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This is an archived track record. This track record was archived on 10/23/23 1:27 ET. (See latest track record)
These are hypothetical performance results that have certain inherent limitations. Learn more

Move North Stock Fund
(107529017)

Created by: MoveNorth MoveNorth
Started: 11/2016
Stocks
Last trade: 974 days ago
Trading style: Equity Momentum

Subscriptions not available

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

Subscription terms. Subscriptions to this system cost $50.00 per month.

C2Star

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

You can read more about C2Star certification requirements here.

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

Trading Category: Equity
Momentum
Category: Equity

Momentum

Aims to capitalize on the continuance of existing trends in the market. Trader takes a long position in an asset in an upward trend, and short-sells a security that has been in a downward trend. While similar to Trend-following, tends to be more forward-looking (predicting oncoming trend), while Momentum is more backward-looking (observing already-established price direction).
11.3%
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.

(36.6%)
Max Drawdown
171
Num Trades
40.9%
Win Trades
2.0 : 1
Profit Factor
41.6%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2016                                                                      (0.4%)+1.4%+1.0%
2017+1.1%+0.8%+6.0%+3.3%+13.3%+0.9%+0.9%+0.4%+4.2%+2.6%+0.4%+0.7%+39.8%
2018+10.5%(4.3%)(1.8%)+0.5%+6.1%(2.8%)(3.3%)+9.8%+0.3%(12.5%)+0.6%(7%)(6.3%)
2019+2.4%+4.3%(2.1%)+4.7%(9.3%)+7.8%+5.1%(3.9%)(3.3%)(1.2%)+4.6%+2.5%+10.7%
2020+0.9%+1.0%(21.1%)+11.8%+9.5%+9.2%+11.8%+15.9%+8.2%(13.6%)+22.3%+10.9%+76.9%
2021+1.7%(8.2%)(5.2%)(1.3%)(4.7%)(1.4%)(1.9%)(0.2%)(0.2%)(0.2%)(0.2%)(0.2%)(20.1%)
2022(0.2%)(0.2%)(0.2%)(0.2%)(0.2%)(0.2%)(0.2%)(0.3%)  -  (0.2%)(0.3%)  -  (1.9%)
2023(0.3%)(0.2%)(0.2%)(0.2%)(0.2%)(0.2%)(0.2%)(0.2%)(0.2%)  -    -    -  (1.6%)
2024  -    -    -                                                        0.0

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 168 hours.

Trading Record

This strategy has placed 238 trades in real-life brokerage accounts. The most recent trade in a real-money brokerage account occurred more than 1012 days ago.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
4/23/21 9:30 EFX EQUIFAX LONG 22 223.30 7/19 9:30 252.73 0.08%
Trade id #135286515
Max drawdown($47)
Time4/23/21 9:35
Quant open22
Worst price221.16
Drawdown as % of equity-0.08%
$647
Includes Typical Broker Commissions trade costs of $0.44
4/19/21 9:30 PPG PPG INDUSTRIES LONG 28 167.54 7/19 9:30 167.07 0.11%
Trade id #135208373
Max drawdown($56)
Time6/28/21 0:00
Quant open28
Worst price165.51
Drawdown as % of equity-0.11%
($14)
Includes Typical Broker Commissions trade costs of $0.56
4/5/21 9:30 UTHR UNITED THERAPEUTICS LONG 36 194.92 7/19 9:30 183.90 1.67%
Trade id #135002263
Max drawdown($894)
Time6/8/21 0:00
Quant open36
Worst price170.06
Drawdown as % of equity-1.67%
($398)
Includes Typical Broker Commissions trade costs of $0.72
6/10/21 12:11 TRGP TARGA RESOURCES LONG 98 45.21 7/19 9:30 39.77 1.05%
Trade id #136006762
Max drawdown($552)
Time7/19/21 9:30
Quant open98
Worst price39.57
Drawdown as % of equity-1.05%
($535)
Includes Typical Broker Commissions trade costs of $1.96
3/8/21 9:30 BA BOEING LONG 30 233.05 7/19 9:30 211.18 1.3%
Trade id #134480699
Max drawdown($682)
Time7/19/21 9:30
Quant open30
Worst price210.29
Drawdown as % of equity-1.30%
($657)
Includes Typical Broker Commissions trade costs of $0.60
4/22/21 13:42 ERII ENERGY RECOVERY LONG 226 20.86 5/11 9:30 17.49 1.39%
Trade id #135275224
Max drawdown($777)
Time5/11/21 9:30
Quant open226
Worst price17.42
Drawdown as % of equity-1.39%
($767)
Includes Typical Broker Commissions trade costs of $4.52
4/8/21 9:33 SGH SMART GLOBAL HOLDINGS INC. LONG 87 54.86 5/11 9:30 43.08 2%
Trade id #135059387
Max drawdown($1,118)
Time5/11/21 9:30
Quant open87
Worst price42.00
Drawdown as % of equity-2.00%
($1,027)
Includes Typical Broker Commissions trade costs of $1.74
3/10/21 9:38 PD PAGERDUTY INC LONG 128 38.02 5/11 9:30 33.75 1.12%
Trade id #134535206
Max drawdown($623)
Time5/11/21 9:30
Quant open128
Worst price33.15
Drawdown as % of equity-1.12%
($550)
Includes Typical Broker Commissions trade costs of $2.56
3/8/21 9:30 AVYA AVAYA HOLDINGS CORP LONG 166 29.00 5/11 9:30 25.63 1.18%
Trade id #134480811
Max drawdown($667)
Time5/6/21 0:00
Quant open166
Worst price24.98
Drawdown as % of equity-1.18%
($562)
Includes Typical Broker Commissions trade costs of $3.32
1/8/21 9:30 CGC CANOPY GROWTH CORP LONG 280 32.07 4/8 9:30 31.29 1.96%
Trade id #133270512
Max drawdown($1,128)
Time3/5/21 0:00
Quant open280
Worst price28.04
Drawdown as % of equity-1.96%
($223)
Includes Typical Broker Commissions trade costs of $5.60
3/15/21 9:30 ADNT ADIENT PLC LONG 104 47.98 3/24 9:30 39.34 1.75%
Trade id #134614797
Max drawdown($1,027)
Time3/23/21 0:00
Quant open104
Worst price38.10
Drawdown as % of equity-1.75%
($901)
Includes Typical Broker Commissions trade costs of $2.08
2/10/21 9:31 SCPL SCIPLAY CORPORATION CLASS A LONG 280 20.98 3/24 9:30 15.03 3.08%
Trade id #133964770
Max drawdown($1,772)
Time3/5/21 0:00
Quant open280
Worst price14.65
Drawdown as % of equity-3.08%
($1,672)
Includes Typical Broker Commissions trade costs of $5.60
12/7/20 10:02 STRO SUTRO BIOPHARMA INC. COMMON STOCK LONG 375 23.20 3/5/21 9:30 20.38 2.21%
Trade id #132672151
Max drawdown($1,316)
Time3/4/21 0:00
Quant open375
Worst price19.69
Drawdown as % of equity-2.21%
($1,066)
Includes Typical Broker Commissions trade costs of $7.50
12/7/20 9:30 PD PAGERDUTY INC LONG 140 40.84 3/5/21 9:30 38.36 1.05%
Trade id #132670374
Max drawdown($623)
Time3/4/21 0:00
Quant open140
Worst price36.39
Drawdown as % of equity-1.05%
($350)
Includes Typical Broker Commissions trade costs of $2.80
2/22/21 9:31 CASA CASA SYSTEMS INC. COMMON STOCK LONG 506 10.90 3/5 9:30 7.61 3.17%
Trade id #134190688
Max drawdown($1,882)
Time3/4/21 0:00
Quant open506
Worst price7.18
Drawdown as % of equity-3.17%
($1,670)
Includes Typical Broker Commissions trade costs of $5.00
2/4/21 9:35 RUN SUNRUN INC. COMMON STOCK LONG 116 74.12 2/19 9:30 69.29 1.31%
Trade id #133845728
Max drawdown($878)
Time2/18/21 0:00
Quant open116
Worst price66.55
Drawdown as % of equity-1.31%
($562)
Includes Typical Broker Commissions trade costs of $2.32
7/8/20 9:30 RUN SUNRUN INC. COMMON STOCK LONG 234 27.43 1/28/21 9:30 72.23 0.05%
Trade id #129965658
Max drawdown($18)
Time7/9/20 0:00
Quant open156
Worst price26.38
Drawdown as % of equity-0.05%
$10,479
Includes Typical Broker Commissions trade costs of $4.68
8/10/20 9:30 SAIL SAILPOINT TECHNOLOGIES HOLDINGS INC LONG 229 37.57 1/28/21 9:30 52.86 0.82%
Trade id #130536077
Max drawdown($391)
Time9/4/20 0:00
Quant open229
Worst price35.86
Drawdown as % of equity-0.82%
$3,494
Includes Typical Broker Commissions trade costs of $4.58
8/10/20 9:30 Z ZILLOW GROUP INC. CLASS C LONG 93 81.55 1/28/21 9:30 129.85 0.8%
Trade id #130536054
Max drawdown($380)
Time8/14/20 0:00
Quant open62
Worst price73.48
Drawdown as % of equity-0.80%
$4,490
Includes Typical Broker Commissions trade costs of $1.86
6/4/20 9:30 STNE STONECO LTD. CLASS A COMMON SHARES LONG 160 36.63 1/28/21 9:30 70.77 1.22%
Trade id #129353929
Max drawdown($448)
Time6/15/20 0:00
Quant open160
Worst price33.83
Drawdown as % of equity-1.22%
$5,459
Includes Typical Broker Commissions trade costs of $3.20
7/31/20 9:30 UPS UNITED PARCEL SERVICE LONG 46 145.37 1/6/21 9:30 160.28 0.16%
Trade id #130386648
Max drawdown($67)
Time7/31/20 14:09
Quant open31
Worst price139.70
Drawdown as % of equity-0.16%
$685
Includes Typical Broker Commissions trade costs of $0.92
9/24/20 9:30 SPY SPDR S&P 500 LONG 16 321.27 12/9 9:30 370.88 0.05%
Trade id #131339224
Max drawdown($23)
Time9/24/20 9:41
Quant open16
Worst price319.80
Drawdown as % of equity-0.05%
$794
Includes Typical Broker Commissions trade costs of $0.32
9/8/20 9:30 WDAY WORKDAY LONG 34 208.19 11/30 9:30 223.44 0.58%
Trade id #131057525
Max drawdown($287)
Time9/21/20 0:00
Quant open22
Worst price195.81
Drawdown as % of equity-0.58%
$517
Includes Typical Broker Commissions trade costs of $0.68
9/8/20 9:30 CRM SALESFORCE INC LONG 18 240.56 9/24 9:30 235.84 0.2%
Trade id #131057544
Max drawdown($99)
Time9/24/20 9:30
Quant open18
Worst price235.01
Drawdown as % of equity-0.20%
($85)
Includes Typical Broker Commissions trade costs of $0.36
4/17/20 9:30 TMUS T-MOBILE US INC. COMMON STOCK LONG 52 93.47 9/21 9:30 109.92 0.66%
Trade id #128621000
Max drawdown($216)
Time5/1/20 0:00
Quant open35
Worst price85.81
Drawdown as % of equity-0.66%
$854
Includes Typical Broker Commissions trade costs of $1.04
6/1/20 9:33 YETI YETI HOLDINGS INC LONG 174 32.66 9/21 9:30 43.50 0.03%
Trade id #129286413
Max drawdown($9)
Time6/1/20 9:36
Quant open116
Worst price31.98
Drawdown as % of equity-0.03%
$1,883
Includes Typical Broker Commissions trade costs of $3.48
4/30/20 9:30 CIEN CIENA CORPORTION LONG 104 52.36 9/4 9:30 45.16 1.99%
Trade id #128803046
Max drawdown($1,051)
Time9/3/20 0:00
Quant open104
Worst price42.25
Drawdown as % of equity-1.99%
($751)
Includes Typical Broker Commissions trade costs of $2.08
4/23/20 9:30 SNAP SNAP INC LONG 288 17.06 8/25 9:30 20.90 0.55%
Trade id #128707084
Max drawdown($184)
Time4/24/20 0:00
Quant open192
Worst price15.58
Drawdown as % of equity-0.55%
$1,100
Includes Typical Broker Commissions trade costs of $5.76
7/6/20 9:30 NUS NU SKIN ENTERPRISES LONG 86 48.02 8/7 10:24 45.96 1.08%
Trade id #129922286
Max drawdown($452)
Time7/10/20 0:00
Quant open86
Worst price42.76
Drawdown as % of equity-1.08%
($179)
Includes Typical Broker Commissions trade costs of $1.72
6/22/20 9:30 EXEL EXELIXIS LONG 168 24.18 8/4 9:30 23.51 0.72%
Trade id #129684827
Max drawdown($290)
Time6/29/20 0:00
Quant open168
Worst price22.45
Drawdown as % of equity-0.72%
($116)
Includes Typical Broker Commissions trade costs of $3.36

Statistics

  • Strategy began
    11/28/2016
  • Suggested Minimum Cap
    $25,000
  • Strategy Age (days)
    2665.35
  • Age
    89 months ago
  • What it trades
    Stocks
  • # Trades
    171
  • # Profitable
    70
  • % Profitable
    40.90%
  • Avg trade duration
    140.6 days
  • Max peak-to-valley drawdown
    36.62%
  • drawdown period
    Feb 21, 2020 - March 23, 2020
  • Annual Return (Compounded)
    11.3%
  • Avg win
    $912.00
  • Avg loss
    $322.38
  • Model Account Values (Raw)
  • Cash
    $57,173
  • Margin Used
    $0
  • Buying Power
    $57,173
  • Ratios
  • W:L ratio
    1.99:1
  • Sharpe Ratio
    0.44
  • Sortino Ratio
    0.59
  • Calmar Ratio
    0.544
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    17.16%
  • Correlation to SP500
    0.45490
  • Return Percent SP500 (cumu) during strategy life
    133.88%
  • Return Statistics
  • Ann Return (w trading costs)
    11.3%
  • Slump
  • Current Slump as Pcnt Equity
    50.40%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.43%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.113%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    12.0%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    51.50%
  • Chance of 20% account loss
    22.00%
  • Chance of 30% account loss
    4.00%
  • Chance of 40% account loss
    1.00%
  • Chance of 60% account loss (Monte Carlo)
    n/a
  • Chance of 70% account loss (Monte Carlo)
    n/a
  • Chance of 80% account loss (Monte Carlo)
    n/a
  • Chance of 90% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    312
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • Popularity (7 days, Percentile 1000 scale)
    0
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $322
  • Avg Win
    $912
  • Sum Trade PL (losers)
    $32,560.000
  • Age
  • Num Months filled monthly returns table
    89
  • Win / Loss
  • Sum Trade PL (winners)
    $63,840.000
  • # Winners
    70
  • Num Months Winners
    37
  • Dividends
  • Dividends Received in Model Acct
    893
  • Win / Loss
  • # Losers
    101
  • % Winners
    40.9%
  • Frequency
  • Avg Position Time (mins)
    202429.00
  • Avg Position Time (hrs)
    3373.82
  • Avg Trade Length
    140.6 days
  • Last Trade Ago
    972
  • Leverage
  • Daily leverage (average)
    0.85
  • Daily leverage (max)
    1.39
  • Regression
  • Alpha
    0.01
  • Beta
    0.41
  • Treynor Index
    0.06
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.01
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    12.25
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    17.76
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -0.66
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.01
  • Avg(MAE) / Avg(PL) - All trades
    1.644
  • MAE:Equity, losing trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, win trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, 95th Percentile Value for this strat
    0.02
  • Avg(MAE) / Avg(PL) - Winning trades
    0.157
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.265
  • Hold-and-Hope Ratio
    0.608
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.16664
  • SD
    0.24297
  • Sharpe ratio (Glass type estimate)
    0.68587
  • Sharpe ratio (Hedges UMVUE)
    0.67726
  • df
    60.00000
  • t
    1.54637
  • p
    0.06364
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.19480
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.56097
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.20045
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.55497
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.01465
  • Upside Potential Ratio
    2.25647
  • Upside part of mean
    0.37060
  • Downside part of mean
    -0.20395
  • Upside SD
    0.18277
  • Downside SD
    0.16424
  • N nonnegative terms
    36.00000
  • N negative terms
    25.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    61.00000
  • Mean of predictor
    0.13146
  • Mean of criterion
    0.16664
  • SD of predictor
    0.20764
  • SD of criterion
    0.24297
  • Covariance
    0.03565
  • r
    0.70671
  • b (slope, estimate of beta)
    0.82693
  • a (intercept, estimate of alpha)
    0.05793
  • Mean Square Error
    0.03005
  • DF error
    59.00000
  • t(b)
    7.67242
  • p(b)
    0.00000
  • t(a)
    0.74097
  • p(a)
    0.23083
  • Lowerbound of 95% confidence interval for beta
    0.61126
  • Upperbound of 95% confidence interval for beta
    1.04260
  • Lowerbound of 95% confidence interval for alpha
    -0.09851
  • Upperbound of 95% confidence interval for alpha
    0.21437
  • Treynor index (mean / b)
    0.20152
  • Jensen alpha (a)
    0.05793
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.13482
  • SD
    0.25352
  • Sharpe ratio (Glass type estimate)
    0.53180
  • Sharpe ratio (Hedges UMVUE)
    0.52512
  • df
    60.00000
  • t
    1.19900
  • p
    0.11762
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.34485
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.40409
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.34925
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.39949
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.72281
  • Upside Potential Ratio
    1.89911
  • Upside part of mean
    0.35423
  • Downside part of mean
    -0.21941
  • Upside SD
    0.17304
  • Downside SD
    0.18653
  • N nonnegative terms
    36.00000
  • N negative terms
    25.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    61.00000
  • Mean of predictor
    0.10711
  • Mean of criterion
    0.13482
  • SD of predictor
    0.22549
  • SD of criterion
    0.25352
  • Covariance
    0.04285
  • r
    0.74950
  • b (slope, estimate of beta)
    0.84268
  • a (intercept, estimate of alpha)
    0.04456
  • Mean Square Error
    0.02865
  • DF error
    59.00000
  • t(b)
    8.69639
  • p(b)
    -0.00000
  • t(a)
    0.58800
  • p(a)
    0.27939
  • Lowerbound of 95% confidence interval for beta
    0.64878
  • Upperbound of 95% confidence interval for beta
    1.03658
  • Lowerbound of 95% confidence interval for alpha
    -0.10708
  • Upperbound of 95% confidence interval for alpha
    0.19620
  • Treynor index (mean / b)
    0.15999
  • Jensen alpha (a)
    0.04456
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.10340
  • Expected Shortfall on VaR
    0.13009
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.03321
  • Expected Shortfall on VaR
    0.07488
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    61.00000
  • Minimum
    0.70650
  • Quartile 1
    0.99016
  • Median
    1.00944
  • Quartile 3
    1.05196
  • Maximum
    1.17379
  • Mean of quarter 1
    0.93986
  • Mean of quarter 2
    1.00150
  • Mean of quarter 3
    1.02914
  • Mean of quarter 4
    1.09945
  • Inter Quartile Range
    0.06180
  • Number outliers low
    2.00000
  • Percentage of outliers low
    0.03279
  • Mean of outliers low
    0.78389
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.01639
  • Mean of outliers high
    1.17379
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.23091
  • VaR(95%) (moments method)
    0.03813
  • Expected Shortfall (moments method)
    0.06573
  • Extreme Value Index (regression method)
    0.50258
  • VaR(95%) (regression method)
    0.06536
  • Expected Shortfall (regression method)
    0.16521
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    6.00000
  • Minimum
    0.00249
  • Quartile 1
    0.06535
  • Median
    0.11665
  • Quartile 3
    0.23242
  • Maximum
    0.29350
  • Mean of quarter 1
    0.03211
  • Mean of quarter 2
    0.07620
  • Mean of quarter 3
    0.15709
  • Mean of quarter 4
    0.27552
  • Inter Quartile Range
    0.16708
  • 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)
    0.25316
  • Compounded annual return (geometric extrapolation)
    0.17672
  • Calmar ratio (compounded annual return / max draw down)
    0.60210
  • Compounded annual return / average of 25% largest draw downs
    0.64141
  • Compounded annual return / Expected Shortfall lognormal
    1.35847
  • 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
    0.15185
  • SD
    0.18666
  • Sharpe ratio (Glass type estimate)
    0.81348
  • Sharpe ratio (Hedges UMVUE)
    0.81302
  • df
    1336.00000
  • t
    1.83764
  • p
    0.47489
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.05484
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.68151
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.05515
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.68120
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.08332
  • Upside Potential Ratio
    7.32802
  • Upside part of mean
    1.02714
  • Downside part of mean
    -0.87530
  • Upside SD
    0.12352
  • Downside SD
    0.14017
  • N nonnegative terms
    689.00000
  • N negative terms
    648.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1337.00000
  • Mean of predictor
    0.12352
  • Mean of criterion
    0.15185
  • SD of predictor
    0.21722
  • SD of criterion
    0.18666
  • Covariance
    0.01862
  • r
    0.45910
  • b (slope, estimate of beta)
    0.39451
  • a (intercept, estimate of alpha)
    0.08900
  • Mean Square Error
    0.02752
  • DF error
    1335.00000
  • t(b)
    18.88200
  • p(b)
    0.21835
  • t(a)
    1.40331
  • p(a)
    0.47557
  • Lowerbound of 95% confidence interval for beta
    0.35352
  • Upperbound of 95% confidence interval for beta
    0.43550
  • Lowerbound of 95% confidence interval for alpha
    -0.04103
  • Upperbound of 95% confidence interval for alpha
    0.24727
  • Treynor index (mean / b)
    0.38489
  • Jensen alpha (a)
    0.10312
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.13419
  • SD
    0.18823
  • Sharpe ratio (Glass type estimate)
    0.71293
  • Sharpe ratio (Hedges UMVUE)
    0.71253
  • df
    1336.00000
  • t
    1.61050
  • p
    0.47799
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.15524
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.58086
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.15552
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.58057
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.93604
  • Upside Potential Ratio
    7.11150
  • Upside part of mean
    1.01952
  • Downside part of mean
    -0.88533
  • Upside SD
    0.12215
  • Downside SD
    0.14336
  • N nonnegative terms
    689.00000
  • N negative terms
    648.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1337.00000
  • Mean of predictor
    0.09978
  • Mean of criterion
    0.13419
  • SD of predictor
    0.21820
  • SD of criterion
    0.18823
  • Covariance
    0.01908
  • r
    0.46466
  • b (slope, estimate of beta)
    0.40084
  • a (intercept, estimate of alpha)
    0.09420
  • Mean Square Error
    0.02780
  • DF error
    1335.00000
  • t(b)
    19.17320
  • p(b)
    0.21521
  • t(a)
    1.27572
  • p(a)
    0.47779
  • Lowerbound of 95% confidence interval for beta
    0.35983
  • Upperbound of 95% confidence interval for beta
    0.44185
  • Lowerbound of 95% confidence interval for alpha
    -0.05066
  • Upperbound of 95% confidence interval for alpha
    0.23905
  • Treynor index (mean / b)
    0.33478
  • Jensen alpha (a)
    0.09420
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01844
  • Expected Shortfall on VaR
    0.02319
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00739
  • Expected Shortfall on VaR
    0.01591
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    1337.00000
  • Minimum
    0.89117
  • Quartile 1
    0.99700
  • Median
    1.00033
  • Quartile 3
    1.00606
  • Maximum
    1.05280
  • Mean of quarter 1
    0.98757
  • Mean of quarter 2
    0.99932
  • Mean of quarter 3
    1.00292
  • Mean of quarter 4
    1.01298
  • Inter Quartile Range
    0.00906
  • Number outliers low
    71.00000
  • Percentage of outliers low
    0.05310
  • Mean of outliers low
    0.97025
  • Number of outliers high
    51.00000
  • Percentage of outliers high
    0.03815
  • Mean of outliers high
    1.02727
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.36022
  • VaR(95%) (moments method)
    0.01045
  • Expected Shortfall (moments method)
    0.01998
  • Extreme Value Index (regression method)
    0.18425
  • VaR(95%) (regression method)
    0.01153
  • Expected Shortfall (regression method)
    0.01904
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    45.00000
  • Minimum
    0.00010
  • Quartile 1
    0.00310
  • Median
    0.00723
  • Quartile 3
    0.02954
  • Maximum
    0.32041
  • Mean of quarter 1
    0.00162
  • Mean of quarter 2
    0.00488
  • Mean of quarter 3
    0.01963
  • Mean of quarter 4
    0.12884
  • Inter Quartile Range
    0.02644
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    6.00000
  • Percentage of outliers high
    0.13333
  • Mean of outliers high
    0.19740
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.50702
  • VaR(95%) (moments method)
    0.11497
  • Expected Shortfall (moments method)
    0.27392
  • Extreme Value Index (regression method)
    0.34837
  • VaR(95%) (regression method)
    0.13199
  • Expected Shortfall (regression method)
    0.25716
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.25219
  • Compounded annual return (geometric extrapolation)
    0.17598
  • Calmar ratio (compounded annual return / max draw down)
    0.54922
  • Compounded annual return / average of 25% largest draw downs
    1.36589
  • Compounded annual return / Expected Shortfall lognormal
    7.58782
  • 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
    -0.02791
  • SD
    0.00000
  • Sharpe ratio (Glass type estimate)
    0.00000
  • Sharpe ratio (Hedges UMVUE)
    0.00000
  • df
    0.00000
  • t
    0.00000
  • p
    0.00000
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.00000
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.00000
  • Statistics related to Sortino ratio
  • Sortino ratio
    -16.18640
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    0.00000
  • Downside part of mean
    -0.02791
  • Upside SD
    0.00000
  • Downside SD
    0.00172
  • N nonnegative terms
    0.00000
  • N negative terms
    131.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.04173
  • Mean of criterion
    -0.02791
  • SD of predictor
    0.35298
  • SD of criterion
    0.00000
  • Covariance
    0.00000
  • r
    0.00000
  • b (slope, estimate of beta)
    0.00000
  • a (intercept, estimate of alpha)
    0.00000
  • Mean Square Error
    0.00000
  • DF error
    0.00000
  • t(b)
    0.00000
  • p(b)
    0.00000
  • t(a)
    0.00000
  • p(a)
    0.00000
  • Lowerbound of 95% confidence interval for beta
    0.00000
  • Upperbound of 95% confidence interval for beta
    0.00000
  • Lowerbound of 95% confidence interval for alpha
    0.00000
  • Upperbound of 95% confidence interval for alpha
    0.00000
  • Treynor index (mean / b)
    0.00000
  • Jensen alpha (a)
    0.00000
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.02791
  • SD
    0.00000
  • Sharpe ratio (Glass type estimate)
    -9748420000000000.00000
  • Sharpe ratio (Hedges UMVUE)
    -9692070000000000.00000
  • df
    130.00000
  • t
    -6893170000000000.00000
  • p
    1.00000
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -10870200000000000.00000
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -8513980000000000.00000
  • Statistics related to Sortino ratio
  • Sortino ratio
    -16.18640
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    0.00000
  • Downside part of mean
    -0.02791
  • Upside SD
    0.00000
  • Downside SD
    0.00172
  • N nonnegative terms
    0.00000
  • N negative terms
    131.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.10363
  • Mean of criterion
    -0.02791
  • SD of predictor
    0.35336
  • SD of criterion
    0.00000
  • Covariance
    -0.00000
  • r
    -0.00000
  • b (slope, estimate of beta)
    -0.00000
  • a (intercept, estimate of alpha)
    -0.02791
  • Mean Square Error
    0.00000
  • DF error
    129.00000
  • t(b)
    -0.00000
  • p(b)
    0.50000
  • t(a)
    -6865470000000000.00000
  • p(a)
    1.00000
  • VAR (95 Confidence Intrvl)
    0.01800
  • Lowerbound of 95% confidence interval for beta
    -0.00000
  • Upperbound of 95% confidence interval for beta
    0.00000
  • Lowerbound of 95% confidence interval for alpha
    -0.02791
  • Upperbound of 95% confidence interval for alpha
    -0.02791
  • Treynor index (mean / b)
    179926000000000003880065133707264.00000
  • Jensen alpha (a)
    -0.02791
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00011
  • Expected Shortfall on VaR
    0.00011
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00000
  • Expected Shortfall on VaR
    0.00000
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    1.00000
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.00000
  • Mean of quarter 1
    1.00000
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.00000
  • Inter Quartile Range
    0.00000
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.00000
  • 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
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    0.00000
  • Minimum
    0.00000
  • Quartile 1
    0.00000
  • Median
    0.00000
  • Quartile 3
    0.00000
  • Maximum
    0.00000
  • Mean of quarter 1
    0.00000
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.00000
  • Inter Quartile Range
    0.00000
  • 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
  • Last 4 Months - Pcnt Negative
    n/a
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -378476000
  • Max Equity Drawdown (num days)
    31
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.00000
  • Compounded annual return (geometric extrapolation)
    0.00000
  • Calmar ratio (compounded annual return / max draw down)
    0.00000
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    0.00000

Strategy Description

Move North Stock Fund is an actively managed, hypothetical portfolio of stocks and exchange traded funds (ETFs). The fund is not managed using an automated trading algorithm. Instead, I perform fundamental and technical analysis of individual stocks and ETFs and buy those that exhibit characteristics which, according to my research, often lead to significant capital gains in the near future (typically between 2-3 months to 2-3 years). I apply selling rules for profit taking and in order to control risk.

The goal of the fund is to provide long term investors with superior risk-adjusted returns compared to stock market indices. While I encourage you to examine the fund’s historical performance when deciding whether to subscribe, note that past performance is no guarantee of future results.

The fund consists of only long positions, and never holds inverse ETFs, leveraged ETFs or any derivative securities such as options and futures. Depending on market conditions the fund may hold bond and commodity ETFs, stay largely in cash, or use limited margin, not to exceed about 35% of the fund's equity. All orders are decided upon and placed after the close of the market.

Summary Statistics

Strategy began
2016-11-28
Suggested Minimum Capital
$15,000
# Trades
171
# Profitable
70
% Profitable
40.9%
Net Dividends
Correlation S&P500
0.455
Sharpe Ratio
0.44
Sortino Ratio
0.59
Beta
0.41
Alpha
0.01
Leverage
0.85 Average
1.39 Maximum
Summary
Higher leverage = greater risk.

More information about leverage

Collective2 calculates the maximum leverage used by a strategy in each day. We then display the average of these measurements (i.e. the average daily maximum leverage) and the greatest of these measurements (maximum daily leverage).

Leverage is the ratio of total notional value controlled by a strategy divided by its Model Account equity. Generally higher leverage implies greater risk.

Example of calculation:
The Strategy buys 100 shares of stock at $12 per share.
The Model Account equity during that day is $5,000.
The leverage is: $1200 / $5,000 = 0.24

This is a useful measurement, but it should be considered in context. This measurement doesn't take into account important factors, such as when multiple positions are held that are inversely correlated. Nor does the measurement take into account the volatility of the instruments being held.

In addition, certain asset classes are inherently more leveraged than others. For example, futures contracts are highly leveraged. Forex positions are often even more leveraged than futures.

Latest Activity

#PERSONNAME#
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.