Broker Commissions trade costs of $1.08
4/6/17 13:30 KBAL KIMBALL INTERNATIONAL INC. CL LONG 177 17.32 5/22 10:43 17.47 0.09%
Trade id #110776778
Max drawdown($46)
Time5/22/17 10:42
Quant open110
Worst price16.90
Drawdown as % of equity-0.09%
$22
Includes Typical Broker Commissions trade costs of $3.54
4/3/17 14:45 WPZ WILLIAMS PARTNERS LP LONG 125 41.53 5/18 12:57 40.22 0.46%
Trade id #110658024
Max drawdown($215)
Time4/25/17 7:09
Quant open100
Worst price39.42
Drawdown as % of equity-0.46%
($167)
Includes Typical Broker Commissions trade costs of $2.50
3/16/17 9:41 MLCO MELCO RESORTS & ENTERTAINMENT LTD LONG 255 20.21 5/18 12:38 20.96 0.01%
Trade id #110273270
Max drawdown($4)
Time3/16/17 9:45
Quant open59
Worst price17.26
Drawdown as % of equity-0.01%
$185
Includes Typical Broker Commissions trade costs of $5.10
5/12/17 13:35 GEO GEO GROUP LONG 93 32.62 5/18 10:25 29.71 0.56%
Trade id #111577351
Max drawdown($271)
Time5/18/17 10:25
Quant open0
Worst price29.71
Drawdown as % of equity-0.56%
($273)
Includes Typical Broker Commissions trade costs of $1.86
3/30/17 9:47 PFG PRINCIPAL FINANCIAL LONG 51 63.46 5/18 9:30 64.40 0.13%
Trade id #110546707
Max drawdown($59)
Time4/13/17 9:33
Quant open34
Worst price61.38
Drawdown as % of equity-0.13%
$47
Includes Typical Broker Commissions trade costs of $1.02
11/21/16 9:49 CCMP CABOT MICROELECTRONICS LONG 158 67.82 5/18/17 9:30 69.69 0.09%
Trade id #107360952
Max drawdown($42)
Time12/1/16 15:42
Quant open17
Worst price57.97
Drawdown as % of equity-0.09%
$291
Includes Typical Broker Commissions trade costs of $3.16
5/15/17 9:40 WMB WILLIAMS COMPANIES LONG 33 30.97 5/18 9:30 29.75 0.09%
Trade id #111598843
Max drawdown($42)
Time5/18/17 9:30
Quant open33
Worst price29.68
Drawdown as % of equity-0.09%
($41)
Includes Typical Broker Commissions trade costs of $0.66
4/28/17 13:59 PLCE CHILDRENS PLACE INC. LONG 27 116.28 5/17 9:44 111.85 0.23%
Trade id #111324826
Max drawdown($120)
Time5/17/17 9:44
Quant open0
Worst price111.85
Drawdown as % of equity-0.23%
($121)
Includes Typical Broker Commissions trade costs of $0.54
3/29/17 10:53 PSTB PARK STERLING LONG 170 11.97 5/12 9:41 11.71 0.19%
Trade id #110517504
Max drawdown($85)
Time4/18/17 9:32
Quant open170
Worst price11.47
Drawdown as % of equity-0.19%
($48)
Includes Typical Broker Commissions trade costs of $3.40
4/24/17 11:20 ABCB AMERIS BANCORP LONG 23 47.50 5/12 9:40 44.65 0.14%
Trade id #111230247
Max drawdown($70)
Time5/12/17 9:34
Quant open23
Worst price44.44
Drawdown as % of equity-0.14%
($66)
Includes Typical Broker Commissions trade costs of $0.46
3/30/17 9:45 PRI PRIMERICA LONG 13 81.45 5/11 9:56 81.55 0.04%
Trade id #110546514
Max drawdown($22)
Time5/11/17 9:31
Quant open6
Worst price77.75
Drawdown as % of equity-0.04%
$1
Includes Typical Broker Commissions trade costs of $0.26
4/24/17 11:18 STLD STEEL DYNAMICS LONG 58 36.88 5/10 9:47 34.56 0.28%
Trade id #111230145
Max drawdown($134)
Time4/26/17 6:46
Quant open58
Worst price34.55
Drawdown as % of equity-0.28%
($135)
Includes Typical Broker Commissions trade costs of $1.16
3/30/17 9:40 EBIX EBIX LONG 51 61.55 5/10 9:40 61.77 0.07%
Trade id #110546192
Max drawdown($30)
Time4/6/17 9:46
Quant open17
Worst price59.45
Drawdown as % of equity-0.07%
$10
Includes Typical Broker Commissions trade costs of $1.02
3/30/17 9:40 SBGI SINCLAIR BROADCAST GROUP LONG 25 40.35 5/10 9:40 34.65 0.29%
Trade id #110546223
Max drawdown($147)
Time5/10/17 9:34
Quant open25
Worst price34.45
Drawdown as % of equity-0.29%
($144)
Includes Typical Broker Commissions trade costs of $0.50
4/7/17 9:43 NSP INSPERITY LONG 65 88.50 5/5 10:56 90.70 0.07%
Trade id #110811399
Max drawdown($32)
Time5/1/17 9:46
Quant open5
Worst price82.05
Drawdown as % of equity-0.07%
$142
Includes Typical Broker Commissions trade costs of $1.30
4/3/17 9:40 SMLP SUMMIT MIDSTREAM PARTNERS LONG 129 24.35 5/4 9:30 22.85 0.39%
Trade id #110645006
Max drawdown($194)
Time5/4/17 9:30
Quant open0
Worst price22.85
Drawdown as % of equity-0.39%
($197)
Includes Typical Broker Commissions trade costs of $2.58
3/15/17 9:40 DLNG DYNAGAS LNG PARTNERS LP COMMON LONG 117 17.22 5/3 10:53 16.19 0.34%
Trade id #110243802
Max drawdown($164)
Time4/27/17 11:29
Quant open117
Worst price15.82
Drawdown as % of equity-0.34%
($123)
Includes Typical Broker Commissions trade costs of $2.34
4/5/17 9:40 PVTB PRIVATEBANCORP LONG 34 59.76 4/27 10:23 57.40 0.16%
Trade id #110721555
Max drawdown($80)
Time4/27/17 10:23
Quant open0
Worst price57.40
Drawdown as % of equity-0.16%
($81)
Includes Typical Broker Commissions trade costs of $0.68
2/15/17 9:59 NTRI NUTRISYSTEM LONG 87 36.02 4/27 9:40 42.90 0.02%
Trade id #109560039
Max drawdown($11)
Time2/15/17 13:51
Quant open29
Worst price34.85
Drawdown as % of equity-0.02%
$597
Includes Typical Broker Commissions trade costs of $1.74
3/29/17 10:30 OKS ONEOK PARTNERS LONG 97 54.14 4/21 9:41 52.12 0.42%
Trade id #110516366
Max drawdown($196)
Time4/21/17 9:41
Quant open0
Worst price52.12
Drawdown as % of equity-0.42%
($198)
Includes Typical Broker Commissions trade costs of $1.94
3/30/17 14:28 OKE ONEOK LONG 76 55.99 4/21 9:41 53.24 0.45%
Trade id #110558310
Max drawdown($209)
Time4/21/17 9:41
Quant open0
Worst price53.24
Drawdown as % of equity-0.45%
($211)
Includes Typical Broker Commissions trade costs of $1.52
4/18/17 11:15 YIN YINTECH INVESTMENT HOLDINGS LIMITED AMERICAN DEPO LONG 51 19.64 4/21 9:40 17.48 0.29%
Trade id #111088785
Max drawdown($133)
Time4/21/17 9:37
Quant open51
Worst price17.02
Drawdown as % of equity-0.29%
($111)
Includes Typical Broker Commissions trade costs of $1.02
2/16/17 9:40 STM STMICROELECTRONICS LONG 272 15.25 4/18 9:40 14.53 0.56%
Trade id #109596042
Max drawdown($258)
Time4/18/17 5:50
Quant open272
Worst price14.30
Drawdown as % of equity-0.56%
($201)
Includes Typical Broker Commissions trade costs of $5.44
4/5/17 9:52 SBS BASIC SANITATION COMPANY LONG 93 10.90 4/10 12:26 10.37 0.11%
Trade id #110722295
Max drawdown($49)
Time4/10/17 12:26
Quant open0
Worst price10.37
Drawdown as % of equity-0.11%
($51)
Includes Typical Broker Commissions trade costs of $1.86
4/3/17 10:29 AIR AAR LONG 31 34.07 4/6 10:24 33.14 0.07%
Trade id #110647454
Max drawdown($34)
Time4/6/17 9:33
Quant open31
Worst price32.96
Drawdown as % of equity-0.07%
($30)
Includes Typical Broker Commissions trade costs of $0.62
3/24/17 9:30 NVDA NVIDIA LONG 11 108.91 4/6 9:47 99.33 0.22%
Trade id #110419288
Max drawdown($105)
Time4/6/17 9:34
Quant open11
Worst price99.34
Drawdown as % of equity-0.22%
($105)
Includes Typical Broker Commissions trade costs of $0.22

Statistics

  • Strategy began
    6/3/2015
  • Starting Unit Size
    $5,500
  • Strategy Age (days)
    724.63
  • Age
    24 months ago
  • What it trades
    Stocks
  • # Trades
    388
  • # Profitable
    123
  • % Profitable
    31.70%
  • Avg trade duration
    38.9 days
  • Max peak-to-valley drawdown
    35.1%
  • drawdown period
    Aug 18, 2015 - Jan 27, 2016
  • Annual Return (Compounded)
    -2.5%
  • Avg win
    $247.33
  • Avg loss
    $123.89
  • Model Account Values (Raw)
  • Cash
    $11,870
  • Margin Used
    $0
  • Buying Power
    $16,948
  • Ratios
  • W:L ratio
    1.00:1
  • Sharpe Ratio
    -0.077
  • Sortino Ratio
    -0.102
  • Calmar Ratio
    -0.001
  • CORRELATION STATISTICS
  • Correlation to SP500
    0.48900
  • Return Statistics
  • Ann Return (w trading costs)
    -2.5%
  • Ann Return (Compnd, No Fees)
    -0.1%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    75.50%
  • Chance of 20% account loss
    34.50%
  • Chance of 30% account loss
    8.00%
  • Chance of 40% account loss
    0.50%
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    461
  • C2 Score
    20.3
  • 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
    $124
  • Avg Win
    $247
  • # Winners
    123
  • # Losers
    265
  • % Winners
    31.7%
  • Frequency
  • Avg Position Time (mins)
    56034.30
  • Avg Position Time (hrs)
    933.91
  • Avg Trade Length
    38.9 days
  • Last Trade Ago
    2
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.00409
  • SD
    0.21189
  • Sharpe ratio (Glass type estimate)
    -0.01931
  • Sharpe ratio (Hedges UMVUE)
    -0.01864
  • df
    22.00000
  • t
    -0.02673
  • p
    0.51054
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.43485
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.39660
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.43436
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.39708
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.02536
  • Upside Potential Ratio
    1.70679
  • Upside part of mean
    0.27538
  • Downside part of mean
    -0.27947
  • Upside SD
    0.13006
  • Downside SD
    0.16134
  • N nonnegative terms
    11.00000
  • N negative terms
    12.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    23.00000
  • Mean of predictor
    0.03731
  • Mean of criterion
    -0.00409
  • SD of predictor
    0.13266
  • SD of criterion
    0.21189
  • Covariance
    0.02013
  • r
    0.71610
  • b (slope, estimate of beta)
    1.14377
  • a (intercept, estimate of alpha)
    -0.04677
  • Mean Square Error
    0.02292
  • DF error
    21.00000
  • t(b)
    4.70136
  • p(b)
    0.08682
  • t(a)
    -0.42624
  • p(a)
    0.55888
  • Lowerbound of 95% confidence interval for beta
    0.63783
  • Upperbound of 95% confidence interval for beta
    1.64971
  • Lowerbound of 95% confidence interval for alpha
    -0.27494
  • Upperbound of 95% confidence interval for alpha
    0.18141
  • Treynor index (mean / b)
    -0.00358
  • Jensen alpha (a)
    -0.04677
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.02633
  • SD
    0.21793
  • Sharpe ratio (Glass type estimate)
    -0.12082
  • Sharpe ratio (Hedges UMVUE)
    -0.11665
  • df
    22.00000
  • t
    -0.16727
  • p
    0.56566
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.53566
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.29666
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.53278
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.29948
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.15265
  • Upside Potential Ratio
    1.54610
  • Upside part of mean
    0.26669
  • Downside part of mean
    -0.29302
  • Upside SD
    0.12544
  • Downside SD
    0.17249
  • N nonnegative terms
    11.00000
  • N negative terms
    12.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    23.00000
  • Mean of predictor
    0.02885
  • Mean of criterion
    -0.02633
  • SD of predictor
    0.13184
  • SD of criterion
    0.21793
  • Covariance
    0.02108
  • r
    0.73352
  • b (slope, estimate of beta)
    1.21251
  • a (intercept, estimate of alpha)
    -0.06131
  • Mean Square Error
    0.02299
  • DF error
    21.00000
  • t(b)
    4.94572
  • p(b)
    0.07918
  • t(a)
    -0.55874
  • p(a)
    0.57686
  • Lowerbound of 95% confidence interval for beta
    0.70267
  • Upperbound of 95% confidence interval for beta
    1.72236
  • Lowerbound of 95% confidence interval for alpha
    -0.28952
  • Upperbound of 95% confidence interval for alpha
    0.16690
  • Treynor index (mean / b)
    -0.02172
  • Jensen alpha (a)
    -0.06131
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.10028
  • Expected Shortfall on VaR
    0.12339
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.05521
  • Expected Shortfall on VaR
    0.10609
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    23.00000
  • Minimum
    0.83769
  • Quartile 1
    0.97398
  • Median
    0.99926
  • Quartile 3
    1.04452
  • Maximum
    1.09797
  • Mean of quarter 1
    0.92739
  • Mean of quarter 2
    0.98799
  • Mean of quarter 3
    1.02855
  • Mean of quarter 4
    1.06844
  • Inter Quartile Range
    0.07054
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.04348
  • 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)
    0.49046
  • VaR(95%) (moments method)
    0.08136
  • Expected Shortfall (moments method)
    0.17849
  • Extreme Value Index (regression method)
    1.77137
  • VaR(95%) (regression method)
    0.08422
  • 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)
    0.00158
  • Compounded annual return (geometric extrapolation)
    0.00158
  • Calmar ratio (compounded annual return / max draw down)
    0.00587
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    0.01278
  • 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
    -0.01328
  • SD
    0.17311
  • Sharpe ratio (Glass type estimate)
    -0.07674
  • Sharpe ratio (Hedges UMVUE)
    -0.07662
  • df
    508.00000
  • t
    -0.10695
  • p
    0.54257
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.48292
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.32945
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.48281
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.32956
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.10222
  • Upside Potential Ratio
    6.74913
  • Upside part of mean
    0.87705
  • Downside part of mean
    -0.89033
  • Upside SD
    0.11412
  • Downside SD
    0.12995
  • N nonnegative terms
    262.00000
  • N negative terms
    247.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    509.00000
  • Mean of predictor
    0.05018
  • Mean of criterion
    -0.01328
  • SD of predictor
    0.13712
  • SD of criterion
    0.17311
  • Covariance
    0.01175
  • r
    0.49482
  • b (slope, estimate of beta)
    0.62472
  • a (intercept, estimate of alpha)
    -0.04500
  • Mean Square Error
    0.02268
  • DF error
    507.00000
  • t(b)
    12.82140
  • p(b)
    -0.00000
  • t(a)
    -0.41301
  • p(a)
    0.66011
  • Lowerbound of 95% confidence interval for beta
    0.52899
  • Upperbound of 95% confidence interval for beta
    0.72045
  • Lowerbound of 95% confidence interval for alpha
    -0.25694
  • Upperbound of 95% confidence interval for alpha
    0.16768
  • Treynor index (mean / b)
    -0.02126
  • Jensen alpha (a)
    -0.04463
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.02832
  • SD
    0.17388
  • Sharpe ratio (Glass type estimate)
    -0.16289
  • Sharpe ratio (Hedges UMVUE)
    -0.16265
  • df
    508.00000
  • t
    -0.22704
  • p
    0.58976
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.56904
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.24338
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.56886
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.24356
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.21421
  • Upside Potential Ratio
    6.58391
  • Upside part of mean
    0.87055
  • Downside part of mean
    -0.89888
  • Upside SD
    0.11267
  • Downside SD
    0.13222
  • N nonnegative terms
    262.00000
  • N negative terms
    247.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    509.00000
  • Mean of predictor
    0.04077
  • Mean of criterion
    -0.02832
  • SD of predictor
    0.13730
  • SD of criterion
    0.17388
  • Covariance
    0.01195
  • r
    0.50059
  • b (slope, estimate of beta)
    0.63396
  • a (intercept, estimate of alpha)
    -0.05417
  • Mean Square Error
    0.02270
  • DF error
    507.00000
  • t(b)
    13.02040
  • p(b)
    -0.00000
  • t(a)
    -0.50102
  • p(a)
    0.69171
  • Lowerbound of 95% confidence interval for beta
    0.53830
  • Upperbound of 95% confidence interval for beta
    0.72962
  • Lowerbound of 95% confidence interval for alpha
    -0.26659
  • Upperbound of 95% confidence interval for alpha
    0.15825
  • Treynor index (mean / b)
    -0.04468
  • Jensen alpha (a)
    -0.05417
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01762
  • Expected Shortfall on VaR
    0.02201
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00758
  • Expected Shortfall on VaR
    0.01584
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    509.00000
  • Minimum
    0.93021
  • Quartile 1
    0.99647
  • Median
    1.00028
  • Quartile 3
    1.00419
  • Maximum
    1.06091
  • Mean of quarter 1
    0.98807
  • Mean of quarter 2
    0.99862
  • Mean of quarter 3
    1.00213
  • Mean of quarter 4
    1.01149
  • Inter Quartile Range
    0.00772
  • Number outliers low
    31.00000
  • Percentage of outliers low
    0.06090
  • Mean of outliers low
    0.97413
  • Number of outliers high
    25.00000
  • Percentage of outliers high
    0.04912
  • Mean of outliers high
    1.02351
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.45834
  • VaR(95%) (moments method)
    0.01163
  • Expected Shortfall (moments method)
    0.02477
  • Extreme Value Index (regression method)
    0.18795
  • VaR(95%) (regression method)
    0.01081
  • Expected Shortfall (regression method)
    0.01725
  • 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)
    -0.00042
  • Compounded annual return (geometric extrapolation)
    -0.00042
  • Calmar ratio (compounded annual return / max draw down)
    -0.00129
  • Compounded annual return / average of 25% largest draw downs
    -0.00129
  • Compounded annual return / Expected Shortfall lognormal
    -0.01893
  • 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
    -0.01092
  • SD
    0.14952
  • Sharpe ratio (Glass type estimate)
    -0.07305
  • Sharpe ratio (Hedges UMVUE)
    -0.07262
  • df
    130.00000
  • t
    -0.05165
  • p
    0.50226
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.84475
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.69890
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.84444
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.69920
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.10084
  • Upside Potential Ratio
    7.74491
  • Upside part of mean
    0.83883
  • Downside part of mean
    -0.84975
  • Upside SD
    0.10226
  • Downside SD
    0.10831
  • N nonnegative terms
    62.00000
  • N negative terms
    69.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.15757
  • Mean of criterion
    -0.01092
  • SD of predictor
    0.07150
  • SD of criterion
    0.14952
  • Covariance
    0.00561
  • r
    0.52490
  • b (slope, estimate of beta)
    1.09764
  • a (intercept, estimate of alpha)
    -0.18388
  • Mean Square Error
    0.01632
  • DF error
    129.00000
  • t(b)
    7.00422
  • p(b)
    0.18189
  • t(a)
    -1.00831
  • p(a)
    0.55622
  • Lowerbound of 95% confidence interval for beta
    0.78758
  • Upperbound of 95% confidence interval for beta
    1.40770
  • Lowerbound of 95% confidence interval for alpha
    -0.54468
  • Upperbound of 95% confidence interval for alpha
    0.17693
  • Treynor index (mean / b)
    -0.00995
  • Jensen alpha (a)
    -0.18388
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.02204
  • SD
    0.14977
  • Sharpe ratio (Glass type estimate)
    -0.14715
  • Sharpe ratio (Hedges UMVUE)
    -0.14630
  • df
    130.00000
  • t
    -0.10405
  • p
    0.50456
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.91877
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.62496
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.91816
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.62557
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.20139
  • Upside Potential Ratio
    7.61740
  • Upside part of mean
    0.83356
  • Downside part of mean
    -0.85560
  • Upside SD
    0.10142
  • Downside SD
    0.10943
  • N nonnegative terms
    62.00000
  • N negative terms
    69.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.15497
  • Mean of criterion
    -0.02204
  • SD of predictor
    0.07150
  • SD of criterion
    0.14977
  • Covariance
    0.00562
  • r
    0.52488
  • b (slope, estimate of beta)
    1.09947
  • a (intercept, estimate of alpha)
    -0.19242
  • Mean Square Error
    0.01638
  • DF error
    129.00000
  • t(b)
    7.00384
  • p(b)
    0.18190
  • t(a)
    -1.05376
  • p(a)
    0.55873
  • Lowerbound of 95% confidence interval for beta
    0.78888
  • Upperbound of 95% confidence interval for beta
    1.41006
  • Lowerbound of 95% confidence interval for alpha
    -0.55371
  • Upperbound of 95% confidence interval for alpha
    0.16887
  • Treynor index (mean / b)
    -0.02004
  • Jensen alpha (a)
    -0.19242
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01519
  • Expected Shortfall on VaR
    0.01898
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00771
  • Expected Shortfall on VaR
    0.01505
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.96887
  • Quartile 1
    0.99604
  • Median
    0.99990
  • Quartile 3
    1.00446
  • Maximum
    1.02490
  • Mean of quarter 1
    0.98923
  • Mean of quarter 2
    0.99812
  • Mean of quarter 3
    1.00185
  • Mean of quarter 4
    1.01111
  • Inter Quartile Range
    0.00842
  • Number outliers low
    5.00000
  • Percentage of outliers low
    0.03817
  • Mean of outliers low
    0.97379
  • Number of outliers high
    6.00000
  • Percentage of outliers high
    0.04580
  • Mean of outliers high
    1.02095
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.31363
  • VaR(95%) (moments method)
    0.01084
  • Expected Shortfall (moments method)
    0.01877
  • Extreme Value Index (regression method)
    -0.08566
  • VaR(95%) (regression method)
    0.01052
  • Expected Shortfall (regression method)
    0.01397
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    3.00000
  • Minimum
    0.03468
  • Quartile 1
    0.04484
  • Median
    0.05499
  • Quartile 3
    0.08836
  • Maximum
    0.12172
  • Mean of quarter 1
    0.03468
  • Mean of quarter 2
    0.05499
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.12172
  • Inter Quartile Range
    0.04352
  • 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)
    0.00588
  • Compounded annual return (geometric extrapolation)
    0.00589
  • Calmar ratio (compounded annual return / max draw down)
    0.04836
  • Compounded annual return / average of 25% largest draw downs
    0.04836
  • Compounded annual return / Expected Shortfall lognormal
    0.31013

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
388
# Profitable
123
% Profitable
31.7%
Net Dividends
Correlation S&P500
0.489
Sharpe Ratio
-0.077

Latest Subscribers

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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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