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XLN Swingtrading
(84372841)

Created by: Teffub Teffub
Started: 12/2013
Stocks
Last trade: 28 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. Subscriptions to this system cost $59.00 per month.

8.3%
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.

(21.8%)
Max Drawdown
1120
Num Trades
71.9%
Win Trades
1.5 : 1
Profit Factor
75.4%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2013                                                                             +2.3%+2.3%
2014(0.5%)+3.0%+1.5%+1.6%+2.2%(0.8%)(3.3%)+5.4%+0.4%(0.7%)+2.7%+1.3%+13.0%
2015+1.9%+1.7%+1.4%+0.9%+0.6%+0.2%+4.0%(1.5%)+0.1%+0.1%+0.7%+1.1%+11.7%
2016+0.1%+0.7%+0.5%+0.3%+1.8%+0.8%+3.0%+3.7%+4.5%(0.2%)+0.4%+0.8%+17.6%
2017+1.5%+1.0%+0.9%+1.3%+0.4%+1.9%+2.4%(0.6%)(1.1%)+2.8%+1.5%(0.1%)+12.4%
2018+6.0%(7.6%)(0.7%)+0.8%+3.7%(0.2%)+2.4%+1.8%(3.1%)(9.4%)+0.1%(5.7%)(12.5%)

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 48 hours.

Trading Record

This strategy has placed 1,784 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
10/11/18 9:30 SPY SPDR S&P 500 LONG 450 274.34 11/20 10:21 264.64 4.3%
Trade id #120296526
Max drawdown($6,521)
Time10/29/18 15:46
Quant open450
Worst price259.85
Drawdown as % of equity-4.30%
($4,374)
Includes Typical Broker Commissions trade costs of $9.00
8/31/18 15:57 SPY SPDR S&P 500 LONG 250 290.30 9/21 15:13 292.29 0.54%
Trade id #119690101
Max drawdown($962)
Time9/10/18 4:01
Quant open250
Worst price286.45
Drawdown as % of equity-0.54%
$493
Includes Typical Broker Commissions trade costs of $5.00
9/5/18 15:25 QQQ POWERSHARES QQQ LONG 200 183.45 9/21 15:13 183.88 0.36%
Trade id #119736565
Max drawdown($644)
Time9/7/18 9:07
Quant open200
Worst price180.23
Drawdown as % of equity-0.36%
$81
Includes Typical Broker Commissions trade costs of $4.00
8/28/18 15:48 KO COCA-COLA LONG 200 45.30 9/21 15:13 46.50 0.1%
Trade id #119633549
Max drawdown($181)
Time8/31/18 14:22
Quant open200
Worst price44.39
Drawdown as % of equity-0.10%
$237
Includes Typical Broker Commissions trade costs of $4.00
8/13/18 15:55 SPY SPDR S&P 500 LONG 300 281.72 8/22 15:17 286.04 0.26%
Trade id #119418682
Max drawdown($468)
Time8/15/18 10:57
Quant open300
Worst price280.16
Drawdown as % of equity-0.26%
$1,289
Includes Typical Broker Commissions trade costs of $6.00
8/13/18 15:55 QQQ POWERSHARES QQQ LONG 200 179.71 8/22 15:17 180.45 0.17%
Trade id #119418691
Max drawdown($317)
Time8/15/18 10:34
Quant open200
Worst price178.12
Drawdown as % of equity-0.17%
$144
Includes Typical Broker Commissions trade costs of $4.00
8/15/18 15:48 F FORD MOTOR LONG 1,000 9.46 8/20 15:49 9.73 0.01%
Trade id #119459089
Max drawdown($16)
Time8/15/18 16:49
Quant open1,000
Worst price9.44
Drawdown as % of equity-0.01%
$270
Includes Typical Broker Commissions trade costs of $5.00
8/3/18 12:17 MMC MARSH & MCLENNAN LONG 150 82.70 8/6 15:44 83.51 0.01%
Trade id #119275049
Max drawdown($12)
Time8/3/18 13:37
Quant open150
Worst price82.62
Drawdown as % of equity-0.01%
$118
Includes Typical Broker Commissions trade costs of $3.00
7/24/18 10:15 MDY SPDR S&P MIDCAP 400 LONG 300 361.16 8/6 15:44 363.87 0.58%
Trade id #119090873
Max drawdown($1,059)
Time7/30/18 15:59
Quant open300
Worst price357.63
Drawdown as % of equity-0.58%
$805
Includes Typical Broker Commissions trade costs of $6.00
7/23/18 10:19 SPY SPDR S&P 500 LONG 150 279.41 8/2 15:56 282.33 0.05%
Trade id #119068897
Max drawdown($89)
Time8/2/18 6:53
Quant open150
Worst price278.81
Drawdown as % of equity-0.05%
$435
Includes Typical Broker Commissions trade costs of $3.00
7/23/18 10:16 MDY SPDR S&P MIDCAP 400 LONG 100 362.62 7/23 11:47 363.01 0.04%
Trade id #119068822
Max drawdown($65)
Time7/23/18 10:32
Quant open100
Worst price361.96
Drawdown as % of equity-0.04%
$37
Includes Typical Broker Commissions trade costs of $2.00
7/19/18 13:21 QQQ POWERSHARES QQQ LONG 100 179.31 7/20 15:28 178.90 0.03%
Trade id #119021068
Max drawdown($56)
Time7/19/18 16:04
Quant open100
Worst price178.74
Drawdown as % of equity-0.03%
($43)
Includes Typical Broker Commissions trade costs of $2.00
7/20/18 11:00 MDY SPDR S&P MIDCAP 400 SHORT 100 363.50 7/20 11:07 363.36 0%
Trade id #119035939
Max drawdown($7)
Time7/20/18 11:02
Quant open-100
Worst price363.58
Drawdown as % of equity-0.00%
$12
Includes Typical Broker Commissions trade costs of $2.00
7/17/18 9:30 IWM ISHARES RUSSELL 2000 INDEX LONG 100 166.68 7/18 13:41 167.31 0.01%
Trade id #118970967
Max drawdown($11)
Time7/18/18 10:37
Quant open100
Worst price166.57
Drawdown as % of equity-0.01%
$61
Includes Typical Broker Commissions trade costs of $2.00
7/16/18 9:53 QQQ POWERSHARES QQQ LONG 150 179.78 7/18 13:41 179.97 0.21%
Trade id #118952083
Max drawdown($387)
Time7/17/18 9:19
Quant open150
Worst price177.19
Drawdown as % of equity-0.21%
$27
Includes Typical Broker Commissions trade costs of $3.00
6/7/18 12:30 FB FACEBOOK LONG 50 188.60 7/13 12:53 207.45 n/a $942
Includes Typical Broker Commissions trade costs of $1.00
7/10/18 13:33 IWM ISHARES RUSSELL 2000 INDEX LONG 200 167.92 7/13 12:53 167.95 0.14%
Trade id #118848676
Max drawdown($255)
Time7/12/18 9:48
Quant open200
Worst price166.64
Drawdown as % of equity-0.14%
$3
Includes Typical Broker Commissions trade costs of $4.00
6/26/18 9:59 LMT LOCKHEED MARTIN LONG 50 297.47 7/6 15:59 299.44 0.17%
Trade id #118651296
Max drawdown($297)
Time6/28/18 9:49
Quant open50
Worst price291.52
Drawdown as % of equity-0.17%
$98
Includes Typical Broker Commissions trade costs of $1.00
6/7/18 12:29 QQQ POWERSHARES QQQ LONG 300 172.71 7/6 15:59 175.59 0.64%
Trade id #118316501
Max drawdown($1,152)
Time6/28/18 8:38
Quant open300
Worst price168.87
Drawdown as % of equity-0.64%
$857
Includes Typical Broker Commissions trade costs of $6.00
6/1/18 12:30 MDY SPDR S&P MIDCAP 400 LONG 100 356.71 6/5 12:30 358.33 0.03%
Trade id #118215958
Max drawdown($51)
Time6/1/18 15:17
Quant open100
Worst price356.19
Drawdown as % of equity-0.03%
$160
Includes Typical Broker Commissions trade costs of $2.00
5/25/18 15:33 CSCO CISCO SYSTEMS LONG 400 43.30 6/4 11:07 43.40 0.17%
Trade id #118121609
Max drawdown($311)
Time5/29/18 12:16
Quant open400
Worst price42.52
Drawdown as % of equity-0.17%
$32
Includes Typical Broker Commissions trade costs of $8.00
5/23/18 15:34 TGT TARGET LONG 100 71.26 6/4 9:33 73.29 0.07%
Trade id #118076803
Max drawdown($117)
Time5/24/18 11:00
Quant open100
Worst price70.08
Drawdown as % of equity-0.07%
$201
Includes Typical Broker Commissions trade costs of $2.00
5/23/18 15:33 GE GENERAL ELECTRIC LONG 500 14.18 6/4 9:32 14.07 0.06%
Trade id #118076790
Max drawdown($115)
Time5/31/18 12:15
Quant open500
Worst price13.95
Drawdown as % of equity-0.06%
($64)
Includes Typical Broker Commissions trade costs of $10.00
5/15/18 15:34 FLT FLEETCOR TECHNOLOGIES LONG 75 201.59 5/24 15:03 202.76 0.14%
Trade id #117948956
Max drawdown($255)
Time5/23/18 9:31
Quant open75
Worst price198.18
Drawdown as % of equity-0.14%
$87
Includes Typical Broker Commissions trade costs of $1.50
5/15/18 15:32 MCD MCDONALD'S LONG 100 162.93 5/24 15:03 162.19 0.27%
Trade id #117948916
Max drawdown($483)
Time5/23/18 8:01
Quant open100
Worst price158.10
Drawdown as % of equity-0.27%
($76)
Includes Typical Broker Commissions trade costs of $2.00
5/15/18 9:52 XLP SPDR CONSUMER STAPLES SELECT LONG 200 49.19 5/23 15:32 49.85 0%
Trade id #117938623
Max drawdown($5)
Time5/15/18 9:57
Quant open100
Worst price49.06
Drawdown as % of equity-0.00%
$128
Includes Typical Broker Commissions trade costs of $4.00
5/15/18 9:54 ADP AUTOMATIC DATA PROCESSING LONG 75 125.63 5/23 15:32 129.07 0.01%
Trade id #117938783
Max drawdown($10)
Time5/15/18 9:56
Quant open75
Worst price125.49
Drawdown as % of equity-0.01%
$257
Includes Typical Broker Commissions trade costs of $1.50
4/30/18 11:24 GD GENERAL DYNAMICS LONG 75 203.53 5/7 15:33 196.26 0.54%
Trade id #117715885
Max drawdown($939)
Time5/3/18 10:37
Quant open75
Worst price191.00
Drawdown as % of equity-0.54%
($547)
Includes Typical Broker Commissions trade costs of $1.50
4/20/18 15:54 SPY SPDR S&P 500 LONG 500 265.44 5/4 15:37 265.48 1.12%
Trade id #117604464
Max drawdown($1,915)
Time5/3/18 10:57
Quant open300
Worst price259.05
Drawdown as % of equity-1.12%
$10
Includes Typical Broker Commissions trade costs of $10.00
4/26/18 9:30 IWM ISHARES RUSSELL 2000 INDEX LONG 200 154.15 5/4 15:37 155.93 0.28%
Trade id #117673044
Max drawdown($488)
Time5/1/18 11:04
Quant open200
Worst price151.71
Drawdown as % of equity-0.28%
$351
Includes Typical Broker Commissions trade costs of $4.00

Statistics

  • Strategy began
    12/2/2013
  • Suggested Minimum Cap
    $15,000
  • Strategy Age (days)
    1840.93
  • Age
    61 months ago
  • What it trades
    Stocks
  • # Trades
    1120
  • # Profitable
    805
  • % Profitable
    71.90%
  • Avg trade duration
    10.4 days
  • Max peak-to-valley drawdown
    21.77%
  • drawdown period
    Aug 23, 2018 - Nov 20, 2018
  • Annual Return (Compounded)
    8.3%
  • Avg win
    $175.18
  • Avg loss
    $324.43
  • Model Account Values (Raw)
  • Cash
    $62,248
  • Margin Used
    $0
  • Buying Power
    $57,677
  • Ratios
  • W:L ratio
    1.49:1
  • Sharpe Ratio
    0.825
  • Sortino Ratio
    1.166
  • Calmar Ratio
    0.496
  • CORRELATION STATISTICS
  • Correlation to SP500
    0.49200
  • Return Statistics
  • Ann Return (w trading costs)
    8.3%
  • Ann Return (Compnd, No Fees)
    9.4%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    31.50%
  • Chance of 20% account loss
    5.50%
  • Chance of 30% account loss
    n/a
  • Chance of 40% account loss
    n/a
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    648
  • Popularity (Last 6 weeks)
    925
  • C2 Score
    85.9
  • 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
    $318
  • Avg Win
    $189
  • # Winners
    805
  • # Losers
    315
  • % Winners
    71.9%
  • Frequency
  • Avg Position Time (mins)
    14973.50
  • Avg Position Time (hrs)
    249.56
  • Avg Trade Length
    10.4 days
  • Last Trade Ago
    27
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.09286
  • SD
    0.08640
  • Sharpe ratio (Glass type estimate)
    1.07471
  • Sharpe ratio (Hedges UMVUE)
    1.06075
  • df
    58.00000
  • t
    2.38301
  • p
    0.01023
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.16509
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.97551
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.15600
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.96550
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.51544
  • Upside Potential Ratio
    2.61706
  • Upside part of mean
    0.16035
  • Downside part of mean
    -0.06750
  • Upside SD
    0.06559
  • Downside SD
    0.06127
  • N nonnegative terms
    43.00000
  • N negative terms
    16.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    59.00000
  • Mean of predictor
    0.08391
  • Mean of criterion
    0.09286
  • SD of predictor
    0.10185
  • SD of criterion
    0.08640
  • Covariance
    0.00491
  • r
    0.55767
  • b (slope, estimate of beta)
    0.47309
  • a (intercept, estimate of alpha)
    0.05316
  • Mean Square Error
    0.00523
  • DF error
    57.00000
  • t(b)
    5.07223
  • p(b)
    0.00000
  • t(a)
    1.58433
  • p(a)
    0.05933
  • Lowerbound of 95% confidence interval for beta
    0.28632
  • Upperbound of 95% confidence interval for beta
    0.65986
  • Lowerbound of 95% confidence interval for alpha
    -0.01403
  • Upperbound of 95% confidence interval for alpha
    0.12034
  • Treynor index (mean / b)
    0.19628
  • Jensen alpha (a)
    0.05316
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.08876
  • SD
    0.08793
  • Sharpe ratio (Glass type estimate)
    1.00944
  • Sharpe ratio (Hedges UMVUE)
    0.99633
  • df
    58.00000
  • t
    2.23828
  • p
    0.01453
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.10256
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.90800
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.09401
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.89865
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.38873
  • Upside Potential Ratio
    2.47585
  • Upside part of mean
    0.15825
  • Downside part of mean
    -0.06948
  • Upside SD
    0.06459
  • Downside SD
    0.06392
  • N nonnegative terms
    43.00000
  • N negative terms
    16.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    59.00000
  • Mean of predictor
    0.07856
  • Mean of criterion
    0.08876
  • SD of predictor
    0.10166
  • SD of criterion
    0.08793
  • Covariance
    0.00498
  • r
    0.55701
  • b (slope, estimate of beta)
    0.48181
  • a (intercept, estimate of alpha)
    0.05091
  • Mean Square Error
    0.00543
  • DF error
    57.00000
  • t(b)
    5.06358
  • p(b)
    0.00000
  • t(a)
    1.49508
  • p(a)
    0.07021
  • Lowerbound of 95% confidence interval for beta
    0.29127
  • Upperbound of 95% confidence interval for beta
    0.67234
  • Lowerbound of 95% confidence interval for alpha
    -0.01728
  • Upperbound of 95% confidence interval for alpha
    0.11910
  • Treynor index (mean / b)
    0.18423
  • Jensen alpha (a)
    0.05091
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.03377
  • Expected Shortfall on VaR
    0.04392
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00788
  • Expected Shortfall on VaR
    0.01979
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    59.00000
  • Minimum
    0.89456
  • Quartile 1
    0.99833
  • Median
    1.00818
  • Quartile 3
    1.02441
  • Maximum
    1.04211
  • Mean of quarter 1
    0.97795
  • Mean of quarter 2
    1.00466
  • Mean of quarter 3
    1.01570
  • Mean of quarter 4
    1.03318
  • Inter Quartile Range
    0.02608
  • Number outliers low
    3.00000
  • Percentage of outliers low
    0.05085
  • Mean of outliers low
    0.93063
  • 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)
    0.94461
  • VaR(95%) (moments method)
    0.01596
  • Expected Shortfall (moments method)
    0.32082
  • Extreme Value Index (regression method)
    0.99705
  • VaR(95%) (regression method)
    0.01849
  • Expected Shortfall (regression method)
    6.90494
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    10.00000
  • Minimum
    0.00219
  • Quartile 1
    0.00467
  • Median
    0.01045
  • Quartile 3
    0.02164
  • Maximum
    0.17323
  • Mean of quarter 1
    0.00335
  • Mean of quarter 2
    0.00495
  • Mean of quarter 3
    0.01706
  • Mean of quarter 4
    0.08298
  • Inter Quartile Range
    0.01697
  • 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
    0.20000
  • Mean of outliers high
    0.11307
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -0.99386
  • VaR(95%) (moments method)
    0.07187
  • Expected Shortfall (moments method)
    0.08012
  • Extreme Value Index (regression method)
    0.99799
  • VaR(95%) (regression method)
    0.20145
  • Expected Shortfall (regression method)
    108.75700
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.11128
  • Compounded annual return (geometric extrapolation)
    0.09282
  • Calmar ratio (compounded annual return / max draw down)
    0.53582
  • Compounded annual return / average of 25% largest draw downs
    1.11861
  • Compounded annual return / Expected Shortfall lognormal
    2.11318
  • 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
    0.09920
  • SD
    0.12024
  • Sharpe ratio (Glass type estimate)
    0.82503
  • Sharpe ratio (Hedges UMVUE)
    0.82455
  • df
    1293.00000
  • t
    1.83352
  • p
    0.46759
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.05762
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.70738
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.05795
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.70705
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.16618
  • Upside Potential Ratio
    6.96150
  • Upside part of mean
    0.59220
  • Downside part of mean
    -0.49300
  • Upside SD
    0.08514
  • Downside SD
    0.08507
  • N nonnegative terms
    738.00000
  • N negative terms
    556.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1294.00000
  • Mean of predictor
    0.08255
  • Mean of criterion
    0.09920
  • SD of predictor
    0.12920
  • SD of criterion
    0.12024
  • Covariance
    0.00779
  • r
    0.50160
  • b (slope, estimate of beta)
    0.46681
  • a (intercept, estimate of alpha)
    0.06100
  • Mean Square Error
    0.01083
  • DF error
    1292.00000
  • t(b)
    20.84100
  • p(b)
    0.24920
  • t(a)
    1.29466
  • p(a)
    0.48200
  • Lowerbound of 95% confidence interval for beta
    0.42286
  • Upperbound of 95% confidence interval for beta
    0.51075
  • Lowerbound of 95% confidence interval for alpha
    -0.03126
  • Upperbound of 95% confidence interval for alpha
    0.15260
  • Treynor index (mean / b)
    0.21252
  • Jensen alpha (a)
    0.06067
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.09196
  • SD
    0.12035
  • Sharpe ratio (Glass type estimate)
    0.76410
  • Sharpe ratio (Hedges UMVUE)
    0.76366
  • df
    1293.00000
  • t
    1.69812
  • p
    0.46998
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.11846
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.64637
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.11876
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.64607
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.06476
  • Upside Potential Ratio
    6.81585
  • Upside part of mean
    0.58864
  • Downside part of mean
    -0.49669
  • Upside SD
    0.08394
  • Downside SD
    0.08636
  • N nonnegative terms
    738.00000
  • N negative terms
    556.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1294.00000
  • Mean of predictor
    0.07418
  • Mean of criterion
    0.09196
  • SD of predictor
    0.12945
  • SD of criterion
    0.12035
  • Covariance
    0.00782
  • r
    0.50177
  • b (slope, estimate of beta)
    0.46646
  • a (intercept, estimate of alpha)
    0.05736
  • Mean Square Error
    0.01085
  • DF error
    1292.00000
  • t(b)
    20.85070
  • p(b)
    0.24912
  • t(a)
    1.22324
  • p(a)
    0.48299
  • Lowerbound of 95% confidence interval for beta
    0.42257
  • Upperbound of 95% confidence interval for beta
    0.51035
  • Lowerbound of 95% confidence interval for alpha
    -0.03463
  • Upperbound of 95% confidence interval for alpha
    0.14934
  • Treynor index (mean / b)
    0.19714
  • Jensen alpha (a)
    0.05736
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01181
  • Expected Shortfall on VaR
    0.01487
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00380
  • Expected Shortfall on VaR
    0.00851
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    1294.00000
  • Minimum
    0.93129
  • Quartile 1
    0.99842
  • Median
    1.00027
  • Quartile 3
    1.00282
  • Maximum
    1.07582
  • Mean of quarter 1
    0.99298
  • Mean of quarter 2
    0.99953
  • Mean of quarter 3
    1.00135
  • Mean of quarter 4
    1.00765
  • Inter Quartile Range
    0.00440
  • Number outliers low
    78.00000
  • Percentage of outliers low
    0.06028
  • Mean of outliers low
    0.98281
  • Number of outliers high
    72.00000
  • Percentage of outliers high
    0.05564
  • Mean of outliers high
    1.01666
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.57754
  • VaR(95%) (moments method)
    0.00635
  • Expected Shortfall (moments method)
    0.01711
  • Extreme Value Index (regression method)
    0.35529
  • VaR(95%) (regression method)
    0.00558
  • Expected Shortfall (regression method)
    0.01063
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    106.00000
  • Minimum
    0.00004
  • Quartile 1
    0.00152
  • Median
    0.00499
  • Quartile 3
    0.01050
  • Maximum
    0.19424
  • Mean of quarter 1
    0.00059
  • Mean of quarter 2
    0.00286
  • Mean of quarter 3
    0.00713
  • Mean of quarter 4
    0.03734
  • Inter Quartile Range
    0.00898
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    11.00000
  • Percentage of outliers high
    0.10377
  • Mean of outliers high
    0.06636
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.51407
  • VaR(95%) (moments method)
    0.03606
  • Expected Shortfall (moments method)
    0.08423
  • Extreme Value Index (regression method)
    0.84193
  • VaR(95%) (regression method)
    0.03000
  • Expected Shortfall (regression method)
    0.16866
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.11639
  • Compounded annual return (geometric extrapolation)
    0.09632
  • Calmar ratio (compounded annual return / max draw down)
    0.49586
  • Compounded annual return / average of 25% largest draw downs
    2.57932
  • Compounded annual return / Expected Shortfall lognormal
    6.47736
  • 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
    -0.24715
  • SD
    0.25921
  • Sharpe ratio (Glass type estimate)
    -0.95347
  • Sharpe ratio (Hedges UMVUE)
    -0.94796
  • df
    130.00000
  • t
    -0.67421
  • p
    0.52951
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.72589
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.82257
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.72216
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.82624
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.32626
  • Upside Potential Ratio
    6.82166
  • Upside part of mean
    1.27124
  • Downside part of mean
    -1.51840
  • Upside SD
    0.17940
  • Downside SD
    0.18635
  • N nonnegative terms
    66.00000
  • N negative terms
    65.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.08400
  • Mean of criterion
    -0.24715
  • SD of predictor
    0.14812
  • SD of criterion
    0.25921
  • Covariance
    0.02557
  • r
    0.66591
  • b (slope, estimate of beta)
    1.16535
  • a (intercept, estimate of alpha)
    -0.14926
  • Mean Square Error
    0.03769
  • DF error
    129.00000
  • t(b)
    10.13810
  • p(b)
    0.10991
  • t(a)
    -0.54334
  • p(a)
    0.53041
  • Lowerbound of 95% confidence interval for beta
    0.93793
  • Upperbound of 95% confidence interval for beta
    1.39278
  • Lowerbound of 95% confidence interval for alpha
    -0.69278
  • Upperbound of 95% confidence interval for alpha
    0.39426
  • Treynor index (mean / b)
    -0.21209
  • Jensen alpha (a)
    -0.14926
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.28051
  • SD
    0.25854
  • Sharpe ratio (Glass type estimate)
    -1.08499
  • Sharpe ratio (Hedges UMVUE)
    -1.07872
  • df
    130.00000
  • t
    -0.76721
  • p
    0.53357
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.85788
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.69200
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.85363
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.69618
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.48161
  • Upside Potential Ratio
    6.63199
  • Upside part of mean
    1.25562
  • Downside part of mean
    -1.53613
  • Upside SD
    0.17546
  • Downside SD
    0.18933
  • N nonnegative terms
    66.00000
  • N negative terms
    65.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.09494
  • Mean of criterion
    -0.28051
  • SD of predictor
    0.14850
  • SD of criterion
    0.25854
  • Covariance
    0.02568
  • r
    0.66882
  • b (slope, estimate of beta)
    1.16443
  • a (intercept, estimate of alpha)
    -0.16996
  • Mean Square Error
    0.03723
  • DF error
    129.00000
  • t(b)
    10.21810
  • p(b)
    0.10853
  • t(a)
    -0.62237
  • p(a)
    0.53482
  • Lowerbound of 95% confidence interval for beta
    0.93896
  • Upperbound of 95% confidence interval for beta
    1.38990
  • Lowerbound of 95% confidence interval for alpha
    -0.71025
  • Upperbound of 95% confidence interval for alpha
    0.37034
  • Treynor index (mean / b)
    -0.24090
  • Jensen alpha (a)
    -0.16996
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02697
  • Expected Shortfall on VaR
    0.03343
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01333
  • Expected Shortfall on VaR
    0.02569
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.95415
  • Quartile 1
    0.99340
  • Median
    1.00012
  • Quartile 3
    1.00604
  • Maximum
    1.07582
  • Mean of quarter 1
    0.98023
  • Mean of quarter 2
    0.99677
  • Mean of quarter 3
    1.00300
  • Mean of quarter 4
    1.01635
  • Inter Quartile Range
    0.01264
  • Number outliers low
    8.00000
  • Percentage of outliers low
    0.06107
  • Mean of outliers low
    0.96355
  • Number of outliers high
    5.00000
  • Percentage of outliers high
    0.03817
  • Mean of outliers high
    1.04460
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.28830
  • VaR(95%) (moments method)
    0.01734
  • Expected Shortfall (moments method)
    0.02145
  • Extreme Value Index (regression method)
    -0.32575
  • VaR(95%) (regression method)
    0.01854
  • Expected Shortfall (regression method)
    0.02276
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    7.00000
  • Minimum
    0.00624
  • Quartile 1
    0.00704
  • Median
    0.02696
  • Quartile 3
    0.03249
  • Maximum
    0.19424
  • Mean of quarter 1
    0.00637
  • Mean of quarter 2
    0.01727
  • Mean of quarter 3
    0.02881
  • Mean of quarter 4
    0.11521
  • Inter Quartile Range
    0.02545
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.14286
  • Mean of outliers high
    0.19424
  • 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)
    -0.26173
  • Compounded annual return (geometric extrapolation)
    -0.24460
  • Calmar ratio (compounded annual return / max draw down)
    -1.25925
  • Compounded annual return / average of 25% largest draw downs
    -2.12319
  • Compounded annual return / Expected Shortfall lognormal
    -7.31725

Strategy Description

The strategy is a swing trading system that looks for oversold and overbought stocks. The system trades only highly liquid stocks.

When we enter a bear market I will manage shorts with inverse long ETFs. I will never use any volatility-ETF¨s.

You can easily trade this strategy with a smaller amount of money with the help of the rescaling tools that Collective 2 provide. Please read more about that on their website. You are always welcome to contact me about it as well.

XLN Swingtrading has been developed to provide consistent long-term gains while strictly controlling risk.

Right now there is a max drawdown of approx 9% in the strategy. With a position size that is twice the one, I use now the drawdown would be 18% and the annual return would have been closer to 30% instead of the current 15%. This is hypothetical of course.

I am trading this strategy myself in Tradestation and therefore have no possibility to get a TOS badge. Why Tradestation? Because I think it is the best platform available today.

I am always available for additional information. Just send me a message.

Summary Statistics

Strategy began
2013-12-02
Suggested Minimum Capital
$15,000
# Trades
1120
# Profitable
805
% Profitable
71.9%
Net Dividends
Correlation S&P500
0.492
Sharpe Ratio
0.825

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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Suggested Minimum Capital

This is our estimate of the minimum amount of capital to follow a strategy, assuming you use the smallest reasonable AutoTrade Scaling % for the strategy.