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Fantastic 5 Portfolio
(111779682)

Created by: Karl_Capital_Mgmt Karl_Capital_Mgmt
Started: 05/2017
Stocks
Last trade: 61 days ago
Trading style: Equity Non-hedged Equity Trend-following

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.

Trading Category: Equity
Non-hedged Equity
Category: Equity

Non-hedged Equity

Predominantly long equities, although some hedging with short sales of stocks and/or stock index options. Commonly known as "stock-pickers."
Trend-following
Category: Equity

Trend-following

Tries to take advantage of long, medium or short-term moves that seem to play out in various markets. Typically, trend-following analysis is backward looking; that is, it attempts to recognize and profit from already-established trends.
15.8%
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.

(17.8%)
Max Drawdown
24
Num Trades
50.0%
Win Trades
2.2 : 1
Profit Factor
65.0%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2017                            +0.1%+0.8%+1.7%+0.7%+6.6%+7.1%+1.7%+2.7%+23.3%
2018+9.9%(10%)(1%)(3.6%)+3.3%+0.9%+10.5%+6.8%(0.8%)(11.3%)(0.1%)(0.1%)+2.2%

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.

System developer has asked us to delay this information by 125 hours.

Trading Record

This strategy has placed 8 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
6/7/18 9:33 AZO AUTOZONE LONG 25 669.84 10/18 9:31 714.15 0.03%
Trade id #118309953
Max drawdown($16)
Time6/7/18 9:37
Quant open16
Worst price659.28
Drawdown as % of equity-0.03%
$1,108
Includes Typical Broker Commissions trade costs of $0.50
9/21/18 9:34 MTD METTLER-TOLEDO INTL LONG 43 623.13 10/12 9:30 575.11 3.18%
Trade id #119967708
Max drawdown($2,065)
Time10/12/18 9:30
Quant open14
Worst price559.76
Drawdown as % of equity-3.18%
($2,066)
Includes Typical Broker Commissions trade costs of $0.86
4/26/18 9:32 TDG TRANSDIGM GROUP LONG 48 328.74 10/11 9:30 332.94 n/a $201
Includes Typical Broker Commissions trade costs of $0.96
6/26/18 9:38 AMZN AMAZON.COM LONG 10 1671.93 10/9 9:30 1857.26 n/a $1,853
Includes Typical Broker Commissions trade costs of $0.20
4/19/18 9:47 ISRG INTUITIVE SURGICAL LONG 36 471.32 10/9 9:30 527.00 0.47%
Trade id #117578132
Max drawdown($284)
Time5/29/18 11:46
Quant open23
Worst price449.64
Drawdown as % of equity-0.47%
$2,003
Includes Typical Broker Commissions trade costs of $0.72
6/29/18 12:53 GOOGL ALPHABET INC CLASS A LONG 23 1133.69 9/18 9:31 1161.35 n/a $636
Includes Typical Broker Commissions trade costs of $0.46
4/18/18 9:31 BKNG BOOKING HOLDINGS INC. COMMON STOCK LONG 10 2156.28 6/29 12:52 2026.12 3.68%
Trade id #117558414
Max drawdown($2,226)
Time6/27/18 16:28
Quant open10
Worst price1933.60
Drawdown as % of equity-3.68%
($1,302)
Includes Typical Broker Commissions trade costs of $0.20
4/27/18 9:31 NFLX NETFLIX LONG 46 347.49 6/26 9:37 390.08 n/a $1,958
Includes Typical Broker Commissions trade costs of $0.92
4/23/18 9:37 NOC NORTHROP GRUMMAN LONG 30 357.93 4/26 9:31 333.05 2.04%
Trade id #117619328
Max drawdown($1,197)
Time4/25/18 9:54
Quant open30
Worst price318.01
Drawdown as % of equity-2.04%
($747)
Includes Typical Broker Commissions trade costs of $0.60
4/20/18 9:35 LMT LOCKHEED MARTIN LONG 30 352.68 4/26 9:31 329.00 1.64%
Trade id #117594568
Max drawdown($963)
Time4/25/18 9:54
Quant open30
Worst price320.56
Drawdown as % of equity-1.64%
($711)
Includes Typical Broker Commissions trade costs of $0.60
2/7/18 9:34 CHTR CHARTER COMMUNICATIONS LONG 50 367.32 3/5 9:51 331.03 3.03%
Trade id #116367540
Max drawdown($1,847)
Time3/5/18 9:39
Quant open50
Worst price330.38
Drawdown as % of equity-3.03%
($1,816)
Includes Typical Broker Commissions trade costs of $1.00
1/17/18 9:32 PCLN THE PRICELINE GROUP INC. COMMO LONG 8 1927.51 2/12 9:47 1768.71 2.79%
Trade id #115925362
Max drawdown($1,707)
Time2/9/18 12:51
Quant open8
Worst price1714.07
Drawdown as % of equity-2.79%
($1,270)
Includes Typical Broker Commissions trade costs of $0.16
2/6/18 9:30 AMZN AMAZON.COM LONG 10 1365.00 2/12 9:47 1361.54 1.62%
Trade id #116338007
Max drawdown($990)
Time2/9/18 12:51
Quant open10
Worst price1265.93
Drawdown as % of equity-1.62%
($35)
Includes Typical Broker Commissions trade costs of $0.20
11/9/17 9:31 AZO AUTOZONE LONG 24 592.60 2/7/18 9:32 742.14 n/a $3,589
Includes Typical Broker Commissions trade costs of $0.48
1/23/18 9:31 MTD METTLER-TOLEDO INTL LONG 29 667.32 2/7 9:32 636.71 2.25%
Trade id #116046162
Max drawdown($1,410)
Time2/6/18 9:31
Quant open29
Worst price618.68
Drawdown as % of equity-2.25%
($889)
Includes Typical Broker Commissions trade costs of $0.58
1/10/18 9:33 SHW SHERWIN-WILLIAMS LONG 45 422.36 2/7 9:32 403.54 2.82%
Trade id #115797888
Max drawdown($1,714)
Time2/6/18 9:32
Quant open45
Worst price384.25
Drawdown as % of equity-2.82%
($848)
Includes Typical Broker Commissions trade costs of $0.90
11/8/17 13:28 GOOG ALPHABET INC CLASS C LONG 14 1039.86 2/6/18 9:30 1028.00 0.3%
Trade id #114752113
Max drawdown($187)
Time2/6/18 9:30
Quant open14
Worst price1026.49
Drawdown as % of equity-0.30%
($166)
Includes Typical Broker Commissions trade costs of $0.28
5/31/17 15:08 ICE INTERCONTINENTALEXCHANGE LONG 243 61.39 1/23/18 9:31 75.77 0.01%
Trade id #111857415
Max drawdown($4)
Time5/31/17 15:10
Quant open165
Worst price60.06
Drawdown as % of equity-0.01%
$3,489
Includes Typical Broker Commissions trade costs of $4.86
5/31/17 15:08 GOOGL ALPHABET INC CLASS A LONG 15 981.58 1/17/18 9:30 1135.36 0.98%
Trade id #111857429
Max drawdown($494)
Time6/12/17 9:47
Quant open10
Worst price936.79
Drawdown as % of equity-0.98%
$2,307
Includes Typical Broker Commissions trade costs of $0.30
5/31/17 15:06 BLK BLACKROCK LONG 36 412.10 1/10/18 9:32 534.47 0.02%
Trade id #111857384
Max drawdown($10)
Time5/31/17 15:11
Quant open25
Worst price407.43
Drawdown as % of equity-0.02%
$4,404
Includes Typical Broker Commissions trade costs of $0.72
9/1/17 9:35 MTD METTLER-TOLEDO INTL LONG 24 608.10 11/8 13:27 618.63 n/a $253
Includes Typical Broker Commissions trade costs of $0.48
11/6/17 9:34 PCLN THE PRICELINE GROUP INC. COMMO LONG 9 1888.75 11/8 13:27 1649.11 4.13%
Trade id #114700708
Max drawdown($2,323)
Time11/8/17 10:59
Quant open9
Worst price1630.56
Drawdown as % of equity-4.13%
($2,157)
Includes Typical Broker Commissions trade costs of $0.18
5/31/17 15:10 ISRG INTUITIVE SURGICAL LONG 45 305.70 11/6 9:33 383.79 n/a $3,513
Includes Typical Broker Commissions trade costs of $0.90
5/31/17 15:09 AMZN AMAZON.COM LONG 15 993.19 8/15 9:30 988.95 1.39%
Trade id #111857442
Max drawdown($692)
Time8/11/17 5:20
Quant open15
Worst price947.00
Drawdown as % of equity-1.39%
($64)
Includes Typical Broker Commissions trade costs of $0.30

Statistics

  • Strategy began
    5/25/2017
  • Suggested Minimum Cap
    $15,000
  • Strategy Age (days)
    572.22
  • Age
    19 months ago
  • What it trades
    Stocks
  • # Trades
    24
  • # Profitable
    12
  • % Profitable
    50.00%
  • Avg trade duration
    87.5 days
  • Max peak-to-valley drawdown
    17.84%
  • drawdown period
    Jan 26, 2018 - April 25, 2018
  • Annual Return (Compounded)
    15.8%
  • Avg win
    $2,110
  • Avg loss
    $1,005
  • Model Account Values (Raw)
  • Cash
    $63,796
  • Margin Used
    $0
  • Buying Power
    $63,796
  • Ratios
  • W:L ratio
    2.19:1
  • Sharpe Ratio
    1.143
  • Sortino Ratio
    1.6
  • Calmar Ratio
    1.097
  • CORRELATION STATISTICS
  • Correlation to SP500
    0.35700
  • Return Statistics
  • Ann Return (w trading costs)
    15.8%
  • Ann Return (Compnd, No Fees)
    16.8%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    14.50%
  • Chance of 20% account loss
    n/a
  • Chance of 30% account loss
    n/a
  • Chance of 40% account loss
    n/a
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    510
  • Popularity (Last 6 weeks)
    751
  • C2 Score
    75.5
  • Trades-Own-System Certification
  • Trades Own System?
    0
  • TOS percent
    n/a
  • Subscription Price
  • Billing Period (days)
    30
  • Trial Days
    0
  • Win / Loss
  • Avg Loss
    $1,005
  • Avg Win
    $2,110
  • # Winners
    12
  • # Losers
    12
  • % Winners
    50.0%
  • Frequency
  • Avg Position Time (mins)
    125952.00
  • Avg Position Time (hrs)
    2099.20
  • Avg Trade Length
    87.5 days
  • Last Trade Ago
    62
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.16760
  • SD
    0.21677
  • Sharpe ratio (Glass type estimate)
    0.77316
  • Sharpe ratio (Hedges UMVUE)
    0.73625
  • df
    16.00000
  • t
    0.92025
  • p
    0.38790
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.90647
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.42952
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.93009
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.40259
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.24125
  • Upside Potential Ratio
    2.83427
  • Upside part of mean
    0.38269
  • Downside part of mean
    -0.21510
  • Upside SD
    0.16833
  • Downside SD
    0.13502
  • N nonnegative terms
    10.00000
  • N negative terms
    7.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    17.00000
  • Mean of predictor
    0.04416
  • Mean of criterion
    0.16760
  • SD of predictor
    0.11630
  • SD of criterion
    0.21677
  • Covariance
    0.01973
  • r
    0.78242
  • b (slope, estimate of beta)
    1.45831
  • a (intercept, estimate of alpha)
    0.10320
  • Mean Square Error
    0.01944
  • DF error
    15.00000
  • t(b)
    4.86605
  • p(b)
    0.05889
  • t(a)
    0.87543
  • p(a)
    0.36079
  • Lowerbound of 95% confidence interval for beta
    0.81953
  • Upperbound of 95% confidence interval for beta
    2.09708
  • Lowerbound of 95% confidence interval for alpha
    -0.14806
  • Upperbound of 95% confidence interval for alpha
    0.35445
  • Treynor index (mean / b)
    0.11492
  • Jensen alpha (a)
    0.10320
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.14412
  • SD
    0.21730
  • Sharpe ratio (Glass type estimate)
    0.66321
  • Sharpe ratio (Hedges UMVUE)
    0.63154
  • df
    16.00000
  • t
    0.78937
  • p
    0.40320
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.00924
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.31556
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.02963
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.29271
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.01380
  • Upside Potential Ratio
    2.59198
  • Upside part of mean
    0.36846
  • Downside part of mean
    -0.22434
  • Upside SD
    0.16114
  • Downside SD
    0.14215
  • N nonnegative terms
    10.00000
  • N negative terms
    7.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    17.00000
  • Mean of predictor
    0.03760
  • Mean of criterion
    0.14412
  • SD of predictor
    0.11680
  • SD of criterion
    0.21730
  • Covariance
    0.01991
  • r
    0.78445
  • b (slope, estimate of beta)
    1.45945
  • a (intercept, estimate of alpha)
    0.08924
  • Mean Square Error
    0.01937
  • DF error
    15.00000
  • t(b)
    4.89874
  • p(b)
    0.05808
  • t(a)
    0.75961
  • p(a)
    0.37823
  • Lowerbound of 95% confidence interval for beta
    0.82444
  • Upperbound of 95% confidence interval for beta
    2.09447
  • Lowerbound of 95% confidence interval for alpha
    -0.16116
  • Upperbound of 95% confidence interval for alpha
    0.33963
  • Treynor index (mean / b)
    0.09875
  • Jensen alpha (a)
    0.08924
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.08714
  • Expected Shortfall on VaR
    0.11052
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.03612
  • Expected Shortfall on VaR
    0.07490
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    17.00000
  • Minimum
    0.88559
  • Quartile 1
    0.98671
  • Median
    1.02712
  • Quartile 3
    1.05931
  • Maximum
    1.12116
  • Mean of quarter 1
    0.94350
  • Mean of quarter 2
    1.00667
  • Mean of quarter 3
    1.04219
  • Mean of quarter 4
    1.09102
  • Inter Quartile Range
    0.07261
  • 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)
    -0.43009
  • VaR(95%) (moments method)
    0.04382
  • Expected Shortfall (moments method)
    0.05352
  • Extreme Value Index (regression method)
    -0.18752
  • VaR(95%) (regression method)
    0.06459
  • Expected Shortfall (regression method)
    0.08595
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    4.00000
  • Minimum
    0.00590
  • Quartile 1
    0.02375
  • Median
    0.06358
  • Quartile 3
    0.11068
  • Maximum
    0.15035
  • Mean of quarter 1
    0.00590
  • Mean of quarter 2
    0.02970
  • Mean of quarter 3
    0.09746
  • Mean of quarter 4
    0.15035
  • Inter Quartile Range
    0.08693
  • 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)
    0.19479
  • Compounded annual return (geometric extrapolation)
    0.18771
  • Calmar ratio (compounded annual return / max draw down)
    1.24848
  • Compounded annual return / average of 25% largest draw downs
    1.24848
  • Compounded annual return / Expected Shortfall lognormal
    1.69842
  • 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
    0.14565
  • SD
    0.12720
  • Sharpe ratio (Glass type estimate)
    1.14504
  • Sharpe ratio (Hedges UMVUE)
    1.14281
  • df
    385.00000
  • t
    1.38983
  • p
    0.08269
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.47247
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.76107
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.47396
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.75957
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.59970
  • Upside Potential Ratio
    8.48646
  • Upside part of mean
    0.77268
  • Downside part of mean
    -0.62703
  • Upside SD
    0.08905
  • Downside SD
    0.09105
  • N nonnegative terms
    182.00000
  • N negative terms
    204.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    386.00000
  • Mean of predictor
    0.01644
  • Mean of criterion
    0.14565
  • SD of predictor
    0.12989
  • SD of criterion
    0.12720
  • Covariance
    0.00618
  • r
    0.37389
  • b (slope, estimate of beta)
    0.36614
  • a (intercept, estimate of alpha)
    0.14000
  • Mean Square Error
    0.01395
  • DF error
    384.00000
  • t(b)
    7.89975
  • p(b)
    0.00000
  • t(a)
    1.43467
  • p(a)
    0.07610
  • Lowerbound of 95% confidence interval for beta
    0.27501
  • Upperbound of 95% confidence interval for beta
    0.45727
  • Lowerbound of 95% confidence interval for alpha
    -0.05173
  • Upperbound of 95% confidence interval for alpha
    0.33099
  • Treynor index (mean / b)
    0.39780
  • Jensen alpha (a)
    0.13963
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.13750
  • SD
    0.12747
  • Sharpe ratio (Glass type estimate)
    1.07870
  • Sharpe ratio (Hedges UMVUE)
    1.07660
  • df
    385.00000
  • t
    1.30931
  • p
    0.09560
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.53850
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.69459
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.53994
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.69313
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.49543
  • Upside Potential Ratio
    8.35955
  • Upside part of mean
    0.76866
  • Downside part of mean
    -0.63116
  • Upside SD
    0.08846
  • Downside SD
    0.09195
  • N nonnegative terms
    182.00000
  • N negative terms
    204.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    386.00000
  • Mean of predictor
    0.00797
  • Mean of criterion
    0.13750
  • SD of predictor
    0.13054
  • SD of criterion
    0.12747
  • Covariance
    0.00625
  • r
    0.37575
  • b (slope, estimate of beta)
    0.36694
  • a (intercept, estimate of alpha)
    0.13458
  • Mean Square Error
    0.01399
  • DF error
    384.00000
  • t(b)
    7.94535
  • p(b)
    0.00000
  • t(a)
    1.38098
  • p(a)
    0.08404
  • Lowerbound of 95% confidence interval for beta
    0.27613
  • Upperbound of 95% confidence interval for beta
    0.45774
  • Lowerbound of 95% confidence interval for alpha
    -0.05703
  • Upperbound of 95% confidence interval for alpha
    0.32619
  • Treynor index (mean / b)
    0.37474
  • Jensen alpha (a)
    0.13458
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01235
  • Expected Shortfall on VaR
    0.01559
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00565
  • Expected Shortfall on VaR
    0.01164
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    386.00000
  • Minimum
    0.96485
  • Quartile 1
    0.99762
  • Median
    1.00000
  • Quartile 3
    1.00481
  • Maximum
    1.02513
  • Mean of quarter 1
    0.99114
  • Mean of quarter 2
    0.99955
  • Mean of quarter 3
    1.00198
  • Mean of quarter 4
    1.00997
  • Inter Quartile Range
    0.00718
  • Number outliers low
    19.00000
  • Percentage of outliers low
    0.04922
  • Mean of outliers low
    0.97961
  • Number of outliers high
    9.00000
  • Percentage of outliers high
    0.02332
  • Mean of outliers high
    1.01936
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.11392
  • VaR(95%) (moments method)
    0.00703
  • Expected Shortfall (moments method)
    0.01059
  • Extreme Value Index (regression method)
    0.05678
  • VaR(95%) (regression method)
    0.00790
  • Expected Shortfall (regression method)
    0.01168
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    24.00000
  • Minimum
    0.00028
  • Quartile 1
    0.00379
  • Median
    0.00726
  • Quartile 3
    0.02148
  • Maximum
    0.16393
  • Mean of quarter 1
    0.00168
  • Mean of quarter 2
    0.00494
  • Mean of quarter 3
    0.01226
  • Mean of quarter 4
    0.07932
  • Inter Quartile Range
    0.01769
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    4.00000
  • Percentage of outliers high
    0.16667
  • Mean of outliers high
    0.10352
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -0.78562
  • VaR(95%) (moments method)
    0.06742
  • Expected Shortfall (moments method)
    0.07669
  • Extreme Value Index (regression method)
    -0.22692
  • VaR(95%) (regression method)
    0.12476
  • Expected Shortfall (regression method)
    0.16841
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.18731
  • Compounded annual return (geometric extrapolation)
    0.17988
  • Calmar ratio (compounded annual return / max draw down)
    1.09728
  • Compounded annual return / average of 25% largest draw downs
    2.26764
  • Compounded annual return / Expected Shortfall lognormal
    11.53620
  • 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
    0.03242
  • SD
    0.13204
  • Sharpe ratio (Glass type estimate)
    0.24552
  • Sharpe ratio (Hedges UMVUE)
    0.24410
  • df
    130.00000
  • t
    0.17361
  • p
    0.49239
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.52681
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.01713
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.52786
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.01607
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.33587
  • Upside Potential Ratio
    7.36229
  • Upside part of mean
    0.71062
  • Downside part of mean
    -0.67820
  • Upside SD
    0.08938
  • Downside SD
    0.09652
  • N nonnegative terms
    50.00000
  • N negative terms
    81.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.19327
  • Mean of criterion
    0.03242
  • SD of predictor
    0.15342
  • SD of criterion
    0.13204
  • Covariance
    0.00625
  • r
    0.30868
  • b (slope, estimate of beta)
    0.26567
  • a (intercept, estimate of alpha)
    0.08376
  • Mean Square Error
    0.01590
  • DF error
    129.00000
  • t(b)
    3.68598
  • p(b)
    0.30665
  • t(a)
    0.46837
  • p(a)
    0.47378
  • Lowerbound of 95% confidence interval for beta
    0.12306
  • Upperbound of 95% confidence interval for beta
    0.40827
  • Lowerbound of 95% confidence interval for alpha
    -0.27008
  • Upperbound of 95% confidence interval for alpha
    0.43761
  • Treynor index (mean / b)
    0.12203
  • Jensen alpha (a)
    0.08376
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.02374
  • SD
    0.13227
  • Sharpe ratio (Glass type estimate)
    0.17950
  • Sharpe ratio (Hedges UMVUE)
    0.17846
  • df
    130.00000
  • t
    0.12693
  • p
    0.49443
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.59263
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.95115
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.59343
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.95035
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.24371
  • Upside Potential Ratio
    7.25284
  • Upside part of mean
    0.70659
  • Downside part of mean
    -0.68285
  • Upside SD
    0.08874
  • Downside SD
    0.09742
  • N nonnegative terms
    50.00000
  • N negative terms
    81.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.20507
  • Mean of criterion
    0.02374
  • SD of predictor
    0.15413
  • SD of criterion
    0.13227
  • Covariance
    0.00629
  • r
    0.30866
  • b (slope, estimate of beta)
    0.26490
  • a (intercept, estimate of alpha)
    0.07807
  • Mean Square Error
    0.01595
  • DF error
    129.00000
  • t(b)
    3.68564
  • p(b)
    0.30667
  • t(a)
    0.43558
  • p(a)
    0.47561
  • Lowerbound of 95% confidence interval for beta
    0.12269
  • Upperbound of 95% confidence interval for beta
    0.40710
  • Lowerbound of 95% confidence interval for alpha
    -0.27654
  • Upperbound of 95% confidence interval for alpha
    0.43267
  • Treynor index (mean / b)
    0.08963
  • Jensen alpha (a)
    0.07807
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01326
  • Expected Shortfall on VaR
    0.01662
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00676
  • Expected Shortfall on VaR
    0.01355
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.96794
  • Quartile 1
    0.99784
  • Median
    1.00000
  • Quartile 3
    1.00407
  • Maximum
    1.02513
  • Mean of quarter 1
    0.99029
  • Mean of quarter 2
    0.99969
  • Mean of quarter 3
    1.00114
  • Mean of quarter 4
    1.00982
  • Inter Quartile Range
    0.00623
  • Number outliers low
    11.00000
  • Percentage of outliers low
    0.08397
  • Mean of outliers low
    0.98224
  • Number of outliers high
    7.00000
  • Percentage of outliers high
    0.05344
  • Mean of outliers high
    1.01717
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.11833
  • VaR(95%) (moments method)
    0.00687
  • Expected Shortfall (moments method)
    0.00925
  • Extreme Value Index (regression method)
    -0.12735
  • VaR(95%) (regression method)
    0.00921
  • Expected Shortfall (regression method)
    0.01267
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    9.00000
  • Minimum
    0.00054
  • Quartile 1
    0.00249
  • Median
    0.00679
  • Quartile 3
    0.03801
  • Maximum
    0.12447
  • Mean of quarter 1
    0.00153
  • Mean of quarter 2
    0.00573
  • Mean of quarter 3
    0.02566
  • Mean of quarter 4
    0.08813
  • Inter Quartile Range
    0.03552
  • 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
    0.11111
  • Mean of outliers high
    0.12447
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -0.20731
  • VaR(95%) (moments method)
    0.08204
  • Expected Shortfall (moments method)
    0.10291
  • Extreme Value Index (regression method)
    1.39818
  • VaR(95%) (regression method)
    0.16381
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.05232
  • Compounded annual return (geometric extrapolation)
    0.05301
  • Calmar ratio (compounded annual return / max draw down)
    0.42588
  • Compounded annual return / average of 25% largest draw downs
    0.60145
  • Compounded annual return / Expected Shortfall lognormal
    3.18910

Strategy Description

Our Fantastic Five Rules based system holds five stocks in a fully invested portfolio.
Stocks are chosen from the S&P 500 and are growing companies in uptrends.
It averages about 9-15 trades per year.
** We do not use leverage, options or futures contracts
** This is a Long only system.
** At times the portfolio will hold cash during bearish market conditions
** We only invest in S&P 500 companies
** We use profit targest and stop losses
** We only take on new positions in confirmed uptrends

The system has been live for 3 years, but is back tested since 2009 with amazing results.
The algorithm has stop loss rules with trailing stops to minimize risk in bear markets. If a position is stopped out and the market is in a down trend, the system will not reinvest into a new position until market conditions return to a bullish trend. This keeps the investor out of the market during larger declines.

Below are the backtested and live results compared to a popular ETF (IVW) S&P 500 Growth Fund.
2007 & 2008 the system maintained marginally positive year end returns versus huge losses for broad market.
Year Fantastic Five IVW (etf)
2009: 38.72% (F5 backtested) 31.34% (IVW actual)
2010: 30.69% (F5 backtested) 14.84% (IVW actual)
2011: 1.85% (F5 backtested) 4.49% (IVW actual)
2012: 25.06% (F5 backtested) 14.39% (IVW actual)
2013: 56.79% (F5 backtested) 32.48% (IVW actual)
2014: 1.61% (F5 backtested) 14.67% (IVW actual)
2015: 13.38% (F5 live) 5.33% (IVW actual)
2016: 2.09% (F5 live) 6.74% (IVW actual)
2017: 40.00% (F5 live) 25.43% (IVW actual)

"Backtesting data is hypothetical and it has not been verified by C2."

Summary Statistics

Strategy began
2017-05-25
Suggested Minimum Capital
$15,000
# Trades
24
# Profitable
12
% Profitable
50.0%
Net Dividends
Correlation S&P500
0.357
Sharpe Ratio
1.143

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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