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NAS100 Short Term Swing
(98996226)

Created by: CDRing CDRing
Started: 01/2016
Stocks
Last trade: Today

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.

7.1%
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
531
Num Trades
64.4%
Win Trades
1.3 : 1
Profit Factor
63.9%
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%(0.8%)+1.8%(2.2%)+4.6%

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

Download CSV
Long
Short
Both
Win
Loss
Both
Show More details Show Fewer details
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
12/10/18 9:30 ESRX EXPRESS SCRIPTS LONG 155 96.28 12/14 9:30 99.87 0.21%
Trade id #121421795
Max drawdown($268)
Time12/10/18 11:04
Quant open155
Worst price94.55
Drawdown as % of equity-0.21%
$553
Includes Typical Broker Commissions trade costs of $3.10
12/11/18 9:30 XLNX XILINX LONG 170 89.75 12/13 9:30 91.31 0.29%
Trade id #121440454
Max drawdown($374)
Time12/11/18 14:12
Quant open170
Worst price87.55
Drawdown as % of equity-0.29%
$262
Includes Typical Broker Commissions trade costs of $3.40
12/6/18 9:30 ORLY O'REILLY AUTOMOTIVE LONG 40 342.38 12/13 9:30 352.65 0.43%
Trade id #121373765
Max drawdown($558)
Time12/10/18 9:36
Quant open40
Worst price328.41
Drawdown as % of equity-0.43%
$410
Includes Typical Broker Commissions trade costs of $0.80
11/23/18 9:30 BRK.B BERKSHIRE HATHAWAY LONG 150 209.25 12/4 12:47 213.14 0.31%
Trade id #121133978
Max drawdown($381)
Time11/23/18 13:15
Quant open150
Worst price206.71
Drawdown as % of equity-0.31%
$581
Includes Typical Broker Commissions trade costs of $3.00
11/30/18 9:30 SHPG SHIRE LONG 85 172.80 12/4 9:30 174.33 0.01%
Trade id #121270148
Max drawdown($17)
Time11/30/18 9:46
Quant open85
Worst price172.60
Drawdown as % of equity-0.01%
$128
Includes Typical Broker Commissions trade costs of $1.70
11/23/18 9:30 CVS CVS HEALTH CORP LONG 425 74.79 11/29 9:30 80.69 0.16%
Trade id #121133975
Max drawdown($191)
Time11/23/18 9:36
Quant open425
Worst price74.34
Drawdown as % of equity-0.16%
$2,500
Includes Typical Broker Commissions trade costs of $8.50
11/16/18 11:20 ROST ROSS STORES LONG 150 95.65 11/29 9:30 86.22 1.94%
Trade id #121007537
Max drawdown($2,377)
Time11/23/18 12:01
Quant open150
Worst price79.80
Drawdown as % of equity-1.94%
($1,418)
Includes Typical Broker Commissions trade costs of $3.00
11/15/18 10:31 INTU INTUIT LONG 65 208.79 11/29 9:30 206.96 0.97%
Trade id #120967116
Max drawdown($1,175)
Time11/20/18 10:15
Quant open65
Worst price190.71
Drawdown as % of equity-0.97%
($120)
Includes Typical Broker Commissions trade costs of $1.30
11/23/18 9:30 UNH UNITEDHEALTH GROUP LONG 120 260.00 11/28 9:30 272.82 0.13%
Trade id #121133971
Max drawdown($162)
Time11/23/18 9:34
Quant open120
Worst price258.64
Drawdown as % of equity-0.13%
$1,536
Includes Typical Broker Commissions trade costs of $2.40
11/15/18 10:31 COST COSTCO WHOLESALE LONG 60 232.32 11/28 9:30 222.78 0.75%
Trade id #120967110
Max drawdown($910)
Time11/23/18 9:22
Quant open60
Worst price217.14
Drawdown as % of equity-0.75%
($573)
Includes Typical Broker Commissions trade costs of $1.20
11/20/18 9:30 BKNG BOOKING HOLDINGS INC. COMMON STOCK LONG 8 1761.30 11/28 9:30 1828.26 0.23%
Trade id #121071012
Max drawdown($276)
Time11/20/18 14:09
Quant open8
Worst price1726.78
Drawdown as % of equity-0.23%
$536
Includes Typical Broker Commissions trade costs of $0.16
10/23/18 9:30 ATVI ACTIVISION BLIZZARD LONG 200 67.79 11/28 9:30 51.10 3.39%
Trade id #120485290
Max drawdown($4,192)
Time11/20/18 9:32
Quant open200
Worst price46.83
Drawdown as % of equity-3.39%
($3,342)
Includes Typical Broker Commissions trade costs of $4.00
11/20/18 9:30 SHPG SHIRE LONG 80 177.85 11/27 9:30 174.26 0.28%
Trade id #121071005
Max drawdown($354)
Time11/27/18 5:01
Quant open80
Worst price173.42
Drawdown as % of equity-0.28%
($289)
Includes Typical Broker Commissions trade costs of $1.60
11/23/18 9:30 ESRX EXPRESS SCRIPTS LONG 145 94.53 11/27 9:30 99.09 n/a $658
Includes Typical Broker Commissions trade costs of $2.90
11/15/18 10:31 TMUS T-MOBILE US INC. COMMON STOCK LONG 210 67.86 11/19 9:30 68.53 0.16%
Trade id #120967138
Max drawdown($201)
Time11/16/18 9:30
Quant open210
Worst price66.90
Drawdown as % of equity-0.16%
$137
Includes Typical Broker Commissions trade costs of $4.20
10/25/18 9:30 VRTX VERTEX LONG 85 157.00 11/2 9:30 175.36 0.11%
Trade id #120535793
Max drawdown($137)
Time10/25/18 9:32
Quant open85
Worst price155.38
Drawdown as % of equity-0.11%
$1,559
Includes Typical Broker Commissions trade costs of $1.70
10/25/18 9:30 ADSK AUTODESK LONG 110 127.19 11/2 9:30 135.51 0.65%
Trade id #120535671
Max drawdown($798)
Time10/29/18 15:45
Quant open110
Worst price119.93
Drawdown as % of equity-0.65%
$913
Includes Typical Broker Commissions trade costs of $2.20
10/25/18 9:30 ISRG INTUITIVE SURGICAL LONG 28 489.29 11/1 9:31 522.83 0.5%
Trade id #120535755
Max drawdown($622)
Time10/29/18 15:45
Quant open28
Worst price467.07
Drawdown as % of equity-0.50%
$938
Includes Typical Broker Commissions trade costs of $0.56
10/25/18 9:31 AMGN AMGEN LONG 70 188.66 11/1 9:30 192.81 0.43%
Trade id #120535805
Max drawdown($514)
Time10/25/18 9:42
Quant open70
Worst price181.31
Drawdown as % of equity-0.43%
$290
Includes Typical Broker Commissions trade costs of $1.40
10/10/18 9:30 FAST FASTENAL LONG 255 52.70 10/31 9:30 51.81 0.96%
Trade id #120272043
Max drawdown($1,195)
Time10/26/18 9:31
Quant open255
Worst price48.01
Drawdown as % of equity-0.96%
($232)
Includes Typical Broker Commissions trade costs of $5.10
9/28/18 9:30 CTAS CINTAS LONG 75 196.66 10/31 9:30 179.00 1.73%
Trade id #120084580
Max drawdown($2,148)
Time10/26/18 9:27
Quant open75
Worst price168.01
Drawdown as % of equity-1.73%
($1,327)
Includes Typical Broker Commissions trade costs of $1.50
10/25/18 9:31 ULTA ULTA BEAUTY INC LONG 50 267.73 10/31 9:30 271.42 0.16%
Trade id #120535823
Max drawdown($189)
Time10/30/18 10:58
Quant open50
Worst price263.94
Drawdown as % of equity-0.16%
$184
Includes Typical Broker Commissions trade costs of $1.00
10/25/18 9:30 TTWO TAKE-TWO INTERACTIVE SFTW LONG 120 116.83 10/31 9:30 125.50 0.73%
Trade id #120535705
Max drawdown($898)
Time10/29/18 15:46
Quant open120
Worst price109.34
Drawdown as % of equity-0.73%
$1,038
Includes Typical Broker Commissions trade costs of $2.40
10/22/18 9:30 CSX CSX LONG 205 67.76 10/31 9:30 69.67 0.68%
Trade id #120466205
Max drawdown($842)
Time10/26/18 9:31
Quant open205
Worst price63.65
Drawdown as % of equity-0.68%
$388
Includes Typical Broker Commissions trade costs of $4.10
10/23/18 9:30 HSIC HENRY SCHEIN LONG 170 81.67 10/31 9:30 83.55 0.35%
Trade id #120485226
Max drawdown($438)
Time10/26/18 9:31
Quant open170
Worst price79.09
Drawdown as % of equity-0.35%
$317
Includes Typical Broker Commissions trade costs of $3.40
10/2/18 9:30 MDLZ MONDELEZ INTERNATIONAL LONG 345 42.88 10/22 9:31 42.07 0.62%
Trade id #120133375
Max drawdown($745)
Time10/12/18 13:38
Quant open345
Worst price40.72
Drawdown as % of equity-0.62%
($286)
Includes Typical Broker Commissions trade costs of $6.90
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

Statistics

  • Strategy began
    1/2/2016
  • Suggested Minimum Cap
    $15,000
  • Strategy Age (days)
    1080.93
  • Age
    36 months ago
  • What it trades
    Stocks
  • # Trades
    531
  • # Profitable
    342
  • % 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)
    7.1%
  • Avg win
    $336.98
  • Avg loss
    $472.48
  • Model Account Values (Raw)
  • Cash
    $95,895
  • Margin Used
    $0
  • Buying Power
    $92,755
  • Ratios
  • W:L ratio
    1.32:1
  • Sharpe Ratio
    0.595
  • Sortino Ratio
    0.833
  • Calmar Ratio
    0.89
  • CORRELATION STATISTICS
  • Correlation to SP500
    0.50700
  • Return Statistics
  • Ann Return (w trading costs)
    7.1%
  • Ann Return (Compnd, No Fees)
    8.5%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    33.00%
  • Chance of 20% account loss
    10.00%
  • Chance of 30% account loss
    0.50%
  • Chance of 40% account loss
    n/a
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    510
  • Popularity (Last 6 weeks)
    858
  • C2 Score
    95.7
  • 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
    $472
  • Avg Win
    $337
  • # Winners
    342
  • # Losers
    189
  • % Winners
    64.4%
  • Frequency
  • Avg Position Time (mins)
    14047.50
  • Avg Position Time (hrs)
    234.13
  • 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
    0.06313
  • SD
    0.09607
  • Sharpe ratio (Glass type estimate)
    0.65711
  • Sharpe ratio (Hedges UMVUE)
    0.64249
  • df
    34.00000
  • t
    1.12223
  • p
    0.13481
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.50574
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.81055
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.51526
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.80024
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.99308
  • Upside Potential Ratio
    2.69140
  • Upside part of mean
    0.17110
  • Downside part of mean
    -0.10796
  • Upside SD
    0.07251
  • Downside SD
    0.06357
  • N nonnegative terms
    23.00000
  • N negative terms
    12.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    35.00000
  • Mean of predictor
    0.05679
  • Mean of criterion
    0.06313
  • SD of predictor
    0.08888
  • SD of criterion
    0.09607
  • Covariance
    0.00489
  • r
    0.57293
  • b (slope, estimate of beta)
    0.61931
  • a (intercept, estimate of alpha)
    0.02796
  • Mean Square Error
    0.00639
  • DF error
    33.00000
  • t(b)
    4.01568
  • p(b)
    0.00016
  • t(a)
    0.58720
  • p(a)
    0.28053
  • Lowerbound of 95% confidence interval for beta
    0.30554
  • Upperbound of 95% confidence interval for beta
    0.93307
  • Lowerbound of 95% confidence interval for alpha
    -0.06891
  • Upperbound of 95% confidence interval for alpha
    0.12483
  • Treynor index (mean / b)
    0.10194
  • Jensen alpha (a)
    0.02796
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.05836
  • SD
    0.09603
  • Sharpe ratio (Glass type estimate)
    0.60774
  • Sharpe ratio (Hedges UMVUE)
    0.59422
  • df
    34.00000
  • t
    1.03792
  • p
    0.15332
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.55323
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.76000
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.56207
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.75052
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.90060
  • Upside Potential Ratio
    2.59470
  • Upside part of mean
    0.16815
  • Downside part of mean
    -0.10978
  • Upside SD
    0.07101
  • Downside SD
    0.06480
  • N nonnegative terms
    23.00000
  • N negative terms
    12.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    35.00000
  • Mean of predictor
    0.05268
  • Mean of criterion
    0.05836
  • SD of predictor
    0.08943
  • SD of criterion
    0.09603
  • Covariance
    0.00489
  • r
    0.56973
  • b (slope, estimate of beta)
    0.61179
  • a (intercept, estimate of alpha)
    0.02613
  • Mean Square Error
    0.00642
  • DF error
    33.00000
  • t(b)
    3.98243
  • p(b)
    0.00018
  • t(a)
    0.54903
  • p(a)
    0.29334
  • Lowerbound of 95% confidence interval for beta
    0.29924
  • Upperbound of 95% confidence interval for beta
    0.92434
  • Lowerbound of 95% confidence interval for alpha
    -0.07071
  • Upperbound of 95% confidence interval for alpha
    0.12298
  • Treynor index (mean / b)
    0.09540
  • Jensen alpha (a)
    0.02613
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.03992
  • Expected Shortfall on VaR
    0.05092
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01613
  • Expected Shortfall on VaR
    0.03350
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    35.00000
  • Minimum
    0.94785
  • Quartile 1
    0.99078
  • Median
    1.01440
  • Quartile 3
    1.02419
  • Maximum
    1.06029
  • Mean of quarter 1
    0.96877
  • Mean of quarter 2
    1.00511
  • Mean of quarter 3
    1.01993
  • Mean of quarter 4
    1.03791
  • Inter Quartile Range
    0.03341
  • 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)
    0.02810
  • Expected Shortfall (moments method)
    0.02873
  • Extreme Value Index (regression method)
    -0.81632
  • VaR(95%) (regression method)
    0.03631
  • Expected Shortfall (regression method)
    0.04042
  • 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)
    0.09809
  • Compounded annual return (geometric extrapolation)
    0.09010
  • Calmar ratio (compounded annual return / max draw down)
    1.72774
  • Compounded annual return / average of 25% largest draw downs
    1.85871
  • Compounded annual return / Expected Shortfall lognormal
    1.76932
  • 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
    0.06132
  • SD
    0.10304
  • Sharpe ratio (Glass type estimate)
    0.59514
  • Sharpe ratio (Hedges UMVUE)
    0.59455
  • df
    764.00000
  • t
    1.01694
  • p
    0.15475
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.55243
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.74237
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.55285
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.74195
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.83346
  • Upside Potential Ratio
    7.29308
  • Upside part of mean
    0.53657
  • Downside part of mean
    -0.47525
  • Upside SD
    0.07214
  • Downside SD
    0.07357
  • N nonnegative terms
    392.00000
  • N negative terms
    373.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    765.00000
  • Mean of predictor
    0.06054
  • Mean of criterion
    0.06132
  • SD of predictor
    0.12555
  • SD of criterion
    0.10304
  • Covariance
    0.00667
  • r
    0.51568
  • b (slope, estimate of beta)
    0.42322
  • a (intercept, estimate of alpha)
    0.03600
  • Mean Square Error
    0.00780
  • DF error
    763.00000
  • t(b)
    16.62530
  • p(b)
    -0.00000
  • t(a)
    0.69026
  • p(a)
    0.24512
  • Lowerbound of 95% confidence interval for beta
    0.37324
  • Upperbound of 95% confidence interval for beta
    0.47319
  • Lowerbound of 95% confidence interval for alpha
    -0.06583
  • Upperbound of 95% confidence interval for alpha
    0.13723
  • Treynor index (mean / b)
    0.14489
  • Jensen alpha (a)
    0.03570
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.05600
  • SD
    0.10316
  • Sharpe ratio (Glass type estimate)
    0.54285
  • Sharpe ratio (Hedges UMVUE)
    0.54231
  • df
    764.00000
  • t
    0.92759
  • p
    0.17696
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.60465
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.69002
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.60502
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.68965
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.75419
  • Upside Potential Ratio
    7.19118
  • Upside part of mean
    0.53394
  • Downside part of mean
    -0.47794
  • Upside SD
    0.07160
  • Downside SD
    0.07425
  • N nonnegative terms
    392.00000
  • N negative terms
    373.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    765.00000
  • Mean of predictor
    0.05262
  • Mean of criterion
    0.05600
  • SD of predictor
    0.12595
  • SD of criterion
    0.10316
  • Covariance
    0.00671
  • r
    0.51678
  • b (slope, estimate of beta)
    0.42326
  • a (intercept, estimate of alpha)
    0.03373
  • Mean Square Error
    0.00781
  • DF error
    763.00000
  • t(b)
    16.67370
  • p(b)
    -0.00000
  • t(a)
    0.65191
  • p(a)
    0.25733
  • Lowerbound of 95% confidence interval for beta
    0.37342
  • Upperbound of 95% confidence interval for beta
    0.47309
  • Lowerbound of 95% confidence interval for alpha
    -0.06783
  • Upperbound of 95% confidence interval for alpha
    0.13528
  • Treynor index (mean / b)
    0.13230
  • Jensen alpha (a)
    0.03373
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01022
  • Expected Shortfall on VaR
    0.01285
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00404
  • Expected Shortfall on VaR
    0.00860
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    765.00000
  • Minimum
    0.96428
  • Quartile 1
    0.99848
  • Median
    1.00018
  • Quartile 3
    1.00234
  • Maximum
    1.03259
  • Mean of quarter 1
    0.99339
  • Mean of quarter 2
    0.99960
  • Mean of quarter 3
    1.00117
  • Mean of quarter 4
    1.00724
  • Inter Quartile Range
    0.00386
  • Number outliers low
    59.00000
  • Percentage of outliers low
    0.07712
  • Mean of outliers low
    0.98628
  • Number of outliers high
    55.00000
  • Percentage of outliers high
    0.07190
  • Mean of outliers high
    1.01412
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.48647
  • VaR(95%) (moments method)
    0.00582
  • Expected Shortfall (moments method)
    0.01334
  • Extreme Value Index (regression method)
    0.27759
  • VaR(95%) (regression method)
    0.00630
  • Expected Shortfall (regression method)
    0.01140
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    32.00000
  • Minimum
    0.00019
  • Quartile 1
    0.00170
  • Median
    0.00348
  • Quartile 3
    0.02099
  • Maximum
    0.09833
  • Mean of quarter 1
    0.00085
  • Mean of quarter 2
    0.00231
  • Mean of quarter 3
    0.00908
  • Mean of quarter 4
    0.05892
  • Inter Quartile Range
    0.01929
  • 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
    0.15625
  • 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)
    0.05500
  • Expected Shortfall (moments method)
    0.06073
  • Extreme Value Index (regression method)
    -0.65962
  • VaR(95%) (regression method)
    0.05400
  • Expected Shortfall (regression method)
    0.06106
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.09508
  • Compounded annual return (geometric extrapolation)
    0.08753
  • Calmar ratio (compounded annual return / max draw down)
    0.89012
  • Compounded annual return / average of 25% largest draw downs
    1.48551
  • Compounded annual return / Expected Shortfall lognormal
    6.81349
  • 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
    0.05420
  • SD
    0.11701
  • Sharpe ratio (Glass type estimate)
    0.46316
  • Sharpe ratio (Hedges UMVUE)
    0.46048
  • df
    130.00000
  • t
    0.32750
  • p
    0.48564
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.31007
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.23469
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.31189
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.23285
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.71313
  • Upside Potential Ratio
    8.79429
  • Upside part of mean
    0.66833
  • Downside part of mean
    -0.61413
  • Upside SD
    0.08845
  • Downside SD
    0.07600
  • N nonnegative terms
    61.00000
  • N negative terms
    70.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.18747
  • Mean of criterion
    0.05420
  • SD of predictor
    0.15311
  • SD of criterion
    0.11701
  • Covariance
    0.01094
  • r
    0.61090
  • b (slope, estimate of beta)
    0.46688
  • a (intercept, estimate of alpha)
    0.14172
  • Mean Square Error
    0.00865
  • DF error
    129.00000
  • t(b)
    8.76404
  • p(b)
    0.13685
  • t(a)
    1.07447
  • p(a)
    0.44013
  • Lowerbound of 95% confidence interval for beta
    0.36148
  • Upperbound of 95% confidence interval for beta
    0.57228
  • Lowerbound of 95% confidence interval for alpha
    -0.11924
  • Upperbound of 95% confidence interval for alpha
    0.40268
  • Treynor index (mean / b)
    0.11608
  • Jensen alpha (a)
    0.14172
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.04741
  • SD
    0.11683
  • Sharpe ratio (Glass type estimate)
    0.40578
  • Sharpe ratio (Hedges UMVUE)
    0.40343
  • df
    130.00000
  • t
    0.28693
  • p
    0.48742
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.36719
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.17730
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.36881
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.17567
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.61959
  • Upside Potential Ratio
    8.68350
  • Upside part of mean
    0.66439
  • Downside part of mean
    -0.61698
  • Upside SD
    0.08774
  • Downside SD
    0.07651
  • N nonnegative terms
    61.00000
  • N negative terms
    70.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.19922
  • Mean of criterion
    0.04741
  • SD of predictor
    0.15382
  • SD of criterion
    0.11683
  • Covariance
    0.01096
  • r
    0.60991
  • b (slope, estimate of beta)
    0.46323
  • a (intercept, estimate of alpha)
    0.13969
  • Mean Square Error
    0.00864
  • DF error
    129.00000
  • t(b)
    8.74129
  • p(b)
    0.13736
  • t(a)
    1.05939
  • p(a)
    0.44096
  • Lowerbound of 95% confidence interval for beta
    0.35839
  • Upperbound of 95% confidence interval for beta
    0.56808
  • Lowerbound of 95% confidence interval for alpha
    -0.12120
  • Upperbound of 95% confidence interval for alpha
    0.40058
  • Treynor index (mean / b)
    0.10234
  • Jensen alpha (a)
    0.13969
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01162
  • Expected Shortfall on VaR
    0.01460
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00564
  • Expected Shortfall on VaR
    0.01081
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.97801
  • Quartile 1
    0.99678
  • Median
    0.99994
  • Quartile 3
    1.00327
  • Maximum
    1.02442
  • Mean of quarter 1
    0.99225
  • Mean of quarter 2
    0.99868
  • Mean of quarter 3
    1.00109
  • Mean of quarter 4
    1.00926
  • Inter Quartile Range
    0.00650
  • Number outliers low
    4.00000
  • Percentage of outliers low
    0.03053
  • Mean of outliers low
    0.98143
  • Number of outliers high
    8.00000
  • Percentage of outliers high
    0.06107
  • Mean of outliers high
    1.01803
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.28698
  • VaR(95%) (moments method)
    0.00808
  • Expected Shortfall (moments method)
    0.01335
  • Extreme Value Index (regression method)
    0.04186
  • VaR(95%) (regression method)
    0.00836
  • Expected Shortfall (regression method)
    0.01176
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    11.00000
  • Minimum
    0.00003
  • Quartile 1
    0.00111
  • Median
    0.00253
  • Quartile 3
    0.01519
  • Maximum
    0.07461
  • Mean of quarter 1
    0.00050
  • Mean of quarter 2
    0.00167
  • Mean of quarter 3
    0.00622
  • Mean of quarter 4
    0.04721
  • Inter Quartile Range
    0.01408
  • 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
    0.18182
  • Mean of outliers high
    0.06040
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -7.78627
  • VaR(95%) (moments method)
    0.04519
  • Expected Shortfall (moments method)
    0.04519
  • Extreme Value Index (regression method)
    -0.83426
  • VaR(95%) (regression method)
    0.08380
  • Expected Shortfall (regression method)
    0.09392
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.07675
  • Compounded annual return (geometric extrapolation)
    0.07822
  • Calmar ratio (compounded annual return / max draw down)
    1.04836
  • Compounded annual return / average of 25% largest draw downs
    1.65681
  • Compounded annual return / Expected Shortfall lognormal
    5.35920

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
531
# Profitable
342
% Profitable
64.4%
Net Dividends
Correlation S&P500
0.507
Sharpe Ratio
0.595

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.