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Anna's Stocks
(95384675)

Created by: TonWinter TonWinter
Started: 10/2016
Stocks
Last trade: 54 days ago
Trading style: Equity Momentum

Subscriptions not available

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

Subscription terms. Subscriptions to this system cost $39.00 per month.

C2Star

C2Star is a certification program for trading strategies. In order to become "C2Star Certified," a strategy must apply tight risk controls, and must exhibit excellent performance characteristics, including low drawdowns.

You can read more about C2Star certification requirements here.

Note that: all trading strategies are risky, and C2Star Certification does not imply that a strategy is low risk.

Trading Category: Equity
Momentum
Category: Equity

Momentum

Aims to capitalize on the continuance of existing trends in the market. Trader takes a long position in an asset in an upward trend, and short-sells a security that has been in a downward trend. While similar to Trend-following, tends to be more forward-looking (predicting oncoming trend), while Momentum is more backward-looking (observing already-established price direction).
3.4%
Annual Return (Compounded)

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 marked-to-market equity calculations.

All results are hypothetical.

(35.8%)
Max Drawdown
158
Num Trades
46.2%
Win Trades
1.2 : 1
Profit Factor
45.5%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2016                                                               +0.7%+4.3%+0.4%+5.4%
2017+6.6%+3.6%(1.7%)+11.3%+3.7%(3.7%)(1%)(3%)+0.9%+1.5%(0.9%)(0.3%)+17.3%
2018+10.3%(6.3%)(8.5%)(1.9%)+6.8%+2.7%+3.1%(5.3%)(1.8%)(11.6%)(6.1%)(7.7%)(25.2%)
2019+10.5%+14.1%(4.7%)(0.7%)(0.4%)  -                                      +18.8%

Model Account Details

A trading strategy on Collective2. Follow it in your broker account, or use a free simulated trading account.

Advanced users may want to use this information to adjust their AutoTrade scaling, or merely to understand the magnitudes of the nearby chart.

Trading Record

This strategy has placed 228 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
1/28/19 9:30 PYPL PAYPAL HOLDINGS CORP LONG 17 93.47 4/26 9:30 102.08 0.87%
Trade id #122214334
Max drawdown($100)
Time1/31/19 9:37
Quant open15
Worst price86.62
Drawdown as % of equity-0.87%
$146
Includes Typical Broker Commissions trade costs of $0.34
4/22/19 9:30 PKOH PARK-OHIO HOLDINGS LONG 32 36.63 4/26 9:30 35.95 0.25%
Trade id #123383991
Max drawdown($31)
Time4/25/19 16:00
Quant open32
Worst price35.65
Drawdown as % of equity-0.25%
($23)
Includes Typical Broker Commissions trade costs of $0.64
3/4/19 9:31 DLHC DLH HOLDINGS LONG 264 6.44 4/15 9:30 6.11 0.77%
Trade id #122770889
Max drawdown($98)
Time4/10/19 11:10
Quant open164
Worst price5.84
Drawdown as % of equity-0.77%
($91)
Includes Typical Broker Commissions trade costs of $5.28
3/4/19 9:30 NTWK NETSOL TECHNOLOGIES LONG 208 8.15 4/1 9:30 6.83 2.16%
Trade id #122770824
Max drawdown($276)
Time3/27/19 9:31
Quant open158
Worst price6.40
Drawdown as % of equity-2.16%
($278)
Includes Typical Broker Commissions trade costs of $4.16
2/25/19 9:30 SCX L.S. STARRETT COMPANY LONG 220 7.96 4/1 9:30 7.56 1.01%
Trade id #122666290
Max drawdown($129)
Time3/6/19 10:09
Quant open220
Worst price7.37
Drawdown as % of equity-1.01%
($91)
Includes Typical Broker Commissions trade costs of $4.40
3/4/19 9:30 PCMI PCM INC. COMMON STOCK LONG 48 34.34 4/1 9:30 35.08 1.37%
Trade id #122770869
Max drawdown($177)
Time3/4/19 12:45
Quant open48
Worst price30.65
Drawdown as % of equity-1.37%
$34
Includes Typical Broker Commissions trade costs of $0.96
2/25/19 9:30 KMDA KAMADA LTD LONG 286 6.07 3/8 10:12 5.98 0.55%
Trade id #122666242
Max drawdown($71)
Time3/5/19 10:01
Quant open286
Worst price5.82
Drawdown as % of equity-0.55%
($31)
Includes Typical Broker Commissions trade costs of $5.72
2/4/19 9:30 YRCW YRC WORLDWIDE LONG 328 6.46 3/6 10:49 7.39 0.59%
Trade id #122340307
Max drawdown($68)
Time2/4/19 12:47
Quant open328
Worst price6.25
Drawdown as % of equity-0.59%
$298
Includes Typical Broker Commissions trade costs of $6.56
2/19/19 9:30 ULH UNIVERSAL LOGISTICS HOLDINGS INC. COMMON STOCK LONG 108 22.78 3/4 9:30 22.45 0.5%
Trade id #122583595
Max drawdown($66)
Time3/1/19 11:56
Quant open78
Worst price21.93
Drawdown as % of equity-0.50%
($37)
Includes Typical Broker Commissions trade costs of $2.16
2/25/19 9:30 GNE GENIE ENERGY LONG 194 8.90 3/4 9:30 8.65 0.49%
Trade id #122666331
Max drawdown($64)
Time3/1/19 15:40
Quant open194
Worst price8.57
Drawdown as % of equity-0.49%
($53)
Includes Typical Broker Commissions trade costs of $3.88
2/19/19 9:30 CINR CINER RESOURCES LP LONG 98 25.00 3/4 9:30 24.86 0.25%
Trade id #122583572
Max drawdown($33)
Time2/21/19 9:31
Quant open98
Worst price24.66
Drawdown as % of equity-0.25%
($16)
Includes Typical Broker Commissions trade costs of $1.96
1/22/19 9:30 MERC MERCER INTERNATIONAL LONG 147 14.71 2/25 9:30 14.81 0.98%
Trade id #122105169
Max drawdown($109)
Time1/23/19 15:31
Quant open142
Worst price13.93
Drawdown as % of equity-0.98%
$11
Includes Typical Broker Commissions trade costs of $2.94
1/22/19 9:30 LEE LEE ENTERPRISES LONG 840 2.47 2/21 9:30 2.69 0.44%
Trade id #122105172
Max drawdown($50)
Time1/22/19 16:00
Quant open840
Worst price2.41
Drawdown as % of equity-0.44%
$180
Includes Typical Broker Commissions trade costs of $5.00
1/28/19 9:31 PCMI PCM INC. COMMON STOCK LONG 74 22.02 2/20 15:33 31.83 0.22%
Trade id #122214374
Max drawdown($25)
Time1/29/19 11:03
Quant open66
Worst price20.52
Drawdown as % of equity-0.22%
$725
Includes Typical Broker Commissions trade costs of $1.48
1/22/19 9:30 ZEUS OLYMPIC STEEL LONG 122 18.93 2/19 9:30 19.23 1.76%
Trade id #122105236
Max drawdown($198)
Time1/24/19 9:31
Quant open110
Worst price17.01
Drawdown as % of equity-1.76%
$35
Includes Typical Broker Commissions trade costs of $2.44
1/22/19 9:30 IEC IEC ELECTRONICS LONG 330 7.33 2/19 9:30 8.28 1.07%
Trade id #122105259
Max drawdown($120)
Time1/23/19 13:25
Quant open300
Worst price6.82
Drawdown as % of equity-1.07%
$308
Includes Typical Broker Commissions trade costs of $6.60
1/28/19 9:30 MA MASTERCARD LONG 7 200.74 2/4 9:30 214.35 0.19%
Trade id #122214260
Max drawdown($21)
Time1/29/19 10:59
Quant open7
Worst price197.66
Drawdown as % of equity-0.19%
$95
Includes Typical Broker Commissions trade costs of $0.14
9/24/18 9:30 CRM SALESFORCE.COM LONG 14 155.04 1/28/19 9:31 148.06 3.26%
Trade id #119999762
Max drawdown($350)
Time1/3/19 19:35
Quant open14
Worst price130.00
Drawdown as % of equity-3.26%
($98)
Includes Typical Broker Commissions trade costs of $0.28
1/7/19 9:30 SIGA SIGA TECHNOLOGIES INC. COMMON STOCK LONG 194 7.75 1/28 9:30 6.80 1.85%
Trade id #121814855
Max drawdown($208)
Time1/25/19 10:11
Quant open194
Worst price6.67
Drawdown as % of equity-1.85%
($187)
Includes Typical Broker Commissions trade costs of $3.88
12/10/18 9:30 GNE GENIE ENERGY LONG 160 7.62 1/14/19 10:48 8.60 2.93%
Trade id #121421771
Max drawdown($307)
Time12/27/18 12:57
Quant open160
Worst price5.70
Drawdown as % of equity-2.93%
$154
Includes Typical Broker Commissions trade costs of $3.20
11/19/18 9:30 EDUC EDUCATIONAL DEVELOPMENT LONG 142 11.13 1/7/19 9:30 10.80 4.76%
Trade id #121042154
Max drawdown($511)
Time12/21/18 10:51
Quant open142
Worst price7.53
Drawdown as % of equity-4.76%
($50)
Includes Typical Broker Commissions trade costs of $2.84
11/19/18 9:30 TX TERNIUM LONG 52 30.96 12/17 9:30 28.29 2.09%
Trade id #121042137
Max drawdown($235)
Time11/28/18 10:32
Quant open52
Worst price26.43
Drawdown as % of equity-2.09%
($140)
Includes Typical Broker Commissions trade costs of $1.04
11/19/18 9:30 PTSI P.A.M. TRANSPORTATION LONG 26 60.46 12/10 9:35 43.47 3.99%
Trade id #121042162
Max drawdown($447)
Time12/6/18 15:45
Quant open26
Worst price43.26
Drawdown as % of equity-3.99%
($443)
Includes Typical Broker Commissions trade costs of $0.52
11/19/18 9:30 WMK WEIS MARKETS LONG 34 47.43 12/3 13:55 45.70 0.67%
Trade id #121042147
Max drawdown($77)
Time12/3/18 10:04
Quant open34
Worst price45.16
Drawdown as % of equity-0.67%
($60)
Includes Typical Broker Commissions trade costs of $0.68
11/19/18 9:30 EBR CENTRAIS ELECTRICAS BRASILERIAS SA LONG 244 6.68 12/3 13:53 6.44 1.12%
Trade id #121042204
Max drawdown($126)
Time11/26/18 14:59
Quant open244
Worst price6.16
Drawdown as % of equity-1.12%
($63)
Includes Typical Broker Commissions trade costs of $4.88
11/5/18 12:53 RGS REGIS LONG 104 17.20 12/3 10:58 18.31 0.4%
Trade id #120735471
Max drawdown($44)
Time11/20/18 14:59
Quant open104
Worst price16.77
Drawdown as % of equity-0.40%
$114
Includes Typical Broker Commissions trade costs of $2.08
11/5/18 11:46 AIRG AIRGAIN INC. COMMON STOCK LONG 128 13.81 11/12 9:30 13.66 0.6%
Trade id #120733286
Max drawdown($72)
Time11/7/18 9:31
Quant open128
Worst price13.25
Drawdown as % of equity-0.60%
($22)
Includes Typical Broker Commissions trade costs of $2.56
11/5/18 12:11 WIRE ENCORE WIRE LONG 24 49.78 11/12 9:30 50.18 0.19%
Trade id #120734285
Max drawdown($22)
Time11/5/18 12:44
Quant open24
Worst price48.84
Drawdown as % of equity-0.19%
$10
Includes Typical Broker Commissions trade costs of $0.48
11/5/18 12:08 CRZO CARRIZO OIL & GAS LONG 80 18.25 11/6 12:30 17.89 0.46%
Trade id #120734165
Max drawdown($55)
Time11/6/18 11:53
Quant open80
Worst price17.56
Drawdown as % of equity-0.46%
($31)
Includes Typical Broker Commissions trade costs of $1.60
9/24/18 9:30 JASN JASON INDUSTRIES INC. COMMON LONG 636 3.30 11/5 11:44 2.17 7.08%
Trade id #119999716
Max drawdown($850)
Time10/30/18 9:32
Quant open636
Worst price1.96
Drawdown as % of equity-7.08%
($726)
Includes Typical Broker Commissions trade costs of $5.00

Statistics

  • Strategy began
    10/10/2016
  • Suggested Minimum Cap
    $15,000
  • Strategy Age (days)
    982.04
  • Age
    33 months ago
  • What it trades
    Stocks
  • # Trades
    158
  • # Profitable
    73
  • % Profitable
    46.20%
  • Avg trade duration
    25.9 days
  • Max peak-to-valley drawdown
    35.76%
  • drawdown period
    Jan 23, 2018 - Dec 24, 2018
  • Annual Return (Compounded)
    3.4%
  • Avg win
    $200.42
  • Avg loss
    $141.52
  • Model Account Values (Raw)
  • Cash
    $12,731
  • Margin Used
    $0
  • Buying Power
    $12,731
  • Ratios
  • W:L ratio
    1.24:1
  • Sharpe Ratio
    0.14
  • Sortino Ratio
    0.2
  • Calmar Ratio
    0.33
  • CORRELATION STATISTICS
  • Correlation to SP500
    0.35480
  • Return Statistics
  • Ann Return (w trading costs)
    3.4%
  • Ann Return (Compnd, No Fees)
    9.4%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    46.00%
  • Chance of 20% account loss
    8.00%
  • Chance of 30% account loss
    1.50%
  • Chance of 40% account loss
    n/a
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    0
  • Trades-Own-System Certification
  • Trades Own System?
    0
  • TOS percent
    n/a
  • Subscription Price
  • Billing Period (days)
    30
  • Trial Days
    21
  • Win / Loss
  • Avg Loss
    $142
  • Avg Win
    $200
  • # Winners
    73
  • # Losers
    85
  • % Winners
    46.2%
  • Frequency
  • Avg Position Time (mins)
    37287.50
  • Avg Position Time (hrs)
    621.46
  • Avg Trade Length
    25.9 days
  • Last Trade Ago
    54
  • Unknown
  • Alpha
    -0.00
  • Beta
    0.43
  • Treynor Index
    0.02
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.08146
  • SD
    0.17991
  • Sharpe ratio (Glass type estimate)
    0.45278
  • Sharpe ratio (Hedges UMVUE)
    0.44135
  • df
    30.00000
  • t
    0.72774
  • p
    0.23621
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.77569
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.67386
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.78319
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.66588
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.75702
  • Upside Potential Ratio
    2.56447
  • Upside part of mean
    0.27595
  • Downside part of mean
    -0.19449
  • Upside SD
    0.14247
  • Downside SD
    0.10761
  • N nonnegative terms
    16.00000
  • N negative terms
    15.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    31.00000
  • Mean of predictor
    0.08555
  • Mean of criterion
    0.08146
  • SD of predictor
    0.09495
  • SD of criterion
    0.17991
  • Covariance
    0.01085
  • r
    0.63494
  • b (slope, estimate of beta)
    1.20308
  • a (intercept, estimate of alpha)
    -0.02146
  • Mean Square Error
    0.01999
  • DF error
    29.00000
  • t(b)
    4.42581
  • p(b)
    0.00006
  • t(a)
    -0.23589
  • p(a)
    0.59241
  • Lowerbound of 95% confidence interval for beta
    0.64712
  • Upperbound of 95% confidence interval for beta
    1.75904
  • Lowerbound of 95% confidence interval for alpha
    -0.20753
  • Upperbound of 95% confidence interval for alpha
    0.16461
  • Treynor index (mean / b)
    0.06771
  • Jensen alpha (a)
    -0.02146
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.06568
  • SD
    0.17783
  • Sharpe ratio (Glass type estimate)
    0.36931
  • Sharpe ratio (Hedges UMVUE)
    0.35998
  • df
    30.00000
  • t
    0.59358
  • p
    0.27862
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.85671
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.58925
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.86285
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.58281
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.58844
  • Upside Potential Ratio
    2.38140
  • Upside part of mean
    0.26578
  • Downside part of mean
    -0.20011
  • Upside SD
    0.13604
  • Downside SD
    0.11161
  • N nonnegative terms
    16.00000
  • N negative terms
    15.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    31.00000
  • Mean of predictor
    0.08069
  • Mean of criterion
    0.06568
  • SD of predictor
    0.09532
  • SD of criterion
    0.17783
  • Covariance
    0.01089
  • r
    0.64273
  • b (slope, estimate of beta)
    1.19917
  • a (intercept, estimate of alpha)
    -0.03109
  • Mean Square Error
    0.01920
  • DF error
    29.00000
  • t(b)
    4.51803
  • p(b)
    0.00005
  • t(a)
    -0.34995
  • p(a)
    0.63555
  • Lowerbound of 95% confidence interval for beta
    0.65633
  • Upperbound of 95% confidence interval for beta
    1.74202
  • Lowerbound of 95% confidence interval for alpha
    -0.21277
  • Upperbound of 95% confidence interval for alpha
    0.15060
  • Treynor index (mean / b)
    0.05477
  • Jensen alpha (a)
    -0.03109
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.07593
  • Expected Shortfall on VaR
    0.09538
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.03682
  • Expected Shortfall on VaR
    0.06979
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    31.00000
  • Minimum
    0.89993
  • Quartile 1
    0.97700
  • Median
    1.00382
  • Quartile 3
    1.04330
  • Maximum
    1.14070
  • Mean of quarter 1
    0.94817
  • Mean of quarter 2
    0.99386
  • Mean of quarter 3
    1.01853
  • Mean of quarter 4
    1.07708
  • Inter Quartile Range
    0.06630
  • 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 for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.08233
  • VaR(95%) (moments method)
    0.05100
  • Expected Shortfall (moments method)
    0.06679
  • Extreme Value Index (regression method)
    -0.05097
  • VaR(95%) (regression method)
    0.07117
  • Expected Shortfall (regression method)
    0.09817
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    3.00000
  • Minimum
    0.00854
  • Quartile 1
    0.02895
  • Median
    0.04936
  • Quartile 3
    0.13744
  • Maximum
    0.22553
  • Mean of quarter 1
    0.00854
  • Mean of quarter 2
    0.04936
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.22553
  • Inter Quartile Range
    0.10849
  • 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)
    0.10586
  • Compounded annual return (geometric extrapolation)
    0.09810
  • Calmar ratio (compounded annual return / max draw down)
    0.43499
  • Compounded annual return / average of 25% largest draw downs
    0.43499
  • Compounded annual return / Expected Shortfall lognormal
    1.02854
  • 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
    0.07381
  • SD
    0.14270
  • Sharpe ratio (Glass type estimate)
    0.51721
  • Sharpe ratio (Hedges UMVUE)
    0.51665
  • df
    691.00000
  • t
    0.84057
  • p
    0.20044
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.68927
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.72333
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.68965
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.72295
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.74591
  • Upside Potential Ratio
    8.32436
  • Upside part of mean
    0.82370
  • Downside part of mean
    -0.74989
  • Upside SD
    0.10278
  • Downside SD
    0.09895
  • N nonnegative terms
    328.00000
  • N negative terms
    364.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    692.00000
  • Mean of predictor
    0.09343
  • Mean of criterion
    0.07381
  • SD of predictor
    0.12791
  • SD of criterion
    0.14270
  • Covariance
    0.00651
  • r
    0.35662
  • b (slope, estimate of beta)
    0.39787
  • a (intercept, estimate of alpha)
    0.03700
  • Mean Square Error
    0.01780
  • DF error
    690.00000
  • t(b)
    10.02700
  • p(b)
    0.00000
  • t(a)
    0.44579
  • p(a)
    0.32795
  • Lowerbound of 95% confidence interval for beta
    0.31996
  • Upperbound of 95% confidence interval for beta
    0.47578
  • Lowerbound of 95% confidence interval for alpha
    -0.12472
  • Upperbound of 95% confidence interval for alpha
    0.19798
  • Treynor index (mean / b)
    0.18551
  • Jensen alpha (a)
    0.03663
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.06362
  • SD
    0.14272
  • Sharpe ratio (Glass type estimate)
    0.44581
  • Sharpe ratio (Hedges UMVUE)
    0.44532
  • df
    691.00000
  • t
    0.72452
  • p
    0.23450
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.76056
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.65189
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.76090
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.65154
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.63667
  • Upside Potential Ratio
    8.18944
  • Upside part of mean
    0.81840
  • Downside part of mean
    -0.75477
  • Upside SD
    0.10182
  • Downside SD
    0.09993
  • N nonnegative terms
    328.00000
  • N negative terms
    364.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    692.00000
  • Mean of predictor
    0.08522
  • Mean of criterion
    0.06362
  • SD of predictor
    0.12815
  • SD of criterion
    0.14272
  • Covariance
    0.00656
  • r
    0.35841
  • b (slope, estimate of beta)
    0.39915
  • a (intercept, estimate of alpha)
    0.02961
  • Mean Square Error
    0.01778
  • DF error
    690.00000
  • t(b)
    10.08480
  • p(b)
    0.00000
  • t(a)
    0.36060
  • p(a)
    0.35925
  • Lowerbound of 95% confidence interval for beta
    0.32144
  • Upperbound of 95% confidence interval for beta
    0.47685
  • Lowerbound of 95% confidence interval for alpha
    -0.13161
  • Upperbound of 95% confidence interval for alpha
    0.19083
  • Treynor index (mean / b)
    0.15940
  • Jensen alpha (a)
    0.02961
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01416
  • Expected Shortfall on VaR
    0.01778
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00678
  • Expected Shortfall on VaR
    0.01346
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    692.00000
  • Minimum
    0.95903
  • Quartile 1
    0.99648
  • Median
    1.00000
  • Quartile 3
    1.00439
  • Maximum
    1.04345
  • Mean of quarter 1
    0.98999
  • Mean of quarter 2
    0.99878
  • Mean of quarter 3
    1.00184
  • Mean of quarter 4
    1.01094
  • Inter Quartile Range
    0.00790
  • Number outliers low
    28.00000
  • Percentage of outliers low
    0.04046
  • Mean of outliers low
    0.97758
  • Number of outliers high
    24.00000
  • Percentage of outliers high
    0.03468
  • Mean of outliers high
    1.02270
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.12441
  • VaR(95%) (moments method)
    0.00903
  • Expected Shortfall (moments method)
    0.01334
  • Extreme Value Index (regression method)
    0.00171
  • VaR(95%) (regression method)
    0.00989
  • Expected Shortfall (regression method)
    0.01386
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    21.00000
  • Minimum
    0.00011
  • Quartile 1
    0.00473
  • Median
    0.01820
  • Quartile 3
    0.04014
  • Maximum
    0.29030
  • Mean of quarter 1
    0.00179
  • Mean of quarter 2
    0.00942
  • Mean of quarter 3
    0.02862
  • Mean of quarter 4
    0.11468
  • Inter Quartile Range
    0.03542
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.09524
  • Mean of outliers high
    0.20130
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.52694
  • VaR(95%) (moments method)
    0.11871
  • Expected Shortfall (moments method)
    0.27481
  • Extreme Value Index (regression method)
    1.11772
  • VaR(95%) (regression method)
    0.14841
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.10354
  • Compounded annual return (geometric extrapolation)
    0.09585
  • Calmar ratio (compounded annual return / max draw down)
    0.33018
  • Compounded annual return / average of 25% largest draw downs
    0.83583
  • Compounded annual return / Expected Shortfall lognormal
    5.39123
  • 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
    0.21744
  • SD
    0.11640
  • Sharpe ratio (Glass type estimate)
    1.86812
  • Sharpe ratio (Hedges UMVUE)
    1.85732
  • df
    130.00000
  • t
    1.32096
  • p
    0.44246
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.91648
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.64570
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.92366
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.63831
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.19233
  • Upside Potential Ratio
    9.87116
  • Upside part of mean
    0.67237
  • Downside part of mean
    -0.45492
  • Upside SD
    0.09479
  • Downside SD
    0.06811
  • N nonnegative terms
    56.00000
  • N negative terms
    75.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.14350
  • Mean of criterion
    0.21744
  • SD of predictor
    0.16617
  • SD of criterion
    0.11640
  • Covariance
    0.00690
  • r
    0.35665
  • b (slope, estimate of beta)
    0.24983
  • a (intercept, estimate of alpha)
    0.18159
  • Mean Square Error
    0.01192
  • DF error
    129.00000
  • t(b)
    4.33592
  • p(b)
    0.27786
  • t(a)
    1.17459
  • p(a)
    0.43463
  • Lowerbound of 95% confidence interval for beta
    0.13583
  • Upperbound of 95% confidence interval for beta
    0.36383
  • Lowerbound of 95% confidence interval for alpha
    -0.12429
  • Upperbound of 95% confidence interval for alpha
    0.48747
  • Treynor index (mean / b)
    0.87037
  • Jensen alpha (a)
    0.18159
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.21064
  • SD
    0.11601
  • Sharpe ratio (Glass type estimate)
    1.81563
  • Sharpe ratio (Hedges UMVUE)
    1.80514
  • df
    130.00000
  • t
    1.28384
  • p
    0.44405
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.96834
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.59282
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.97534
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.58561
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.07347
  • Upside Potential Ratio
    9.74471
  • Upside part of mean
    0.66785
  • Downside part of mean
    -0.45721
  • Upside SD
    0.09396
  • Downside SD
    0.06853
  • N nonnegative terms
    56.00000
  • N negative terms
    75.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.12979
  • Mean of criterion
    0.21064
  • SD of predictor
    0.16586
  • SD of criterion
    0.11601
  • Covariance
    0.00687
  • r
    0.35708
  • b (slope, estimate of beta)
    0.24976
  • a (intercept, estimate of alpha)
    0.17822
  • Mean Square Error
    0.01183
  • DF error
    129.00000
  • t(b)
    4.34191
  • p(b)
    0.27760
  • t(a)
    1.15710
  • p(a)
    0.43559
  • Lowerbound of 95% confidence interval for beta
    0.13595
  • Upperbound of 95% confidence interval for beta
    0.36358
  • Lowerbound of 95% confidence interval for alpha
    -0.12652
  • Upperbound of 95% confidence interval for alpha
    0.48297
  • Treynor index (mean / b)
    0.84336
  • Jensen alpha (a)
    0.17822
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01093
  • Expected Shortfall on VaR
    0.01388
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00430
  • Expected Shortfall on VaR
    0.00888
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.98187
  • Quartile 1
    0.99953
  • Median
    1.00000
  • Quartile 3
    1.00267
  • Maximum
    1.02519
  • Mean of quarter 1
    0.99340
  • Mean of quarter 2
    0.99995
  • Mean of quarter 3
    1.00072
  • Mean of quarter 4
    1.00967
  • Inter Quartile Range
    0.00314
  • Number outliers low
    16.00000
  • Percentage of outliers low
    0.12214
  • Mean of outliers low
    0.98895
  • Number of outliers high
    16.00000
  • Percentage of outliers high
    0.12214
  • Mean of outliers high
    1.01515
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.74740
  • VaR(95%) (moments method)
    0.00333
  • Expected Shortfall (moments method)
    0.00387
  • Extreme Value Index (regression method)
    -0.33710
  • VaR(95%) (regression method)
    0.00646
  • Expected Shortfall (regression method)
    0.00866
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    7.00000
  • Minimum
    0.00003
  • Quartile 1
    0.00256
  • Median
    0.01080
  • Quartile 3
    0.04793
  • Maximum
    0.06833
  • Mean of quarter 1
    0.00019
  • Mean of quarter 2
    0.00778
  • Mean of quarter 3
    0.03173
  • Mean of quarter 4
    0.06623
  • Inter Quartile Range
    0.04537
  • 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)
    0.25336
  • Compounded annual return (geometric extrapolation)
    0.26940
  • Calmar ratio (compounded annual return / max draw down)
    3.94286
  • Compounded annual return / average of 25% largest draw downs
    4.06771
  • Compounded annual return / Expected Shortfall lognormal
    19.41000

Strategy Description

What can you expect:

The system generates about 150 trades a year. Every mondaymorning, I run stock scans through 10,000 stocks to find just that stocks that are ready to move.

What does the system trades:

The system trades liquid US stocks. And during strong bear markets short in an ETF.

FAQ:

Does this system need to be auto-traded?

Not necessary. All signals will be emailed mondaymorning. Mostly before stock markets opens. So you should have time to enter the trades manually before the market opens.

Do you short stocks?

Only during strong bear markets the system trades short ETF's.


Does the system use leverage?

Only during strongly trending markets.


Do you use stops?
Yes. The stocks Always have a stop loss.

How has the system performed during backtesting?

Anna's Stocks trades a combination of 2 systems.

What will happen during bear markets?

During strong bear markets the system will invest in short ETF's.


Summary Statistics

Strategy began
2016-10-10
Suggested Minimum Capital
$15,000
# Trades
158
# Profitable
73
% Profitable
46.2%
Net Dividends
Correlation S&P500
0.355
Sharpe Ratio
0.14
Sortino Ratio
0.20
Beta
0.43
Alpha
-0.00

Latest Activity

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subscribed on started simulation #SUBSCRIBEDDATE#

Most values on this page (including the Strategy Equity Chart, above) have been adjusted by estimated trading commissions and subscription costs.

Some advanced users find it useful to see "raw" Model Account values. These numbers do not include any commissions, fees, subscription costs, or dividend actions.

Strategy developers can "archive" strategies at any time. This means the strategy Model Account is reset to its initial level and the trade list cleared. However, all archived track records are permanently preserved for evaluation by potential subscribers.

About the results you see on this Web site

Past results are not necessarily indicative of future results.

These results are based on simulated or hypothetical performance results that have certain inherent limitations. Unlike the results shown in an actual performance record, these results do not represent actual trading. Also, because these trades have not actually been executed, these results may have under-or over-compensated for the impact, if any, of certain market factors, such as lack of liquidity. Simulated or hypothetical trading programs in general are also subject to the fact that they are designed with the benefit of hindsight. No representation is being made that any account will or is likely to achieve profits or losses similar to these being shown.

In addition, hypothetical trading does not involve financial risk, and no hypothetical trading record can completely account for the impact of financial risk in actual trading. For example, the ability to withstand losses or to adhere to a particular trading program in spite of trading losses are material points which can also adversely affect actual trading results. There are numerous other factors related to the markets in general or to the implementation of any specific trading program, which cannot be fully accounted for in the preparation of hypothetical performance results and all of which can adversely affect actual trading results.

Material assumptions and methods used when calculating results

The following are material assumptions used when calculating any hypothetical monthly results that appear on our web site.

  • Profits are reinvested. We assume profits (when there are profits) are reinvested in the trading strategy.
  • Starting investment size. For any trading strategy on our site, hypothetical results are based on the assumption that you invested the starting amount shown on the strategy's performance chart. In some cases, nominal dollar amounts on the equity chart have been re-scaled downward to make current go-forward trading sizes more manageable. In these cases, it may not have been possible to trade the strategy historically at the equity levels shown on the chart, and a higher minimum capital was required in the past.
  • All fees are included. When calculating cumulative returns, we try to estimate and include all the fees a typical trader incurs when AutoTrading using AutoTrade technology. This includes the subscription cost of the strategy, plus any per-trade AutoTrade fees, plus estimated broker commissions if any.
  • "Max Drawdown" Calculation Method. We calculate the Max Drawdown statistic as follows. Our computer software looks at the equity chart of the system in question and finds the largest percentage amount that the equity chart ever declines from a local "peak" to a subsequent point in time (thus this is formally called "Maximum Peak to Valley Drawdown.") While this is useful information when evaluating trading systems, you should keep in mind that past performance does not guarantee future results. Therefore, future drawdowns may be larger than the historical maximum drawdowns you see here.

Trading is risky

There is a substantial risk of loss in futures and forex trading. Online trading of stocks and options is extremely risky. Assume you will lose money. Don't trade with money you cannot afford to lose.

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