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NAS100 Short Term Swing
(98996226)

Created by: CDRing CDRing
Started: 01/2016
Stocks
Last trade: 5 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 $69.00 per month.

6.3%
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.

(12.4%)
Max Drawdown
503
Num Trades
64.4%
Win Trades
1.3 : 1
Profit Factor
64.7%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2016(4.4%)+1.3%+1.0%(0.4%)+2.1%+0.5%+1.4%+0.6%  -  (4.1%)+2.0%(1.5%)(1.6%)
2017+7.4%+1.5%+0.9%+0.3%(0.6%)+0.8%+2.6%(2.6%)(1.5%)+1.6%+3.9%+4.0%+19.3%
2018+4.3%(5%)(2.5%)+0.6%+2.8%(2.4%)+2.5%+3.6%+2.3%(4.6%)            +1.1%

Model Account Details

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

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

Trading Record

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Long
Short
Both
Win
Loss
Both
Show More details Show Fewer details
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
10/5/18 9:30 CHKP CHECK POINT SOFTWARE LONG 125 115.57 10/17 9:30 113.12 0.77%
Trade id #120203666
Max drawdown($918)
Time10/11/18 5:24
Quant open125
Worst price108.22
Drawdown as % of equity-0.77%
($309)
Includes Typical Broker Commissions trade costs of $2.50
10/5/18 9:30 ALGN ALIGN TECHNOLOGY LONG 40 356.20 10/17 9:30 338.81 1.72%
Trade id #120203626
Max drawdown($2,064)
Time10/11/18 8:01
Quant open40
Worst price304.60
Drawdown as % of equity-1.72%
($697)
Includes Typical Broker Commissions trade costs of $0.80
9/20/18 9:30 AKAM AKAMAI TECHNOLOGIES LONG 200 73.65 10/17 9:30 65.36 2.05%
Trade id #119944813
Max drawdown($2,462)
Time10/11/18 15:59
Quant open200
Worst price61.34
Drawdown as % of equity-2.05%
($1,662)
Includes Typical Broker Commissions trade costs of $4.00
10/4/18 9:30 HAS HASBRO LONG 140 103.41 10/17 9:30 101.51 0.76%
Trade id #120180318
Max drawdown($915)
Time10/12/18 14:15
Quant open140
Worst price96.87
Drawdown as % of equity-0.76%
($269)
Includes Typical Broker Commissions trade costs of $2.80
10/5/18 9:30 IDXX IDEXX LABORATORIES LONG 60 231.11 10/17 9:30 225.04 0.93%
Trade id #120203593
Max drawdown($1,113)
Time10/11/18 14:47
Quant open60
Worst price212.55
Drawdown as % of equity-0.93%
($365)
Includes Typical Broker Commissions trade costs of $1.20
9/20/18 9:30 SIRI SIRIUS XM HOLDINGS INC. COMMON LONG 2,120 7.02 10/17 9:30 6.30 1.98%
Trade id #119944826
Max drawdown($2,374)
Time10/11/18 7:16
Quant open2,120
Worst price5.90
Drawdown as % of equity-1.98%
($1,531)
Includes Typical Broker Commissions trade costs of $5.00
10/1/18 9:30 EXPE EXPEDIA LONG 110 131.44 10/17 9:30 121.46 1.58%
Trade id #120114590
Max drawdown($1,892)
Time10/11/18 14:47
Quant open110
Worst price114.24
Drawdown as % of equity-1.58%
($1,100)
Includes Typical Broker Commissions trade costs of $2.20
10/5/18 9:30 ROST ROSS STORES LONG 150 96.45 10/10 9:30 97.16 0.3%
Trade id #120203653
Max drawdown($379)
Time10/5/18 13:28
Quant open150
Worst price93.92
Drawdown as % of equity-0.30%
$104
Includes Typical Broker Commissions trade costs of $3.00
9/11/18 9:30 KLAC KLA-TENCOR LONG 135 105.09 10/5 9:30 101.44 0.66%
Trade id #119796511
Max drawdown($837)
Time10/4/18 10:34
Quant open135
Worst price98.89
Drawdown as % of equity-0.66%
($496)
Includes Typical Broker Commissions trade costs of $2.70
9/28/18 9:30 QCOM QUALCOMM LONG 205 71.51 10/3 9:30 73.59 0.04%
Trade id #120084636
Max drawdown($53)
Time9/28/18 14:41
Quant open205
Worst price71.25
Drawdown as % of equity-0.04%
$422
Includes Typical Broker Commissions trade costs of $4.10
9/26/18 9:30 BMRN BIOMARIN PHARMACEUTICAL LONG 150 96.39 10/2 9:30 98.79 n/a $357
Includes Typical Broker Commissions trade costs of $3.00
9/20/18 9:30 COST COSTCO WHOLESALE LONG 60 234.60 10/1 9:31 235.81 0.16%
Trade id #119944774
Max drawdown($209)
Time9/21/18 7:21
Quant open60
Worst price231.11
Drawdown as % of equity-0.16%
$72
Includes Typical Broker Commissions trade costs of $1.20
9/24/18 9:30 INTU INTUIT LONG 65 219.48 9/28 9:30 223.89 0.09%
Trade id #119999628
Max drawdown($116)
Time9/24/18 9:36
Quant open65
Worst price217.69
Drawdown as % of equity-0.09%
$286
Includes Typical Broker Commissions trade costs of $1.30
9/24/18 9:30 IDXX IDEXX LABORATORIES LONG 60 239.66 9/26 9:30 246.69 0.03%
Trade id #119999767
Max drawdown($38)
Time9/24/18 9:33
Quant open60
Worst price239.01
Drawdown as % of equity-0.03%
$421
Includes Typical Broker Commissions trade costs of $1.20
9/6/18 9:30 MXIM MAXIM INTEGRATED PRODUCTS LONG 410 60.26 9/21 9:31 59.49 1.36%
Trade id #119743329
Max drawdown($1,742)
Time9/12/18 10:26
Quant open410
Worst price56.01
Drawdown as % of equity-1.36%
($324)
Includes Typical Broker Commissions trade costs of $8.20
9/13/18 9:30 VRTX VERTEX LONG 80 179.37 9/21 9:31 181.30 0.32%
Trade id #119839393
Max drawdown($411)
Time9/18/18 9:34
Quant open80
Worst price174.23
Drawdown as % of equity-0.32%
$152
Includes Typical Broker Commissions trade costs of $1.60
9/17/18 9:30 TSCO TRACTOR SUPPLY LONG 165 87.69 9/21 9:30 90.07 0.15%
Trade id #119884008
Max drawdown($189)
Time9/17/18 9:41
Quant open165
Worst price86.54
Drawdown as % of equity-0.15%
$390
Includes Typical Broker Commissions trade costs of $3.30
9/18/18 9:30 ORLY O'REILLY AUTOMOTIVE LONG 40 331.15 9/21 9:30 345.50 0.02%
Trade id #119905924
Max drawdown($26)
Time9/19/18 8:01
Quant open40
Worst price330.50
Drawdown as % of equity-0.02%
$573
Includes Typical Broker Commissions trade costs of $0.80
9/11/18 9:30 AAPL APPLE LONG 65 218.01 9/14 9:31 225.75 0.07%
Trade id #119796531
Max drawdown($94)
Time9/11/18 9:34
Quant open65
Worst price216.56
Drawdown as % of equity-0.07%
$502
Includes Typical Broker Commissions trade costs of $1.30
9/7/18 9:30 GOOG ALPHABET INC CLASS C LONG 12 1158.67 9/14 9:30 1179.10 0.02%
Trade id #119759039
Max drawdown($29)
Time9/11/18 9:35
Quant open12
Worst price1156.24
Drawdown as % of equity-0.02%
$245
Includes Typical Broker Commissions trade costs of $0.24
9/11/18 9:30 AMZN AMAZON.COM LONG 7 1928.27 9/14 9:30 1992.93 0.06%
Trade id #119796586
Max drawdown($78)
Time9/11/18 9:35
Quant open7
Worst price1917.00
Drawdown as % of equity-0.06%
$453
Includes Typical Broker Commissions trade costs of $0.14
9/7/18 9:30 ADSK AUTODESK LONG 95 147.64 9/14 9:30 151.33 0.07%
Trade id #119758993
Max drawdown($88)
Time9/7/18 9:34
Quant open95
Worst price146.71
Drawdown as % of equity-0.07%
$349
Includes Typical Broker Commissions trade costs of $1.90
8/30/18 9:30 VIAB VIACOM INC CLASS B LONG 100 30.33 9/13 9:30 29.73 0.16%
Trade id #119660897
Max drawdown($198)
Time9/7/18 9:13
Quant open100
Worst price28.35
Drawdown as % of equity-0.16%
($62)
Includes Typical Broker Commissions trade costs of $2.00
9/10/18 9:30 GILD GILEAD SCIENCES LONG 200 72.58 9/13 9:30 73.75 0.13%
Trade id #119776929
Max drawdown($162)
Time9/11/18 9:33
Quant open200
Worst price71.77
Drawdown as % of equity-0.13%
$230
Includes Typical Broker Commissions trade costs of $4.00
9/11/18 9:30 CTXS CITRIX SYSTEMS LONG 130 110.78 9/13 9:30 112.27 0.03%
Trade id #119796546
Max drawdown($35)
Time9/12/18 10:34
Quant open130
Worst price110.51
Drawdown as % of equity-0.03%
$191
Includes Typical Broker Commissions trade costs of $2.60
9/7/18 9:30 SHPG SHIRE LONG 85 166.39 9/13 9:30 172.03 0.05%
Trade id #119759041
Max drawdown($66)
Time9/7/18 12:56
Quant open85
Worst price165.61
Drawdown as % of equity-0.05%
$477
Includes Typical Broker Commissions trade costs of $1.70
9/6/18 9:30 EXPE EXPEDIA LONG 115 124.53 9/11 9:30 127.55 0.25%
Trade id #119743273
Max drawdown($309)
Time9/6/18 11:16
Quant open115
Worst price121.84
Drawdown as % of equity-0.25%
$345
Includes Typical Broker Commissions trade costs of $2.30
8/29/18 9:30 FAST FASTENAL LONG 245 58.77 9/6 9:30 59.08 0.18%
Trade id #119642581
Max drawdown($220)
Time8/30/18 14:43
Quant open245
Worst price57.87
Drawdown as % of equity-0.18%
$71
Includes Typical Broker Commissions trade costs of $4.90
8/28/18 9:30 FOX TWENTY-FIRST CENTURY FOX INC. LONG 325 44.66 8/30 9:30 44.88 0.03%
Trade id #119623272
Max drawdown($39)
Time8/28/18 11:08
Quant open325
Worst price44.54
Drawdown as % of equity-0.03%
$66
Includes Typical Broker Commissions trade costs of $6.50
8/27/18 9:30 MNST MONSTER BEVERAGE LONG 240 61.03 8/30 9:30 61.08 0.16%
Trade id #119602931
Max drawdown($196)
Time8/27/18 14:22
Quant open240
Worst price60.21
Drawdown as % of equity-0.16%
$7
Includes Typical Broker Commissions trade costs of $4.80

Statistics

  • Strategy began
    1/2/2016
  • Suggested Minimum Cap
    $15,000
  • Strategy Age (days)
    1023.13
  • Age
    34 months ago
  • What it trades
    Stocks
  • # Trades
    503
  • # Profitable
    324
  • % Profitable
    64.40%
  • Avg trade duration
    9.8 days
  • Max peak-to-valley drawdown
    12.36%
  • drawdown period
    Feb 01, 2018 - Feb 09, 2018
  • Annual Return (Compounded)
    6.3%
  • Avg win
    $315.66
  • Avg loss
    $449.71
  • Model Account Values (Raw)
  • Cash
    $103,577
  • Margin Used
    $0
  • Buying Power
    $101,675
  • Ratios
  • W:L ratio
    1.31:1
  • Sharpe Ratio
    0.523
  • Sortino Ratio
    0.718
  • Calmar Ratio
    0.796
  • CORRELATION STATISTICS
  • Correlation to SP500
    0.49800
  • Return Statistics
  • Ann Return (w trading costs)
    6.3%
  • Ann Return (Compnd, No Fees)
    7.7%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    34.00%
  • Chance of 20% account loss
    6.50%
  • Chance of 30% account loss
    n/a
  • Chance of 40% account loss
    n/a
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    500
  • Popularity (Last 6 weeks)
    817
  • C2 Score
    96.0
  • 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
    $450
  • Avg Win
    $316
  • # Winners
    324
  • # Losers
    179
  • % Winners
    64.4%
  • Frequency
  • Avg Position Time (mins)
    14118.80
  • Avg Position Time (hrs)
    235.31
  • Avg Trade Length
    9.8 days
  • Last Trade Ago
    1
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.05460
  • SD
    0.09841
  • Sharpe ratio (Glass type estimate)
    0.55480
  • Sharpe ratio (Hedges UMVUE)
    0.54168
  • df
    32.00000
  • t
    0.92004
  • p
    0.18222
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.63907
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.74021
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.64765
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.73101
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.83395
  • Upside Potential Ratio
    2.58297
  • Upside part of mean
    0.16911
  • Downside part of mean
    -0.11451
  • Upside SD
    0.07317
  • Downside SD
    0.06547
  • N nonnegative terms
    21.00000
  • N negative terms
    12.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    33.00000
  • Mean of predictor
    0.09670
  • Mean of criterion
    0.05460
  • SD of predictor
    0.07555
  • SD of criterion
    0.09841
  • Covariance
    0.00577
  • r
    0.77632
  • b (slope, estimate of beta)
    1.01119
  • a (intercept, estimate of alpha)
    -0.04318
  • Mean Square Error
    0.00397
  • DF error
    31.00000
  • t(b)
    6.85723
  • p(b)
    0.00000
  • t(a)
    -1.06384
  • p(a)
    0.85219
  • Lowerbound of 95% confidence interval for beta
    0.71044
  • Upperbound of 95% confidence interval for beta
    1.31195
  • Lowerbound of 95% confidence interval for alpha
    -0.12597
  • Upperbound of 95% confidence interval for alpha
    0.03960
  • Treynor index (mean / b)
    0.05399
  • Jensen alpha (a)
    -0.04318
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.04968
  • SD
    0.09835
  • Sharpe ratio (Glass type estimate)
    0.50513
  • Sharpe ratio (Hedges UMVUE)
    0.49318
  • df
    32.00000
  • t
    0.83766
  • p
    0.20422
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.68705
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.68957
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.69488
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.68124
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.74437
  • Upside Potential Ratio
    2.48905
  • Upside part of mean
    0.16612
  • Downside part of mean
    -0.11644
  • Upside SD
    0.07163
  • Downside SD
    0.06674
  • N nonnegative terms
    21.00000
  • N negative terms
    12.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    33.00000
  • Mean of predictor
    0.09335
  • Mean of criterion
    0.04968
  • SD of predictor
    0.07543
  • SD of criterion
    0.09835
  • Covariance
    0.00579
  • r
    0.78096
  • b (slope, estimate of beta)
    1.01823
  • a (intercept, estimate of alpha)
    -0.04537
  • Mean Square Error
    0.00389
  • DF error
    31.00000
  • t(b)
    6.96170
  • p(b)
    0.00000
  • t(a)
    -1.13327
  • p(a)
    0.86710
  • Lowerbound of 95% confidence interval for beta
    0.71992
  • Upperbound of 95% confidence interval for beta
    1.31653
  • Lowerbound of 95% confidence interval for alpha
    -0.12702
  • Upperbound of 95% confidence interval for alpha
    0.03628
  • Treynor index (mean / b)
    0.04879
  • Jensen alpha (a)
    -0.04537
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.04167
  • Expected Shortfall on VaR
    0.05291
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01792
  • Expected Shortfall on VaR
    0.03625
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    33.00000
  • Minimum
    0.94785
  • Quartile 1
    0.98855
  • Median
    1.01066
  • Quartile 3
    1.02487
  • Maximum
    1.06029
  • Mean of quarter 1
    0.96877
  • Mean of quarter 2
    1.00395
  • Mean of quarter 3
    1.02001
  • Mean of quarter 4
    1.03955
  • Inter Quartile Range
    0.03632
  • 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)
    -1.91137
  • VaR(95%) (moments method)
    0.02820
  • Expected Shortfall (moments method)
    0.02877
  • Extreme Value Index (regression method)
    -0.81632
  • VaR(95%) (regression method)
    0.03673
  • Expected Shortfall (regression method)
    0.04065
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    6.00000
  • Minimum
    0.01145
  • Quartile 1
    0.01986
  • Median
    0.03665
  • Quartile 3
    0.04458
  • Maximum
    0.05215
  • Mean of quarter 1
    0.01406
  • Mean of quarter 2
    0.02938
  • Mean of quarter 3
    0.04392
  • Mean of quarter 4
    0.04847
  • Inter Quartile Range
    0.02472
  • 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)
    0.08648
  • Compounded annual return (geometric extrapolation)
    0.08067
  • Calmar ratio (compounded annual return / max draw down)
    1.54699
  • Compounded annual return / average of 25% largest draw downs
    1.66426
  • Compounded annual return / Expected Shortfall lognormal
    1.52460
  • 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
    0.05249
  • SD
    0.10016
  • Sharpe ratio (Glass type estimate)
    0.52402
  • Sharpe ratio (Hedges UMVUE)
    0.52348
  • df
    723.00000
  • t
    0.87110
  • p
    0.19199
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.65550
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.70320
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.65587
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.70283
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.71811
  • Upside Potential Ratio
    7.00083
  • Upside part of mean
    0.51170
  • Downside part of mean
    -0.45921
  • Upside SD
    0.06846
  • Downside SD
    0.07309
  • N nonnegative terms
    372.00000
  • N negative terms
    352.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    724.00000
  • Mean of predictor
    0.09439
  • Mean of criterion
    0.05249
  • SD of predictor
    0.11805
  • SD of criterion
    0.10016
  • Covariance
    0.00593
  • r
    0.50110
  • b (slope, estimate of beta)
    0.42517
  • a (intercept, estimate of alpha)
    0.01200
  • Mean Square Error
    0.00752
  • DF error
    722.00000
  • t(b)
    15.55920
  • p(b)
    0.00000
  • t(a)
    0.23649
  • p(a)
    0.40656
  • Lowerbound of 95% confidence interval for beta
    0.37152
  • Upperbound of 95% confidence interval for beta
    0.47882
  • Lowerbound of 95% confidence interval for alpha
    -0.09021
  • Upperbound of 95% confidence interval for alpha
    0.11492
  • Treynor index (mean / b)
    0.12345
  • Jensen alpha (a)
    0.01235
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.04746
  • SD
    0.10034
  • Sharpe ratio (Glass type estimate)
    0.47296
  • Sharpe ratio (Hedges UMVUE)
    0.47247
  • df
    723.00000
  • t
    0.78622
  • p
    0.21600
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.70646
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.65213
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.70682
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.65177
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.64323
  • Upside Potential Ratio
    6.90342
  • Upside part of mean
    0.50933
  • Downside part of mean
    -0.46187
  • Upside SD
    0.06797
  • Downside SD
    0.07378
  • N nonnegative terms
    372.00000
  • N negative terms
    352.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    724.00000
  • Mean of predictor
    0.08738
  • Mean of criterion
    0.04746
  • SD of predictor
    0.11839
  • SD of criterion
    0.10034
  • Covariance
    0.00597
  • r
    0.50293
  • b (slope, estimate of beta)
    0.42626
  • a (intercept, estimate of alpha)
    0.01021
  • Mean Square Error
    0.00753
  • DF error
    722.00000
  • t(b)
    15.63510
  • p(b)
    0.00000
  • t(a)
    0.19534
  • p(a)
    0.42259
  • Lowerbound of 95% confidence interval for beta
    0.37273
  • Upperbound of 95% confidence interval for beta
    0.47978
  • Lowerbound of 95% confidence interval for alpha
    -0.09239
  • Upperbound of 95% confidence interval for alpha
    0.11281
  • Treynor index (mean / b)
    0.11133
  • Jensen alpha (a)
    0.01021
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00997
  • Expected Shortfall on VaR
    0.01252
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00388
  • Expected Shortfall on VaR
    0.00835
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    724.00000
  • Minimum
    0.96428
  • Quartile 1
    0.99876
  • Median
    1.00018
  • Quartile 3
    1.00227
  • Maximum
    1.03259
  • Mean of quarter 1
    0.99355
  • Mean of quarter 2
    0.99965
  • Mean of quarter 3
    1.00117
  • Mean of quarter 4
    1.00685
  • Inter Quartile Range
    0.00351
  • Number outliers low
    57.00000
  • Percentage of outliers low
    0.07873
  • Mean of outliers low
    0.98642
  • Number of outliers high
    54.00000
  • Percentage of outliers high
    0.07459
  • Mean of outliers high
    1.01308
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.46389
  • VaR(95%) (moments method)
    0.00511
  • Expected Shortfall (moments method)
    0.01149
  • Extreme Value Index (regression method)
    0.26845
  • VaR(95%) (regression method)
    0.00599
  • Expected Shortfall (regression method)
    0.01096
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    31.00000
  • Minimum
    0.00019
  • Quartile 1
    0.00168
  • Median
    0.00289
  • Quartile 3
    0.02081
  • Maximum
    0.09833
  • Mean of quarter 1
    0.00085
  • Mean of quarter 2
    0.00231
  • Mean of quarter 3
    0.00740
  • Mean of quarter 4
    0.05892
  • Inter Quartile Range
    0.01913
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    5.00000
  • Percentage of outliers high
    0.16129
  • Mean of outliers high
    0.07682
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -0.90052
  • VaR(95%) (moments method)
    0.05534
  • Expected Shortfall (moments method)
    0.06091
  • Extreme Value Index (regression method)
    -0.65962
  • VaR(95%) (regression method)
    0.05436
  • Expected Shortfall (regression method)
    0.06128
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.08379
  • Compounded annual return (geometric extrapolation)
    0.07828
  • Calmar ratio (compounded annual return / max draw down)
    0.79606
  • Compounded annual return / average of 25% largest draw downs
    1.32853
  • Compounded annual return / Expected Shortfall lognormal
    6.25018
  • 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
    0.02785
  • SD
    0.09373
  • Sharpe ratio (Glass type estimate)
    0.29707
  • Sharpe ratio (Hedges UMVUE)
    0.29535
  • df
    130.00000
  • t
    0.21006
  • p
    0.49079
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.47546
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.06863
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.47669
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.06739
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.42518
  • Upside Potential Ratio
    7.80286
  • Upside part of mean
    0.51101
  • Downside part of mean
    -0.48317
  • Upside SD
    0.06658
  • Downside SD
    0.06549
  • N nonnegative terms
    64.00000
  • N negative terms
    67.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.04972
  • Mean of criterion
    0.02785
  • SD of predictor
    0.10785
  • SD of criterion
    0.09373
  • Covariance
    0.00569
  • r
    0.56274
  • b (slope, estimate of beta)
    0.48909
  • a (intercept, estimate of alpha)
    0.00353
  • Mean Square Error
    0.00605
  • DF error
    129.00000
  • t(b)
    7.73202
  • p(b)
    0.16167
  • t(a)
    0.03203
  • p(a)
    0.49820
  • Lowerbound of 95% confidence interval for beta
    0.36394
  • Upperbound of 95% confidence interval for beta
    0.61424
  • Lowerbound of 95% confidence interval for alpha
    -0.21421
  • Upperbound of 95% confidence interval for alpha
    0.22126
  • Treynor index (mean / b)
    0.05693
  • Jensen alpha (a)
    0.00353
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.02348
  • SD
    0.09374
  • Sharpe ratio (Glass type estimate)
    0.25048
  • Sharpe ratio (Hedges UMVUE)
    0.24903
  • df
    130.00000
  • t
    0.17712
  • p
    0.49223
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.52186
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.02209
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.52294
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.02100
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.35619
  • Upside Potential Ratio
    7.71750
  • Upside part of mean
    0.50876
  • Downside part of mean
    -0.48528
  • Upside SD
    0.06616
  • Downside SD
    0.06592
  • N nonnegative terms
    64.00000
  • N negative terms
    67.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.04392
  • Mean of criterion
    0.02348
  • SD of predictor
    0.10816
  • SD of criterion
    0.09374
  • Covariance
    0.00572
  • r
    0.56434
  • b (slope, estimate of beta)
    0.48911
  • a (intercept, estimate of alpha)
    0.00200
  • Mean Square Error
    0.00604
  • DF error
    129.00000
  • t(b)
    7.76417
  • p(b)
    0.16084
  • t(a)
    0.01818
  • p(a)
    0.49898
  • Lowerbound of 95% confidence interval for beta
    0.36447
  • Upperbound of 95% confidence interval for beta
    0.61374
  • Lowerbound of 95% confidence interval for alpha
    -0.21545
  • Upperbound of 95% confidence interval for alpha
    0.21945
  • Treynor index (mean / b)
    0.04801
  • Jensen alpha (a)
    0.00200
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00939
  • Expected Shortfall on VaR
    0.01178
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00428
  • Expected Shortfall on VaR
    0.00863
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.97801
  • Quartile 1
    0.99781
  • Median
    1.00000
  • Quartile 3
    1.00232
  • Maximum
    1.02234
  • Mean of quarter 1
    0.99361
  • Mean of quarter 2
    0.99928
  • Mean of quarter 3
    1.00097
  • Mean of quarter 4
    1.00701
  • Inter Quartile Range
    0.00452
  • Number outliers low
    9.00000
  • Percentage of outliers low
    0.06870
  • Mean of outliers low
    0.98723
  • Number of outliers high
    8.00000
  • Percentage of outliers high
    0.06107
  • Mean of outliers high
    1.01322
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.36558
  • VaR(95%) (moments method)
    0.00639
  • Expected Shortfall (moments method)
    0.01184
  • Extreme Value Index (regression method)
    0.11764
  • VaR(95%) (regression method)
    0.00641
  • Expected Shortfall (regression method)
    0.00964
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    13.00000
  • Minimum
    0.00003
  • Quartile 1
    0.00097
  • Median
    0.00253
  • Quartile 3
    0.00955
  • Maximum
    0.07461
  • Mean of quarter 1
    0.00050
  • Mean of quarter 2
    0.00210
  • Mean of quarter 3
    0.00682
  • Mean of quarter 4
    0.04775
  • Inter Quartile Range
    0.00858
  • 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
    0.15385
  • Mean of outliers high
    0.06102
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -2.08660
  • VaR(95%) (moments method)
    0.02967
  • Expected Shortfall (moments method)
    0.03025
  • Extreme Value Index (regression method)
    -0.30616
  • VaR(95%) (regression method)
    0.07283
  • Expected Shortfall (regression method)
    0.09387
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.05205
  • Compounded annual return (geometric extrapolation)
    0.05273
  • Calmar ratio (compounded annual return / max draw down)
    0.70673
  • Compounded annual return / average of 25% largest draw downs
    1.10440
  • Compounded annual return / Expected Shortfall lognormal
    4.47467

Strategy Description

Because our very popular SP100 Short Term Swing System limits the number of subscribers, it is periodically closed. Therefore we are offering an additional system based on the same mechanical, systematic approach.

The system trades the highly liquid stocks of the NASDAQ100 Index. It is 100 % mechanical.

Signals delivered in the evening to be executed at next days open.

Equity per position is 12%

Max Positions is 10.

The system can be traded with smaller accounts (10 -25k) provided you use a low cost broker.

System is also traded in IRA's with 10% equity per position and max positions of 10 to avoid margin.

Summary Statistics

Strategy began
2016-01-02
Suggested Minimum Capital
$15,000
# Trades
503
# Profitable
324
% Profitable
64.4%
Net Dividends
Correlation S&P500
0.498
Sharpe Ratio
0.523

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.